UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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, 2020
FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided onForm N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-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
(THIS PAGE INTENTIONALLY LEFT BLANK)
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Management Discussion & Analysis | | |
Short Duration Bond Strategies
ThePayden Cash Reserves Money Market Fund (PBHXX)continued to provide stable daily liquidity. For thesix-month period ended April 30, 2020, the Fund returned 0.55%, compared to a return of 0.41% for the Lipper Government Money Market Average. Money market yields ended thesix-month period lower than the beginning of the period.
ThePayden Limited Maturity Fund (PYLMX)returned-0.65% for thesix-month period ended April 30, 2020, compared to a return of 0.85% for its benchmark, the Bank of America Merrill Lynch Three-Month US Treasury Bill Index. Rates positioning contributed positively, while overweight allocations to securitized and corporate securities were the largest detractors from relative performance. The Fund made use of forward currency contracts for hedging purposes. The use of these derivatives impacted performance by 0.00%.
ThePayden Low Duration Fund (PYSBX)returned-0.25% for thesix-month period ended April 30, 2020, compared to a return of 3.04% for its benchmark, the Bank of America Merrill Lynch1-3 Year US Treasury Index. The Fund’s overweight allocations to securitized and corporate securities were the main detractors from relative performance. The Fund invests in futures, swaps, and forward currency contracts for hedging and investment purposes. The use of these derivatives impacted performance by-0.13%.
ThePayden Global Low Duration Fund (PYGSX)returned-0.88% for thesix-month period ended April 30, 2020, compared to a return of 2.50% for its benchmark, the Bank of America Merrill Lynch1-3 Year US Corporate & Government Index. The Fund’s overweight allocations to securitized and corporate securities were the main detractors from relative performance. The Fund invests in futures, swaps, options and forward currency contracts for hedging and investment purposes. The use of these derivatives impacted performance by-0.19%.
ThePayden U.S. Government Fund (PYUSX)returned 3.27 % for the six month period ended April 30, 2020, compared to its benchmark, the ICE BofAML1-5 Year US Treasury Index, which returned 3.92%. The Fund underperformed the index due to an overweight in agency mortgage backed securities. Over the past two months, the global economy effectively shut down. In order to support the markets, the Federal Reserve Board purchased unprecedented amounts of US Treasury and Agency mortgages; however, the mortgage market was not able to keep pace with US Treasuries. Today, mortgage valuations are relatively attractive versus US Treasures as we expect today’s historically low Treasury yields to have little upside in price performance. The additional yields from agency mortgage securities should provide higher returns in the ensuing months. The Fund is targeting lower coupon mortgage pools that should reflect a slower prepayment profile and higher yields for the Fund. The Fund did not use any derivatives over the pastsix-month period. The Fund has been active in past periods, using derivatives to manage interest rate, yield curve and volatility exposure.
ThePayden GNMA Fund (PYGNX)returned 3.53 %, for the six month period ended April 30, 2020, while its benchmark, the ICE BofAML US GNMA Mortgage Backed Securities Index, returned 3.64 %. The Fund slightly underperformed its benchmark due to a higher weighting in certain specified mortgage pools that underperformed in the volatile Covid19 induced trading environment. Over the past two months the global economy effectively shut down. In order to restore liquidity and support the markets, the Federal Reserve Board purchased US Treasuries and agency mortgage securities in unprecedented volumes. However, the mortgage market responded unevenly. Areas of the market that outperformed were those that received the most direct support, and those that lagged were areas of the mortgage market that were removed from the direct purchase activity. Our strategy over the ensuing months is to remain in the areas of the mortgage market receiving the most direct Fed support and to target areas of the market that will potentially have slower prepayment activity as mortgage rates move down to historically low levels. Valuations for GNMA mortgages are attractive and capital flows from foreign investors should remain supportive due to higher interest rates available in the U.S domestic market than from foreign markets. The Fund did not use any derivatives over the pastsix-month period. The Fund has been active in past periods, using derivatives to manage interest rate, yield curve and volatility exposure.
ThePayden Core Bond Fund, Investor Class (PYCBX)returned 0.57% for thesix- month period ended April 30, 2020, compared to a 4.86% return for its benchmark, the Bloomberg Barclays U.S. Aggregate Index. The Fund’sAdviser Class (PYCWX)returned 0.45% and theSI Class (PYCSX)returned 0.63% 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 markets. In addition, the Fund will permit a wide range of average maturity to be more opportunistic in defending against interest rate volatility. Allocations to credit detracted, as yield spread premium across sectors increasedtwo-to-three-fold as part of the global market drop.
Semi-Annual Report 1
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Management Discussion & Analysiscontinued | | |
Corporate credit overweight allocations detracted from performance, both within investment grade and high yield. Emerging market debt and securitized products also detracted from relative performance, the latter of which experienced a liquidity crunch which led to increased price volatility. The Fund uses derivatives for interest rate, currency management and credit sector management. It utilizes interest rate swaps and interest rate futures to manage overall duration and yield curve positioning. Foreign currency forwards are traded to hedge currency exposure and to take outright positions on specific currencies. Over the six month period ended April 30, 2020, forward contracts for currency management detracted 0.01% from performance and interest rate futures used to hedge interest rate risk detracted 0.08% from performance.
ThePayden Corporate Bond Fund (PYACX)generated a net return of 0.00% for the six month period ended April 30, 2020, compared to a return of 2.00% for its benchmark, the Bloomberg Barclays US Corporate Bond Index. The Fund’s underweight to higher quality credits, which significantly outperformed during the marketsell-off, particularly in the technology sector was a large detector to performance. Financials also detracted from performance as the Fund’s overweight to REITs and long duration insurance credits underperformed during the marketsell-off. In addition, the underweight to major U.S. banks and the allocation to BBB banks also detracted from performance. The Fund’s underweight to basic industries, such as the metals and chemicals sectors, added to performance as supply chains and economic activity were disrupted. The Fund’s reductions in the higher beta energy sector before the oil crash added to relative performance as WTI crude oil sold off 72% during the period. The Fund used US Treasury futures as a means of hedging and active duration management, which detracted-0.15% from performance. The Fund also used both HY CDX and IG CDX credit derivatives, with IG CDX being used to add credit exposure while keeping increased liquidity at the end of 2019, and HY CDX being used as a tail hedge against a marketsell-off. Overall credit derivatives added 0.10% to performance.
ThePayden Strategic Income Fund, Investor Class (PYSGX)returned-3.94% for thesix-month period ended April 30, 2020, while its benchmark, Bloomberg Barclays U.S. Aggregate Index, returned 4.86%. The Fund’sSI Class (PYSIX)returned-3.77% 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 markets. Allocations to credit detracted as yield spread premium across sectors increasedtwo-to-three-fold as part of the global market rout. Corporate credit overweight allocations detracted from performance, both within Investment-Grade and High Yield. Emerging Market Debt and Securitized both detracted, the latter of which experienced a liquidity crunch, which caused indiscriminate selling and subsequent price mark downs beyond fair value. In navigating this environment, we have held positions we feel can weather more negativity (given what we know now), sold bonds that have performed better than expected or that are likely to further issues. In addition, we added modestly to corporate bonds through the new issue market. The Fund uses derivatives for interest rate, currency management and credit sector management. It utilizes interest rate swaps and interest rate futures to manage overall duration and yield curve positioning. Foreign currency forwards are traded to hedge currency exposure and to take outright positions on specific currencies. Over the six months ended April 30, 2020, forward contracts for currency management detracted 0.02% from performance and interest rate futures used to hedge interest rate risk detracted 0.09% from performance.
For thesix-month period ended April 30, 2020, thePayden Absolute Return Bond Fund, Investor Class (PYARX)returned-6.22%, compared to a return of 0.83% for its benchmark,1-month LIBOR. The Fund’sSI Class (PYAIX)returned-6.20%. The last quarter of 2019 saw a fairly benign market, with modest returns across most fixed income asset classes. As yield spreads had tightened meaningfully over the course of 2019, we took the opportunity to reduce exposure to higher beta subsectors, specifically high yield bonds and loans, in order to have an elevated liquidity profile entering 2020. In January and February 2020, we saw robust new issuance across asset classes and participated in many securitized product offerings, increasing our securitized allocation to around 55%. As theCovid-19 crisis began to take shape, we reduced exposure to assets that we felt would be meaningfully affected by an economic slowdown due to the virus. As such, we exited airline exposure, trimmed hotel and leisure exposure, and exited exposure to companies reliant on the global supply chain ahead of major drawdowns in those industries. Despite the caution we took, the Fund experienced the largest drawdown in its history, as liquidity was extremely challenged across asset classes. The liquiditylock-up forced investors, most specifically levered investors facing large margin calls, to sell assets at extremely punitive levels in order to raise cash, which generated substantive price markdowns as these prints echoed through the system. The United States Federal Reserve then stepped in to foster liquidity within markets, causing asset prices to rebound rapidly. With the proceeds from sellspre-liquidity freeze and the existing liquidity in the Fund coming into the crisis, we have deployed capital into preferred asset classes at opportunistic levels in order to maximize the Fund’s recovery from the current drawdown. The Fund employs futures, options, swaps and forward currency contracts to manage sensitivity to undesired risk exposures, as well as efficient investment purposes. Derivatives contributed 0.03% Fund returns over the period.
2 Payden Mutual Funds
Loan Strategy
For the six months ended April 30, 2020, thePayden Floating Rate Fund, Investor Class (PYFRX)returned-7.37% and thePayden Floating Rate Fund, SI Class (PYFIX)returned-7.32%. The Fund’s benchmark, the Credit Suisse Leveraged Institutional Loan BB Index, returned-7.17% for the same period. A top performer for the period was a loan issued by the software solutions provider, Rackspace, as the company’s operations were largely immune from the impact of the economic shutdown. The primary driver of underperformance was positions in credit risk transfer securities that are backed by mortgages that are underwritten and pooled by Fannie Mae and Freddie Mac. Despite the volatility, we believe these bonds offer attractive risk-adjusted yields and continue to hold them. The Fund occasionally 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.
High Yield Strategy
Positive returns at the beginning of the period were erased by the coronavirus inducedsell-off, although the market did stage a brief rally in April thanks in part to decisive action from the Federal Reserve Board and the US Congress in late March on the monetary and fiscal fronts. Defaults accelerated in April; however, and uncertainty remains elevated. Sector performance ranged from-21.68% for energy to +2.07% for telecommunications.BB-rated bonds returned-4.45%,B-rated bonds returned-9.35%, andCCC-rated bonds returned-18.10%.
ThePayden High Income (PYHRX)returned-7.97% for the six months ended April 30, 2020. The Fund’s benchmark, the ICE BofA ML BB/B US Cash Pay High Yield Constrained Index, returned-6.13% for the same period. Underperformance during this period is attributable to the Fund’s exposure to credit risk transfer securities that are backed by mortgages underwritten and pooled by Fannie Mae and Freddie Mac. An underweight to the media sector also hurt relative performance as less cyclical sectors outperformed during this period. The Fund generated positive attribution from security selection in energy issuers like Occidental Petroleum Corporation as well as in select retail issuers like KeHE, a specialty grocery distributor. 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 hedge foreign exchange exposure. Gains associated with forward euro contracts of +66.82% were offset by currency-driven underperformance by euro-denominated bonds.
For thesix-month period ended April 30, 2020, thePayden California Municipal Social Impact Fund (PYCRX)returned-1.71%. The Fund’s benchmarks, the Bloomberg Barclays California Intermediate Index and the Bloomberg Barclays7-Year Municipal Index, returned-0.32% and-0.80%, respectively, for the same period. The Fund’s underperformance relative to its benchmarks was due mainly to credit selection as various holdings underperformed the broad market in March and April due to idiosyncratic risks created by theCOVID-19 pandemic. In the current environment, the Fund is favoring bonds secured by more resilient and flexible revenue sources, such as property taxes and general funds. Security selection will focus on higher quality issuers that have adequate access to near term liquidity and budget flexibility to manage through the interimCOVID-19 related shocks. Given thatmunicipal-to-Treasury yield ratios — a harbinger of relative value — have reached historically high levels, we are optimistic on the outlook fortax-exempt municipals and may reduce our taxable municipal allocation asafter-tax value is becoming less compelling. The Fund invests in futures contracts for hedging purposes. The use of interest rate futures impacted performance by-0.06% on a gross basis.
ThePayden Global Fixed Income Fund (PYGFX)posted a return of-0.78% for the six months ended April 30, 2020, compared to a return of 2.76% for its benchmark, the Bloomberg Barclays Global Aggregate Index (US Dollar hedged). Given the weaker broad market tone amid-COVID-19, risk assets significantly underperformed as investors flocked to safe-haven assets. The underperformance of credit markets over that period was exacerbated by a sharp deterioration in liquidity conditions. Despite the rebound in risk sentiment in April, which was propped up by large fiscal and monetary easing measures from governments and central banks, spread products underperformed underlying government bonds over the period. The Fund held overweight exposures to investment grade corporate bonds and securitized instruments, as well as modest exposures toout-of-index high yield sectors and hard currency emerging market debt, all of which detracted from relative returns.
Semi-Annual Report 3
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Management Discussion & Analysiscontinued | | |
The active management of currency and duration had a comparatively positive impact to portfolio performance. Implementing relative country and curve flattening trades, added to overall performance; however, this was somewhat offset by a long US breakeven position as inflation expectations declined later in the period. In currency space, the Fund held a long position in emerging market currencies versus US dollar, and long position in the Norwegian krone versus the Euro. Both positions detracted from performance following an acceleration in risk off sentiment. This was more than offset by a short US dollar position that we held against the Japanese yen and the euro in March. The Fund used currency forwards for hedging and active investment purposes throughout the period. The Fund also utilized government bond future contracts and plain vanilla interest rate swaps for duration hedging and active duration positioning. The implementation of such derivatives had a negligible impact on performance over the period; detracting-0.08% from Fund performance.
Emerging Market Bond Strategies
For the six months ended April 30, 2020, emerging markets fixed income securities experienced negative returns as the coronavirus shock on the global economy reverberated through risk assets. The breakup of OPEC+ and the Saudi decision to aggressively cut its oil selling price added to volatility. Yields on hard currency sovereign and corporate credit increased sharply, with high yield rated securities underperforming significantly relative to investment grade. EM currencies depreciated against the U.S. dollar, though local interest rate movements were more balanced given downward pressure on global growth and core rates. Policymakers launched a variety of initiatives to mitigate both the spread of coronavirus and alleviate the associated economic fallout.
ThePayden Emerging Markets Bond Fund, Investor Class (PYEMX)returned-11.53%, the Fund’sAdviser Class (PYEWX)returned-11.63%, and the Fund’s SI Class (PYEIX) returned-11.51% for the six month period ended April 30, 2020. The Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, returned-10.08% for the same period. WithinUSD-pay sovereigns, underweight positioning in Lebanon and Ecuador added, as did overweight exposure in Guatemala. Overweight exposure in Angola and underweight allocations to the Philippines, Peru, Poland, and Saudi Arabia underperformed and more than offset the gains. Among quasi-sovereigns, overweight exposure in Malaysia contributed positively, while underweight positioning in China and an overweight allocation to Mexico detracted.Off-benchmark allocations to corporates and local currency denominated debt benefitted relative performance. The emerging markets Funds invest 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 derivative instruments contributed 1.44% to the Fund’s total return.
ThePayden Emerging Markets Local Bond Investor Class (PYELX)returned-12.20% for the six month period ended April 30, 2020. The Fund’s benchmark, the J.P. MorganGBI-EM Global Diversified Index returned-9.91% for the same period. Relative to the benchmark, the Fund benefitted from overweight rates positioning in Russia and security selection in both Colombia and Hungary. Overweight rates positioning in Indonesia and Dominican Republic, underweight rates exposure in Thailand, and security selection in Mexico and Poland detracted. Overall, currency positioning detracted during the period. Underweight positions in the South African rand, Thai baht, and Turkish lira added. An overweight stance in the Brazilian real, Czech koruna, Indonesian rupiah, and Uruguayan peso detracted. The emerging markets Funds invest 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 derivative instruments detracted-0.87% from the Fund’s total return.
ThePayden Emerging Market Corporate Bond Fund, Investor Class (PYCEX)returned-5.98%, and the Fund’sSI Class (PYCIX)returned-5.92% for the six month period ended April 30, 2020. The Fund’s benchmark, the J.P. Morgan CEMBI Broad Diversified Index, returned-5.23% for the period. The Fund’s selection of emerging market corporates was the primary detractor, while anoff-index allocation toUSD-pay sovereign bonds and developed market corporates also underperformed.Off-index positions inUSD-pay quasi-sovereigns and local markets modestly benefitted relative performance. Within emerging market corporates, overweight exposure to the consumer goods sector in Israel added, as did avoiding troubled oil and gas credits in Argentina, industrials in South Africa, metals and mining in Ukraine, and oil and gas in Indonesia. An overweight to industrials in Brazil, transports in Colombia, and oil and gas in Chile detracted, as did underweight exposures to financials in Turkey, real estate in Hong Kong, and financials in South Korea. The emerging markets Funds invest 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 derivative instruments contributed 0.22% to the Fund’s total return.
4 Payden Mutual Funds
Equity Markets
The U.S. equity market was nothing short of eventful over the six months ended April 30, 2020, reachingall-time highs before falling into a bear market at the fastest rate in history. Early in the period, market participants focused on the low interest rate environment and progress in the U.S.-China trade deal, which drove stock prices to record highs. The upward momentum continued intomid-January, when concerns of theCOVID-19 virus spreading outside of China began to surface. The outbreak briefly stalled the market’s move higher, but equity prices rebounded quickly to set new record highs in February. As the reality of a global pandemic became more apparent and the Saudi Arabia-Russia impasse drove oil prices sharply lower, the market reacted negatively with the largestone-week selloff since the Great Financial Crisis, and abruptly ended the11-year equity bull market. Equities further collapsed in March, falling over-30% fromall-time highs as the global economy effectively shut down to stem the spread of the virus. Companies dramatically cut spending, suspended share buybacks and cut dividends, and implemented layoffs to preserve capital and remain solvent. However, unprecedented government and central bank intervention led to a sharp rebound in equities in April as market participants looked past weak economic data and the increase inCOVID-19 cases globally. The April rally was the strongest monthly performance since 1987, driven by the belief that a sharp economic recovery would be supported byrecord-low interest rates, massive government stimulus, low oil prices, and an anticipated slow-down inCOVID-19 related fatalities.
ThePayden Equity Income Fund (PYVLX)which is comprised oflarge-cap value stocks, returned-10.30% for the six months ended April 30, 2020, while the Fund’sAdvisor Class (PYVAX)returned-10.36% and the Fund’sSI Class (PYVSX)returned-10.26%. The Fund’s benchmark, the Russell 1000 Value Index, returned-13.68% for the same time period. The Fund outperformed its benchmark due to its strong security selection and sector allocation. The Fund benefited from its overweight to the information technology and health care sectors, and its underweight to the financial sector. Within individual stock selection, the strongest areas of stock selection were in REITs, as well as the consumer staple and consumer discretionary sectors, while the weakest area was in the financial sector. Strong individual performers in the Fund were software giant Microsoft and pharmaceutical developer Eli Lilly & Co.
Semi-Annual Report 5
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Portfolio Highlights & Investments | | |
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 Dollar offered rate
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Koruna
DKK – Danish Krone
EGP - Eqyptian Pound
EUR - Euro
EURIBOR - Euro Interbank Offered Rate
FDIC - Federal Deposit Insurance Corporation
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
HUF - Hungarian Forint
IDR - Indonesian Rupiah
JPY - Japanese Yen
KRW - South Korean Won
LIBOR - London Interbank Offered Rate
MXIBTILE - Mexican Interbank 28 day interest rate
MXN - Mexican Peso
MYR - Malaysian Ringgit
NCUA - National Credit Union Administration
NOK - Norwegian Krone
PEN - Peruvian Sol
PHP - Philippine Peso
PLN - Polish Zloty
RON - New Romanian Leu
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
USD - US Dollar
ZAR - South African Rand
6 Payden Mutual Funds
Payden Cash Reserves Money Market Fund
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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 | | | |
| | | |
| | U.S. Treasury | | | 45% | |
| | Repurchase Agreement | | | 34% | |
| | U.S. Government Agency | | | 16% | |
| | U.S. Government Guaranteed | | | 3% | |
| | Other | | | 2% | |
| | | | | | |
| | | | | | | | | | | |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
U.S. Government Agency (16%) | | | | |
3,000,000 | | FFCB Funding Corp., (1 mo. LIBOR USD + 0.075%), 0.51%, 3/29/21 (a) | | $ | 3,002 | |
300,000 | | FFCB Funding Corp., (1 mo. LIBOR USD + 0.000%), 0.79%, 7/16/21 (a) | | | 300 | |
2,000,000 | | FHLB, (U.S. Secured Overnight Financing Rate + 0.030%), 0.07%, 8/05/20 (a) | | | 2,000 | |
2,750,000 | | FHLB, (U.S. Secured Overnight Financing Rate + 0.030%), 0.07%, 9/04/20 (a) | | | 2,750 | |
5,000,000 | | FHLB, (U.S. Secured Overnight Financing Rate + 0.100%), 0.14%, 12/23/20 (a) | | | 5,000 | |
3,000,000 | | FHLB, (U.S. Secured Overnight Financing Rate + 0.120%), 0.16%, 10/07/20 (a) | | | 3,000 | |
5,000,000 | | FHLB, (1 mo. LIBOR USD + 0.010%), 0.32%, 5/03/21 (a) | | | 5,003 | |
5,000,000 | | FHLB, (1 mo. LIBOR USD + 0.010%), 0.97%, 4/05/21 (a) | | | 5,002 | |
6,300,000 | | FHLB Discount Note, 0.04%, 5/06/20 (b) | | | 6,300 | |
2,300,000 | | FHLB Discount Note, 0.10%, 6/01/20 (b) | | | 2,300 | |
2,900,000 | | FHLB Discount Note, 0.16%, 6/24/20 (b) | | | 2,899 | |
1,500,000 | | FHLMC, (U.S. Secured Overnight Financing Rate + 0.400%), 0.44%, 10/21/21 (a) | | | 1,500 | |
3,000,000 | | FNMA, (U.S. Secured Overnight Financing Rate + 0.075%), 0.12%, 10/30/20 (a) | | | 3,000 | |
15,000,000 | | U.S. Cash Management Bill, 0.15%, 9/08/20 (b) | | | 14,992 | |
Total U.S. Government Agency (Cost - $57,048) | | | 57,048 | |
| |
Mortgage Backed (0%) | | | | |
569,462 | | Freddie Mac Multifamily Structured Pass Through Certificates, 2.13%, 1/25/21 (Cost - $571) | | | 571 | |
| |
NCUA Guaranteed (3%) | | | | |
4,556,400 | | NCUA Guaranteed Notes Trust2010-R1, 1A, (1 mo. LIBOR USD + 0.450%), 1.43%, 10/07/20 (a) | | | 4,557 | |
4,537,598 | | NCUA Guaranteed Notes Trust2011-C1, 2A, (1 mo. LIBOR USD + 0.530%), 1.51%, 3/09/21 (a) | | | 4,540 | |
Total NCUA Guaranteed (Cost - $9,097) | | | 9,097 | |
| |
U.S. Treasury (46%) | | | | |
15,000,000 | | U.S. Treasury Bill, 0.07%, 5/05/20 (b) | | | 15,000 | |
15,000,000 | | U.S. Treasury Bill, 0.10%, 6/02/20 (b) | | | 14,999 | |
15,000,000 | | U.S. Treasury Bill, 0.12%, 7/09/20 (b) | | | 14,997 | |
15,000,000 | | U.S. Treasury Bill, 0.13%, 5/12/20 (b) | | | 14,999 | |
5,000,000 | | U.S. Treasury Bill, 0.17%, 3/25/21 (b) | | | 4,992 | |
5,000,000 | | U.S. Treasury Bill, 1.50%, 8/20/20 (b) | | | 4,977 | |
5,000,000 | | U.S. Treasury Bill, 1.52%, 7/30/20 (b) | | | 4,981 | |
10,000,000 | | U.S. Treasury Bill, 1.55%, 10/08/20 (b) | | | 9,932 | |
3,000,000 | | U.S. Treasury Bill, 1.77%, 8/13/20 (b) | | | 2,985 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
12,500,000 | | U.S. Treasury Bill, 2.00%, 6/18/20 (b) | | $ | 12,467 | |
10,000,000 | | U.S. Treasury Bill, 2.03%, 5/21/20 (b) | | | 9,989 | |
10,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.043%), 0.16%, 7/31/20 (a)(b) | | | 9,997 | |
10,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.045%), 0.17%, 10/31/20 (a)(b) | | | 9,997 | |
10,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.115%), 0.24%, 1/31/21 (a)(b) | | | 10,000 | |
5,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.139%), 0.26%, 4/30/21 (a)(b) | | | 5,003 | |
5,000,000 | | U.S. Treasury Note, 2.00%, 1/15/21 (b) | | | 5,017 | |
7,500,000 | | U.S. Treasury Note, 2.38%, 3/15/21 (b) | | | 7,615 | |
Total U.S. Treasury (Cost - $157,947) | | | 157,947 | |
| |
Investment Company (2%) | | | | |
6,540,120 | | Dreyfus Treasury Obligations Cash Management Fund
(Cost - $6,540) | | | 6,540 | |
| |
Repurchase Agreement (34%) | | | | |
27,000,000 | | Bank of Montreal Tri Party, 0.02% 5/01/20 (c) | | | 27,000 | |
30,000,000 | | CIBC World Markets Tri Party, 0.04% 5/06/20 (d) | | | 30,000 | |
30,000,000 | | Citigroup Tri Party, 0.03% 5/07/20 (e) | | | 30,000 | |
30,000,000 | | Goldman Sachs Tri Party, 0.02% 5/05/20 (f) | | | 30,000 | |
Total Repurchase Agreement (Cost - $117,000) | | | 117,000 | |
| |
Total Investments (Cost - $348,203) (101%) | | | 348,203 | |
Assets in excess of Other Liabilities(-1%) | | | (5,032) | |
Net Assets (100%) | | $ | 343,171 | |
| | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (b) | Yield to maturity at time of purchase. |
| (c) | The repurchase agreement dated 04/30/2020 is collateralized by the following securities: |
| | | | | | |
| Bank of Montreal Tri Party | | | |
4,013 | | FMAC, maturity from Apr38-Aug 44, yielding from3.63%-4.64% | | $ | — | |
26,374,851 | | FNMA, maturity from Dec26-Apr 50, yielding from2.50%-3.50% | | | 27,540 | |
| | | | | | |
| | | | $ | 27,540 | |
| | | | | | |
|
(d) The repurchase agreement dated 04/29/2020 is collateralized by the following securities: | |
| |
| CIBC World Markets Tri Party | | | | |
28,855,900 | | U.S. Treasury Securities, maturity from Jan23-Feb 48, yielding from0.13%-3.13% | | $ | 30,600 | |
| | | | | | |
Semi-Annual Report 7
Payden Cash Reserves Money Market Fundcontinued
| (e) | The repurchase agreement dated 04/30/2020 is collateralized by the following securities: |
| | | | | | | | |
| | Citigroup Tri Party | | | | |
| | 20,488,700 | | | U.S. Treasury Securities, maturity from Nov42-Feb 46, yielding from0.63%-3.63% | | $ | 30,600 | |
| | | | | | | | |
| (f) | The repurchase agreement dated 04/28/2020 is collateralized by the following securities: |
| | | | | | | | |
| |
| | Goldman Sachs Tri Party | | | | |
| | 264,484,049 | | | FMAC, maturity from May20-Mar 50, yielding from3.00%-10.00% | | $ | 20,348 | |
| | 427,093,874 | | | FNMA, maturity from May20-Jul 48, yielding from2.50%-10.00% | | | 9,825 | |
| | 29,859,115 | | | GNMA, maturity from Sep25-May 47, yielding from2.50%-8.50% | | | 427 | |
| | | | | | | | |
| | | | | | $ | 30,600 | |
| | | | | | | | |
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 Agreements | | Value
(000’s) | |
| |
| Total gross amount of repurchase agreements presented on the Statements of Assets and Liabilities | | | $117,000 | |
Non-cash Collateral | | | (57,000) | |
| | | | |
Net Amount | | | $60,000 | |
| | | | |
See notes to financial statements.
8 Payden Mutual Funds
Payden Limited Maturity Fund
| | | | | | | | | | |
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 | | | 40% | |
| | Asset Backed | | | 29% | |
| | U.S. Treasury | | | 13% | |
| | Mortgage Backed | | | 11% | |
| | Other | | | 7% | |
| | | | | | |
| | | | | | | | | | | |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| Asset Backed (29%) | | | | |
| 4,199,439 | | AEP Texas Restoration Funding LLC,
2.06%, 2/01/27 | | $ | 4,276 | |
| 2,531,427 | | Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%), 2.63%, 7/25/27 (a)(b) | | | 2,491 | |
| 1,348,737 | | Ally Auto Receivables Trust2019-1,
2.85%, 3/15/22 | | | 1,354 | |
| 12,354,000 | | Americredit Automobile Receivables Trust2018-3, 3.38%, 7/18/23 | | | 12,542 | |
| 6,670,000 | | AmeriCredit Automobile Receivables Trust2020-1, 1.10%, 3/20/23 | | | 6,639 | |
| 1,000,000 | | Arbor Realty Commercial Real Estate Notes2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.96%, 5/15/37 (a)(b) | | | 935 | |
| 2,345,207 | | Ascentium Equipment Receivables2019-1 144A, 2.84%, 6/10/22 (b) | | | 2,361 | |
| 2,240,000 | | Bank of The West Auto Trust2019-1 144A, 2.43%, 4/15/24 (b) | | | 2,259 | |
| 1,800,000 | | Bank of The West Auto Trust2019-1 144A, 2.51%, 10/15/24 (b) | | | 1,819 | |
| 3,625,135 | | Barings BDC Static CLO Ltd.2019-1 144A, (3 mo. LIBOR USD + 1.020%), 2.24%, 4/15/27 (a)(b) | | | 3,555 | |
| 4,302,130 | | Barings CLO Ltd.2013-I 144A, (3 mo. LIBOR USD + 0.800%), 1.94%, 1/20/28 (a)(b) | | | 4,255 | |
| 1,610,000 | | BDS2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.87%, 2/16/37 (a)(b) | | | 1,490 | |
| 1,987,077 | | BlueMountain CLO2015-2 Ltd. 144A, (3 mo. LIBOR USD + 0.930%), 2.07%, 7/18/27 (a)(b) | | | 1,930 | |
| 3,960,020 | | BMW Canada Auto Trust 144A, 1.96%, 9/20/22 CAD (b)(c) | | | 2,850 | |
| 1,812,385 | | BMW Canada Auto Trust 144A, 2.15%, 10/20/21 CAD (b)(c) | | | 1,304 | |
| 5,250,000 | | Bristol Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.990%), 2.21%, 4/15/29 (a)(b) | | | 5,133 | |
| 3,760,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 9/15/35 (a)(b) | | | 3,442 | |
| 4,740,000 | | Canadian Pacer Auto Receivables Trust2020-1 144A, 1.77%, 11/21/22 (b) | | | 4,743 | |
| 3,000,000 | | CLNC2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.250%), 1.97%, 8/20/35 (a)(b) | | | 2,685 | |
| 1,410,890 | | CNH Capital Canada Receivables Trust 144A, 2.10%, 2/15/22 CAD (b)(c) | | | 1,014 | |
| 247,816 | | CNH Equipment Trust2017-A, 2.07%, 5/16/22 | | | 249 | |
| 261,058 | | CNH Equipment Trust2018-B, 2.93%, 12/15/21 | | | 261 | |
| 1,709,041 | | CNH Equipment Trust2019-A, 2.96%, 5/16/22 | | | 1,718 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
| 911,060 | | Commonbond Student Loan Trust2017-A-GS 144A, (1 mo. LIBOR USD + 0.850%), 1.34%, 5/25/41 (a)(b) | | $ | 900 | |
| 2,160,000 | | Dell Equipment Finance Trust2020-1 144A,
1.98%, 5/21/21 (b) | | | 2,161 | |
| 2,073,804 | | Drive Auto Receivables Trust2017-1, 3.84%, 3/15/23 | | | 2,098 | |
| 1,920,000 | | Drive Auto Receivables Trust2020-1, 1.99%, 12/15/22 | | | 1,923 | |
| 296,349 | | Enterprise Fleet Financing2017-2 LLC 144A,
1.97%, 1/20/23 (b) | | | 296 | |
| 5,675,896 | | Enterprise Fleet Financing2018-2 LLC 144A,
3.14%, 2/20/24 (b) | | | 5,697 | |
| 376,074 | | Enterprise Fleet Financing2019-2 LLC 144A,
2.27%, 8/20/20 (b) | | | 376 | |
| 2,200,000 | | Enterprise Fleet Financing2020-1 LLC 144A,
1.78%, 12/22/25 (b) | | | 2,210 | |
| 2,982,758 | | Ford Auto Securitization Trust 144A, 2.10%, 9/15/21 CAD (b)(c) | | | 2,144 | |
| 207,283 | | Ford Auto Securitization Trust 144A, 2.20%, 3/15/21 CAD (b)(c) | | | 149 | |
| 1,820,000 | | Ford Credit Auto Lease Trust2020-A, 1.80%, 7/15/22 | | | 1,828 | |
| 1,944,685 | | Ford Credit Auto Owner Trust2019-A, 2.78%, 2/15/22 | | | 1,956 | |
| 1,237,007 | | Foursight Capital Automobile Receivables Trust2020-1 144A, 1.81%, 2/16/21 (b) | | | 1,237 | |
| 1,890,000 | | Foursight Capital Automobile Receivables Trust2020-1 144A, 1.97%, 9/15/23 (b) | | | 1,886 | |
| 3,180,822 | | Galaxy XXIX CLO Ltd. 144A, (3 mo. LIBOR USD + 0.790%), 2.48%, 11/15/26 (a)(b) | | | 3,122 | |
| 736,817 | | GM Financial Automobile Leasing Trust2018-1, 2.61%, 1/20/21 | | | 738 | |
| 2,086,134 | | GM Financial Automobile Leasing Trust2018-3, 3.18%, 6/21/21 | | | 2,097 | |
| 317,453 | | GMF Canada Leasing Trust 144A, 2.15%, 3/22/21 CAD (b)(c) | | | 228 | |
| 2,381,365 | | Great American Auto Leasing Inc.2019-1 144A, 2.97%, 6/15/21 (b) | | | 2,387 | |
| 2,832,577 | | Great America Leasing Receivables Funding LLC Series2020-1 144A, 1.69%, 2/15/21 (b) | | | 2,831 | |
| 4,230,000 | | Greystone CRE Notes2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.180%), 1.99%, 9/15/37 (a)(b) | | | 3,885 | |
| 2,065,000 | | HPEFS Equipment Trust2019-1 144A,
2.19%, 9/20/29 (b) | | | 2,069 | |
Semi-Annual Report 9
Payden Limited Maturity Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
| | | | | | |
3,410,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.85%, 6/15/36 (a)(b) | | $ | 3,289 | |
5,575,000 | | LCM XX LP 144A, (3 mo. LIBOR USD + 1.040%), 2.18%, 10/20/27 (a)(b) | | | 5,502 | |
2,240,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 0.950%),
2.09%, 4/19/30 (a)(b) | | | 2,192 | |
6,800,000 | | Magnetite VII Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 2.02%, 1/15/28 (a)(b) | | | 6,649 | |
4,000,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%),
1.96%, 6/15/28 (a)(b) | | | 3,732 | |
1,484,022 | | Mercedes-Benz Auto Lease Trust2019-A, 3.01%, 2/16/21 | | | 1,485 | |
4,350,000 | | Mercedes-Benz Auto Lease Trust2020-A, 1.82%, 3/15/22 | | | 4,363 | |
2,565,793 | | MMAF Equipment Finance LLC2019-A 144A, 2.84%, 1/10/22 (b) | | | 2,574 | |
3,994,019 | | Navient Private Education Refi Loan Trust2020-B 144A, 1.80%, 1/15/69 (b) | | | 3,997 | |
7,119,681 | | Navient Student Loan Trust2019-7 144A, (1 mo. LIBOR USD + 0.500%),
0.99%, 1/25/68 (a)(b) | | | 6,987 | |
4,360,000 | | Nissan Auto Lease Trust2019-B,
2.27%, 7/15/22 | | | 4,394 | |
8,700,000 | | Nissan Auto Lease Trust2020-A,
1.80%, 5/16/22 | | | 8,753 | |
1,287,221 | | Nissan Auto Receivables2019-A Owner Trust, 2.82%, 1/18/22 | | | 1,294 | |
1,853,646 | | NP SPE II LLC 144A, 2.86%, 11/19/49 (b) | | | 1,873 | |
815,000 | | Octagon Investment Partners XXIII Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 2.07%, 7/15/27 (a)(b) | | | 802 | |
4,990,000 | | Palmer Square Loan Funding2020-1 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 2.48%, 2/20/28 (a)(b) | | | 4,837 | |
1,719,661 | | Prestige Auto Receivables Trust2019-1 144A, 2.44%, 7/15/22 (b) | | | 1,725 | |
750,000 | | Santander Drive Auto Receivables Trust2017-3, 3.20%, 11/15/23 | | | 747 | |
8,400,000 | | Santander Drive Auto Receivables Trust2019-2, 2.59%, 5/15/23 | | | 8,413 | |
4,032,966 | | Santander Retail Auto Lease Trust2019-B 144A, 2.29%, 4/20/22 (b) | | | 4,036 | |
959,612 | | Silver Arrow Canada LP 144A, 2.13%, 3/15/21 CAD (b)(c) | | | 690 | |
3,725,214 | | SMB Private Education Loan Trust2020-A 144A, (1 mo. LIBOR USD + 0.300%), 1.11%, 3/15/27 (a)(b) | | | 3,685 | |
1,176,040 | | SoFi Consumer Loan Program2020-1 Trust 144A, 2.02%, 1/25/29 (b) | | | 1,147 | |
1,198,387 | | SoFi Professional Loan Program2019-C LLC 144A, 2.13%, 11/16/48 (b) | | | 1,201 | |
1,945,968 | | SoFi Professional Loan Program2020-A Trust 144A, 2.06%, 5/15/46 (b) | | | 1,944 | |
3,370,000 | | STWD2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%),
1.89%, 7/15/38 (a)(b) | | | 3,175 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
| | | | | | |
2,740,000 | | Synchrony Card Funding LLC,
2.34%, 6/15/25 | | $ | 2,746 | |
1,318,937 | | Towd Point Mortgage Trust2017-5 144A, (1 mo. LIBOR USD + 0.600%),
1.09%, 2/25/57 (a)(b) | | | 1,292 | |
4,310,000 | | Trillium Credit Card Trust II 144A, (1 mo. LIBOR USD + 0.370%),
0.86%, 12/26/24 (a)(b) | | | 4,136 | |
4,040,000 | | TRTX2019-FL3 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.450%),
2.20%, 9/15/34 (a)(b) | | | 3,527 | |
3,330,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%), 2.11%, 4/15/29 (a)(b) | | | 3,242 | |
432,033 | | Volkswagen Auto Loan Enhanced Trust2018-1, 2.81%, 7/20/21 | | | 433 | |
2,268,762 | | Volvo Financial Equipment LLC Series2019-1 144A, 2.90%, 11/15/21 (b) | | | 2,278 | |
2,000,000 | | Volvo Financial Equipment LLC Series2019-1 144A, 3.00%, 3/15/23 (b) | | | 2,028 | |
4,565,000 | | Westlake Automobile Receivables Trust2017-2 144A, 3.28%, 12/15/22 (b) | | | 4,616 | |
840,000 | | Westlake Automobile Receivables Trust2018-1 144A, 3.41%, 5/15/23 (b) | | | 840 | |
2,944,436 | | Westlake Automobile Receivables Trust2019-1 144A, 3.06%, 5/16/22 (b) | | | 2,955 | |
6,484,686 | | Wheels SPV 2 LLC 144A,
2.30%, 5/22/28 (b) | | | 6,478 | |
811,437 | | World Omni Auto Receivables Trust2019-A, 3.02%, 4/15/22 | | | 816 | |
10,580,000 | | World Omni Auto Receivables Trust2019-B, 2.59%, 7/15/24 | | | 10,810 | |
4,740,000 | | World Omni Auto Receivables Trust2020-A, 1.02%, 6/15/23 | | | 4,747 | |
934,296 | | World Omni Automobile Lease Securitization Trust2018-B, 2.96%, 6/15/21 | | | 936 | |
Total Asset Backed (Cost - $256,235) | | | 252,889 | |
| |
Commercial Paper (d) (4%) | | | | |
5,000,000 | | Airbus Group Finance BV, 1.23%, 5/22/20 | | | 5,000 | |
5,000,000 | | American Honda Finance Corp.,
2.00%, 5/19/20 | | | 4,997 | |
8,000,000 | | General Dynamics Corp., 1.81%, 7/21/20 | | | 7,977 | |
4,000,000 | | Province of British Columbia, 0.20%, 5/06/20 | | | 4,000 | |
5,375,000 | | Verizon Communications, 1.86%, 6/18/20 | | | 5,365 | |
5,000,000 | | Walt Disney Co., 1.76%, 8/19/20 | | | 4,983 | |
Total Commercial Paper (Cost - $32,294) | | | 32,322 | |
| |
Corporate Bond (40%) | | | | |
Financial (27%) | | | | |
3,660,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.95%, 2/01/22 | | | 3,429 | |
2,500,000 | | AIG Global Funding 144A,
1.90%, 10/06/21 (b) | | | 2,520 | |
870,000 | | AIG Global Funding 144A, 2.30%, 7/01/22 (b) | | | 886 | |
475,000 | | Air Lease Corp., 3.88%, 4/01/21 | | | 463 | |
3,000,000 | | Ameriprise Financial Inc., 3.00%, 3/22/22 | | | 3,100 | |
3,750,000 | | ANZ New Zealand Int’l Ltd. 144A,
2.88%, 1/25/22 (b) | | | 3,834 | |
6,000,000 | | Asian Development Bank, 1.63%, 5/05/20 | | | 6,000 | |
383,000 | | Assurant Inc., (3 mo. LIBOR USD + 1.250%), 2.48%, 3/26/21 (a) | | | 382 | |
3,330,000 | | Australia & New Zealand Banking Group Ltd. 144A, (3 mo. LIBOR USD + 0.320%), 2.05%, 11/09/20 (a)(b) | | | 3,325 | |
10 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
| | | | | | |
2,930,000 | | AvalonBay Communities Inc., (3 mo. LIBOR USD + 0.430%), 1.65%, 1/15/21 (a) | | $ | 2,895 | |
1,655,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (b) | | | 1,611 | |
1,665,000 | | Banco del Estado de Chile 144A,
2.67%, 1/08/21 (b) | | | 1,677 | |
3,048,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.660%), 1.77%, 7/21/21 (a) | | | 3,040 | |
1,530,000 | | Bank of Montreal, (3 mo. LIBOR USD + 0.790%), 2.43%, 8/27/21 (a) | | | 1,531 | |
3,900,000 | | Barclays Bank PLC, (3 mo. LIBOR USD + 0.450%), 1.67%, 10/15/20 (a) | | | 3,902 | |
3,565,000 | | Barclays Bank PLC, (3 mo. LIBOR USD + 0.460%), 1.77%, 1/11/21 (a) | | | 3,558 | |
4,000,000 | | BBVA USA, 3.50%, 6/11/21 | | | 4,035 | |
3,315,000 | | BNZ International Funding Ltd. 144A, 2.10%, 9/14/21 (b) | | | 3,355 | |
2,265,000 | | Canadian Imperial Bank of Commerce, (U.S. Secured Overnight Financing Rate + 0.800%), 0.84%, 3/17/23 (a) | | | 2,185 | |
2,065,000 | | Capital One Financial Corp., (3 mo. LIBOR USD + 0.950%), 1.95%, 3/09/22 (a) | | | 2,030 | |
5,000,000 | | Capital One Financial Corp., 3.05%, 3/09/22 | | | 5,081 | |
1,965,000 | | CIT Group Inc., 5.00%, 8/15/22 | | | 1,948 | |
2,240,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.867%), 2.31%, 11/04/22 (a) | | | 2,261 | |
4,300,000 | | Citigroup Inc., 2.90%, 12/08/21 | | | 4,389 | |
3,760,000 | | Credit Agricole Corporate & Investment Bank SA, (3 mo. LIBOR USD + 0.625%),
2.06%, 10/03/21 (a) | | | 3,720 | |
5,005,000 | | Credit Suisse AG, (U.S. Secured Overnight Financing Rate + 0.450%), 0.49%, 2/04/22 (a) | | | 4,868 | |
2,765,000 | | Credit Suisse AG, 2.10%, 11/12/21 | | | 2,796 | |
1,135,000 | | Credit Suisse AG, 2.80%, 4/08/22 | | | 1,162 | |
750,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.45%, 4/16/21 | | | 762 | |
3,995,000 | | Crown Castle International Corp., 2.25%, 9/01/21 | | | 4,037 | |
1,900,000 | | DBS Group Holdings Ltd. 144A, (3 mo. LIBOR USD + 0.490%), 1.49%, 6/08/20 (a)(b) | | | 1,900 | |
3,080,000 | | Deutsche Bank AG, (3 mo. LIBOR USD + 0.815%), 1.91%, 1/22/21 (a) | | | 3,008 | |
2,585,000 | | DNB Bank ASA 144A, (3 mo. LIBOR USD + 0.370%), 1.82%, 10/02/20 (a)(b) | | | 2,587 | |
1,591,000 | | European Investment Bank, 1.63%, 8/14/20 | | | 1,596 | |
1,325,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 1.170%), 2.86%, 11/15/21 (a) | | | 1,323 | |
4,300,000 | | Goldman Sachs Group Inc., 5.75%, 1/24/22 | | | 4,606 | |
4,000,000 | | Huntington Bancshares Inc., 2.30%, 1/14/22 | | | 4,060 | |
770,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 2/01/22 | | | 781 | |
1,895,000 | | Industrial & Commercial Bank of China Ltd., (3 mo. LIBOR USD + 0.750%), 2.48%, 11/08/20 (a) | | | 1,893 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
| | | | | | |
2,050,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b) | | $ | 1,983 | |
3,710,000 | | Jackson National Life Global Funding 144A, (U.S. Secured Overnight Financing Rate + 0.600%), 0.63%, 1/06/23 (a)(b) | | | 3,562 | |
3,290,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 2.63%, 11/28/23 (a)(b) | | | 3,226 | |
955,000 | | Mitsubishi UFJ Financial Group Inc., (3 mo. LIBOR USD + 0.700%), 1.70%, 3/07/22 (a) | | | 941 | |
4,000,000 | | Mitsubishi UFJ Financial Group Inc., 3.54%, 7/26/21 | | | 4,102 | |
6,700,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.940%), 2.55%, 2/28/22 (a) | | | 6,642 | |
5,000,000 | | Mizuho Securities USA LLC, (1 mo. LIBOR USD + 0.280%), 1.11%, 2/16/21 (a) | | | 4,993 | |
2,700,000 | | Moody’s Corp., 2.75%, 12/15/21 | | | 2,754 | |
3,910,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.700%), 0.74%, 1/20/23 (a) | | | 3,778 | |
4,000,000 | | Morgan Stanley, 2.63%, 11/17/21 | | | 4,066 | |
5,000,000 | | National Australia Bank Ltd. 144A, (3 mo. LIBOR USD + 0.410%), 1.18%, 12/13/22 (a)(b) | | | 4,919 | |
3,000,000 | | National Bank of Canada, 2.20%, 11/02/20 | | | 3,019 | |
5,025,000 | | New York Life Global Funding 144A, (3 mo. LIBOR USD + 0.280%), 2.01%, 1/10/23 (a)(b) | | | 4,915 | |
1,700,000 | | PayPal Holdings Inc., 2.20%, 9/26/22 | | | 1,732 | |
4,080,000 | | PNC Bank NA, (3 mo. LIBOR USD + 0.430%), 1.43%, 12/09/22 (a) | | | 4,001 | |
2,805,000 | | PNC Bank NA, (3 mo. LIBOR USD + 0.350%), 1.74%, 2/24/23 (a) | | | 2,827 | |
3,780,000 | | PNC Bank NA, (3 mo. LIBOR USD + 0.325%), 2.00%, 2/24/23 (a) | | | 3,688 | |
1,515,000 | | Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (b) | | | 1,539 | |
3,145,000 | | Royal Bank of Scotland Group PLC,(3mo. LIBOR USD + 1.470%), 3.16%, 5/15/23 (a) | | | 3,044 | |
2,300,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 2,331 | |
3,350,000 | | Santander UK PLC, (3 mo. LIBOR USD + 0.300%), 0.86%, 11/03/20 (a) | | | 3,341 | |
2,325,000 | | Santander UK PLC, 2.10%, 1/13/23 | | | 2,343 | |
2,500,000 | | SL Green Operating Partnership LP,(3mo. LIBOR USD + 0.980%), 2.67%, 8/16/21 (a) | | | 2,413 | |
241,000 | | SLM Corp., 5.13%, 4/05/22 | | | 222 | |
690,000 | | Starwood Property Trust Inc., 3.63%, 2/01/21 | | | 654 | |
690,000 | | State Street Corp. 144A, (U.S. Secured Overnight Financing Rate + 2.690%), 2.83%, 3/30/23 (a)(b) | | | 710 | |
950,000 | | Sterling Bancorp, 3.50%, 6/08/20 | | | 949 | |
4,060,000 | | Sumitomo Mitsui Banking Corp., (3 mo. LIBOR USD + 0.370%), 1.55%, 10/16/20 (a) | | | 4,059 | |
1,700,000 | | Svensk Exportkredit AB, 1.75%, 5/18/20 | | | 1,701 | |
1,000,000 | | Svensk Exportkredit AB, 2.75%, 10/07/20 | | | 1,010 | |
5,000,000 | | Swedbank Hypotek AB, 2.00%, 5/12/20 (e) | | | 5,000 | |
1,940,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 1,889 | |
2,064,000 | | Synchrony Financial, 3.75%, 8/15/21 | | | 2,071 | |
910,000 | | Synovus Bank, (U.S. Secured Overnight Financing Rate + 0.945%), 2.29%, 2/10/23 (a) | | | 900 | |
Semi-Annual Report 11
Payden Limited Maturity Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,575,000 | | Truist Bank, (U.S. Secured Overnight Financing Rate + 0.730%), 0.90%, 3/09/23 (a) | | $ | 1,521 | |
2,000,000 | | Truist Financial Corp., 3.05%, 6/20/22 | | | 2,068 | |
2,725,000 | | UBS AG 144A, 1.75%, 4/21/22 (b) | | | 2,737 | |
2,110,000 | | UBS AG 144A, (3 mo. LIBOR USD + 0.480%),
2.06%, 12/01/20 (a)(b) | | | 2,109 | |
5,375,000 | | Wells Fargo & Co., (3 mo. LIBOR USD + 0.930%), 2.66%, 2/11/22 (a) | | | 5,340 | |
3,750,000 | | Wells Fargo Bank NA, (3 mo. LIBOR USD + 0.510%), 1.61%, 10/22/21 (a) | | | 3,728 | |
4,000,000 | | Wells Fargo Bank NA, 3.63%, 10/22/21 | | | 4,136 | |
3,370,000 | | Westpac Banking Corp., (3 mo. LIBOR USD + 0.390%), 1.70%, 1/13/23 (a) | | | 3,324 | |
2,565,000 | | Westpac Banking Corp., 2.80%, 1/11/22 | | | 2,629 | |
613,000 | | Zions Bancorp NA, 3.35%, 3/04/22 | | | 614 | |
| | | | | | |
| | | | | 230,066 | |
| | | | | | |
Industrial (10%) | | | | |
3,735,000 | | AbbVie Inc. 144A, 2.15%, 11/19/21 (b) | | | 3,785 | |
1,810,000 | | AbbVie Inc. 144A, (3 mo. LIBOR USD + 0.460%), 2.15%, 11/19/21 (a)(b) | | | 1,796 | |
1,000,000 | | AbbVie Inc., 2.30%, 5/14/21 | | | 1,011 | |
1,065,000 | | Aviation Capital Group LLC 144A, (3 mo. LIBOR USD + 0.670%), 1.43%, 7/30/21 (a)(b) | | | 977 | |
3,620,000 | | Aviation Capital Group LLC 144A, (3 mo. LIBOR USD + 0.950%), 2.53%, 6/01/21 (a)(b) | | | 3,355 | |
3,080,000 | | BAT Capital Corp., (3 mo. LIBOR USD + 0.590%), 2.29%, 8/14/20 (a) | | | 3,068 | |
1,515,000 | | Becton Dickinson and Co., (3 mo. LIBOR USD + 0.875%), 2.25%, 12/29/20 (a) | | | 1,504 | |
970,000 | | Carrier Global Corp. 144A, 1.92%, 2/15/23 (b) | | | 977 | |
2,435,000 | | Cigna Corp., (3 mo. LIBOR USD + 0.650%),
1.49%, 9/17/21 (a) | | | 2,394 | |
3,545,000 | | Conagra Brands Inc., (3 mo. LIBOR USD + 0.500%), 1.82%, 10/09/20 (a) | | | 3,526 | |
132,000 | | Dell International LLC/EMC Corp. 144A,
5.88%,6/15/21 (b) | | | 132 | |
2,430,000 | | Delta Air Lines Inc., 2.60%, 12/04/20 | | | 2,330 | |
3,745,000 | | Express Scripts Holding Co., (3 mo. LIBOR USD + 0.750%), 2.33%, 11/30/20 (a) | | | 3,712 | |
1,150,000 | | Fidelity National Information Services Inc., (3 mo. EURIBOR + 0.400%), 0.81%, 5/21/21
EUR (a)(c)(d) | | | 1,250 | |
1,445,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 0.790%), 1.57%, 6/12/20 (a) | | | 1,441 | |
890,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.270%), 2.64%, 3/28/22 (a) | | | 787 | |
1,460,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 1,323 | |
5,000,000 | | Fox Corp., 3.67%, 1/25/22 | | | 5,185 | |
1,235,000 | | General Motors Co., (3 mo. LIBOR USD + 0.800%), 2.54%, 8/07/20 (a) | | | 1,226 | |
1,700,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 0.540%), 2.28%, 11/06/20 (a) | | | 1,671 | |
2,014,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.310%), 2.68%, 6/30/22 (a) | | | 1,829 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,275,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%), 2.86%, 1/14/22 (a) | | $ | 1,188 | |
1,860,000 | | Hewlett Packard Enterprise Co., (3 mo. LIBOR USD + 0.720%), 2.09%, 10/05/21 (a) | | | 1,829 | |
1,745,000 | | Lennar Corp., 2.95%, 11/29/20 | | | 1,751 | |
840,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 847 | |
1,010,000 | | Marriott International Inc., (3 mo. LIBOR USD +0.650%), 1.65%, 3/08/21 (a) | | | 980 | |
1,470,000 | | Marriott International Inc., 2.13%, 10/03/22 | | | 1,388 | |
3,500,000 | | Nissan Motor Acceptance Corp. 144A, (3 mo. LIBOR USD + 0.520%), 1.26%, 3/15/21 (a)(b) | | | 3,331 | |
2,500,000 | | Nissan Motor Acceptance Corp. 144A, (3 mo. LIBOR USD + 0.390%), 1.70%, 7/13/20 (a)(b) | | | 2,477 | |
1,985,000 | | Nissan Motor Acceptance Corp. 144A, (3 mo. LIBOR USD + 0.390%), 1.76%, 9/28/20 (a)(b) | | | 1,942 | |
4,025,000 | | Otis Worldwide Corp. 144A, (3 mo. LIBOR USD + 0.450%), 2.09%, 4/05/23 (a)(b) | | | 3,919 | |
3,400,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.38%, 2/01/22 (b) | | | 3,455 | |
1,270,000 | | Ryder System Inc., 2.80%, 3/01/22 | | | 1,262 | |
1,039,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 1,038 | |
960,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (b) | | | 945 | |
3,500,000 | | Spirit Aero Systems Inc., (3 mo. LIBOR USD + 0.800%), 1.54%, 6/15/21 (a) | | | 3,292 | |
307,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A,
3.36%, 9/20/21 (b) | | | 309 | |
1,700,000 | | Takeda Pharmaceutical Co. Ltd. 144A, (3 mo. EURIBOR + 0.550%), 0.15%, 11/21/20 EUR (a)(b)(c) | | | 1,862 | |
465,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 469 | |
535,000 | | Tyson Foods Inc., (3 mo. LIBOR USD + 0.550%), 2.13%, 6/02/20 (a) | | | 535 | |
2,200,000 | | Tyson Foods Inc., (3 mo. LIBOR USD + 0.450%), 2.15%, 8/21/20 (a) | | | 2,198 | |
1,598,000 | | Viterra Inc. 144A, 5.95%, 8/01/20 (b) | | | 1,610 | |
995,000 | | Volkswagen Group of America Finance LLC 144A,
2.50%, 9/24/21 (b) | | | 993 | |
2,065,000 | | Volkswagen Group of America Finance LLC 144A,
3.88, 11/13/20 (b) | | | 2,068 | |
1,400,000 | | Volkswagen Leasing GmbH, 0.75%, 8/11/20
EUR (c)(e) | | | 1,532 | |
1,283,000 | | Vulcan Materials Co., (3 mo. LIBOR USD + 0.600%), 1.34%, 6/15/20 (a) | | | 1,281 | |
3,500,000 | | Vulcan Materials Co., (3 mo. LIBOR USD + 0.650%), 2.23%, 3/01/21 (a) | | | 3,447 | |
| | | | | | |
| | | | | 89,227 | |
| | | | | | |
Utility (3%) | | | | |
2,010,000 | | AES Corp., 4.00%, 3/15/21 | | | 2,021 | |
4,044,000 | | CenterPoint Energy Inc., 3.60%, 11/01/21 | | | 4,166 | |
675,000 | | Dominion Energy Inc., 2.58%, 7/01/20 | | | 675 | |
2,000,000 | | Dominion Energy Inc., 2.72%, 8/15/21 | | | 2,019 | |
980,000 | | DTE Energy Co., 2.60%, 6/15/22 | | | 994 | |
3,000,000 | | Evergy Inc., 4.85%, 6/01/21 | | | 3,079 | |
1,325,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 2.50%, 1/15/23 (a) | | | 1,210 | |
12 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,465,000 | | MPLX LP, (3 mo. LIBOR USD + 0.900%),
1.90%, 9/09/21 (a) | | $ | 1,379 | |
884,000 | | Occidental Petroleum Corp., 2.60%, 8/13/21 | | | 831 | |
790,000 | | Occidental Petroleum Corp., 2.70%, 8/15/22 | | | 691 | |
1,335,000 | | Ovintiv Inc., 3.90%, 11/15/21 | | | 1,213 | |
1,035,000 | | Phillips 66, (3 mo. LIBOR USD+0.600%),
2.25%, 2/26/21 (a) | | | 1,015 | |
910,000 | | QEP Resources Inc., 6.88%, 3/01/21 | | | 443 | |
3,990,000 | | Sempra Energy, (3 mo. LIBOR USD + 0.450%), 1.19%, 3/15/21 (a) | | | 3,927 | |
1,400,000 | | Sempra Energy, (3 mo. LIBOR USD + 0.500%), 1.72%, 1/15/21 (a) | | | 1,386 | |
1,737,000 | | Sunoco Logistics Partners Operations LP,
4.40%, 4/01/21 | | | 1,733 | |
| | | | | | |
| | | | | 26,782 | |
| | | | | | |
Total Corporate Bond (Cost - $350,534) | | | 346,075 | |
| | | | | | |
Foreign Government (1%) | | | | |
1,070,000 | | BNG Bank NV 144A, 2.13%, 12/14/20 (b) | | | 1,081 | |
8,100,000 | | Instituto de Credito Oficial 144A, (3 mo. LIBOR USD + 0.150%), 0.89%, 12/15/21 (a)(b) | | | 8,096 | |
371,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 361 | |
3,000,000 | | SNCF Reseau, 2.00%, 10/13/20 (e) | | | 3,017 | |
| | | | | | |
Total Foreign Government (Cost - $12,587) | | | 12,555 | |
| | | | | | |
Mortgage Backed (11%) | | | | |
1,803,135 | | AREIT 2018-CRE2 Trust 144A, (1 mo. LIBOR USD + 0.980%), 1.77%, 11/14/35 (a)(b) | | | 1,685 | |
2,885,310 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 0.920%),
1.73%, 10/15/36 (a)(b) | | | 2,832 | |
1,010,000 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%),
2.41%, 12/15/36 (a)(b) | | | 960 | |
1,858,219 | | BXMT2017-FL1 Ltd. 144A, (1 mo. LIBOR USD + 0.870%), 1.62%, 6/15/35 (a)(b) | | | 1,812 | |
5,850,000 | | BXMT2020-FL2 Ltd. 144A, (1 mo. LIBOR USD + 0.900%), 1.65%, 2/16/37 (a)(b) | | | 5,520 | |
2,500,000 | | BXMT2020-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.90%, 2/16/37 (a)(b) | | | 2,173 | |
5,376,798 | | CHC Commercial Mortgage Trust2019-CHC 144A, (1 mo. LIBOR USD + 2.050%),
2.86%, 6/15/34 (a)(b) | | | 4,372 | |
1,161,939 | | COMM 2014-CCRE15 Mortgage Trust,
2.93%, 2/10/47 | | | 1,164 | |
2,920,000 | | COMM2019-WCM Mortgage Trust 144A, (1 mo. LIBOR USD + 0.900%), 1.71%, 10/15/36 (a)(b) | | | 2,675 | |
4,170,439 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%),
2.64%, 11/25/39 (a)(b) | | | 3,510 | |
1,015,025 | | Connecticut Avenue Securities Trust2019-R04 144A, (1 mo. LIBOR USD + 0.750%),
1.24%, 6/25/39 (a)(b) | | | 1,014 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,496,475 | | Connecticut Avenue Securities Trust2020-R01 144A, (1 mo. LIBOR USD + 0.800%),
1.29%, 1/25/40 (a)(b) | | $ | 1,472 | |
1,824,965 | | Connecticut Avenue Securities Trust2020-R02 144A, (1 mo. LIBOR USD + 0.750%),
1.24%, 1/25/40 (a)(b) | | | 1,795 | |
3,550,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 1.230%),
2.04%, 5/15/36 (a)(b) | | | 3,435 | |
804,199 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.950%), 1.44%, 10/25/29 (a) | | | 802 | |
151,834 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 0.750%), 1.24%, 9/25/49 (a)(b) | | | 152 | |
1,149,285 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 0.700%),
1.19%, 1/25/50 (a)(b) | | | 1,114 | |
2,010,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 0.750%),
1.24%, 2/25/50 (a)(b) | | | 1,925 | |
840,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%),
2.34%, 2/25/50 (a)(b) | | | 637 | |
6,059,429 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 0.750%),
1.24%, 1/25/50 (a)(b) | | | 5,868 | |
2,640,000 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%),
2.39%, 1/25/50 (a)(b) | | | 1,761 | |
6,970,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 1.100%),
1.59%, 3/25/50 (a)(b) | | | 6,704 | |
552,987 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 0.900%), 1.39%, 1/25/49 (a)(b) | | | 553 | |
1,870,000 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 1.950%), 2.44%, 10/25/49 (a)(b) | | | 1,613 | |
2,838,429 | | Freddie Mac STACR Trust 2019-FTR2 144A, (1 mo. LIBOR USD + 0.950%), 1.44%, 11/25/48 (a)(b) | | | 2,781 | |
6,500,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.89%, 2/25/49 (a)(b) | | | 5,769 | |
199,388 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.450%),
0.94%, 7/25/30 (a) | | | 199 | |
1,068,513 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.750%),
1.24%, 3/25/30 (a) | | | 1,062 | |
354,457 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (b)(f) | | | 354 | |
806,462 | | Gosforth Funding2017-1 PLC 144A, (3 mo. LIBOR USD + 0.470%), 1.52%, 12/19/59 (a)(b) | | | 805 | |
250,393 | | HarborView Mortgage Loan Trust2004-10,
3.87%, 1/19/35 (f) | | | 237 | |
Semi-Annual Report 13
Payden Limited Maturity Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
2,950,000 | | JP Morgan Chase Commercial Mortgage Securities Trust2019-MFP 144A, (1 mo. LIBOR USD + 1.160%), 1.97%, 7/15/36 (a)(b) | | $ | 2,754 | |
634,827 | | JP Morgan Mortgage Trust2018-8 144A,
4.00%, 1/25/49 (b)(f) | | | 636 | |
1,125,600 | | Lanark Master Issuer PLC 144A, (3 mo. LIBOR USD + 0.420%), 2.10%, 12/22/69 (a)(b) | | | 1,104 | |
707,617 | | Multifamily Connecticut Avenue Securities Trust2019-01 144A, (1 mo. LIBOR USD + 1.700%), 2.19%, 10/15/49 (a)(b) | | | 605 | |
2,576,976 | | New Residential Mortgage Loan Trust2017-5 144A, (1 mo. LIBOR USD + 1.500%),
1.99%, 6/25/57 (a)(b) | | | 2,527 | |
2,340,000 | | Permanent Master Issuer PLC 144A, (3 mo. LIBOR USD + 0.380%), 1.60%, 7/15/58 (a)(b) | | | 2,333 | |
1,700,000 | | PFP2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 2.21%, 4/14/36 (a)(b) | | | 1,582 | |
2,840,000 | | PFP2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.050%), 1.84%, 4/14/37 (a)(b) | | | 2,681 | |
1,780,000 | | PFP2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 2.24%, 4/14/37 (a)(b) | | | 1,547 | |
1,657,887 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%), 1.55%, 8/20/56 GBP (a)(b)(c) | | | 2,073 | |
1,749,194 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 0.750%), 1.24%, 9/25/48 (a)(b) | | | 1,742 | |
2,962,704 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.14%, 4/25/43 (a)(b) | | | 2,801 | |
6,238,600 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.74%, 2/25/47 (a)(b) | | | 5,978 | |
5,200,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.89%, 2/25/47 (a)(b) | | | 3,907 | |
118,896 | | Structured Adjustable Rate Mortgage Loan Trust, 3.97%, 9/25/34 (f) | | | 110 | |
1,670 | | Structured Asset Mortgage Investments Trust2003-CL1, 2.65%, 7/25/32 (f) | | | 1 | |
| | | | | | |
Total Mortgage Backed (Cost - $107,696) | | | 99,136 | |
| | | | | | |
Municipal (0%) | | | | |
1,375,000 | | State of California, 1.11%, 4/01/47 (f) | | | 1,379 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
Total Municipal (Cost - $1,379) | | $ | 1,379 | |
| | | | | | |
NCUA Guaranteed (0%) | | | | |
139,629 | | NCUA Guaranteed Notes Trust2010-R1, 1A, (1 mo. LIBOR USD + 0.450%), 1.43%, 10/07/20 (a) | | | 139 | |
894,343 | | NCUA Guaranteed Notes Trust2010-R3, (1 mo. LIBOR USD + 0.560%), 1.54%, 12/08/20 (a) | | | 893 | |
| | | | | | |
Total NCUA Guaranteed (Cost - $1,034) | | | 1,032 | |
| | | | | | |
U.S. Treasury (13%) | | | | |
15,000,000 | | U.S. Treasury Bill,
0.11%, 6/23/20 (d) | | | 14,998 | |
30,000,000 | | U.S. Treasury Note, 1.13%, 2/28/21 | | | 30,246 | |
10,000,000 | | U.S. Treasury Note, 1.38%, 1/31/22 | | | 10,206 | |
30,000,000 | | U.S. Treasury Note, 1.75%, 7/31/21 | | | 30,596 | |
10,000,000 | | U.S. Treasury Note, 2.13%, 5/31/21 | | | 10,214 | |
7,000,000 | | U.S. Treasury Note, 2.50%, 12/31/20 | | | 7,111 | |
8,000,000 | | U.S. Treasury Note, 3.63%, 2/15/21 | | | 8,222 | |
| | | | | | |
Total U.S. Treasury (Cost - $110,292) | | | 111,593 | |
| | | | | | |
Investment Company (2%) | | | | |
16,997,390 | | Payden Cash Reserves Money Market Fund *
(Cost - $16,997) | | | 16,997 | |
| | | | | | |
Total Investments (Cost - $889,048) (100%) | | | 873,978 | |
Other Assets, net of Liabilities (0%) | | | 2,841 | |
| | | | | | |
| |
Net Assets (100%) | | $ | 876,819 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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) | 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) | 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. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | |
Currency
Purchased (000s) | | | | Currency Sold (000s) | | Counterparty | | Settlement Date | | Unrealized
Appreciation
(000s) | |
Assets: | | | | | | | | | | | | | | | | |
CAD | | 31,284 | | | | USD 22,039 | | HSBC Bank USA, N.A. | | 06/23/2020 | | | $439 | | | | | |
USD | | 4,828 | | | | EUR 4,265 | | Citibank, N.A. | | 06/23/2020 | | | 149 | | | | | |
USD | | 31,381 | | | | CAD 43,174 | | HSBC Bank USA, N.A. | | 06/23/2020 | | | 360 | | | | | |
USD | | 2,215 | | | | GBP 1,723 | | HSBC Bank USA, N.A. | | 06/23/2020 | | | 45 | | | | | |
Net Unrealized Appreciation | | | | | | | | | $993 | | | | | |
See notes to financial statements.
14 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 | | | 39 | % |
| | U.S. Treasury | | | 26 | % |
| | Asset Backed | | | 23 | % |
| | Mortgage Backed | | | 9 | % |
| | Other | | | 3 | % |
| | | | | | |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Asset Backed (23%) | | | | |
4,746,425 | | Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%), 2.63%, 7/25/27 (a)(b) | | $ | 4,671 | |
844,698 | | Ally Auto Receivables Trust2017-4, 1.75%, 12/15/21 | | | 846 | |
7,910,000 | | Ally Auto Receivables Trust2019-1, 2.91%, 9/15/23 | | | 8,081 | |
3,565,000 | | ALM XVI Ltd./ALM XVI LLC 144A, (3 mo. LIBOR USD + 1.500%), 2.72%, 7/15/27 (a)(b) | | | 3,427 | |
196,796 | | AmeriCredit Automobile Receivables Trust2016-2, 2.87%, 11/08/21 | | | 197 | |
5,800,000 | | AmeriCredit Automobile Receivables Trust2020-1, 1.11%, 8/19/24 | | | 5,723 | |
9,605,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 0.930%), 2.07%, 7/18/27 (a)(b) | | | 9,448 | |
4,370,000 | | Ascentium Equipment Receivables2018-2 Trust 144A, 3.51%, 4/10/24 (b) | | | 4,423 | |
1,891,046 | | Barings CLO Ltd.2013-I 144A, (3 mo. LIBOR USD + 0.800%), 1.94%, 1/20/28 (a)(b) | | | 1,870 | |
3,220,000 | | BDS2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.87%, 2/16/37 (a)(b) | | | 2,980 | |
9,045,072 | | BlueMountain CLO2013-1 Ltd. 144A, (3 mo. LIBOR USD + 1.230%), 2.37%, 1/20/29 (a)(b) | | | 8,812 | |
1,790,000 | | BMW Vehicle Lease Trust2018-1, 3.26%, 7/20/21 | | | 1,805 | |
1,830,000 | | BMW Vehicle Lease Trust2018-1, 3.36%, 3/21/22 | | | 1,852 | |
10,840,000 | | Bristol Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.990%), 2.21%, 4/15/29 (a)(b) | | | 10,598 | |
5,020,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 9/15/35 (a)(b) | | | 4,595 | |
65,871 | | Capital Auto Receivables Asset Trust2017-1 144A, 2.02%, 8/20/21 (b) | | | 66 | |
5,670,000 | | Capital One Multi-Asset Execution Trust, 2.84%, 12/15/24 | | | 5,866 | |
5,150,000 | | CarMax Auto Owner Trust2018-4, 3.36%, 9/15/23 | | | 5,285 | |
8,500,000 | | CarMax Auto Owner Trust2019-1, 3.05%, 3/15/24 | | | 8,702 | |
8,470,000 | | CarMax Auto Owner Trust2019-3, 2.18%, 8/15/24 | | | 8,597 | |
3,740,000 | | CarMax Auto Owner Trust2020-1, 1.89%, 12/16/24 | | | 3,785 | |
1,494,122 | | CARS-DB4 LP 144A, 2.69%, 2/15/50 (b) | | | 1,447 | |
5,880,000 | | CIFC Funding2015-II Ltd. 144A, (3 mo. LIBOR USD + 1.010%), 2.23%, 4/15/30 (a)(b) | | | 5,702 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
5,970,000 | | CLNC2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.250%), 1.97%, 8/20/35 (a)(b) | | $ | 5,343 | |
6,180,000 | | CNH Equipment Trust2019-A, 3.01%, 4/15/24 | | | 6,326 | |
3,740,000 | | Dell Equipment Finance Trust2018-2 144A,
3.37%, 10/22/23 (b) | | | 3,775 | |
14,817 | | Drive Auto Receivables Trust2018-4, 3.36%, 10/17/22 | | | 15 | |
1,305,000 | | Drive Auto Receivables Trust2019-4, 2.51%, 11/17/25 | | | 1,302 | |
4,890,000 | | Drive Auto Receivables Trust2020-1, 2.08%, 7/15/24 | | | 4,843 | |
3,620,000 | | Drive Auto Receivables Trust2020-1, 2.36%, 3/16/26 | | | 3,475 | |
657,771 | | Enterprise Fleet Financing2017-3 LLC 144A, 2.13%, 5/22/23 (b) | | | 657 | |
4,250,000 | | Enterprise Fleet Financing2019-2 LLC 144A, 2.29%, 2/20/25 (b) | | | 4,255 | |
4,340,000 | | Ford Credit Auto Lease Trust2020-A, 2.05%, 6/15/23 | | | 4,255 | |
9,790,000 | | Ford Credit Auto Owner Trust2019-A, 2.78%, 9/15/23 | | | 10,022 | |
981,851 | | GM Financial Automobile Leasing Trust2018-2, 3.06%, 6/21/21 | | | 984 | |
6,890,000 | | GM Financial Consumer Automobile Receivables Trust2018-4, 3.21%, 10/16/23 | | | 7,037 | |
1,660,000 | | GM Financial Consumer Automobile Receivables Trust2020-1, 2.03%, 4/16/25 | | | 1,634 | |
1,290,000 | | GM Financial Consumer Automobile Receivables Trust2020-1, 2.18%, 5/16/25 | | | 1,233 | |
6,700,000 | | Great American Auto Leasing Inc.2019-1 144A, 3.05%, 9/15/22 (b) | | | 6,758 | |
3,800,000 | | Great America Leasing Receivables Funding LLC Series2020-1 144A, 1.76%, 8/15/23 (b) | | | 3,723 | |
7,810,000 | | Greystone CRE Notes2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.180%), 1.99%, 9/15/37 (a)(b) | | | 7,174 | |
2,720,000 | | Hyundai Auto Lease Securitization Trust2020-A 144A, 2.00%, 12/15/23 (b) | | | 2,715 | |
1,810,000 | | Hyundai Auto Receivables Trust2016-B, 2.68%, 9/15/23 | | | 1,820 | |
5,050,000 | | Hyundai Auto Receivables Trust2019-A, 2.66%, 6/15/23 | | | 5,156 | |
3,827,689 | | Invitation Homes 2018-SFR1 Trust 144A, (1 mo. LIBOR USD + 0.700%), 1.45%, 3/17/37 (a)(b) | | | 3,695 | |
Semi-Annual Report 15
Payden Low Duration Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
7,235,000 | | John Deere Owner Trust2019-A, 2.91%, 7/17/23 | | $ | 7,385 | |
4,550,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.85%, 6/15/36 (a)(b) | | | 4,389 | |
3,930,000 | | Kubota Credit Owner Trust2020-1 144A, 1.96%, 3/15/24 (b) | | | 3,930 | |
194,600 | | L.A. Arena Funding LLC 144A, 7.66%,
12/15/26 (b) | | | 190 | |
4,675,000 | | LCM XX LP 144A, (3 mo. LIBOR USD + 1.040%), 2.18%, 10/20/27 (a)(b) | | | 4,614 | |
1,117,562 | | MVW Owner Trust2017-1 144A, 2.42%, 12/20/34 (b) | | | 1,076 | |
3,095,000 | | Nissan Auto Lease Trust2020-A, 1.88%, 4/15/25 | | | 3,129 | |
8,655,000 | | Nissan Auto Receivables2019-A Owner Trust, 2.90%, 10/16/23 | | | 8,870 | |
7,189,009 | | NP SPE II LLC 144A, 2.86%, 11/19/49 (b) | | | 7,263 | |
1,582,681 | | OZLM XIII Ltd. 144A, (3 mo. LIBOR USD + 1.080%), 1.84%, 7/30/27 (a)(b) | | | 1,552 | |
10,630,000 | | Palmer Square Loan Funding2020-1 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 2.48%, 2/20/28 (a)(b) | | | 10,304 | |
6,140,000 | | PFS Financing Corp. 144A, 2.89%, 2/15/23 (b) | | | 6,143 | |
1,965,040 | | Prestige Auto Receivables Trust2018-1 144A, 3.29%, 9/15/22 (b) | | | 1,970 | |
4,730,000 | | Santander Retail Auto Lease Trust2019-B 144A, 2.30%, 1/20/23 (b) | | | 4,766 | |
5,880,000 | | STWD2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.89%, 7/15/38 (a)(b) | | | 5,540 | |
2,389,750 | | Taco Bell Funding LLC 144A, 4.32%, 11/25/48 (b) | | | 2,451 | |
8,880,000 | | Toyota Auto Receivables2019-A Owner Trust, 2.91%, 7/17/23 | | | 9,099 | |
1,000,000 | | Trillium Credit Card Trust II 144A, 2.33%, 12/26/24 (b) | | | 964 | |
7,960,000 | | TRTX2019-FL3 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 2.20%, 9/15/34 (a)(b) | | | 6,949 | |
7,500,000 | | Venture XXIV CLO Ltd. 144A, (3 mo. LIBOR USD + 1.180%), 2.32%, 10/20/28 (a)(b) | | | 7,221 | |
9,960,000 | | Verizon Owner Trust2019-A, 2.93%, 9/20/23 | | | 10,191 | |
3,370,000 | | Volkswagen Auto Lease Trust2019-A, 1.99%, 11/21/22 | | | 3,366 | |
3,710,000 | | Volkswagen Auto Loan Enhanced Trust2018-1, 3.02%, 11/21/22 | | | 3,766 | |
7,130,000 | | Volvo Financial Equipment LLC Series2019-1 144A, 3.00%, 3/15/23 (b) | | | 7,228 | |
1,323,000 | | Westlake Automobile Receivables Trust2018-3 144A, 4.00%, 10/16/23 (b) | | | 1,324 | |
3,700,000 | | Westlake Automobile Receivables Trust2020-1 144A, 2.80%, 6/16/25 (b) | | | 3,474 | |
2,316,600 | | Wingstop Funding2018-1 LLC 144A, 4.97%, 12/05/48 (b) | | | 2,362 | |
Total Asset Backed (Cost - $327,765) | | | 324,491 | |
Commercial Paper(c) (0%) | | | | |
1,550,000 | | Toronto-Dominion Bank, 0.03%, 5/01/20
(Cost - $1,550) | | | 1,550 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
Corporate Bond (39%) | | | | |
Financial (25%) | | | | |
4,089,000 | | AIG Global Funding 144A, 2.30%, 7/01/22 (b) | | $ | 4,162 | |
1,835,000 | | Air Lease Corp., 2.25%, 1/15/23 | | | 1,706 | |
1,200,000 | | Air Lease Corp., 2.75%, 1/15/23 | | | 1,102 | |
1,890,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 1,867 | |
5,816,000 | | American Express Co., 2.75%, 5/20/22 | | | 5,963 | |
4,010,000 | | American Honda Finance Corp., 2.05%, 1/10/23 | | | 4,005 | |
3,965,000 | | ANZ New Zealand Int’l Ltd. 144A, 1.90%, 2/13/23 (b) | | | 3,998 | |
4,095,000 | | Aon Corp., 2.20%, 11/15/22 | | | 4,176 | |
2,625,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 2,586 | |
377,000 | | Assurant Inc., (3 mo. LIBOR USD + 1.250%), 2.48%, 3/26/21 (a) | | | 376 | |
3,000,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (b) | | | 2,920 | |
2,475,000 | | Banco del Estado de Chile 144A, 2.67%, 1/08/21 (b) | | | 2,493 | |
3,450,000 | | Banco Santander Chile 144A, 2.50%, 12/15/20 (b) | | | 3,485 | |
2,760,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.630%), 2.33%, 10/01/21 (a) | | | 2,764 | |
4,600,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.930%), 2.82%, 7/21/23 (a) | | | 4,730 | |
2,500,000 | | Bank of America Corp., (3 mo. LIBOR USD +0.630%), 3.50%, 5/17/22 (a) | | | 2,552 | |
5,445,000 | | Bank of Montreal, 2.90%, 3/26/22 | | | 5,609 | |
2,751,000 | | Bank of Nova Scotia, 2.00%, 11/15/22 | | | 2,791 | |
3,115,000 | | Bank of Nova Scotia, 2.38%, 1/18/23 | | | 3,207 | |
3,265,000 | | Banque Federative du Credit Mutuel SA 144A, 2.13%, 11/21/22 (b) | | | 3,296 | |
2,000,000 | | Banque Federative du Credit Mutuel SA 144A, 2.70%, 7/20/22 (b) | | | 2,055 | |
2,495,000 | | Barclays PLC, 3.25%, 1/12/21 | | | 2,515 | |
7,000,000 | | BBVA USA, 2.88%, 6/29/22 | | | 7,043 | |
5,570,000 | | BMW Finance NV 144A, 2.25%, 8/12/22 (b) | | | 5,558 | |
3,800,000 | | BNP Paribas SA 144A,
2.95%, 5/23/22 (b) | | | 3,868 | |
4,250,000 | | BNZ International Funding Ltd. 144A, 3.38%, 3/01/23 (b) | | | 4,430 | |
5,760,000 | | Capital One Bank USA NA, (U.S. Secured Overnight Financing Rate + 0.616%), 2.01%, 1/27/23 (a) | | | 5,704 | |
3,825,000 | | Capital One NA, 2.15%, 9/06/22 | | | 3,816 | |
2,030,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (a) | | | 1,796 | |
3,300,000 | | CIT Group Inc., 5.00%, 8/15/22 | | | 3,271 | |
7,200,000 | | Citibank NA, (3 mo. LIBOR USD + 0.530%), 3.17%, 2/19/22 (a) | | | 7,293 | |
3,000,000 | | Citigroup Inc., 2.35%, 8/02/21 | | | 3,030 | |
1,020,000 | | Citizens Bank NA, 2.20%, 5/26/20 | | | 1,020 | |
2,100,000 | | Citizens Bank NA, 3.25%, 2/14/22 | | | 2,148 | |
2,005,000 | | Comerica Bank, 2.50%, 7/23/24 | | | 2,041 | |
5,375,000 | | Credit Suisse AG, 2.10%, 11/12/21 | | | 5,436 | |
1,890,000 | | Credit Suisse AG, 2.80%, 4/08/22 | | | 1,935 | |
4,750,000 | | Credit Suisse Group AG 144A, 3.57%, 1/09/23 (b) | | | 4,865 | |
2,840,000 | | DBS Group Holdings Ltd. 144A, 2.85%, 4/16/22 (b) | | | 2,900 | |
4,775,000 | | Deutsche Bank AG, 3.15%, 1/22/21 | | | 4,770 | |
1,470,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 1,491 | |
16 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
4,420,000 | | Equinix Inc., 2.63%, 11/18/24 | | $ | 4,567 | |
4,505,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.25%, 10/30/20 (b) | | | 4,536 | |
1,935,000 | | First Republic Bank, (U.S. Secured Overnight Financing Rate + 0.620%), 1.91%, 2/12/24 (a) | | | 1,942 | |
4,500,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 4,298 | |
3,980,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (b) | | | 3,262 | |
1,198,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 0.821%), 2.88%, 10/31/22 (a) | | | 1,218 | |
5,420,000 | | Goldman Sachs Group Inc., 3.00%, 4/26/22 | | | 5,493 | |
1,645,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,753 | |
2,050,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 1,935 | |
1,320,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 2/01/22 | | | 1,339 | |
3,710,000 | | ICICI Bank Ltd. 144A, 5.75%, 11/16/20 (b) | | | 3,754 | |
3,100,000 | | International Lease Finance Corp., 4.63%, 4/15/21 | | | 3,048 | |
3,260,000 | | Intesa Sanpaolo SpA 144A, 3.13%, 7/14/22 (b) | | | 3,257 | |
655,000 | | iStar Inc., 4.75%, 10/01/24 | | | 550 | |
3,935,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b) | | | 3,806 | |
5,150,000 | | Jackson National Life Global Funding 144A, 3.30%, 2/01/22 (b) | | | 5,304 | |
3,825,000 | | JP Morgan Chase & Co., (3 mo. LIBOR USD +0.680%), 2.26%,6/01/21 (a) | | | 3,825 | |
3,615,000 | | JP Morgan Chase & Co., (3 mo. LIBOR USD + 0.695%), 3.21%, 4/01/23 (a) | | | 3,732 | |
2,215,000 | | KeyBank NA, 3.30%, 2/01/22 | | | 2,287 | |
3,870,000 | | Macquarie Bank Ltd. 144A, 2.10%, 10/17/22 (b) | | | 3,911 | |
5,005,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 2.63%, 11/28/23 (a)(b) | | | 4,908 | |
2,940,000 | | Metropolitan Life Global Funding I 144A, 2.40%, 1/08/21 (b) | | | 2,969 | |
7,085,000 | | Mitsubishi UFJ Financial Group Inc., 2.62%, 7/18/22 | | | 7,236 | |
7,232,000 | | Mitsubishi UFJ Financial Group Inc., 3.22%, 3/07/22 | | | 7,432 | |
2,595,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.840%), 2.72%, 7/16/23 (a) | | | 2,643 | |
4,800,000 | | Mizuho Financial Group Inc., 2.95%, 2/28/22 | | | 4,910 | |
1,186,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.180%), 2.32%, 1/20/22 (a) | | | 1,183 | |
3,435,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.152%), 2.72%, 7/22/25 (a) | | | 3,540 | |
3,695,000 | | National Australia Bank Ltd., 1.88%, 12/13/22 | | | 3,752 | |
7,685,000 | | National Bank of Canada, 2.10%, 2/01/23 | | | 7,796 | |
2,125,000 | | National Bank of Canada 144A, 2.15%, 10/07/22 (b) | | | 2,156 | |
3,500,000 | | National Securities Clearing Corp. 144A, 1.20%, 4/23/23 (b) | | | 3,503 | |
4,455,000 | | NatWest Markets PLC 144A, 3.63%, 9/29/22 (b) | | | 4,603 | |
1,830,000 | | Park Aerospace Holdings Ltd. 144A, 5.25%, 8/15/22 (b) | | | 1,690 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
3,225,000 | | PayPal Holdings Inc., 2.20%, 9/26/22 | | $ | 3,286 | |
1,995,000 | | Reliance Standard Life Global Funding II 144A, 2.15%, 1/21/23 (b) | | | 1,998 | |
2,150,000 | | Reliance Standard Life Global Funding II 144A, 2.38%, 5/04/20 (b) | | | 2,150 | |
2,600,000 | | Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (b) | | | 2,641 | |
5,420,000 | | Royal Bank of Scotland Group PLC, (3mo. LIBOR USD + 1.470%), 3.16%, 5/15/23 (a) | | | 5,247 | |
2,050,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 2,077 | |
1,595,000 | | Santander Holdings USA Inc., 4.45%, 12/03/21 | | | 1,643 | |
5,650,000 | | Santander UK PLC, 2.10%, 1/13/23 | | | 5,695 | |
1,195,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (b) | | | 885 | |
1,136,000 | | SLM Corp., 5.13%, 4/05/22 (d) | | | 1,048 | |
1,045,000 | | Starwood Property Trust Inc., 3.63%, 2/01/21 | | | 990 | |
1,130,000 | | State Street Corp. 144A, (U.S. Secured Overnight Financing Rate + 2.690%), 2.83%, 3/30/23 (a)(b) | | | 1,162 | |
1,455,000 | | Sterling Bancorp, 3.50%, 6/08/20 | | | 1,453 | |
7,000,000 | | Sumitomo Mitsui Financial Group Inc., 2.44%, 10/19/21 | | | 7,102 | |
2,245,000 | | Suncorp-Metway Ltd. 144A, 2.38%, 11/09/20 (b) | | | 2,255 | |
887,000 | | Synchrony Bank, 3.00%, 6/15/22 | | | 871 | |
1,360,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 1,324 | |
1,285,000 | | Synchrony Financial, 3.75%, 8/15/21 | | | 1,290 | |
1,505,000 | | Synovus Bank, (U.S. Secured Overnight Financing Rate + 0.945%), 2.29%, 2/10/23 (a) | | | 1,488 | |
7,365,000 | | Truist Bank, 2.80%, 5/17/22 | | | 7,601 | |
5,220,000 | | Truist Financial Corp., 2.20%, 3/16/23 | | | 5,345 | |
4,655,000 | | UBS AG 144A, 1.75%, 4/21/22 (b) | | | 4,676 | |
2,500,000 | | UBS Group AG 144A, (3 mo. LIBOR USD + 0.954%), 2.86%, 8/15/23 (a)(b) | | | 2,553 | |
1,000,000 | | UniCredit SpA 144A, 6.57%, 1/14/22 (b) | | | 1,032 | |
4,000,000 | | Ventas Realty LP, 2.65%, 1/15/25 | | | 3,811 | |
5,135,000 | | Wells Fargo & Co., 2.10%, 7/26/21 | | | 5,183 | |
7,625,000 | | Wells Fargo Bank NA, (3 mo. LIBOR USD +0.650%), 2.08%, 9/09/22 (a) | | | 7,695 | |
5,155,000 | | Wells Fargo Bank NA, 3.63%, 10/22/21 | | | 5,330 | |
2,905,000 | | Zions Bancorp NA, 3.35%, 3/04/22 | | | 2,912 | |
| | | | | 353,654 | |
Industrial (9%) | | | | |
335,000 | | 3M Co., 2.65%, 4/15/25 | | | 357 | |
7,385,000 | | AbbVie Inc. 144A, 2.15%, 11/19/21 (b) | | | 7,484 | |
5,000,000 | | AbbVie Inc. 144A, 2.30%, 11/21/22 (b) | | | 5,130 | |
2,495,000 | | Anglo American Capital PLC 144A, 4.13%, 4/15/21 (b) | | | 2,509 | |
3,500,000 | | Anthem Inc., 3.70%, 8/15/21 | | | 3,590 | |
3,500,000 | | AT&T Inc., 3.00%, 2/15/22 | | | 3,603 | |
2,420,000 | | Aviation Capital Group LLC 144A, 3.88%, 5/01/23 (b) | | | 1,980 | |
2,000,000 | | Aviation Capital Group LLC 144A, 4.38%, 1/30/24 (b) | | | 1,586 | |
1,680,000 | | Avolon Holdings Funding Ltd. 144A, 3.63%, 5/01/22 (b) | | | 1,540 | |
Semi-Annual Report 17
Payden Low Duration Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
4,125,000 | | Bristol-Myers Squibb Co. 144A, 2.60%, 5/16/22 (b) | | $ | 4,266 | |
1,530,000 | | Carrier Global Corp. 144A, 1.92%, 2/15/23 (b) | | | 1,541 | |
705,000 | | Centene Corp., 4.75%, 5/15/22 | | | 715 | |
1,750,000 | | Centene Corp. 144A, 4.75%, 1/15/25 (b) | | | 1,813 | |
1,825,000 | | Cigna Corp., (3 mo. LIBOR USD + 0.650%), 1.49%, 9/17/21 (a) | | | 1,795 | |
3,595,000 | | Cigna Corp., 3.20%, 9/17/20 | | | 3,619 | |
2,830,000 | | CK Hutchison International 17 II Ltd. 144A, 2.25%, 9/29/20 (b) | | | 2,832 | |
450,000 | | Conagra Brands Inc., (3 mo. LIBOR USD + 0.750%), 1.85%, 10/22/20 (a) | | | 449 | |
1,265,000 | | Conagra Brands Inc., 3.80%, 10/22/21 | | | 1,306 | |
635,000 | | Daimler Finance North America LLC 144A, 2.20%, 5/05/20 (b) | | | 635 | |
3,450,000 | | Dell International LLC/EMC Corp. 144A, 4.42%, 6/15/21 (b) | | | 3,507 | |
264,000 | | Dell International LLC/EMC Corp. 144A, 5.88%, 6/15/21 (b) | | | 265 | |
2,999,000 | | Delta Air Lines Inc., 2.60%, 12/04/20 | | | 2,875 | |
3,390,000 | | DuPont de Nemours Inc., 2.17%, 5/01/23 | | | 3,416 | |
875,000 | | Elanco Animal Health Inc., 4.66%, 8/27/21 | | | 899 | |
2,800,000 | | Express Scripts Holding Co., 2.60%, 11/30/20 | | | 2,816 | |
1,100,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.270%), 2.64%, 3/28/22 (a) | | | 972 | |
2,825,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 2,559 | |
1,270,000 | | Fox Corp., 3.67%, 1/25/22 | | | 1,317 | |
3,285,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.310%), 2.68%, 6/30/22 (a) | | | 2,983 | |
3,465,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%), 2.86%, 1/14/22 (a) | | | 3,230 | |
2,430,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.23%, 11/15/21 (b) | | | 2,454 | |
2,035,000 | | John Deere Capital Corp., 1.20%, 4/06/23 | | | 2,055 | |
2,320,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 2,340 | |
2,280,000 | | Marriott International Inc., 2.13%, 10/03/22 | | | 2,153 | |
675,000 | | McDonald’s Corp., 3.30%, 7/01/25 | | | 736 | |
1,035,000 | | Mondelez International Inc., 2.13%, 4/13/23 | | | 1,054 | |
460,000 | | NIKE Inc., 2.40%, 3/27/25 | | | 485 | |
3,608,000 | | Nissan Motor Acceptance Corp. 144A, 2.15%, 9/28/20 (b) | | | 3,545 | |
1,705,000 | | Oracle Corp., 2.50%, 4/01/25 | | | 1,797 | |
3,155,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (b) | | | 3,173 | |
2,900,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.20%, 7/15/20 (b) | | | 2,901 | |
1,450,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.65%, 7/29/21 (b) | | | 1,469 | |
4,370,000 | | PepsiCo Inc., 0.75%, 5/01/23 | | | 4,365 | |
1,066,000 | | Royal Caribbean Cruises Ltd., 2.65%, 11/28/20 | | | 970 | |
1,657,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 1,656 | |
1,550,000 | | Sirius XM Radio Inc. 144A,
3.88%, 8/01/22 (b) | | | 1,569 | |
1,050,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21 (b) | | | 1,046 | |
1,595,000 | | SMBC Aviation Capital Finance DAC 144A, 3.00%, 7/15/22 (b) | | | 1,573 | |
1,415,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (b) | | | 1,393 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
1,130,000 | | Spirit Aero Systems Inc., (3 mo. LIBOR USD + 0.800%), 1.54%, 6/15/21 (a) | | $ | 1,063 | |
1,747,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 1,757 | |
575,000 | | Target Corp., 2.25%, 4/15/25 | | | 606 | |
930,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 910 | |
1,100,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4/15/24 | | | 1,100 | |
800,000 | | Teva Pharmaceutical Finance Netherlands III BV 144A, 7.13%, 1/31/25 (b) | | | 833 | |
855,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 863 | |
1,885,000 | | Volkswagen Group of America Finance LLC 144A, 2.50%, 9/24/21 (b) | | | 1,881 | |
1,560,000 | | Volkswagen Group of America Finance LLC 144A, 2.70%, 9/26/22 (b) | | | 1,568 | |
2,750,000 | | Volkswagen Group of America Finance LLC 144A, 3.88%, 11/13/20 (b) | | | 2,755 | |
2,000,000 | | Vulcan Materials Co., (3 mo. LIBOR USD + 0.600%), 1.34%, 6/15/20 (a) | | | 1,997 | |
| | | | | 123,656 | |
Utility (5%) | | | | |
3,030,000 | | AES Corp., 4.00%, 3/15/21 | | | 3,047 | |
3,025,000 | | CenterPoint Energy Inc., 2.50%, 9/01/22 | | | 3,112 | |
1,135,000 | | CenterPoint Energy Inc., 3.60%, 11/01/21 | | | 1,169 | |
1,335,000 | | Dominion Energy Inc. 144A, 2.45%, 1/15/23 (b) | | | 1,372 | |
911,000 | | Dominion Energy Inc., 2.58%, 7/01/20 | | | 911 | |
2,135,000 | | Dominion Energy Inc., 2.72%, 8/15/21 | | | 2,155 | |
4,795,000 | | DTE Energy Co., 2.25%, 11/01/22 | | | 4,882 | |
1,595,000 | | DTE Energy Co., 2.60%, 6/15/22 | | | 1,617 | |
7,700,000 | | Enel Finance International NV 144A, 2.88%, 5/25/22 (b) | | | 7,750 | |
7,110,000 | | Exxon Mobil Corp., 1.57%, 4/15/23 | | | 7,206 | |
2,255,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 2.50%, 1/15/23 (a) | | | 2,060 | |
3,280,000 | | Midwest Connector Capital Co. LLC 144A, 3.63%, 4/01/22 (b) | | | 3,150 | |
4,500,000 | | NextEra Energy Capital Holdings Inc., 2.90%, 4/01/22 | | | 4,652 | |
2,930,000 | | NextEra Energy Capital Holdings Inc., 3.34%, 9/01/20 | | | 2,949 | |
1,815,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (b) | | | 1,857 | |
1,467,000 | | Occidental Petroleum Corp., 2.60%, 8/13/21 | | | 1,379 | |
1,310,000 | | Occidental Petroleum Corp., 2.70%, 8/15/22 (d) | | | 1,146 | |
6,105,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 6,135 | |
4,685,000 | | PNM Resources Inc., 3.25%, 3/09/21 | | | 4,720 | |
1,303,000 | | QEP Resources Inc., 6.88%, 3/01/21 | | | 635 | |
4,360,000 | | Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 | | | 4,361 | |
1,228,571 | | Southern California Edison Co., 1.85%, 2/01/22 | | | 1,225 | |
3,114,000 | | Southern Co., 2.35%, 7/01/21 | | | 3,153 | |
810,000 | | Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23 | | | 792 | |
18 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
2,685,000 | | WEC Energy Group Inc., 3.10%, 3/08/22 | | $ | 2,770 | |
| | | | | 74,205 | |
Total Corporate Bond (Cost - $552,588) | | | 551,515 | |
Foreign Government (1%) | | | | |
1,960,000 | | Abu Dhabi Government International Bond 144A, 2.50%, 10/11/22 (b) | | | 2,004 | |
2,120,000 | | Fondo MIVIVIENDA SA 144A, 3.50%,
1/31/23 (b) | | | 2,136 | |
3,130,000 | | Georgia Government International Bond 144A, 6.88%, 4/12/21 (b) | | | 3,156 | |
646,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 629 | |
Total Foreign Government (Cost - $7,972) | | | 7,925 | |
Mortgage Backed (9%) | | | | |
3,274,775 | | AREIT 2018-CRE2 Trust 144A, (1 mo. LIBOR USD + 1.400%), 2.19%, 11/14/35 (a)(b) | | | 2,841 | |
76,708,535 | | BANK 2018-BNK14, 0.67%, 9/15/60 (e) | | | 2,389 | |
129,973,831 | | Benchmark2018-B6 Mortgage Trust, 0.59%, 10/10/51 (e) | | | 3,242 | |
2,866,202 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 0.920%), 1.73%,
10/15/36 (a)(b) | | | 2,813 | |
2,885,310 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 1.080%), 1.89%,
10/15/36 (a)(b) | | | 2,822 | |
1,630,000 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%), 2.41%, 12/15/36 (a)(b) | | | 1,550 | |
22,516,052 | | Cantor Commercial Real Estate Lending2019-CF1, 1.30%, 5/15/52 (e) | | | 1,662 | |
9,031,030 | | CHC Commercial Mortgage Trust2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.86%, 6/15/34 (a)(b) | | | 7,344 | |
44,935,197 | | Citigroup Commercial Mortgage Trust2018-C6, 0.95%, 11/10/51 (e) | | | 2,377 | |
5,740,000 | | COMM2019-WCM Mortgage Trust 144A, (1 mo. LIBOR USD + 0.900%),
1.71%, 10/15/36 (a)(b) | | | 5,259 | |
8,086,065 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.64%, 11/25/39 (a)(b) | | | 6,805 | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.74%, 11/25/39 (a)(b) | | | 3,160 | |
4,000,000 | | Connecticut Avenue Securities Trust2019-R07 144A, (1 mo. LIBOR USD + 2.100%), 2.59%, 10/25/39 (a)(b) | | | 3,517 | |
1,390,000 | | Connecticut Avenue Securities Trust2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 1/25/40 (a)(b) | | | 1,074 | |
900,000 | | Connecticut Avenue Securities Trust 2020-SBT1 144A, (1 mo. LIBOR USD + 3.650%), 4.14%, 2/25/40 (a)(b) | | | 638 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
2,860,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 1.230%), 2.04%, 5/15/36 (a)(b) | | $ | 2,768 | |
2,238,365 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 2.69%, 8/25/30 (a) | | | 1,984 | |
6,050,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.250%), 2.74%, 7/25/30 (a) | | | 5,352 | |
1,382,897 | | Flagstar Mortgage Trust2018-4 144A, 4.00%, 7/25/48 (b)(e) | | | 1,388 | |
4,275,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 9/25/49 (a)(b) | | | 3,676 | |
3,231,805 | | Freddie Mac STACR REMIC Trust 2019-HQA4 144A, (1 mo. LIBOR USD + 0.770%),
1.26%, 11/25/49 (a)(b) | | | 3,156 | |
3,820,000 | | Freddie Mac STACR REMIC Trust 2019-HQA4 144A, (1 mo. LIBOR USD + 2.050%),
2.54%, 11/25/49 (a)(b) | | | 2,967 | |
2,100,000 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 1.700%),
2.19%, 1/25/50 (a)(b) | | | 1,631 | |
1,020,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%),
2.34%, 2/25/50 (a)(b) | | | 774 | |
4,090,000 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%),
2.39%, 1/25/50 (a)(b) | | | 2,729 | |
1,170,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 3.100%),
3.59%, 3/25/50 (a)(b) | | | 847 | |
3,690,000 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 1.950%), 2.44%,
10/25/49 (a)(b) | | | 3,183 | |
10,560,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.89%, 2/25/49 (a)(b) | | | 9,372 | |
130,659 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.900%),
3.39%, 7/25/28 (a) | | | 130 | |
1,450,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 5.09%, 12/25/42 (a) | | | 1,084 | |
1,116,989 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%),
11.74%, 10/25/29 (a) | | | 704 | |
181,189 | | HomeBanc Mortgage Trust2004-1, (1 mo. LIBOR USD +0.860%), 1.35%, 8/25/29 (a) | | | 166 | |
5,000,000 | | JP Morgan Chase Commercial Mortgage Securities Trust2019-MFP 144A, (1 mo. LIBOR USD + 1.160%), 1.97%, 7/15/36 (a)(b) | | | 4,669 | |
1,824,752 | | JP Morgan Mortgage Trust2017-1 144A,
3.50%, 1/25/47 (b)(e) | | | 1,851 | |
3,717,168 | | JP Morgan Mortgage Trust2017-5 144A,
3.00%, 10/26/48 (b)(e) | | | 3,759 | |
2,529,600 | | Lanark Master Issuer PLC, (3 mo. LIBOR USD + 0.420%), 2.10%, 12/22/69 (a) | | | 2,511 | |
190,660 | | Merrill Lynch Mortgage Investors Trust Series MLCC2004-1, 3.59%, 12/25/34 (e) | | | 181 | |
Semi-Annual Report 19
Payden Low Duration Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
385,577 | | Merrill Lynch Mortgage Investors Trust Series MLCC2006-1, 3.58%, 2/25/36 (e) | | $ | 354 | |
68,454 | | Morgan Stanley Mortgage Loan Trust2004-5AR, 3.70%, 7/25/34 (e) | | | 66 | |
1,424,928 | | Multifamily Connecticut Avenue Securities Trust2019-01 144A, (1 mo. LIBOR USD + 1.700%), 2.19%, 10/15/49 (a)(b) | | | 1,219 | |
1,832,394 | | New Residential Mortgage Loan Trust2017-1 144A, 4.00%, 2/25/57 (b)(e) | | | 1,932 | |
4,189,892 | | New Residential Mortgage Loan Trust2017-3 144A, 4.00%, 4/25/57 (b)(e) | | | 4,420 | |
4,152,306 | | New Residential Mortgage Loan Trust2017-4 144A, 4.00%, 5/25/57 (b)(e) | | | 4,407 | |
5,530,000 | | PFP2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.050%), 1.84%, 4/14/37 (a)(b) | | | 5,220 | |
3,510,000 | | PFP2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 2.24%, 4/14/37 (a)(b) | | | 3,051 | |
1,514,651 | | Residential Asset Securitization Trust2006-A8, 6.00%, 8/25/36 | | | 1,089 | |
5,740,863 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.14%, 4/25/43 (a)(b) | | | 5,428 | |
2,750,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.24%, 4/25/43 (a)(b) | | | 1,995 | |
650,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%),
10.99%, 2/25/47 (a)(b) | | | 298 | |
Total Mortgage Backed (Cost - $148,978) | | | 131,854 | |
U.S. Government Agency (1%) | | | | |
7,460,000 | | FHLMC, 0.38%, 4/20/23 | | | 7,464 | |
8,260,000 | | FNMA, 1.38%, 9/06/22 | | | 8,476 | |
Total U.S. Government Agency
(Cost - $15,672) | | | 15,940 | |
U.S. Treasury (26%) | | | | |
103,989,000 | | U.S. Treasury Note, 0.13%, 4/30/22 | | | 103,865 | |
101,094,000 | | U.S. Treasury Note, 0.25%, 4/15/23 | | | 101,140 | |
62,000,000 | | U.S. Treasury Note, 2.13%, 5/15/22 | | | 64,418 | |
84,100,000 | | U.S. Treasury Note, 2.75%, 5/31/23 (f)(g) | | | 90,542 | |
2,058,000 | | U.S. Treasury Note, 2.75%, 8/31/23 | | | 2,227 | |
Total U.S. Treasury (Cost - $359,239) | | | 362,192 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Investment Company (1%) | | | | |
19,630,026 | | Payden Cash Reserves Money Market Fund *
(Cost - $19,630) | | $ | 19,630 | |
Total Investments
(Cost - $1,433,394) (100%) | | | 1,415,097 | |
Liabilities in excess of Other
Assets (0%) | | | (1,774) | |
Net Assets (100%) | | $ | 1,413,323 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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) | Yield to maturity at time of purchase. |
| (d) | All or a portion of these securities are on loan. At April 30, 2020, the total market value of the Fund’s securities on loan is $89 and the total market value of the collateral held by the Fund is $89. Amounts in 000s. |
| (e) | 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. |
| (f) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (g) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
| |
Long Contracts: | | | | | | | | | | | | | | | | | | |
U.S. Treasury2-Year Note Future | | 1,471 | | | Jun-20 | | | | $324,252 | | | | $ 4,853 | | | | $4,853 | |
| | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | |
U.S. Treasury10-Year Note Future | | 385 | | | Jun-20 | | | | (53,539 | ) | | | (2,335) | | | | (2,335) | |
U.S. Treasury5-Year Note Future | | 125 | | | Jun-20 | | | | (15,686 | ) | | | (530) | | | | (530) | |
| | | | | | | | | | | | | | | | | (2,865) | |
| | | | | |
Total Futures | | | | | | | | | | | | | | | | | $1,988 | |
20 Payden Mutual Funds
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Appreciation
(000s) | |
3-Year Interest Rate Swap, Receive Fixed 1.5535% Semi-Annually, Pay Variable 1.94625% (CDOR03 Index) Semi-Annually | | | 08/30/2022 | | | CAD | 17,216 | | | | $214 | | | | $— | | | | $214 | |
3-Year Interest Rate Swap, Receive Fixed 1.558% Semi-Annually, Pay Variable 1.94625% (CDOR03 Index) Semi-Annually | | | 08/30/2022 | | | CAD | 17,216 | | | | 216 | | | | — | | | | 216 | |
3-Year Interest Rate Swap, Receive Fixed 1.575% Semi-Annually, Pay Variable 1.945% (CDOR03 Index) Semi-Annually | | | 08/30/2022 | | | CAD | 15,118 | | | | 195 | | | | — | | | | 195 | |
| | | | | | | | | | | $625 | | | | $— | | | | $625 | |
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 | | $ | 89 | |
Non-cash Collateral2 | | | (89) | |
| | | | |
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, 2020, 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 21
Payden U.S. Government Fund
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 | | | 87 | % |
U.S. Treasur | | | 6 | % |
U.S. Government Guaranteed | | | 3 | % |
Asset Backed | | | 2 | % |
Investment Company | | | 2 | % |
Schedule of Investments - April 30, 2020 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (3%) | | | | |
997,917 | | Fannie Mae Grantor Trust2017-T1, 2.90%, 6/25/27
(Cost - $1,016) | | $ | 1,084 | |
FDIC Guaranteed (3%) | | | | |
546,654 | | FDIC Guaranteed Notes Trust2010-S1 144A, 3.25%, 4/25/38 (a) | | | 554 | |
167,147 | | FDIC Guaranteed Notes Trust2010-S2 144A, (1 mo. LIBOR USD + 0.700%), 1.07%, 12/29/45 (a)(b) | | | 167 | |
98,548 | | FDIC Guaranteed Notes Trust2010-S3 144A, 2.74%, 12/03/20 (a) | | | 99 | |
458,388 | | FDIC Guaranteed Notes Trust2010-S4 144A, (1 mo. LIBOR USD + 0.720%), 2.10%, 12/04/20 (a)(b) | | | 459 | |
Total FDIC Guaranteed (Cost - $1,273) | | | 1,279 | |
Mortgage Backed (94%) | | | | |
196,936 | | FH 1Q1363 ARM, (12 mo. LIBOR USD + 1.760%), 4.24%, 2/01/36 (b) | | | 205 | |
81,386 | | FH 2B0709 ARM, (12 mo. LIBOR USD + 1.750%), 4.36%, 8/01/42 (b) | | | 84 | |
132,184 | | FH 2B0972 ARM, (12 mo. LIBOR USD + 1.770%), 3.83%, 11/01/42 (b) | | | 136 | |
132,260 | | FH 2B1333 ARM, (12 mo. LIBOR USD + 1.650%), 4.39%, 4/01/43 (b) | | | 137 | |
924,272 | | FH 2B4763 ARM, (12 mo. LIBOR USD + 1.620%), 2.60%, 10/01/45 (b) | | | 953 | |
155,800 | | FH 849486 ARM, (12 mo. LIBOR USD + 1.862%), 4.55%, 8/01/41 (b) | | | 163 | |
895,638 | | FH 849506 ARM, (12 mo. LIBOR USD + 1.610%), 2.91%, 11/01/44 (b) | | | 923 | |
1,000,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 2.62%, 1/25/23 | | | 1,048 | |
1,250,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 2.95%, 7/25/24 | | | 1,341 | |
1,000,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 3.06%, 8/25/24 (c) | | | 1,081 | |
1,000,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 3.32%, 2/25/23 | | | 1,066 | |
380,524 | | FN 890434 15YR, 3.00%, 7/01/27 | | | 403 | |
295,776 | | FN AE0193 ARM, (12 mo. LIBOR USD + 1.728%), 4.03%, 7/01/40 (b) | | | 307 | |
813,621 | | FN AH3394 30YR, 4.00%, 1/01/41 | | | 891 | |
193,556 | | FN AI4019 ARM, (12 mo. LIBOR USD + 1.750%), 4.51%, 7/01/41 (b) | | | 201 | |
1,012,527 | | FN AL2095 15YR, 3.00%, 6/01/27 | | | 1,073 | |
809,783 | | FN AL2221 15YR, 3.00%, 7/01/27 | | | 858 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
165,284 | | FN AL5596 ARM, (12 mo. LIBOR USD + 1.553%), 3.56%, 2/01/44 (b) | | $ | 171 | |
255,515 | | FN AL5790 ARM, (12 mo. LIBOR USD + 1.563%), 3.79%, 10/01/44 (b) | | | 264 | |
260,776 | | FN AL5967 ARM, (12 mo. LIBOR USD + 1.574%), 3.74%, 11/01/44 (b) | | | 269 | |
897,803 | | FN AL7648 ARM, (12 mo. LIBOR USD + 1.585%), 2.59%, 10/01/45 (b) | | | 920 | |
485,412 | | FN AO7975 15YR, 3.00%, 6/01/27 | | | 514 | |
543,110 | | FN AP4746 15YR, 3.00%, 8/01/27 | | | 576 | |
1,092,469 | | FN AS1745 15YR, 3.00%, 2/01/29 | | | 1,163 | |
1,006,763 | | FN AS4186 15YR, 2.50%, 1/01/30 | | | 1,057 | |
478,764 | | FN AS6443 15YR, 3.00%, 12/01/30 | | | 508 | |
867,392 | | FN AS8013 15YR, 2.50%, 9/01/31 | | | 917 | |
142,537 | | FN AU6974 ARM, (12 mo. LIBOR USD + 1.580%), 3.54%, 11/01/43 (b) | | | 147 | |
306,260 | | FN AU8673 ARM, (12 mo. LIBOR USD + 1.530%), 3.53%, 2/01/44 (b) | | | 317 | |
1,044,543 | | FN AZ2886 ARM, (12 mo. LIBOR USD + 1.600%), 2.65%, 9/01/45 (b) | | | 1,071 | |
788,513 | | FN AZ4380 ARM, (12 mo. LIBOR USD + 1.590%), 2.54%, 8/01/45 (b) | | | 812 | |
1,158,484 | | FN BD2473 ARM, (12 mo. LIBOR USD + 1.620%), 2.50%, 1/01/47 (b) | | | 1,193 | |
584,551 | | FN BE7522 15YR, 2.50%, 2/01/32 | | | 613 | |
604,196 | | FN BJ9215 30YR, 4.00%, 6/01/48 | | | 645 | |
743,255 | | FN BK4740 30YR, 4.00%, 8/01/48 | | | 793 | |
1,203,475 | | FN BM3938 15YR, 3.50%, 4/01/33 | | | 1,293 | |
945,977 | | FN BM4153 15YR, 3.00%, 6/01/33 | | | 1,005 | |
929,851 | | FN BO3231 ARM, (12 mo. LIBOR USD + 1.620%), 2.73%, 10/01/49 (b) | | | 967 | |
1,262,084 | | FN CA2469 30YR, 4.00%, 10/01/48 | | | 1,346 | |
920,201 | | FN CA4462 15YR, 3.00%, 11/01/34 | | | 986 | |
998,895 | | FN MA2868 15YR, 2.50%, 1/01/32 | | | 1,047 | |
1,521,536 | | FN MA3124 15YR, 2.50%, 9/01/32 | | | 1,595 | |
2,500,000 | | FNCL 15YR, 2.50%, 15YR TBA (d) | | | 2,614 | |
162,549 | | FNR2002-10-FA, (1 mo. LIBOR USD + 0.750%), 1.24%, 2/25/32 (b) | | | 160 | |
913,714 | | FR SB8010 15YR, 2.50%, 10/01/34 | | | 957 | |
674,183 | | G2 778200, 4.00%, 2/20/32 | | | 729 | |
430,746 | | G2 778203, 4.75%, 2/20/32 | | | 473 | |
1,031,975 | | G2 AD0857, 3.75%, 9/20/33 | | | 1,109 | |
360,850 | | G2 AY5132, 3.25%, 7/20/37 | | | 384 | |
735,230 | | G2 AY5138, 3.25%, 12/20/37 | | | 789 | |
807,379 | | GN 728153, 5.50%, 10/15/29 | | | 879 | |
441,655 | | GN 737791 30YR, 4.50%, 12/15/40 | | | 493 | |
5,409,781 | | GNR2014-79 ST, 1.65%, 7/20/29 (c) | | | 95 | |
Total Mortgage Backed (Cost - $39,129) | | | 39,741 | |
22 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
NCUA Guaranteed (0%) | | | | |
161,507 | | NCUA Guaranteed Notes Trust2010-R3, 2.40%, 12/08/20
(Cost - $161) | | | $162 | |
U.S. Treasury (6%) | | | | |
2,500,000 | | U.S. Treasury Bill, 0.05%, 5/14/20 (e)
(Cost - $2,500) | | | 2,500 | |
Investment Company (2%) | | | | |
818,958 | | Payden Cash Reserves Money Market Fund *
(Cost - $819) | | | 819 | |
Total Investments (Cost - $44,898) (108%) | | | 45,585 | |
Liabilities in excess of Other Assets(-8%) | | | (3,344) | |
Net Assets (100%) | | | $42,241 | |
| | | | | | |
| (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, 2020. |
| (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. |
| (d) | Security was purchased on a delayed delivery basis. |
| (e) | Yield to maturity at time of purchase. |
See notes to financial statements.
Semi-Annual Report 23
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 | | | 97 | % |
U.S. Government Agency | | | 1 | % |
Investment Company | | | 1 | % |
Other | | | 2 | % |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
FDIC Guaranteed (0%) | | | | |
250,720 | | FDIC Guaranteed Notes Trust2010-S2 144A, (1 mo. LIBOR USD + 0.700%),
1.07%, 12/29/45 (a)(b)
(Cost - $251) | | $ | 251 | |
Mortgage Backed (133%) | | | | |
786,181 | | FH 2B4763 ARM, (12 mo. LIBOR USD + 1.620%), 2.60%, 10/01/45 (a) | | | 811 | |
749,939 | | FN BM2007 30YR, 4.00%, 9/01/48 | | | 799 | |
626,547 | | FN MA3521 30YR, 4.00%, 11/01/48 | | | 668 | |
8,640,000 | | FNCL, 4.00%, 30YR TBA (c) | | | 9,203 | |
125,843 | | FNR2007-110 FA, (1 mo. LIBOR USD +0.620%), 1.11%, 12/25/37 (a) | | | 126 | |
523,058 | | FNR2010-86 FE, (1 mo. LIBOR USD + 0.450%), 0.94%, 8/25/25 (a) | | | 522 | |
378,499 | | G2 3711 30YR, 5.50%, 5/20/35 | | | 428 | |
492,554 | | G2 3747 30YR, 5.00%, 8/20/35 | | | 554 | |
302,463 | | G2 3772 30YR, 5.00%, 10/20/35 | | | 341 | |
545,407 | | G2 3785 30YR, 5.00%, 11/20/35 | | | 613 | |
689,807 | | G2 4802 30YR, 5.00%, 9/20/40 | | | 774 | |
2,437,981 | | G2 4853 30YR, 4.00%, 11/20/40 | | | 2,700 | |
376,552 | | G2 4978 30YR, 4.50%, 3/20/41 | | | 415 | |
698,495 | | G2 5055 30YR, 4.50%, 5/20/41 | | | 770 | |
889,977 | | G2 5083 30YR, 5.00%, 6/20/41 | | | 997 | |
1,253,648 | | G2 5115 30YR, 4.50%, 7/20/41 | | | 1,381 | |
413,374 | | G2 5140 30YR, 4.50%, 8/20/41 | | | 455 | |
2,459,374 | | G2 5258 30YR, 3.50%, 12/20/41 | | | 2,696 | |
613,244 | | G2 770239 30YR, 4.00%, 2/20/42 | | | 678 | |
180,922 | | G2 80013 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.13%, 11/20/26 (a) | | | 182 | |
403,737 | | G2 80029 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%, 1/20/27 (a) | | | 416 | |
440,522 | | G2 80044 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%, 2/20/27 (a) | | | 454 | |
574,057 | | G2 80052 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%, 3/20/27 (a) | | | 591 | |
450,017 | | G2 80059 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.88%, 4/20/27 (a) | | | 465 | |
30,666 | | G2 8006 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
7/20/22 (a) | | | 31 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,002,491 | | G2 80074 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.88%,
5/20/27 (a) | | $ | 1,035 | |
1,805,054 | | G2 80152 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
1/20/28 (a) | | | 1,861 | |
501,631 | | G2 80154 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
1/20/28 (a) | | | 517 | |
794,839 | | G2 80169 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
2/20/28 (a) | | | 819 | |
1,174,740 | | G2 80184 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.88%,
4/20/28 (a) | | | 1,214 | |
60,905 | | G2 80311 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
8/20/29 (a) | | | 63 | |
1,051,706 | | G2 80319 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
9/20/29 (a) | | | 1,088 | |
140,928 | | G2 8041 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%, 8/20/22 (a) | | | 142 | |
61,993 | | G2 80424 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
7/20/30 (a) | | | 62 | |
153,292 | | G2 80428 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
7/20/30 (a) | | | 160 | |
340,804 | | G2 80541 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
9/20/31 (a) | | | 353 | |
241,869 | | G2 80569 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
1/20/32 (a) | | | 250 | |
57,898 | | G2 80579 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
2/20/32 (a) | | | 60 | |
841,000 | | G2 80637 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
9/20/32 (a) | | | 871 | |
24 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,734,050 | | G2 80795 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.13%,
12/20/33 (a) | | $ | 1,799 | |
770,702 | | G2 80826 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
2/20/34 (a) | | | 797 | |
1,096,944 | | G2 80835 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
2/20/34 (a) | | | 1,134 | |
177,587 | | G2 80837 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
2/20/34 (a) | | | 183 | |
194,813 | | G2 81018 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
8/20/34 (a) | | | 202 | |
8,232 | | G2 81044 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
8/20/34 (a) | | | 8 | |
22,689 | | G2 8121 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
1/20/23 (a) | | | 23 | |
630,754 | | G2 81214 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
1/20/35 (a) | | | 652 | |
258,035 | | G2 81220 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
1/20/35 (a) | | | 267 | |
221,381 | | G2 81278 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%, 3/20/35 (a) | | | 229 | |
1,024,614 | | G2 81282 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
3/20/35 (a) | | | 1,059 | |
1,199,753 | | G2 82074 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.88%,
5/20/38 (a) | | | 1,241 | |
818,597 | | G2 82107 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
7/20/38 (a) | | | 848 | |
114,176 | | G2 82151 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
9/20/38 (a) | | | 115 | |
36,310 | | G2 8228 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%,
7/20/23 (a) | | | 37 | |
1,502,996 | | G2 82457 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
1/20/40 (a) | | | 1,548 | |
996,540 | | G2 82463 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
1/20/40 (a) | | | 1,027 | |
721,977 | | G2 82737 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%,
2/20/41(a) | | | 742 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
211,482 | | G2 83031 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%, 1/20/42 (a) | | $ | 214 | |
87,867 | | G2 8358 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%, 1/20/24 (a) | | | 90 | |
384,078 | | G2 8547 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.13%, 11/20/24 (a) | | | 395 | |
55,608 | | G2 8595 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 4.00%, 2/20/25 (a) | | | 57 | |
10,896 | | G2 8855 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.13%, 10/20/21 (a) | | | 11 | |
201,220 | | G2 8968 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.25%, 9/20/26 (a) | | | 207 | |
695,333 | | G2 8991 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.13%, 10/20/26 (a) | | | 717 | |
1,288,196 | | G2 AY5132, 3.25%, 7/20/37 | | | 1,370 | |
1,471,255 | | G2 AY5138, 3.25%, 12/20/37 | | | 1,578 | |
595,822 | | G2 MA0312, 3.50%, 8/20/42 | | | 625 | |
786,377 | | G2 MA0387, 3.50%, 9/20/42 | | | 825 | |
2,790,491 | | G2 MA0698 30YR, 3.00%, 1/20/43 | | | 2,990 | |
2,967,046 | | G2 MA1012 30YR, 3.50%, 5/20/43 | | | 3,253 | |
2,723,602 | | G2 MA1089 30YR, 3.00%, 6/20/43 | | | 2,918 | |
2,537,819 | | G2 MA1520 30YR, 3.00%, 12/20/43 | | | 2,719 | |
2,711,391 | | G2 MA2304 30YR, 4.00%, 10/20/44 | | | 2,967 | |
2,362,545 | | G2 MA2522 30YR, 4.00%, 1/20/45 | | | 2,584 | |
1,460,783 | | G2 MA3454 30YR, 3.50%, 2/20/46 | | | 1,585 | |
2,678,746 | | G2 MA3662 30YR, 3.00%, 5/20/46 | | | 2,865 | |
2,953,063 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 3,181 | |
2,688,794 | | G2 MA3735 30YR, 3.00%, 6/20/46 | | | 2,875 | |
2,609,823 | | G2 MA3802 30YR, 3.00%, 7/20/46 | | | 2,790 | |
2,467,422 | | G2 MA3936 30YR, 3.00%, 9/20/46 | | | 2,640 | |
1,272,505 | | G2 MA4069 30YR, 3.50%, 11/20/46 | | | 1,369 | |
634,212 | | G2 MA4126 30YR, 3.00%, 12/20/46 | | | 679 | |
342,924 | | G2 MA4127 30YR, 3.50%, 12/20/46 | | | 366 | |
2,186,291 | | G2 MA4195 30YR, 3.00%, 1/20/47 | | | 2,334 | |
875,135 | | G2 MA4197 30YR, 4.00%, 1/20/47 | | | 942 | |
1,026,966 | | G2 MA4262 30YR, 3.50%, 2/20/47 | | | 1,100 | |
647,562 | | G2 MA4263 30YR, 4.00%, 2/20/47 | | | 697 | |
1,245,099 | | G2 MA4321 30YR, 3.50%, 3/20/47 | | | 1,331 | |
1,439,018 | | G2 MA4322 30YR, 4.00%, 3/20/47 | | | 1,562 | |
630,176 | | G2 MA4510 30YR, 3.50%, 6/20/47 | | | 671 | |
1,669,127 | | G2 MA4719 30YR, 3.50%, 9/20/47 | | | 1,785 | |
1,473,744 | | G2 MA4721 30YR, 4.50%, 9/20/47 | | | 1,612 | |
1,008,898 | | G2 MA4962 30YR, 3.50%, 1/20/48 | | | 1,079 | |
1,204,239 | | G2 MA5021 30YR, 4.50%, 2/20/48 | | | 1,310 | |
1,156,347 | | G2 MA5265 30YR, 4.50%, 6/20/48 | | | 1,249 | |
1,576,434 | | G2 MA6283 30YR, 3.00%, 11/20/49 | | | 1,682 | |
1,220,000 | | G2SF, 2.50%, 30YR TBA (c) | | | 1,288 | |
2,280,000 | | G2SF, 2.50%, 30YR TBA (c) | | | 2,401 | |
8,220,000 | | G2SF, 3.00%, 30YR TBA (c) | | | 8,751 | |
22,000,000 | | G2SF, 3.50%, 30YR TBA (c) | | | 23,339 | |
473,682 | | GN 366983 30YR, 4.00%, 6/15/41 | | | 514 | |
Semi-Annual Report 25
Payden GNMA Fundcontinued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,077,664 | | GN 455989, 5.00%, 7/15/26 | | $ | 1,193 | |
158,039 | | GN 558954, 5.25%, 5/15/29 | | | 175 | |
647,877 | | GN 558956, 4.50%, 6/15/29 | | | 713 | |
247,993 | | GN 605099 30YR, 5.50%, 3/15/34 | | | 280 | |
530,034 | | GN 616826 30YR, 5.50%, 1/15/35 | | | 595 | |
1,294,713 | | GN 710868 30YR, 5.50%, 9/15/39 | | | 1,453 | |
487,962 | | GN 728153, 5.50%, 10/15/29 | | | 531 | |
213,899 | | GN 728159, 5.25%, 11/15/29 | | | 236 | |
220,198 | | GN 781636 30YR, 5.50%, 7/15/33 | | | 249 | |
239,908 | | GN 781810 30YR, 5.50%, 10/15/34 | | | 271 | |
331,774 | | GNR2001-35 FA, (1 mo. LIBOR USD + 0.250%), 1.04%, 8/16/31 (a) | | | 332 | |
145,619 | | GNR2002-13 FA, (1 mo. LIBOR USD + 0.500%), 1.29%, 2/16/32 (a) | | | 146 | |
250,761 | | GNR2002-72 FA, (1 mo. LIBOR USD + 0.400%), 1.12%, 10/20/32 (a) | | | 251 | |
115,350 | | GNR2002-72 FB, (1 mo. LIBOR USD + 0.400%), 1.12%, 10/20/32 (a) | | | 115 | |
837,697 | | GNR2002-72 FE, (1 mo. LIBOR USD + 0.400%), 1.12%, 10/20/32 (a) | | | 837 | |
744,641 | | GNR2003-71 FC, (1 mo. LIBOR USD + 0.500%), 1.22%, 7/20/33 (a) | | | 745 | |
775,209 | | GNR2003-94 FB, (1 mo. LIBOR USD + 0.300%), 1.09%, 12/16/30 (a) | | | 774 | |
1,435,304 | | GNR2004-56 F, (1 mo. LIBOR USD + 0.400%), 1.12%, 6/20/33 (a) | | | 1,433 | |
842,417 | | GNR2004-59 FH, (1 mo. LIBOR USD + 0.250%), 1.04%, 8/16/34 (a) | | | 837 | |
722,635 | | GNR2004-86 FG, (1 mo. LIBOR USD + 0.400%), 1.12%, 7/20/34 (a) | | | 721 | |
1,429,951 | | GNR2006-60 FK, (1 mo. LIBOR USD + 0.200%), 0.99%, 11/20/36 (a) | | | 1,419 | |
1,032,151 | | GNR2007-54 FC, (1 mo. LIBOR USD + 0.260%), 0.98%, 9/20/37 (a) | | | 1,025 | |
408,947 | | GNR2007-76 FB, (1 mo. LIBOR USD + 0.500%), 1.22%, 11/20/37 (a) | | | 409 | |
1,247,421 | | GNR2008-11 FB, (1 mo. LIBOR USD + 0.600%), 1.32%, 2/20/38 (a) | | | 1,253 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
308,850 | | GNR2008-2 FH, (1 mo. LIBOR USD + 0.450%), 1.17%, 1/20/38 (a) | | $ | 309 | |
1,400,042 | | GNR2008-67 UF, (1 mo. LIBOR USD + 0.450%), 1.17%, 6/20/38 (a) | | | 1,399 | |
619,119 | | GNR2011-153 LF, (1 mo. LIBOR USD + 0.250%), 1.04%, 7/16/41 (a) | | | 613 | |
626,953 | | GNR2012-18 AF, (1 mo. LIBOR USD + 0.300%), 1.02%, 2/20/38 (a) | | | 623 | |
639,730 | | GNR2012-76 GF, (1 mo. LIBOR USD + 0.300%), 1.09%, 6/16/42 (a) | | | 634 | |
12,562,137 | | GNR2014-79 ST, 1.65%, 7/20/29 (d) | | | 222 | |
383,709 | | GNR2015-159 AH, 2.50%, 5/20/43 | | | 397 | |
782,445 | | GNR2017-68 AF, (1 mo. LIBOR USD + 0.350%), 1.33%, 5/20/47 (a) | | | 779 | |
Total Mortgage Backed (Cost - $159,491) | | | 163,962 | |
U.S. Treasury (2%) | | | | |
2,000,000 | | U.S. Treasury Bill, 0.05%, 5/14/20 (e)
(Cost-$2,000) | | | 2,000 | |
Investment Company (2%) | | | | |
2,186,087 | | Payden Cash Reserves Money Market Fund * (Cost - $2,186) | | | 2,186 | |
Total Investments (Cost - $163,928) (137%) | | | 168,399 | |
Liabilities in excess of Other Assets(-37%) | | | (45,041 | ) |
Net Assets (100%) | | $ | 123,358 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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) | Security was purchased on a delayed delivery basis. |
| (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. |
| (e) | Yield to maturity at time of purchase. |
See notes to financial statements.
26 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 securities with no limit on the average portfolio maturity.
| | | | |
| Portfolio Composition -percent of investments | |
Corporate Bond | | | 37 | % |
Mortgage Backed | | | 30 | % |
U.S. Treasury | | | 17 | % |
Asset Backed | | | 7 | % |
Foreign Government | | | 3 | % |
Other | | | 6 | % |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (7%) | | | | |
2,000,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 3.59%, 7/18/27 (a)(b) | | $ | 1,676 | |
3,065,000 | | Atrium XII 144A, (3 mo. LIBOR USD + 2.800%), 3.90%, 4/22/27 (a)(b) | | | 2,509 | |
2,508,685 | | BlueMountain CLO2015-2 Ltd. 144A, (3 mo. LIBOR USD + 0.930%), 2.07%, 7/18/27 (a)(b) | | | 2,437 | |
3,047,613 | | CARS-DB4 LP 144A, 3.25%,
2/15/50 (b) | | | 2,911 | |
59,566 | | Chase Funding Trust Series2003-1, (1 mo. LIBOR USD + 0.660%), 1.15%, 11/25/32 | | | 58 | |
3,650,000 | | CIFC European Funding CLO II DAC 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 4/15/33
EUR (a)(b)(c) | | | 3,925 | |
2,000,000 | | CIFC Funding2017-III Ltd. 144A, (3 mo. LIBOR USD + 1.220%), 2.36%, 7/20/30 (a)(b) | | | 1,945 | |
1,700,000 | | CIFC Funding2017-III Ltd. 144A, (3 mo. LIBOR USD + 1.800%), 2.94%, 7/20/30 (a)(b) | | | 1,593 | |
3,950,000 | | CLNC2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 2.27%, 8/20/35 (a)(b) | | | 3,516 | |
4,370,877 | | Fannie Mae Grantor Trust2017-T1, 2.90%, 6/25/27 | | | 4,747 | |
2,600,000 | | First Investors Auto Owner Trust2016-2 144A, 2.53%, 7/15/22 (b) | | | 2,593 | |
1,300,000 | | Greystone Commercial Real Estate Notes2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 2.36%, 9/15/28 (a)(b) | | | 1,225 | |
3,000,000 | | Greystone Commercial Real Estate Notes2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.650%), 3.46%, 9/15/28 (a)(b) | | | 2,657 | |
1,600,000 | | Grippen Park CLO Ltd. 144A, (3 mo. LIBOR USD + 3.300%), 4.44%, 1/20/30 (a)(b) | | | 1,358 | |
1,950,000 | | Hunt CRE2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 2.26%, 8/15/28 (a)(b) | | | 1,533 | |
2,550,000 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 2.59%, 4/21/25 (a)(b) | | | 2,468 | |
627,585 | | L.A. Arena Funding LLC 144A, 7.66%,
12/15/26 (b) | | | 614 | |
1,750,000 | | LCM XXI LP 144A, (3 mo. LIBOR USD + 2.000%), 3.14%, 4/20/28 (a)(b) | | | 1,627 | |
2,400,000 | | Man GLG Euro CLO 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 10/15/32 EUR (a)(b)(c) | | | 2,611 | |
2,700,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.96%, 6/15/28 (a)(b) | | | 2,519 | |
3,628,831 | | NP SPE II LLC 144A, 2.86%, 11/19/49(b) | | | 3,666 | |
2,603,475 | | Planet Fitness Master Issuer LLC 144A, 3.86%, 12/05/49(b) | | | 1,847 | |
1,900,000 | | Regatta Funding LP2013-2A 144A, (3 mo. LIBOR USD + 2.700%), 3.92%, 1/15/29 (a)(b) | | | 1,747 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,250,000 | | Sound Point Euro CLO III Funding DAC 144A, (3 mo. EURIBOR + 0.950%), 0.95%, 4/15/33
EUR (a)(b)(c) | | $ | 2,355 | |
3,800,000 | | St Paul’s CLO XII DAC 144A, (3 mo. EURIBOR + 0.920%), 0.92%, 4/15/33 EUR (a)(b)(c) | | | 3,998 | |
2,260,000 | | STWD2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.400%), 2.21%, 7/15/38 (a)(b) | | | 2,006 | |
2,458,875 | | Taco Bell Funding LLC 144A, 4.32%, 11/25/48 (b) | | | 2,522 | |
1,900,000 | | Voya Euro CLO III DAC 144A, (3 mo. EURIBOR + 0.920%), 0.92%, 4/15/33 EUR (a)(b)(c) | | | 1,988 | |
2,730,000 | | Westlake Automobile Receivables Trust2020-1 144A, 2.80%,
6/16/25 (b) | | | 2,563 | |
2,267,100 | | Wingstop Funding2018-1 LLC 144A, 4.97%, 12/05/48(b) | | | 2,311 | |
Total Asset Backed (Cost - $73,847) | | | 69,525 | |
Bank Loans(d) (2%) | | | | |
875,000 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (3 mo. EURIBOR + 3.750%), 3.75%, 1/20/27 EUR (c) | | | 912 | |
1,942,431 | | Altice France SA Term Loan B11 1L, (LIBOR USD1-Month + 2.750%), 3.15%, 7/31/25 | | | 1,789 | |
1,368,938 | | Dole Food Co. Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.750%), 3.75%, 4/06/24 | | | 1,323 | |
1,100,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%), 2.63%, 1/31/27 EUR (c) | | | 1,142 | |
952,112 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD3-Month + 2.750%), 3.74%, 10/22/25 | | | 928 | |
1,928,508 | | Harbor Freight Tools USA Inc. Term Loan 1L, (LIBOR USD1-Month + 2.500%), 3.25%, 8/16/23 | | | 1,831 | |
1,194,837 | | Hilton Worldwide Finance LLC Term Loan B2 1L, (LIBOR USD1-Month + 1.750%), 2.24%, 6/21/26 | | | 1,139 | |
1,942,538 | | Infor U.S. Inc. Term Loan B6 1L, (LIBOR USD1-Month + 2.750%), 3.75%, 2/01/22 | | | 1,915 | |
1,945,000 | | Mauser Packaging Solutions Holding Co. Term Loan B 1L, (LIBOR USD3-Month + 3.250%), 4.56%, 4/03/24 | | | 1,689 | |
Semi-Annual Report 27
Payden Core Bond Fundcontinued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
900,000 | | T-Mobile USA Inc. Term Loan B 1L, (LIBOR USD3-Month + 3.000%), 4.94%, 4/01/27 | | $ | 895 | |
3,767,625 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 5/30/25 | | | 3,480 | |
| |
Total Bank Loans (Cost - $18,112) | | | 17,043 | |
| |
Corporate Bond (38%) | | | | |
Financial (14%) | | | | |
1,450,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 1,380 | |
1,650,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 1,625 | |
2,055,000 | | ASB Bank Ltd. 144A, 3.75%, 6/14/23 (b) | | | 2,170 | |
1,120,000 | | Banco de Credito del Peru 144A, 2.70%,
1/11/25 (b) | | | 1,095 | |
5,205,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.060%), 3.56%, 4/23/27 | | | 5,623 | |
3,145,000 | | Bank of Montreal, (5 yr. Swap Semi 30/360 USD + 1.280%), 4.34%, 10/05/28 | | | 3,303 | |
900,000 | | BBVA USA, 3.88%, 4/10/25 | | | 913 | |
3,000,000 | | BNP Paribas SA 144A, (U.S. Secured Overnight Financing Rate + 1.507%), 3.05%, 1/13/31 (a)(b) | | | 3,025 | |
3,235,000 | | Canadian Imperial Bank of Commerce, 3.10%, 4/02/24 | | | 3,368 | |
2,675,000 | | Charles Schwab Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.971%), 5.38% (e) | | | 2,745 | |
975,000 | | CIT Group Inc., (3 mo. LIBOR USD + 3.972%), 5.80%, (e)(f) | | | 765 | |
2,905,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.897%), 3.35%, 4/24/25 | | | 3,057 | |
2,235,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.560%), 2.59%, 9/11/25 (a)(b) | | | 2,233 | |
835,000 | | Diversified Healthcare Trust, 4.75%, 5/01/24 | | | 694 | |
1,250,000 | | Equinix Inc., 2.88%, 10/01/25 EUR (c) | | | 1,387 | |
2,700,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.05%, 2/10/25 (b) | | | 2,715 | |
2,315,000 | | First Midwest Bancorp Inc., 5.88%, 9/29/26 | | | 2,354 | |
2,550,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%), 2.93%, 2/15/23 | | | 2,156 | |
1,340,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 1,226 | |
1,385,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 1,238 | |
2,595,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 2,479 | |
2,500,000 | | FS KKR Capital Corp. II 144A, 4.25%,
2/14/25 (b) | | | 2,049 | |
2,055,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 2,048 | |
1,315,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,402 | |
1,000,000 | | Goldman Sachs Group Inc., 3.63%, 2/20/24 | | | 1,061 | |
2,530,000 | | Huntington Bancshares Inc., 2.55%, 2/04/30 | | | 2,448 | |
4,305,000 | | JP Morgan Chase & Co., (3 mo. LIBOR USD + 0.730%), 3.56%, 4/23/24 | | | 4,554 | |
3,450,000 | | KKR Group Finance Co. II LLC 144A, 5.50%, 2/01/43 (b) | | | 3,906 | |
2,450,000 | | Lincoln National Corp., 7.00%, 6/15/40 | | | 3,275 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,350,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b) | | $ | 2,401 | |
2,750,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.372%), 3.76%, 11/28/28 (a)(b) | | | 2,870 | |
2,455,000 | | Manulife Financial Corp., (USD Swap Rate 11:00 am NY 1 + 1.647%), 4.06%, 2/24/32 | | | 2,528 | |
1,789,000 | | Massachusetts Mutual Life Insurance Co. 144A, 3.73%, 10/15/70 (b) | | | 1,824 | |
2,200,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.847%), 3.74%, 4/24/24 | | | 2,335 | |
2,040,000 | | Muthoot Finance Ltd. 144A, 6.13%, 10/31/22 (b) | | | 1,855 | |
2,300,000 | | National Securities Clearing Corp. 144A, 1.50%, 4/23/25 (b) | | | 2,313 | |
1,500,000 | | Nationwide Building Society 144A, (3 mo. LIBOR USD + 1.452%), 4.30%, 3/08/29 (a)(b) | | | 1,647 | |
2,000,000 | | Nationwide Financial Services Inc. 144A, 5.30%, 11/18/44 (b) | | | 2,324 | |
1,300,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39 (b) | | | 2,170 | |
2,100,000 | | Ohio National Life Insurance Co. 144A, 6.88%, 6/15/42 (b) | | | 2,381 | |
2,100,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 1,909 | |
1,450,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39 (b) | | | 2,471 | |
2,850,000 | | PNC Financial Services Group Inc., 2.60%, 7/23/26 | | | 2,980 | |
2,345,000 | | Protective Life Corp. 144A, 4.30%, 9/30/28 (b) | | | 2,666 | |
1,700,000 | | Royal Bank of Canada, 1.60%, 4/17/23 | | | 1,709 | |
1,700,000 | | Service Properties Trust, 5.25%, 2/15/26 | | | 1,412 | |
4,470,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (b) | | | 3,433 | |
2,740,000 | | SLM Corp., 5.13%, 4/05/22 | | | 2,527 | |
1,560,000 | | Synchrony Bank, 3.00%, 6/15/22 | | | 1,533 | |
227,000 | | Teachers Insurance & Annuity Association of America 144A, 6.85%, 12/16/39 (b) | | | 348 | |
3,000,000 | | Toronto-Dominion Bank, 2.65%, 6/12/24 | | | 3,133 | |
2,995,000 | | Transatlantic Holdings Inc., 8.00%, 11/30/39 | | | 4,387 | |
2,035,000 | | WEA Finance LLC 144A, 4.63%, 9/20/48 (b) | | | 1,877 | |
1,450,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 2.530%), 3.07%, 4/30/41 | | | 1,444 | |
3,640,000 | | Wells Fargo & Co., (3 mo. LIBOR USD + 1.170%), 3.20%, 6/17/27 | | | 3,855 | |
| | | | | 126,626 | |
Industrial (17%) | | | | |
1,450,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 5.00%,
10/15/25 (b) | | | 1,465 | |
2,950,000 | | AbbVie Inc. 144A, 2.60%, 11/21/24 (b) | | | 3,075 | |
2,125,000 | | AbbVie Inc. 144A, 4.05%,
11/21/39 (b) | | | 2,367 | |
2,850,000 | | Alimentation Couche-Tard Inc. 144A, 3.80%, 1/25/50 (b) | | | 2,705 | |
3,318,113 | | American Airlines2019-1 Class AA Pass-Through Trust, 3.15%, 2/15/32 | | | 2,860 | |
2,655,000 | | American University, 3.67%, 4/01/49 | | | 2,910 | |
2,575,000 | | Amgen Inc., 3.38%, 2/21/50 | | | 2,796 | |
28 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,400,000 | | Anheuser-Busch InBev Worldwide Inc., 4.60%, 4/15/48 | | $ | 2,671 | |
650,000 | | AT&T Inc., 2.95%, 7/15/26 | | | 683 | |
4,810,000 | | AT&T Inc., 4.35%, 3/01/29 | | | 5,415 | |
1,755,000 | | Bayer U.S. Finance II LLC 144A, 3.88%, 12/15/23 (b) | | | 1,866 | |
2,710,000 | | Boise Cascade Co. 144A, 5.63%, 9/01/24 (b) | | | 2,716 | |
2,760,000 | | Bristol-Myers Squibb Co. 144A, 4.13%,
6/15/39 (b) | | | 3,432 | |
1,900,000 | | British Telecommunications PLC 144A, 4.25%, 11/08/49 (b) | | | 2,110 | |
4,470,000 | | Broadcom Inc. 144A, 3.63%, 10/15/24 (b) | | | 4,719 | |
3,590,000 | | Centene Corp. 144A, 3.38%, 2/15/30 (b) | | | 3,628 | |
2,640,000 | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | | | 2,740 | |
2,870,000 | | Cigna Corp., (3 mo. LIBOR USD + 0.650%), 1.49%, 9/17/21 | | | 2,822 | |
3,350,000 | | Cigna Corp. 144A, 3.05%, 11/30/22 (b) | | | 3,475 | |
4,335,000 | | Cigna Corp., 4.13%, 11/15/25 | | | 4,867 | |
1,205,000 | | Cigna Corp., 4.80%, 8/15/38 | | | 1,474 | |
1,920,000 | | Coca-Cola Co., 2.50%, 6/01/40 | | | 1,921 | |
1,860,000 | | Costco Wholesale Corp., 1.60%, 4/20/30 | | | 1,852 | |
1,250,000 | | Crown European Holdings SA, 2.88%, 2/01/26 EUR (c)(g) | | | 1,386 | |
3,270,000 | | Daimler Finance North America LLC 144A, (3 mo. LIBOR USD + 0.840%), 1.40%,
5/04/23 (a)(b) | | | 2,923 | |
700,000 | | DaVita Inc., 5.13%, 7/15/24 | | | 714 | |
2,900,000 | | DH Europe Finance II Sarl, 3.25%, 11/15/39 | | | 3,158 | |
1,695,000 | | Dignity Health, 3.13%, 11/01/22 | | | 1,701 | |
1,165,000 | | Dignity Health, 4.50%, 11/01/42 | | | 1,218 | |
2,100,000 | | Dollar Tree Inc., 3.70%, 5/15/23 | | | 2,205 | |
1,035,000 | | Equifax Inc., 3.10%, 5/15/30 | | | 1,046 | |
2,785,000 | | General Electric Co., 6.75%, 3/15/32 | | | 3,458 | |
2,040,000 | | HCA Inc., 5.00%, 3/15/24 | | | 2,216 | |
950,000 | | Home Depot Inc., 2.70%, 4/15/30 | | | 1,018 | |
1,100,000 | | Home Depot Inc., 3.35%, 4/15/50 | | | 1,222 | |
1,980,000 | | JD.com Inc., 3.38%, 1/14/30 | | | 2,054 | |
2,380,000 | | Keurig Dr Pepper Inc., 3.20%, 11/15/21 | | | 2,430 | |
1,725,000 | | Keurig Dr Pepper Inc., 4.42%, 5/25/25 | | | 1,933 | |
1,323,744 | | Latam Airlines2015-1 Pass-Through Trust A, 4.20%, 11/15/27 | | | 1,046 | |
3,000,000 | | Lennar Corp., 4.75%, 11/29/27 | | | 3,089 | |
2,500,000 | | Lowe’s Cos. Inc., 5.00%, 4/15/40 | | | 3,107 | |
2,035,000 | | NIKE Inc., 3.38%, 3/27/50 | | | 2,288 | |
1,500,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 1,577 | |
1,045,000 | | Northwell Healthcare Inc., 6.15%, 11/01/43 | | | 1,339 | |
935,000 | | NXP BV/NXP Funding LLC / NXP USA Inc. 144A, 3.40%, 5/01/30 (b) | | | 939 | |
700,000 | | Open Text Corp. 144A, 3.88%, 2/15/28 (b) | | | 689 | |
875,000 | | Oracle Corp., 2.50%, 4/01/25 | | | 922 | |
1,450,000 | | Oracle Corp., 3.60%, 4/01/50 | | | 1,661 | |
3,015,000 | | Orange SA, 9.00%, 3/01/31 | | | 4,794 | |
2,340,000 | | Otis Worldwide Corp. 144A, 2.29%, 4/05/27 (b) | | | 2,369 | |
1,001,000 | | Perrigo Finance Unlimited Co., 3.50%, 12/15/21 | | | 998 | |
2,360,000 | | Prosus NV 144A, 3.68%, 1/21/30 (b) | | | 2,370 | |
1,600,000 | | Sabre GLBL Inc. 144A, 5.38%, 4/15/23 (b) | | | 1,496 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,485,000 | | Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | | $ | 1,508 | |
4,060,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21 (b) | | | 4,042 | |
890,000 | | Target Corp., 2.65%, 9/15/30 | | | 957 | |
1,685,000 | | Tencent Holdings Ltd. 144A, 3.98%, 4/11/29 (b) | | | 1,905 | |
383,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 375 | |
2,355,000 | | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | | | 2,064 | |
1,110,000 | | TJX Companies Inc., 3.88%, 4/15/30 | | | 1,243 | |
720,000 | | TJX Cos. Inc., 3.50%, 4/15/25 | | | 777 | |
4,820,000 | | Toledo Hospital, 6.02%, 11/15/48 | | | 5,141 | |
2,100,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 2,121 | |
2,480,000 | | UnitedHealth Group Inc., 3.88%, 8/15/59 | | | 3,033 | |
2,400,000 | | Vodafone Group PLC, 5.25%, 5/30/48 | | | 3,010 | |
5,500,000 | | Volkswagen Group of America Finance LLC 144A, 4.25%, 11/13/23 (b) | | | 5,771 | |
3,680,000 | | Walmart Inc., 3.05%, 7/08/26 | | | 4,077 | |
3,895,000 | | Walt Disney Co., 2.75%, 9/01/49 | | | 3,772 | |
1,010,000 | | XPO Logistics Inc. 144A, 6.13%, 9/01/23 (b) | | | 1,028 | |
| | | | | 162,759 | |
| |
Utility (7%) | | | | |
2,350,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (b) | | | 2,303 | |
3,590,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (b) | | | 3,064 | |
1,890,000 | | Alliant Energy Finance LLC 144A, 3.75%, 6/15/23 (b) | | | 2,006 | |
1,170,000 | | Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp. 144A, 4.15%, 8/15/26 (b) | | | 1,232 | |
1,555,150 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 (b) | | | 1,405 | |
1,880,000 | | Consolidated Edison Co. of New York Inc., 3.95%, 4/01/50 | | | 2,257 | |
2,595,000 | | Duke Energy Corp., 4.20%, 6/15/49 | | | 3,187 | |
1,500,000 | | EnLink Midstream Partners LP, (3 mo. LIBOR USD + 4.110%), 6.00% (e) | | | 427 | |
2,400,000 | | Entergy Louisiana LLC, 5.00%, 7/15/44 | �� | | 2,508 | |
2,960,000 | | Enterprise Products Operating LLC, 4.80%, 2/01/49 | | | 3,223 | |
1,800,000 | | EQM Midstream Partners LP, 4.75%, 7/15/23 | | | 1,709 | |
1,850,000 | | EQT Corp., 3.00%, 10/01/22 (f) | | | 1,755 | |
2,435,000 | | Evergy Inc., 2.90%, 9/15/29 | | | 2,509 | |
1,820,000 | | Exxon Mobil Corp., 2.99%, 3/19/25 | | | 1,946 | |
1,279,726 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (b) | | | 1,267 | |
2,760,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (b) | | | 1,770 | |
2,100,000 | | Interstate Power & Light Co., 3.50%, 9/30/49 | | | 2,297 | |
2,100,000 | | Kinder Morgan Inc., 5.30%, 12/01/34 | | | 2,257 | |
1,320,000 | | Lukoil Securities BV 144A, 3.88%, 5/06/30 (b) | | | 1,319 | |
2,355,000 | | Midwest Connector Capital Co. LLC 144A, 4.63%, 4/01/29 (b) | | | 2,393 | |
1,715,000 | | NiSource Inc., 3.65%, 6/15/23 | | | 1,832 | |
2,100,000 | | Occidental Petroleum Corp., 3.20%, 8/15/26 | | | 1,522 | |
2,000,000 | | ONEOK Partners LP, 6.65%, 10/01/36 | | | 1,911 | |
Semi-Annual Report 29
Payden Core Bond Fundcontinued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,000,000 | | Pertamina Persero PT 144A, 3.10%, 8/25/30 (b) | | $ | 1,865 | |
2,500,000 | | Petroleos Mexicanos 144A, 5.95%, 1/28/31 (b) | | | 1,823 | |
2,420,000 | | Petroleos Mexicanos 144A, 6.49%, 1/23/27 (b) | | | 1,980 | |
2,470,000 | | Plains All American Pipeline LP/PAA Finance Corp., 5.00%, 2/01/21 | | | 2,416 | |
2,600,000 | | Sabine Pass Liquefaction LLC, 6.25%, 3/15/22 | | | 2,684 | |
4,800,000 | | Sinopec Group Overseas Development 2016 Ltd. 144A, 2.00%, 9/29/21 (b) | | | 4,796 | |
1,355,000 | | SM Energy Co., 6.13%, 11/15/22 | | | 552 | |
1,430,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (b) | | | 1,472 | |
3,170,000 | | Vistra Operations Co. LLC 144A, 4.30%,
7/15/29 (b) | | | 3,161 | |
| | | | | 66,848 | |
| |
Total Corporate Bond (Cost - $350,716) | | | 356,233 | |
Foreign Government (3%) | | | | |
8,933,517 | | Brazil Notas do Tesouro Nacional Serie B, 6.00%, 8/15/28 BRL (c) | | | 1,924 | |
5,270,000 | | CPPIB Capital Inc. 144A, 1.95%, 9/30/29 CAD (b)(c) | | | 3,988 | |
3,690,000 | | Export-Import Bank of India 144A, 3.25%, 1/15/30 (b) | | | 3,409 | |
2,100,000 | | Honduras Government International Bond 144A, 8.75%, 12/16/20 (b) | | | 2,089 | |
1,940,000 | | Indonesia Government International Bond 144A, 3.75%, 6/14/28 EUR (b)(c) | | | 2,290 | |
1,500,000 | | Israel Government International Bond, 3.88%, 7/03/50 | | | 1,667 | |
3,200,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29 CAD (c) | | | 2,521 | |
1,950,000 | | Panama Government International Bond, 4.50%, 4/01/56 | | | 2,203 | |
2,240,000 | | Paraguay Government International Bond 144A, 4.95%, 4/28/31 (b) | | | 2,314 | |
8,600,000 | | Republic of Poland Government Bond, 2.50%, 4/25/24 PLN (c) | | | 2,293 | |
854,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 832 | |
2,960,000 | | Uruguay Government International Bond, 4.98%, 4/20/55 | | | 3,363 | |
| | | | | | |
Total Foreign Government (Cost - $28,814) | | | 28,893 | |
| | | | | | |
| |
Mortgage Backed (31%) | | | | |
53,695,482 | | BANK 2018-BNK14, 0.67%, 9/15/60 | | | 1,672 | |
49,911,103 | | Benchmark2018-B4 Mortgage Trust, 0.69%, 7/15/51 | | | 1,540 | |
2,030,000 | | BX Commercial Mortgage Trust2018-IND 144A, (1 mo. LIBOR USD + 2.050%), 2.86%,
11/15/35 (a)(b) | | | 1,855 | |
2,987,110 | | CHC Commercial Mortgage Trust2019-CHC 144A, (1 mo. LIBOR USD + 1.500%), 2.31%,
6/15/34 (a)(b) | | | 2,645 | |
2,191,392 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.64%, 11/25/39 (a)(b) | | | 1,844 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.74%, 11/25/39 (a)(b) | | $ | 3,160 | |
1,000,000 | | Connecticut Avenue Securities Trust2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 2.59%, 9/25/39 (a)(b) | | | 860 | |
303,453 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.720%), 1.21%, 1/25/31 | | | 303 | |
650,741 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.950%), 1.44%, 10/25/29 | | | 649 | |
97,730 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.300%), 1.79%, 4/25/29 | | | 98 | |
1,741,523 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%), 10.74%, 1/25/29 | | | 1,490 | |
498,685 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.750%), 11.24%, 1/25/29 | | | 387 | |
1,692,613 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%), 12.74%, 9/25/28 | | | 1,566 | |
3,440,000 | | FannieMae-Aces, 3.82%, 9/25/30 | | | 4,073 | |
3,819,062 | | FG Q12837 30YR, 3.00%, 11/01/42 | | | 4,083 | |
1,156,568 | | FG Q17641 30YR, 3.00%, 4/01/43 | | | 1,240 | |
5,744,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 2.62%, 1/25/23 | | | 6,018 | |
3,680,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 2.88%, 4/25/26 | | | 4,130 | |
1,642,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 2.94%, 4/25/29 | | | 1,882 | |
7,330,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 3.06%, 8/25/24 | | | 7,923 | |
8,836,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 3.60%, 2/25/25 | | | 9,748 | |
2,100,000 | | FN, 2.50%, 30YR TBA (h) | | | 2,184 | |
1,930,000 | | FN, 3.00%, 30YR TBA (h) | | | 2,038 | |
1,395,049 | | FN 254766 30YR, 5.00%, 6/01/33 | | | 1,589 | |
675,199 | | FN 725027 30YR, 5.00%, 11/01/33 | | | 772 | |
1,302,065 | | FN 725423 30YR, 5.50%, 5/01/34 | | | 1,491 | |
1,252,824 | | FN 725424 30YR, 5.50%, 4/01/34 | | | 1,434 | |
1,120,017 | | FN 995023 30YR, 5.50%, 8/01/37 | | | 1,281 | |
1,744,020 | | FN 995203 30YR, 5.00%, 7/01/35 | | | 1,994 | |
1,291,182 | | FN AH3394 30YR, 4.00%, 1/01/41 | | | 1,414 | |
1,313,105 | | FN AJ7689 30YR, 4.00%, 12/01/41 | | | 1,439 | |
2,643,492 | | FN AL2221 15YR, 3.00%, 7/01/27 | | | 2,801 | |
1,310,726 | | FN AL2521 30YR, 3.50%, 9/01/42 | | | 1,416 | |
6,606,624 | | FN AL9373 15YR, 2.50%, 10/01/31 | | | 6,983 | |
4,467,784 | | FN AS4168 30YR, 4.00%, 12/01/44 | | | 4,876 | |
2,974,778 | | FN AS4885 30YR, 3.50%, 5/01/45 | | | 3,201 | |
6,317,260 | | FN AS7170 30YR, 3.50%, 5/01/46 | | | 6,767 | |
5,132,819 | | FN AS8305 30YR, 3.00%, 11/01/46 | | | 5,465 | |
2,339,255 | | FN AS8592 15YR, 2.50%, 1/01/32 | | | 2,469 | |
4,805,750 | | FN AS8710 15YR, 2.50%, 2/01/32 | | | 5,080 | |
4,870,810 | | FN AS8807 30YR, 3.50%, 2/01/47 | | | 5,181 | |
4,904,169 | | FN AY4200 30YR, 3.00%, 5/01/45 | | | 5,220 | |
4,060,925 | | FN BE9567 30YR, 3.50%, 4/01/47 | | | 4,331 | |
2,889,027 | | FN BJ9215 30YR, 4.00%, 6/01/48 | | | 3,086 | |
2,917,641 | | FN BK4740 30YR, 4.00%, 8/01/48 | | | 3,114 | |
4,520,635 | | FN BM2007 30YR, 4.00%, 9/01/48 | | | 4,819 | |
809,129 | | FN BM4862 15YR, 3.00%, 8/01/31 | | | 855 | |
1,825,853 | | FN BM5108 15YR, 3.00%, 2/01/33 | | | 1,928 | |
4,896,524 | | FN BO4708 30YR, 3.00%, 11/01/49 | | | 5,178 | |
30 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
3,786,252 | | FN CA2469 30YR, 4.00%, 10/01/48 | | $ | 4,039 | |
6,236,580 | | FN FM1717 30YR, 3.50%, 12/01/45 | | | 6,731 | |
959,606 | | FN MA2671 30YR, 3.50%, 7/01/46 | | | 1,025 | |
3,330,691 | | FN MA2868 15YR, 2.50%, 1/01/32 | | | 3,491 | |
2,718,397 | | FN MA3155 15YR, 3.00%, 10/01/32 | | | 2,870 | |
6,654,183 | | FN MA3238 30YR, 3.50%, 1/01/48 | | | 7,069 | |
8,207,713 | | FN MA3356 30YR, 3.50%, 5/01/48 | | | 8,705 | |
7,881,374 | | FN MA3774 30YR, 3.00%, 9/01/49 | | | 8,335 | |
2,846,344 | | FN MA3870 30YR, 2.50%, 12/01/49 | | | 2,962 | |
6,705,344 | | FN MA3871 30YR, 3.00%, 12/01/49 | | | 7,091 | |
1,205,289 | | FR ZA4718 30YR, 3.00%, 10/01/46 | | | 1,283 | |
1,875,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 9/25/49 (a)(b) | | | 1,612 | |
1,000,000 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.14%, 1/25/49 (a)(b) | | | 900 | |
821,513 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 4/25/49 (a)(b) | | | 747 | |
3,540,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.89%, 2/25/49 (a)(b) | | | 3,142 | |
1,865,986 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%), 1.69%, 10/25/29 | | | 1,854 | |
803,846 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.300%), 1.79%, 4/25/29 | | | 802 | |
1,200,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 5.09%, 12/25/42 | | | 898 | |
1,241,755 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.000%), 10.49%, 7/25/29 | | | 736 | |
1,684,687 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.74%, 12/25/28 | | | 1,475 | |
4,265,548 | | G2 4853 30YR, 4.00%, 11/20/40 | | | 4,724 | |
1,869,876 | | G2 5115 30YR, 4.50%, 7/20/41 | | | 2,060 | |
102,677 | | G2 5140 30YR, 4.50%, 8/20/41 | | | 113 | |
1,398,706 | | G2 5175 30YR, 4.50%, 9/20/41 | | | 1,541 | |
4,508,267 | | G2 5258 30YR, 3.50%, 12/20/41 | | | 4,943 | |
3,320,403 | | G2 MA2522 30YR, 4.00%, 1/20/45 | | | 3,632 | |
4,721,329 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 5,085 | |
8,313,526 | | G2 MA3802 30YR, 3.00%, 7/20/46 | | | 8,889 | |
2,016,562 | | G2 MA4510 30YR, 3.50%, 6/20/47 | | | 2,148 | |
5,704,260 | | G2 MA6409 30YR, 3.00%, 1/20/50 | | | 6,086 | |
7,360,000 | | G2SF, 3.00%, 30YR TBA (h) | | | 7,835 | |
6,400,000 | | G2SF, 3.50%, 30YR TBA (h) | | | 6,789 | |
3,588,746 | | GN 783716 30YR, 3.00%, 2/15/43 | | | 3,840 | |
1,465,474 | | GN 784182 30YR, 4.50%, 8/15/46 | | | 1,619 | |
1,026,289 | | GN AA5452 30YR, 3.50%, 7/15/42 | | | 1,101 | |
61,460 | | HarborView Mortgage Loan Trust2004-10, 3.87%, 1/19/35 | | | 58 | |
165,142 | | JP Morgan Mortgage Trust2006-S2, 6.00%, 7/25/36 | | | 127 | |
1,492,404 | | JP Morgan Mortgage Trust2014-2 144A, 3.00%, 6/25/29 (b)(i) | | | 1,519 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
19,735 | | Landmark Mortgage Securities No 1 PLC, (3 mo. LIBOR GBP + 0.220%), 0.73%, 6/17/38 GBP (c)(g) | | $ | 23 | |
2,500,000 | | Madison Avenue Trust 2013-650M 144A, 4.17%, 10/12/32 (b)(i) | | | 2,504 | |
15,837,509 | | Morgan Stanley Capital I Trust2018-H3, 0.99%, 7/15/51 | | | 786 | |
18,825 | | Morgan Stanley Mortgage Loan Trust2004-5AR, 3.70%, 7/25/34 | | | 18 | |
1,560,000 | | Multifamily Connecticut Avenue Securities Trust2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.74%, 10/15/49 (a)(b) | | | 1,206 | |
6,000,000 | | Multifamily Connecticut Avenue Securities Trust2020-01 144A, (1 mo. LIBOR USD + 3.750%), 4.24%, 3/25/50 (a)(b) | | | 4,887 | |
367,282 | | Nationstar Mortgage Loan Trust2013-A 144A, 3.75%, 12/25/52 (b)(i) | | | 374 | |
655,743 | | New Residential Mortgage Loan Trust2014-3 144A, 3.75%, 11/25/54 (b)(i) | | | 673 | |
1,424,096 | | New Residential Mortgage Loan Trust2017-2 144A, 4.00%, 3/25/57 (b)(i) | | | 1,511 | |
64,925 | | Prime Mortgage Trust2005-4, 5.00%, 10/25/35 | | | 63 | |
1,236,450 | | Residential Asset Securitization Trust2006-A8, 6.00%, 8/25/36 | | | 889 | |
4,456,143 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.74%, 2/25/47 (a)(b) | | | 4,270 | |
3,325,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.89%, 2/25/47 (a)(b) | | | 2,498 | |
1,300,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.99%, 2/25/47 (a)(b) | | | 595 | |
421 | | Structured Asset Mortgage Investments Trust2003-CL1, 2.65%, 7/25/32 | | | — | |
408,131 | | WaMu Mortgage Pass-Through Certificates Series2007-HY7 Trust, 3.61%, 7/25/37 | | | 333 | |
Total Mortgage Backed (Cost - $289,890) | | | 294,078 | |
Municipal (2%) | | | | |
3,900,000 | | California Health Facilities Financing Authority, 2.86%, 6/01/31 | | | 3,852 | |
1,150,000 | | California Pollution Control Financing Authority 144A, 7.50%, 12/01/39 (b) | | | 182 | |
2,600,000 | | City of Portland OR, 7.70%, 6/01/22 | | | 2,791 | |
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 | | | 4,351 | |
1,495,000 | | State of California, 7.55%, 4/01/39 | | | 2,517 | |
1,000,000 | | State of Washington, 1.70%, 7/01/20 | | | 1,000 | |
365,000 | | University of California, 3.26%, 5/15/24 | | | 390 | |
Total Municipal (Cost - $15,501) | | | 15,855 | |
U.S. Treasury (18%) | | | | |
34,340,000 | | U.S. Treasury Bill, 0.05%, 5/05/20 (j) | | | 34,340 | |
1,395,000 | | U.S. Treasury Bond, 2.00%, 2/15/50 | | | 1,646 | |
16,814,000 | | U.S. Treasury Bond, 2.38%, 11/15/49 | | | 21,370 | |
18,520,000 | | U.S. Treasury Bond, 3.00%, 2/15/49 (k)(l) | | | 26,247 | |
10,324,378 | | U.S. Treasury Inflation Indexed Bonds, 0.13%, 10/15/24 | | | 10,564 | |
1,095,000 | | U.S. Treasury Note, 0.25%, 4/15/23 | | | 1,096 | |
15,995,000 | | U.S. Treasury Note, 1.38%, 1/31/25 | | | 16,771 | |
Semi-Annual Report 31
Payden Core Bond Fundcontinued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,318,000 | | U.S. Treasury Note, 1.50%, 11/30/21 | | $ | 1,345 | |
1,956,000 | | U.S. Treasury Note, 1.50%, 1/15/23 | | | 2,023 | |
3,555,000 | | U.S. Treasury Note, 1.50%, 2/28/23 | | | 3,682 | |
10,830,000 | | U.S. Treasury Note, 1.50%, 1/31/27 | | | 11,550 | |
6,740,000 | | U.S. Treasury Note, 1.50%, 2/15/30 | | | 7,301 | |
6,205,000 | | U.S. Treasury Note, 1.63%, 11/15/22 | | | 6,425 | |
3,145,000 | | U.S. Treasury Note, 2.50%, 1/15/22 | | | 3,268 | |
4,550,000 | | U.S. Treasury Note, 2.75%, 9/30/20 | | | 4,600 | |
14,686,000 | | U.S. Treasury Note, 2.75%, 8/31/23 | | | 15,895 | |
Total U.S. Treasury (Cost - $156,574) | | | 168,123 | |
Investment Company (2%) | | | | |
14,973,414 | | Payden Cash Reserves Money Market Fund * (Cost - $14,973) | | | 14,973 | |
Total Investments (Cost - $948,427) (103%) | | | 964,723 | |
Liabilities in excess of Other Assets(-3%) | | | (25,278 | ) |
Net Assets (100%) | | $ | 939,445 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. 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, 2020, the total market value of the Fund’s securities on loan is $1,893 and the total market value of the collateral held by the Fund is $1,903. Amounts in 000s. |
| (g) | 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. |
| (h) | Security was purchased on a delayed delivery basis. |
| (i) | 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. |
| (j) | Yield to maturity at time of purchase. |
| (k) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (l) | 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 (000s) | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | |
EUR 1,669 | | USD 1,807 | | Citibank, N.A. | | | | 06/23/2020 | | | | $ | 24 | |
USD 15,943 | | EUR 14,308 | | Citibank, N.A. | | | | 06/23/2020 | | | | | 246 | |
USD 6,608 | | CAD 9,091 | | HSBC Bank USA, N.A. | | | | 06/23/2020 | | | | | 76 | |
USD 2,423 | | BRL 10,729 | | State Street Bank & Trust Co. | | | | 05/06/2020 | | | | | 451 | |
USD 1,997 | | BRL 10,729 | | State Street Bank & Trust Co. | | | | 08/06/2020 | | | | | 36 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 833 | |
| | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | |
BRL 10,729 | | USD 2,009 | | State Street Bank & Trust Co. | | | | 05/06/2020 | | | | | (37 | ) |
USD 8,108 | | EUR 7,433 | | Citibank, N.A. | | | | 06/23/2020 | | | | | (46 | ) |
USD 2,242 | | PLN 9,372 | | Citibank, N.A. | | | | 07/28/2020 | | | | | (16 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | (99 | ) |
| | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | 734 | |
| | | | | | | | | | | | | | |
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 | | 116 | | | | Jun-20 | | | | $ | 21,000 | | | | $ | 1,774 | | | | | $1,774 | |
U.S. Treasury10-Year Note Future | | 245 | | | | Jun-20 | | | | | 34,070 | | | | | 1,569 | | | | | 1,569 | |
U.S. Treasury2-Year Note Future | | 419 | | | | Jun-20 | | | | | 92,360 | | | | | 1,439 | | | | | 1,439 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 4,782 | |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S.10-Year Ultra Future | | 251 | | | | Jun-20 | | | | | (39,415 | ) | | | | (2,249 | ) | | | | (2,249) | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | $ | 2,533 | |
| | | | | | | | | | | | | | | | | | | | | | |
32 Payden Mutual Funds
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 | | | | 06/20/2025 | | | | $ | 20,000 | | | | $ | (944 | ) | | | $ | (1,051 | ) | | | $ | 107 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
High Yield Series 34 Index), Pay 5% Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | $ | 1,893 | |
of Assets and Liabilities1 | | | | |
Non-cash Collateral2 | | | (1,893 | ) |
| | | | |
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, 2020, 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 33
Payden Corporate Bond Fund
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 | |
Banking | | | 21% | |
Healthcare | | | 9% | |
Utility | | | 9% | |
Insurance | | | 7% | |
Financial Services | | | 7% | |
Other | | | 47% | |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Corporate Bond (97%) | | | | |
Automotive (4%) | | | | |
1,780,000 | | American Honda Finance Corp., 3.55%, 1/12/24 | | $ | 1,855 | |
2,700,000 | | Daimler Finance North America LLC 144A, 3.65%, 2/22/24 (a) | | | 2,678 | |
730,000 | | Ford Motor Co., 7.45%, 7/16/31 | | | 615 | |
740,000 | | Ford Motor Co., 8.50%, 4/21/23 | | | 733 | |
1,020,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 933 | |
1,025,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 929 | |
600,000 | | Ford Motor Credit Co. LLC, 3.10%, 5/04/23 | | | 532 | |
400,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 358 | |
1,200,000 | | General Motors Co., 6.75%, 4/01/46 | | | 1,117 | |
2,450,000 | | General Motors Financial Co. Inc., 4.20%, 3/01/21 | | | 2,434 | |
920,000 | | Nissan Motor Acceptance Corp. 144A, (3 mo. LIBOR USD + 0.390%), 1.70%, 7/13/20 (a)(b) | | | 912 | |
1,920,000 | | Nissan Motor Acceptance Corp. 144A, (3 mo. LIBOR USD + 0.630%), 1.83%, 9/21/21 (a)(b) | | | 1,768 | |
1,705,000 | | Volkswagen Group of America Finance LLC 144A, 4.25%, 11/13/23 (a) | | | 1,789 | |
1,815,000 | | ZF North America Capital Inc. 144A, 4.75%, 4/29/25 (a) | | | 1,696 | |
| | | | | | |
| | | 18,349 | |
| | | | | | |
Banking (21%) | | | | |
1,180,000 | | ASB Bank Ltd. 144A, 3.75%, 6/14/23 (a) | | | 1,246 | |
1,800,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.870%), 2.46%, 10/22/25 (b) | | | 1,844 | |
1,600,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.970%), 3.46%, 3/15/25 (b) | | | 1,694 | |
370,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.780%), 3.55%, 3/05/24 (b) | | | 390 | |
975,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.060%), 3.56%, 4/23/27 (b) | | | 1,053 | |
2,100,000 | | Bank of America Corp., 4.00%, 1/22/25 | | | 2,272 | |
2,340,000 | | Bank of America NA, (3 mo. LIBOR USD + 0.650%), 3.34%, 1/25/23 (b) | | | 2,418 | |
2,275,000 | | Bank of Montreal, (5 yr. Swap Semi 30/360 USD + 1.280%), 4.34%, 10/05/28 (b) | | | 2,390 | |
1,840,000 | | Bank of New Zealand 144A, 3.50%, 2/20/24 (a) | | | 1,933 | |
2,000,000 | | Bank of Nova Scotia, 3.40%, 2/11/24 | | | 2,131 | |
1,400,000 | | Barclays PLC, (3 mo. LIBOR USD + 2.452%), 2.85%, 5/07/26 (b) | | | 1,400 | |
850,000 | | BNZ International Funding Ltd. 144A, 3.38%, 3/01/23 (a) | | | 886 | |
1,830,000 | | Canadian Imperial Bank of Commerce, 3.10%, 4/02/24 | | | 1,905 | |
2,340,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (b) | | | 2,070 | |
850,000 | | Citibank NA, 3.65%, 1/23/24 | | | 915 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
425,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.950%), 2.88%, 7/24/23 (b) | | $ | 436 | |
1,203,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.722%), 3.14%, 1/24/23 (b) | | | 1,232 | |
2,600,000 | | Comerica Inc., 4.00%, 2/01/29 | | | 2,758 | |
250,000 | | Credit Suisse Group Funding Guernsey Ltd., 4.55%, 4/17/26 | | | 278 | |
2,200,000 | | Discover Bank, 2.70%, 2/06/30 | | | 2,020 | |
2,745,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.05%, 2/10/25 (a) | | | 2,760 | |
3,300,000 | | Fifth Third Bancorp, 2.38%, 1/28/25 | | | 3,356 | |
1,030,000 | | First Midwest Bancorp Inc., 5.88%, 9/29/26 | | | 1,047 | |
2,300,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 2,292 | |
600,000 | | Goldman Sachs Group Inc., 2.63%, 4/25/21 | | | 607 | |
1,115,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,189 | |
300,000 | | Goldman Sachs Group Inc., 3.63%, 2/20/24 | | | 318 | |
2,000,000 | | Goldman Sachs Group Inc., 3.85%, 7/08/24 | | | 2,139 | |
2,600,000 | | Goldman Sachs Group Inc., 5.75%, 1/24/22 | | | 2,785 | |
1,590,000 | | Huntington Bancshares Inc., 2.55%, 2/04/30 | | | 1,539 | |
800,000 | | Huntington Bancshares Inc., 4.00%, 5/15/25 | | | 871 | |
1,500,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 0.935%), 2.78%, 4/25/23 (b) | | | 1,537 | |
915,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 2.460%), 3.11%, 4/22/41 (b) | | | 953 | |
910,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 2.440%), 3.11%, 4/22/51 (b) | | | 947 | |
800,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD +0.610%), 3.51%, 6/18/22 (b) | | | 819 | |
1,700,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 1.000%), 4.02%, 12/05/24 (b) | | | 1,842 | |
1,870,000 | | Lloyds Banking Group PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.000%), 2.44%, 2/05/26 (b) | | | 1,871 | |
510,000 | | Macquarie Bank Ltd. 144A, 6.63%, 4/07/21 (a) | | | 529 | |
1,025,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.372%), 3.76%, 11/28/28 (a)(b) | | | 1,070 | |
910,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.990%), 2.19%, 4/28/26 (b) | | | 922 | |
2,000,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.152%), 2.72%, 7/22/25 (b) | | | 2,061 | |
3,000,000 | | Morgan Stanley, 4.10%, 5/22/23 | | | 3,171 | |
830,000 | | Morgan Stanley, 5.00%, 11/24/25 | | | 939 | |
2,850,000 | | National Securities Clearing Corp. 144A, 1.50%, 4/23/25 (a) | | | 2,867 | |
2,140,000 | | PNC Financial Services Group Inc., 2.60%, 7/23/26 | | | 2,238 | |
2,175,000 | | Regions Financial Corp., 3.80%, 8/14/23 | | | 2,300 | |
2,740,000 | | Royal Bank of Canada, 3.70%, 10/05/23 | | | 2,940 | |
34 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
450,000 | | Santander Holdings USA Inc., 3.24%, 10/05/26 | | $ | 436 | |
975,000 | | Standard Chartered PLC 144A, (3 mo. LIBOR USD + 1.209%), 2.82%, 1/30/26 (a)(b) | | | 972 | |
670,000 | | State Street Corp. 144A, (U.S. Secured Overnight Financing Rate + 2.650%), 3.15%, 3/30/31 (a)(b) | | | 736 | |
1,600,000 | | State Street Corp., (3 mo. LIBOR USD + 0.770%), 3.78%,
12/03/24 (b) | | | 1,735 | |
1,527,000 | | Sumitomo Mitsui Financial Group Inc., 2.44%, 10/19/21 | | | 1,549 | |
735,000 | | Sumitomo Mitsui Financial Group Inc., 2.45%, 9/27/24 | | | 750 | |
1,000,000 | | Synchrony Bank, 3.00%, 6/15/22 | | | 982 | |
1,415,000 | | Truist Bank, 4.05%, 11/03/25 | | | 1,586 | |
2,450,000 | | UBS Group AG 144A, (3 mo. LIBOR USD + 1.468%), 3.13%, 8/13/30 (a)(b) | | | 2,559 | |
1,000,000 | | Wachovia Corp., 5.50%, 8/01/35 | | | 1,254 | |
2,000,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 2.530%), 3.07%, 4/30/41 (b) | | | 1,991 | |
2,450,000 | | Wells Fargo & Co., 3.75%, 1/24/24 | | | 2,619 | |
1,350,000 | | Westpac Banking Corp., (USD Swap Rate 11:00 am NY 1 + 2.236%), 4.32%, 11/23/31 (b) | | | 1,434 | |
| | | | | | |
| | | 95,783 | |
| | | | | | |
Basic Industry (5%) | | | | |
2,000,000 | | Alcoa Nederland Holding BV 144A, 6.75%,
9/30/24 (a) | | | 1,992 | |
650,000 | | Aviation Capital Group LLC 144A, 2.88%,
1/20/22 (a) | | | 563 | |
1,120,000 | | Aviation Capital Group LLC 144A, 3.88%,
5/01/23 (a) | | | 916 | |
2,160,000 | | Carrier Global Corp. 144A, 3.58%, 4/05/50 (a) | | | 1,957 | |
1,735,000 | | Caterpillar Financial Services Corp., 3.65%, 12/07/23 | | | 1,886 | |
2,000,000 | | CNH Industrial Capital LLC, 3.88%, 10/15/21 | | | 2,025 | |
465,000 | | DAE Funding LLC 144A, 4.50%, 8/01/22 (a) | | | 417 | |
1,500,000 | | DuPont de Nemours Inc., 4.21%, 11/15/23 | | | 1,623 | |
1,485,000 | | GATX Corp., 4.35%, 2/15/24 | | | 1,584 | |
2,348,000 | | General Electric Co., 6.75%, 3/15/32 | | | 2,916 | |
1,125,000 | | Jabil Inc., 3.60%, 1/15/30 | | | 1,054 | |
1,280,000 | | Otis Worldwide Corp. 144A, (3 mo. LIBOR USD + 0.450%), 2.09%, 4/05/23 (a)(b) | | | 1,246 | |
880,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 4.45%, 1/29/26 (a) | | | 943 | |
685,000 | | Raytheon Technologies Corp., 4.13%, 11/16/28 | | | 796 | |
600,000 | | Raytheon Technologies Corp., 4.63%, 11/16/48 | | | 807 | |
1,500,000 | | Raytheon Technologies Corp., 6.70%, 8/01/28 | | | 1,931 | |
1,485,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21 (a) | | | 1,479 | |
| | | | | | |
| | | 24,135 | |
| | | | | | |
Consumer Goods (6%) | | | | |
740,000 | | Anheuser-Busch InBev Worldwide Inc., 8.00%, 11/15/39 | | | 1,148 | |
904,000 | | Anheuser-Busch InBev Worldwide Inc., 8.20%, 1/15/39 | | | 1,364 | |
445,000 | | Bacardi Ltd. 144A, 5.30%, 5/15/48 (a) | | | 501 | |
2,320,000 | | Coca-Cola Co., 2.60%, 6/01/50 | | | 2,325 | |
1,455,000 | | Conagra Brands Inc., 4.60%, 11/01/25 | | | 1,627 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,670,000 | | Keurig Dr Pepper Inc., 3.13%, 12/15/23 | | $ | 1,757 | |
731,000 | | Keurig Dr Pepper Inc., 3.20%, 11/15/21 | | | 746 | |
195,000 | | Land O’ Lakes Inc. 144A, 6.00%, 11/15/22 (a) | | | 202 | |
2,600,000 | | Land O’ Lakes Inc. 144A, 7.00% (a)(c) | | | 2,339 | |
900,000 | | Mars Inc. 144A, 4.13%, 4/01/54 (a) | | | 1,127 | |
1,050,000 | | Mondelez International Inc., 1.50%, 5/04/25 | | | 1,044 | |
690,000 | | Nestle Holdings Inc. 144A, 3.35%, 9/24/23 (a) | | | 740 | |
690,000 | | Nestle Holdings Inc. 144A, 3.50%, 9/24/25 (a) | | | 766 | |
1,230,000 | | NIKE Inc., 2.75%, 3/27/27 | | | 1,326 | |
1,850,000 | | NIKE Inc., 3.38%, 3/27/50 | | | 2,080 | |
1,645,000 | | PepsiCo Inc., 2.88%, 10/15/49 | | | 1,772 | |
1,920,000 | | Smithfield Foods Inc. 144A, 5.20%, 4/01/29 (a) | | | 2,004 | |
1,600,000 | | Sysco Corp., 3.30%, 2/15/50 | | | 1,341 | |
1,350,000 | | Tyson Foods Inc., 5.10%, 9/28/48 | | | 1,758 | |
| | | | | | |
| | | 25,967 | |
| | | | | | |
Energy (5%) | | | | |
3,000,000 | | EQM Midstream Partners LP, 6.50%, 7/15/48 | | | 2,417 | |
1,070,000 | | Exxon Mobil Corp., 1.57%, 4/15/23 | | | 1,085 | |
900,000 | | Exxon Mobil Corp., 2.99%, 3/19/25 | | | 962 | |
1,000,000 | | Hess Corp., 7.30%, 8/15/31 | | | 941 | |
750,000 | | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | | | 886 | |
400,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 2.50%, 1/15/23 (b) | | | 366 | |
2,260,000 | | Midwest Connector Capital Co. LLC 144A, 4.63%, 4/01/29 (a) | | | 2,296 | |
1,700,000 | | Nexen Inc., 7.88%, 3/15/32 | | | 2,574 | |
2,000,000 | | Occidental Petroleum Corp., 3.20%, 8/15/26 | | | 1,450 | |
275,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 276 | |
800,000 | | ONEOK Partners LP, 6.65%, 10/01/36 | | | 764 | |
113,000 | | Ras Laffan Liquefied Natural Gas Co. Ltd. II 144A, 5.30%, 9/30/20 (a) | | | 115 | |
400,000 | | Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 | | | 400 | |
1,545,000 | | Saudi Arabian Oil Co. 144A, 4.38%, 4/16/49 (a) | | | 1,581 | |
2,500,000 | | Sinopec Group Overseas Development 2013 Ltd. 144A, 4.38%, 10/17/23 (a) | | | 2,698 | |
1,800,000 | | Williams Cos. Inc., 7.88%, 9/01/21 | | | 1,915 | |
2,200,000 | | Williams Cos. Inc., 8.75%, 3/15/32 | | | 2,866 | |
| | | | | | |
| | | 23,592 | |
| | | | | | |
Financial Services (7%) | | | | |
925,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.13%, 7/03/23 | | | 870 | |
830,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 10/01/25 | | | 731 | |
2,250,000 | | Air Lease Corp., 2.30%, 2/01/25 | | | 1,954 | |
1,000,000 | | Aircastle Ltd., 4.13%, 5/01/24 | | | 878 | |
1,795,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 1,773 | |
1,851,000 | | American Express Co., 8.15%, 3/19/38 | | | 2,875 | |
1,000,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 952 | |
875,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 862 | |
1,200,000 | | BlackRock Inc., 1.90%, 1/28/31 | | | 1,203 | |
135,000 | | Block Financial LLC, 4.13%, 10/01/20 | | | 136 | |
975,000 | | Brookfield Finance Inc., 4.70%, 9/20/47 | | | 990 | |
2,100,000 | | Capital One Financial Corp., 3.30%, 10/30/24 | | | 2,144 | |
201,000 | | Carlyle Holdings Finance LLC 144A, 3.88%,
2/01/23 (a) | | | 210 | |
2,025,000 | | Equifax Inc., 3.10%, 5/15/30 | | | 2,047 | |
2,180,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 2,082 | |
Semi-Annual Report 35
Payden Corporate Bond Fundcontinued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
3,775,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (a) | | $ | 3,094 | |
1,000,000 | | International Lease Finance Corp., 4.63%, 4/15/21 | | | 983 | |
1,400,000 | | KKR Group Finance Co. III LLC 144A, 5.13%, 6/01/44 (a) | | | 1,540 | |
1,155,000 | | Low Income Investment Fund, 3.71%, 7/01/29 | | | 1,162 | |
620,000 | | Mastercard Inc., 3.85%, 3/26/50 | | | 777 | |
2,550,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 2,318 | |
2,000,000 | | Pershing Square Holdings Ltd. 144A, 5.50%,
7/15/22 (a) | | | 2,060 | |
250,000 | | Synchrony Financial, 3.75%, 8/15/21 | | | 251 | |
| | | | | | |
| | | 31,892 | |
| | | | | | |
Healthcare (9%) | | | | |
700,000 | | AbbVie Inc. 144A, 2.30%, 11/21/22 (a) | | | 718 | |
2,160,000 | | AbbVie Inc. 144A, 2.95%, 11/21/26 (a) | | | 2,284 | |
685,000 | | AbbVie Inc., 3.75%, 11/14/23 | | | 738 | |
920,000 | | AbbVie Inc. 144A, 4.25%, 11/21/49 (a) | | | 1,073 | |
1,285,000 | | Advocate Health & Hospitals Corp., 3.83%, 8/15/28 | | | 1,449 | |
3,120,000 | | Amgen Inc., 3.15%, 2/21/40 | | | 3,279 | |
300,000 | | Anthem Inc., 2.95%, 12/01/22 | | | 312 | |
1,195,000 | | AstraZeneca PLC, 3.50%, 8/17/23 | | | 1,284 | |
700,000 | | Bayer U.S. Finance II LLC 144A, 3.88%,
12/15/23 (a) | | | 744 | |
700,000 | | Blue Cross & Blue Shield of Minnesota 144A, 3.79%, 5/01/25 (a) | | | 757 | |
1,645,000 | | Bristol-Myers Squibb Co. 144A, 2.90%, 7/26/24 (a) | | | 1,783 | |
1,625,000 | | Bristol-Myers Squibb Co. 144A, 4.25%, 10/26/49 (a) | | | 2,131 | |
2,270,000 | | Centene Corp. 144A, 3.38%, 2/15/30 (a) | | | 2,294 | |
1,500,000 | | Cigna Corp., (3 mo. LIBOR USD + 0.650%), 1.49%, 9/17/21 (b) | | | 1,475 | |
700,000 | | Cigna Corp., 4.13%, 11/15/25 | | | 786 | |
895,000 | | Cigna Corp., 4.90%, 12/15/48 | | | 1,157 | |
2,050,000 | | DH Europe Finance II Sarl, 3.40%, 11/15/49 | | | 2,303 | |
110,000 | | Dignity Health, 3.13%, 11/01/22 | | | 110 | |
740,000 | | Dignity Health, 4.50%, 11/01/42 | | | 774 | |
175,000 | | Northwell Healthcare Inc., 6.15%, 11/01/43 | | | 224 | |
880,000 | | Pfizer Inc., 2.63%, 4/01/30 | | | 957 | |
2,250,000 | | Roche Holdings Inc. 144A, 3.63%, 9/17/28 (a)(d) | | | 2,618 | |
1,350,000 | | RWJ Barnabas Health Inc., 3.48%, 7/01/49 | | | 1,378 | |
640,000 | | Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | | | 650 | |
2,000,000 | | Takeda Pharmaceutical Co. Ltd., 4.40%, 11/26/23 | | | 2,197 | |
420,000 | | Teva Pharmaceutical Finance Netherlands III BV, 4.10%, 10/01/46 | | | 328 | |
850,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4/15/24 | | | 850 | |
885,000 | | Toledo Hospital, 5.75%, 11/15/38 | | | 1,010 | |
2,175,000 | | Toledo Hospital, 6.02%, 11/15/48 | | | 2,320 | |
2,000,000 | | UnitedHealth Group Inc., 3.88%, 8/15/59 | | | 2,446 | |
| | | | | | |
| | | 40,429 | |
| | | | | | |
Insurance (7%) | | | | |
800,000 | | American Financial Group Inc., 4.50%, 6/15/47 | | | 758 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
700,000 | | Aon Corp., 6.25%, 9/30/40 | | $ | 1,017 | |
2,730,000 | | Athene Global Funding 144A, 2.95%, 11/12/26 (a) | | | 2,667 | |
1,050,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 1,065 | |
1,400,000 | | Five Corners Funding Trust 144A, 4.42%, 11/15/23 (a) | | | 1,542 | |
1,550,000 | | High Street Funding Trust I 144A, 4.11%, 2/15/28 (a) | | | 1,678 | |
2,115,000 | | Jackson National Life Global Funding 144A, 2.65%, 6/21/24 (a) | | | 2,169 | |
1,800,000 | | Lincoln National Corp., 7.00%, 6/15/40 | | | 2,406 | |
2,317,000 | | Manulife Financial Corp., (USD Swap Rate 11:00 am NY1 + 1.647%), 4.06%, 2/24/32 (b) | | | 2,386 | |
305,000 | | Marsh & McLennan Cos. Inc., 3.50%, 12/29/20 | | | 310 | |
1,030,000 | | Marsh & McLennan Cos. Inc., 3.88%, 3/15/24 | | | 1,122 | |
228,000 | | Massachusetts Mutual Life Insurance Co. 144A, 3.73%, 10/15/70 (a) | | | 233 | |
1,175,000 | | Metropolitan Life Global Funding I 144A, 3.60%, 1/11/24 (a) | | | 1,269 | |
725,000 | | Nationwide Financial Services Inc. 144A, 5.30%, 11/18/44 (a) | | | 842 | |
1,731,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%,
8/15/39 (a) | | | 2,889 | |
1,265,000 | | New York Life Insurance Co. 144A, 5.88%,
5/15/33 (a) | | | 1,728 | |
500,000 | | New York Life Insurance Co. 144A, 6.75%, 11/15/39 (a) | | | 757 | |
1,700,000 | | Ohio National Life Insurance Co. 144A, 6.88%, 6/15/42 (a) | | | 1,927 | |
450,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39 (a) | | | 767 | |
1,665,000 | | Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (a) | | | 1,691 | |
550,000 | | Teachers Insurance & Annuity Association of America 144A, 4.90%, 9/15/44 (a) | | | 706 | |
2,000,000 | | Teachers Insurance & Annuity Association of America 144A, 6.85%, 12/16/39 (a) | | | 3,070 | |
670,000 | | Transatlantic Holdings Inc., 8.00%, 11/30/39 | | | 981 | |
| | | | | | |
| | | 33,980 | |
| | | | | | |
Media (2%) | | | | |
1,705,000 | | Comcast Corp., 3.95%, 10/15/25 | | | 1,922 | |
3,825,000 | | Comcast Corp., 6.50%, 11/15/35 | | | 5,798 | |
1,760,000 | | Fox Corp., 5.58%, 1/25/49 | | | 2,413 | |
475,000 | | Walt Disney Co., 9.50%, 7/15/24 | | | 608 | |
| | | | | | |
| | | 10,741 | |
| | | | | | |
Real Estate (3%) | | | | |
630,000 | | Digital Realty Trust LP, 3.63%, 10/01/22 | | | 648 | |
1,140,000 | | Healthpeak Properties Inc., 3.40%, 2/01/25 | | | 1,175 | |
555,000 | | iStar Inc., 4.75%, 10/01/24 | | | 466 | |
900,000 | | Kimco Realty Corp., 4.25%, 4/01/45 | | | 836 | |
890,000 | | Meritage Homes Corp., 6.00%, 6/01/25 | | | 914 | |
800,000 | | National Retail Properties Inc., 3.90%, 6/15/24 | | | 817 | |
1,967,000 | | Service Properties Trust, 3.95%, 1/15/28 | | | 1,526 | |
1,200,000 | | Simon Property Group LP, 6.75%, 2/01/40 | | | 1,548 | |
360,000 | | Toll Brothers Finance Corp., 4.88%, 11/15/25 | | | 366 | |
2,750,000 | | Ventas Realty LP, 4.88%, 4/15/49 | | | 2,655 | |
800,000 | | VEREIT Operating Partnership LP, 4.60%, 2/06/24 | | | 799 | |
36 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
770,000 | | WEA Finance LLC 144A, 4.13%, 9/20/28 (a) | | $ | 745 | |
980,000 | | WEA Finance LLC 144A, 4.63%, 9/20/48 (a) | | | 904 | |
| | | | | | |
| | | 13,399 | |
| | | | | | |
Retail (3%) | | | | |
1,100,000 | | Alimentation Couche-Tard Inc. 144A, 2.95%, 1/25/30 (a) | | | 1,083 | |
1,550,000 | | Costco Wholesale Corp., 1.60%, 4/20/30 | | | 1,543 | |
870,000 | | Costco Wholesale Corp., 1.75%, 4/20/32 | | | 864 | |
1,550,000 | | Home Depot Inc., 3.35%, 4/15/50 | | | 1,721 | |
2,000,000 | | Home Depot Inc., 4.50%, 12/06/48 | | | 2,592 | |
1,325,000 | | Lowe’s Cos. Inc., 5.13%, 4/15/50 | | | 1,737 | |
840,000 | | McDonald’s Corp., 4.20%, 4/01/50 | | | 1,005 | |
970,000 | | Target Corp., 2.65%, 9/15/30 | | | 1,043 | |
260,000 | | TJX Cos. Inc., 3.50%, 4/15/25 | | | 281 | |
1,555,000 | | Walmart Inc., 3.25%, 7/08/29 | | | 1,776 | |
| | | | | | |
| | | 13,645 | |
| | | | | | |
Service (2%) | | | | |
2,185,000 | | American University, 3.67%, 4/01/49 | | | 2,395 | |
1,850,000 | | California Institute of Technology, 3.65%, 9/01/2119 | | | 1,906 | |
1,540,000 | | Georgetown University, 4.32%, 4/01/49 | | | 1,857 | |
1,180,000 | | President & Fellows of Harvard College, 2.52%, 10/15/50 | | | 1,241 | |
| | | | | | |
| | | 7,399 | |
| | | | | | |
Technology (5%) | | | | |
2,000,000 | | Apple Inc., 4.65%, 2/23/46 | | | 2,720 | |
2,155,000 | | Broadcom Inc. 144A, 3.63%, 10/15/24 (a) | | | 2,275 | |
1,400,000 | | Dell International LLC/EMC Corp. 144A, 4.90%, 10/01/26 (a) | | | 1,450 | |
835,000 | | Dell International LLC/EMC Corp. 144A, 8.35%, 7/15/46 (a) | | | 1,046 | |
2,300,000 | | International Business Machines Corp., 1.70%, 5/15/27 | | | 2,296 | |
1,050,000 | | Lam Research Corp., 2.88%, 6/15/50 | | | 1,047 | |
2,800,000 | | Microsoft Corp., 3.75%, 2/12/45 | | | 3,441 | |
1,425,000 | | NVIDIA Corp., 3.50%, 4/01/50 | | | 1,651 | |
1,275,000 | | NXP BV/NXP Funding LLC/NXP USA Inc. 144A, 3.40%, 5/01/30 (a) | | | 1,280 | |
2,100,000 | | Oracle Corp., 3.60%, 4/01/50 | | | 2,406 | |
1,050,000 | | Texas Instruments Inc., 1.75%, 5/04/30 | | | 1,054 | |
| | | | | | |
| | | 20,666 | |
| | | | | | |
Telecommunications (7%) | | | | |
1,600,000 | | AT&T Inc., (3 mo. LIBOR USD + 1.180%), 1.96%, 6/12/24 (b) | | | 1,569 | |
970,000 | | AT&T Inc., 3.60%, 2/17/23 | | | 1,021 | |
1,700,000 | | AT&T Inc., 4.85%, 3/01/39 | | | 1,972 | |
3,000,000 | | AT&T Inc., 5.45%, 3/01/47 | | | 3,818 | |
1,000,000 | | AT&T Inc., 6.40%, 5/15/38 | | | 1,309 | |
1,760,000 | | British Telecommunications PLC 144A, 4.25%, 11/08/49 (a) | | | 1,954 | |
1,500,000 | | Deutsche Telekom International Finance BV, 8.75%, 6/15/30 | | | 2,222 | |
735,000 | | JD.com Inc., 3.38%, 1/14/30 | | | 762 | |
1,350,000 | | JD.com Inc., 4.13%, 1/14/50 | | | 1,335 | |
2,475,000 | | Orange SA, 9.00%, 3/01/31 | | | 3,936 | |
146,250 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (a) | | | 147 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,500,000 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 5.15%, 3/20/28 (a) | | $ | 2,768 | |
1,100,000 | | TELUS Corp., 4.60%, 11/16/48 | | | 1,305 | |
300,000 | | Tencent Holdings Ltd. 144A, 3.98%, 4/11/29 (a) | | | 339 | |
1,000,000 | | Verizon Communications Inc., 4.40%, 11/01/34 | | | 1,215 | |
2,063,000 | | Verizon Communications Inc., 4.75%, 11/01/41 | | | 2,709 | |
280,000 | | Verizon Communications Inc., 4.86%, 8/21/46 | | | 381 | |
2,000,000 | | Vodafone Group PLC, 5.25%, 5/30/48 | | | 2,508 | |
| | | | | | |
| | | 31,270 | |
| | | | | | |
Transportation (2%) | | | | |
1,462,136 | | American Airlines2019-1 Class A Pass-Through Trust, 3.50%, 2/15/32 | | | 1,028 | |
1,526,135 | | American Airlines2019-1 Class AA Pass-Through Trust, 3.15%, 2/15/32 | | | 1,316 | |
246,353 | | Continental Airlines2007-1 Class B Pass-Through Trust, 6.90%, 4/19/22 | | | 230 | |
2,100,000 | | Ryder System Inc., 3.65%, 3/18/24 | | | 2,164 | |
1,900,000 | | Union Pacific Corp., 4.30%, 3/01/49 | | | 2,310 | |
1,760,000 | | United Parcel Service Inc., 3.40%, 9/01/49 | | | 1,965 | |
| | | | | | |
| | | 9,013 | |
| | | | | | |
Utility (9%) | | | | |
1,425,000 | | Abu Dhabi National Energy Co. PJSC 144A, 4.38%, 4/23/25 (a) | | | 1,523 | |
1,485,000 | | Alliant Energy Finance LLC 144A, 3.75%, 6/15/23 (a) | | | 1,576 | |
1,680,000 | | Ameren Corp., 2.50%, 9/15/24 | | | 1,742 | |
1,050,000 | | Basin Electric Power Cooperative 144A, 4.75%, 4/26/47 (a) | | | 1,263 | |
244,000 | | Berkshire Hathaway Energy Co., 6.13%, 4/01/36 | | | 344 | |
1,660,000 | | CenterPoint Energy Inc., 3.85%, 2/01/24 | | | 1,778 | |
1,650,000 | | Consolidated Edison Co. of New York Inc., 3.95%, 4/01/50 | | | 1,981 | |
1,150,000 | | Consumers Energy Co., 4.35%, 4/15/49 | | | 1,574 | |
1,750,000 | | Dominion Energy Gas Holdings LLC, 3.00%, 11/15/29 | | | 1,735 | |
1,000,000 | | Dominion Energy Inc., 4.10%, 4/01/21 | | | 1,016 | |
1,185,000 | | DTE Energy Co., 3.70%, 8/01/23 | | | 1,265 | |
650,000 | | Duke Energy Corp., 3.75%, 9/01/46 | | | 740 | |
1,250,000 | | Duke Energy Florida LLC, 4.20%, 7/15/48 | | | 1,604 | |
1,620,000 | | Entergy Louisiana LLC, 4.00%, 3/15/33 | | | 1,944 | |
500,000 | | Entergy Louisiana LLC, 5.00%, 7/15/44 | | | 522 | |
1,210,000 | | Evergy Inc., 2.90%, 9/15/29 | | | 1,247 | |
545,000 | | Fortis Inc., 3.06%, 10/04/26 | | | 555 | |
1,150,000 | | Indianapolis Power & Light Co. 144A, 4.05%, 5/01/46 (a) | | | 1,362 | |
1,650,000 | | Interstate Power & Light Co., 3.50%, 9/30/49 | | | 1,804 | |
660,000 | | KeySpan Gas East Corp. 144A, 5.82%, 4/01/41 (a) | | | 883 | |
1,180,000 | | National Rural Utilities Cooperative Finance Corp., 4.40%, 11/01/48 | | | 1,479 | |
1,150,000 | | NextEra Energy Capital Holdings Inc., 3.25%, 4/01/26 | | | 1,247 | |
1,000,000 | | NiSource Inc., 3.65%, 6/15/23 | | | 1,068 | |
825,000 | | PSEG Power LLC, 3.85%, 6/01/23 | | | 878 | |
348,657 | | Solar Star Funding LLC 144A, 3.95%, 6/30/35 (a) �� | | | 355 | |
Semi-Annual Report 37
Payden Corporate Bond Fundcontinued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,255,000 | | Tampa Electric Co., 4.45%, 6/15/49 | | $ | 2,849 | |
2,297,000 | | Tucson Electric Power Co., 4.85%, 12/01/48 | | | 2,939 | |
2,605,000 | | Vistra Operations Co. LLC 144A, 4.30%,
7/15/29 (a) | | | 2,598 | |
| | | | | | |
| | | 39,871 | |
| | | | | | |
Total Corporate Bond (Cost - $420,311) | | | 440,131 | |
| | | | | | |
| |
Foreign Government (1%) | | | | |
3,075,000 | | Ontario Teachers’ Finance Trust 144A, 1.38%, 4/15/25 (a)
(Cost - $3,067) | | | 3,113 | |
| | | | | | |
Municipal (2%) | | | | |
1,200,000 | | Bay Area Toll Authority, 3.55%, 4/01/54 | | | 1,263 | |
2,400,000 | | Chicago O’Hare International Airport, 4.47%, 1/01/49 | | | 2,570 | |
1,950,000 | | Foothill-Eastern Transportation Corridor Agency, 3.92%, 1/15/53 | | | 2,012 | |
1,050,000 | | Michigan Finance Authority, 5.02%, 11/01/43 | | | 1,303 | |
1,000,000 | | Rutgers The State University of New Jersey, 4.15%, 5/01/48 | | | 1,054 | |
| | | | | | |
Total Municipal (Cost - $7,600) | | | 8,202 | |
| | | | | | |
| |
Investment Company (1%) | | | | |
5,774,841 | | Payden Cash Reserves Money Market Fund *
(Cost - $5,775) | | | 5,775 | |
| | | | | | |
Total Investments (Cost - $436,753) (101%) | | | 457,221 | |
Liabilities in excess of OtherAssets (-1%) | | | (2,431 | ) |
| | | | | | |
Net Assets (100%) | | $ | 454,790 | |
| | | | | | |
| (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, 2020. |
| (c) | Perpetual security with no stated maturity date. |
| (d) | All or a portion of these securities are on loan. At April 30, 2020, the total market value of the Fund’s securities on loan is $2,327 the total market value of the collateral held by the Fund is $2,400. Amounts in 000s. |
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 | | 45 | | | | | | Jun-20 | | | | $ | 8,146 | | | | | $ 389 | | | | $ | 389 | |
U.S. Treasury10-Year Note Future | | 197 | | | | | | Jun-20 | | | | | 27,395 | | | | | 1,281 | | | | | 1,281 | |
U.S. Treasury2-Year Note Future | | 81 | | | | | | Jun-20 | | | | | 17,855 | | | | | 278 | | | | | 278 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 1,948 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
U.S.10-Year Ultra Future | | 58 | | | | | | Jun-20 | | | | | (9,108 | ) | | | | (570 | ) | | | | (570) | |
U.S. Treasury5-Year Note Future | | 128 | | | | | | Jun-20 | | | | | (16,062 | ) | | | | (543 | ) | | | | (543) | |
U.S. Ultra Bond Future | | 60 | | | | | | Jun-20 | | | | | (13,487 | ) | | | | (1,188 | ) | | | | (1,188) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (2,301) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | $ | (353) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
38 Payden Mutual Funds
Open Centrally Cleared Credit Default Swap Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | Notional
Amount
(000s) | | Value
(000s) | | Upfront payments/
receipts
(000s) | | Unrealized
Depreciation
(000s) |
Protection Bought (Relevant Credit: Markit CDX, North America | | | | 06/20/2025 | | | | $ | 10,000 | | | | | $483 | | | | | $498 | | | | | $(15) | |
High Yield Series 34 Index), Pay 5% Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | $ | 2,327 | |
Non-cash Collateral2 | | | | (2,327 | ) |
| | | | | |
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, 2020, 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 39
Payden Strategic Income Fund
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 | | | 50% | |
Mortgage Backed | | | 17% | |
Asset Backed | | | 10% | |
U.S. Treasury | | | 9% | |
Foreign Government | | | 5% | |
Other | | | 9% | |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (10%) | | | | |
500,000 | | Atrium XII 144A, (3 mo. LIBOR USD + 2.800%), 3.90%, 4/22/27 (a)(b) | | $ | 409 | |
700,000 | | Blackrock European CLO VII DAC 144A, (3 mo. EURIBOR + 1.700%), 1.70%, 10/15/31 EUR (a)(b)(c) | | | 711 | |
347,738 | | BlueMountain CLO2015-2 Ltd. 144A, (3 mo. LIBOR USD + 0.930%), 2.07%, 7/18/27 (a)(b) | | | 338 | |
300,000 | | BlueMountain CLO2015-2 Ltd. 144A, (3 mo. LIBOR USD + 2.750%), 3.89%, 7/18/27 (a)(b) | | | 242 | |
450,000 | | BlueMountain CLO2015-3 Ltd. 144A, (3 mo. LIBOR USD + 2.600%), 3.74%, 4/20/31 (a)(b) | | | 344 | |
230,000 | | CARS-DB4 LP 144A, 4.17%, 2/15/50 (b) | | | 212 | |
360,000 | | CARS-DB4 LP 144A, 4.95%, 2/15/50 (b) | | | 304 | |
590,000 | | Cedar Funding II CLO Ltd. 144A, (3 mo. LIBOR USD + 2.350%), 3.35%, 6/09/30 (a)(b) | | | 542 | |
500,000 | | Cent CLO 17 Ltd. 144A, (3 mo. LIBOR USD + 2.800%), 3.56%, 4/30/31 (a)(b) | | | 391 | |
600,000 | | CIFC European Funding CLO II DAC 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 4/15/33 EUR (a)(b)(c) | | | 645 | |
400,000 | | CIFC Funding2013-III-R Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.92%, 4/24/31 (a)(b) | | | 314 | |
620,000 | | CLNC2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 2.27%, 8/20/35 (a)(b) | | | 552 | |
293,893 | | Countrywide Asset-Backed Certificates, 4.57%, 10/25/46 (d) | | | 288 | |
500,000 | | Dryden 33 Senior Loan Fund 144A, (3 mo. LIBOR USD + 1.750%), 2.97%, 4/15/29 (a)(b) | | | 484 | |
400,000 | | Dryden XXVI Senior Loan Fund 144A, (3 mo. LIBOR USD + 5.540%), 6.76%, 4/15/29 (a)(b) | | | 271 | |
400,000 | | Grippen Park CLO Ltd. 144A, (3 mo. LIBOR USD + 3.300%), 4.44%, 1/20/30 (a)(b) | | | 340 | |
500,000 | | LCM XXI LP 144A, (3 mo. LIBOR USD + 2.000%), 3.14%, 4/20/28 (a)(b) | | | 465 | |
490,000 | | LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 2.31%, 5/15/36 (a)(b) | | | 430 | |
400,000 | | Man GLG Euro CLO 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 10/15/32 EUR (a)(b)(c) | | | 435 | |
800,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.96%, 6/15/28 (a)(b) | | | 746 | |
568,844 | | NP SPE II LLC 144A, 2.86%, 11/19/49(b) | | | 575 | |
400,000 | | OCP CLO2014-5 Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.89%, 4/26/31 (a)(b) | | | 312 | |
600,000 | | OZLME V DAC 144A, (3 mo. EURIBOR + 1.750%), 1.75%, 1/14/32 EUR (a)(b)(c) | | | 614 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
408,975 | | Planet Fitness Master Issuer LLC 144A, 3.86%, 12/05/49 (b) | | $ | 290 | |
500,000 | | Regatta Funding LP2013-2A 144A, (3 mo. LIBOR USD + 2.700%), 3.92%, 1/15/29 (a)(b) | | | 460 | |
400,000 | | Sound Point Euro CLO III Funding DAC 144A, (3 mo. EURIBOR + 0.950%), 0.95%, 4/15/33 EUR (a)(b)(c) | | | 419 | |
600,000 | | St Paul’s CLO XII DAC 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/33 EUR (a)(b)(c) | | | 525 | |
370,000 | | STWD2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.400%), 2.21%, 7/15/38 (a)(b) | | | 328 | |
300,000 | | Voya Euro CLO III DAC 144A, (3 mo. EURIBOR + 0.920%), 0.92%, 4/15/33 EUR (a)(b)(c) | | | 314 | |
430,000 | | Westlake Automobile Receivables Trust2020-1 144A, 2.80%, 6/16/25 (b) | | | 404 | |
445,500 | | Wingstop Funding2018-1 LLC 144A, 4.97%, 12/05/48 (b) | | | 454 | |
| | | | | | |
Total Asset Backed (Cost - $14,689) | | | 13,158 | |
| | | | | | |
Bank Loans (e) (2%) | | | | |
250,000 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (3 mo. EURIBOR + 3.750%), 3.75%, 1/20/27 EUR (c) | | | 260 | |
675,032 | | Altice France SA Term Loan B11 1L, (LIBOR USD1-Month + 2.750%), 3.15%, 7/31/25 | | | 622 | |
473,905 | | CDW LLC Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.16%, 8/17/23 | | | 469 | |
300,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%), 2.63%, 1/31/27 EUR (c) | | | 312 | |
317,371 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD3-Month + 2.750%), 3.74%, 10/22/25 | | | 309 | |
500,000 | | Sotera Health Holdings LLC Term Loan 1L, (LIBOR USD1-Month + 4.500%), 5.50%, 12/13/26 | | | 483 | |
784,000 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD1-Month + 3.500%), 3.90%, 2/05/27 | | | 680 | |
125,000 | | T-Mobile USA Inc. Term Loan B 1L, (LIBOR USD3-Month + 3.000%), 4.94%, 4/01/27 | | | 124 | |
| | | | | | |
Total Bank Loans (Cost - $3,468) | | | 3,259 | |
| | | | | | |
Corporate Bond (50%) | | | | |
Financial (21%) | | | | |
435,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.00%, 10/01/21 | | | 416 | |
40 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
145,000 | | Air Lease Corp., 2.30%, 2/01/25 | | $ | 126 | |
400,000 | | Aircastle Ltd., 5.50%, 2/15/22 | | | 382 | |
770,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 733 | |
185,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 182 | |
230,000 | | ASB Bank Ltd. 144A, 3.75%, 6/14/23 (b) | | | 243 | |
445,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.021%), 2.88%, 4/24/23 (a) | | | 455 | |
270,000 | | Barclays PLC, 3.68%, 1/10/23 | | | 276 | |
510,000 | | BBVA USA, 2.88%, 6/29/22 | | | 513 | |
400,000 | | Canadian Imperial Bank of Commerce, 3.10%, 4/02/24 | | | 416 | |
375,000 | | Charles Schwab Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.971%), 5.38% (a)(f) | | | 385 | |
235,000 | | CIT Group Inc., (3 mo. LIBOR USD + 3.972%), 5.80% (a)(f)(g) | | | 185 | |
400,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.950%), 2.88%, 7/24/23 (a) | | | 410 | |
130,000 | | Citigroup Inc., (3 mo. LIBOR USD + 4.478%), 6.13%, (a)(f) | | | 126 | |
420,000 | | Citizens Bank NA, 3.25%, 2/14/22 | | | 430 | |
390,000 | | Comerica Bank, 2.50%, 7/23/24 | | | 397 | |
450,000 | | Cooperatieve Rabobank UA, 4.63%, 12/01/23 | | | 480 | |
335,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.560%), 2.59%, 9/11/25 (a)(b) | | | 335 | |
830,000 | | Daimler Finance North America LLC 144A, 3.65%, 2/22/24 (b) | | | 823 | |
450,000 | | Diversified Healthcare Trust, 4.75%, 5/01/24 | | | 374 | |
425,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 431 | |
275,000 | | Equinix Inc., 2.88%, 10/01/25 EUR (c) | | | 305 | |
460,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.05%, 2/10/25 (b) | | | 463 | |
470,000 | | Five Corners Funding Trust 144A, 4.42%, 11/15/23 (b) | | | 518 | |
700,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%), 2.93%, 2/15/23 (a) | | | 592 | |
630,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 563 | |
415,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 396 | |
400,000 | | FS KKR Capital Corp.II 144A, 4.25%, 2/14/25 (b) | | | 328 | |
350,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%), 2.86%, 1/14/22 (a) | | | 326 | |
500,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 3.598%), 5.75% (a)(f) | | | 398 | |
400,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 1.110%), 2.10%, 4/26/22 (a) | | | 398 | |
215,000 | | Huntington Bancshares Inc., 2.55%, 2/04/30 | | | 208 | |
475,000 | | International Lease Finance Corp., 4.63%, 4/15/21 | | | 467 | |
500,000 | | Iron Mountain Inc., 5.75%, 8/15/24 | | | 494 | |
550,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.850%), 2.08%, 4/22/26 (a) | | | 558 | |
430,000 | | Lloyds Banking Group PLC, 3.00%, 1/11/22 | | | 437 | |
555,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b) | | | 567 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
430,000 | | Mitsubishi UFJ Financial Group Inc., 3.41%, 3/07/24 | | $ | 452 | |
235,000 | | Mizuho Financial Group Inc. 144A, 2.63%, 4/12/21 (b) | | | 238 | |
500,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 1.000%), 3.92%, 9/11/24 (a) | | | 533 | |
580,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.930%), 2.03%, 7/22/22 (a) | | | 576 | |
500,000 | | MPT Operating Partnership LP/MPT Finance Corp., 5.50%, 5/01/24 | | | 499 | |
320,000 | | Muthoot Finance Ltd. 144A, 6.13%, 10/31/22 (b) | | | 291 | |
315,000 | | National Securities Clearing Corp. 144A, 1.50%, 4/23/25 (b) | | | 317 | |
345,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 314 | |
450,000 | | Regions Bank, (3 mo. LIBOR USD + 0.500%), 2.21%, 8/13/21 (a) | | | 445 | |
235,000 | | Royal Bank of Canada, 1.60%, 4/17/23 | | | 236 | |
450,000 | | Santander Holdings USA Inc., 3.24%, 10/05/26 | | | 436 | |
310,000 | | Santander UK PLC, 3.75%, 11/15/21 | | | 319 | |
500,000 | | SBA Communications Corp., 4.00%, 10/01/22 | | | 506 | |
640,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (b) | | | 492 | |
580,000 | | SLM Corp., 5.13%, 4/05/22 | | | 535 | |
215,000 | | Standard Chartered PLC 144A, (3 mo. LIBOR USD + 1.209%), 2.82%, 1/30/26 (a)(b) | | | 214 | |
200,000 | | State Street Corp. 144A, (U.S. Secured Overnight Financing Rate + 2.690%), 2.83%, 3/30/23 (a)(b) | | | 206 | |
475,000 | | Sumitomo Mitsui Financial Group Inc., 2.78%, 7/12/22 | | | 486 | |
335,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 326 | |
485,000 | | Toronto-Dominion Bank, 2.65%, 6/12/24 | | | 507 | |
1,030,000 | | Truist Bank, (3 mo. LIBOR USD + 0.500%), 3.53%, 10/26/21 (a) | | | 1,041 | |
505,000 | | VEREIT Operating Partnership LP, 4.60%, 2/06/24 | | | 504 | |
500,000 | | Volkswagen Group of America Finance LLC 144A, 3.88%, 11/13/20 (b) | | | 501 | |
435,000 | | Wells Fargo Bank NA, (3 mo. LIBOR USD + 0.660%), 1.66%, 9/09/22 (a) | | | 431 | |
625,000 | | Zions Bancorp NA, 3.35%, 3/04/22 | | | 626 | |
| | | | | | |
| | | | | 26,167 | |
| | | | | | |
Industrial (21%) | | | | |
430,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 5.00%, 10/15/25 (b) | | | 434 | |
405,000 | | AbbVie Inc. 144A, 2.60%, 11/21/24 (b) | | | 422 | |
492,302 | | American Airlines2019-1 Class A Pass-Through Trust, 3.50%, 2/15/32 | | | 346 | |
400,000 | | Anglo American Capital PLC 144A, 4.13%, 4/15/21 (b) | | | 402 | |
400,000 | | Ashland Services BV 144A, 2.00%, 1/30/28 EUR (b)(c) | | | 412 | |
600,000 | | AT&T Inc., (3 mo. LIBOR USD + 1.180%), 1.96%, 6/12/24 (a) | | | 588 | |
540,000 | | Aviation Capital Group LLC 144A, 3.88%, 5/01/23 (b) | | | 442 | |
Semi-Annual Report 41
Payden Strategic Income Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
725,000 | | Avolon Holdings Funding Ltd. 144A, 3.63%,
5/01/22 (b) | | $ | 664 | |
715,000 | | Bayer U.S. Finance II LLC 144A, (3 mo. LIBOR USD + 0.630%), 1.85%, 6/25/21 (a)(b) | | | 703 | |
350,000 | | Bayer U.S. Finance II LLC 144A, 3.50%, 6/25/21 (b) | | | 357 | |
500,000 | | Blue Cross & Blue Shield of Minnesota 144A, 3.79%, 5/01/25 (b) | | | 540 | |
580,000 | | Boise Cascade Co. 144A, 5.63%, 9/01/24 (b) | | | 581 | |
565,000 | | Bristol-Myers Squibb Co. 144A, 2.90%, 7/26/24 (b) | | | 612 | |
185,000 | | Broadcom Inc. 144A, 3.13%, 10/15/22 (b) | | | 192 | |
300,000 | | Carrier Global Corp. 144A, 2.24%, 2/15/25 (b) | | | 299 | |
50,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 53 | |
450,000 | | Centene Corp. 144A, 4.25%, 12/15/27 (b) | | | 473 | |
500,000 | | Churchill Downs Inc. 144A, 4.75%, 1/15/28 (b) | | | 468 | |
500,000 | | Cigna Corp., (3 mo. LIBOR USD + 0.650%), 1.49%, 9/17/21 (a) | | | 492 | |
266,000 | | Cigna Corp., 3.75%, 7/15/23 | | | 285 | |
255,000 | | Costco Wholesale Corp., 1.38%, 6/20/27 | | | 257 | |
500,000 | | Covanta Holding Corp., 5.88%, 3/01/24 | | | 495 | |
275,000 | | Crown European Holdings SA, 2.88%, 2/01/26 EUR (c)(h) | | | 305 | |
300,000 | | DaVita Inc., 5.13%, 7/15/24 | | | 306 | |
300,000 | | Dell International LLC/EMC Corp. 144A, 4.42%, 6/15/21 (b) | | | 305 | |
500,000 | | DH Europe Finance II Sarl, 2.20%, 11/15/24 | | | 514 | |
315,000 | | DuPont de Nemours Inc., 2.17%, 5/01/23 | | | 317 | |
292,000 | | Encompass Health Corp., 5.75%, 11/01/24 | | | 295 | |
140,000 | | Equifax Inc., 2.60%, 12/15/25 | | | 142 | |
385,000 | | GATX Corp., 4.35%, 2/15/24 | | | 411 | |
500,000 | | Goodyear Tire & Rubber Co., 5.13%, 11/15/23 | | | 472 | |
500,000 | | HCA Inc., 5.00%, 3/15/24 | | | 543 | |
210,000 | | Home Depot Inc., 2.50%, 4/15/27 | | | 222 | |
570,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.23%, 11/15/21 (b) | | | 576 | |
320,000 | | JD.com Inc., 3.38%, 1/14/30 | | | 332 | |
210,000 | | Keurig Dr Pepper Inc., 4.06%, 5/25/23 | | | 225 | |
200,000 | | Land O’ Lakes Inc. 144A, 7.00% (b)(f) | | | 180 | |
439,973 | | Latam Airlines2015-1 Pass-Through Trust A, 4.20%, 11/15/27 | | | 348 | |
580,000 | | Lennar Corp., 4.75%, 11/29/27 | | | 597 | |
500,000 | | Level 3 Financing Inc., 5.13%, 5/01/23 | | | 500 | |
225,000 | | Lowe’s Cos. Inc., 5.00%, 4/15/40 | | | 280 | |
530,000 | | Meritage Homes Corp., 5.13%, 6/06/27 | | | 510 | |
375,000 | | Mylan NV, 3.15%, 6/15/21 | | | 377 | |
195,000 | | Nissan Motor Acceptance Corp. 144A, (3 mo. LIBOR USD + 0.390%), 1.70%, 7/13/20 (a)(b) | | | 193 | |
775,000 | | Nissan Motor Acceptance Corp. 144A, 2.15%, 7/13/20 (b) | | | 775 | |
500,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 526 | |
100,000 | | NXP BV/NXP Funding LLC/NXP USA Inc. 144A, 2.70%, 5/01/25 (b) | | | 101 | |
140,000 | | Open Text Corp. 144A, 3.88%, 2/15/28 (b) | | | 138 | |
175,000 | | Otis Worldwide Corp. 144A, 2.29%, 4/05/27 (b) | | | 177 | |
250,000 | | Pfizer Inc., 2.63%, 4/01/30 | | | 272 | |
390,000 | | Prosus NV 144A, 3.68%, 1/21/30 (b) | | | 392 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
500,000 | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 144A, 5.13%,
7/15/23 (b) | | $ | 505 | |
375,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 375 | |
500,000 | | Service Corp. International, 5.38%, 5/15/24 | | | 510 | |
355,000 | | Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | | | 361 | |
100,000 | | Sirius XM Radio Inc. 144A, 4.63%, 5/15/23 (b) | | | 101 | |
450,000 | | Sirius XM Radio Inc. 144A, 5.00%, 8/01/27 (b) | | | 463 | |
885,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21 (b) | | | 881 | |
500,000 | | Standard Industries Inc. 144A, 4.75%, 1/15/28 (b) | | | 492 | |
535,000 | | Tencent Holdings Ltd. 144A, 3.28%, 4/11/24 (b) | | | 562 | |
300,000 | | Tenet Healthcare Corp., 8.13%, 4/01/22 | | | 304 | |
800,000 | | Teva Pharmaceutical Finance Netherlands II BV 144A, 6.00%, 1/31/25 EUR (b)(c) | | | 911 | |
130,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 127 | |
815,000 | | Toledo Hospital, 5.33%, 11/15/28 | | | 845 | |
450,000 | | Univar Solutions USA Inc. 144A, 5.13%, 12/01/27 (b) | | | 449 | |
430,000 | | XPO Logistics Inc. 144A, 6.13%, 9/01/23 (b) | | | 438 | |
| | | | | | |
| | | | | 27,172 | |
| | | | | | |
Utility (8%) | | | | |
400,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (b) | | | 392 | |
580,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%,
2/12/30 (b) | | | 495 | |
450,000 | | CenterPoint Energy Inc., 3.60%, 11/01/21 | | | 464 | |
285,000 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 (b) | | | 257 | |
280,000 | | Consolidated Edison Co. of New York Inc., 3.35%, 4/01/30 | | | 309 | |
800,000 | | Dominion Energy Inc., 4.10%, 4/01/21 | | | 813 | |
200,000 | | DTE Energy Co., 3.70%, 8/01/23 | | | 214 | |
430,000 | | Emera U.S. Finance LP, 2.70%, 6/15/21 | | | 433 | |
270,000 | | Energy Transfer Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | | | 271 | |
300,000 | | Entergy Louisiana LLC, 5.00%, 7/15/44 | | | 313 | |
355,000 | | EQM Midstream Partners LP, 4.75%, 7/15/23 | | | 337 | |
615,000 | | EQT Corp., 3.00%, 10/01/22 (g) | | | 583 | |
200,000 | | Evergy Inc., 2.45%, 9/15/24 | | | 208 | |
255,000 | | Exxon Mobil Corp., 1.57%, 4/15/23 | | | 258 | |
560,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (b) | | | 359 | |
755,000 | | Midwest Connector Capital Co. LLC 144A, 3.90%, 4/01/24 (b) | | | 751 | |
860,000 | | MPLX LP, (3 mo. LIBOR USD + 0.900%), 1.90%, 9/09/21 (a) | | | 809 | |
335,000 | | Occidental Petroleum Corp., 2.90%, 8/15/24 | | | 253 | |
400,000 | | Petroleos Mexicanos 144A, 5.95%, 1/28/31 (b) | | | 292 | |
385,000 | | Petroleos Mexicanos 144A, 6.49%, 1/23/27 (b) | | | 315 | |
735,000 | | Phillips 66 Partners LP, 2.45%, 12/15/24 | | | 708 | |
380,000 | | Plains All American Pipeline LP/PAA Finance Corp., 5.00%, 2/01/21 | | | 372 | |
200,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 209 | |
42 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
305,000 | | SM Energy Co., 6.13%, 11/15/22 | | $ | 124 | |
330,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (b) | | | 340 | |
445,000 | | Vistra Operations Co. LLC 144A, 3.55%,
7/15/24 (b) | | | 449 | |
| | | | | | |
| | | | | 10,328 | |
| | | | | | |
Total Corporate Bond (Cost - $65,206) | | | 63,667 | |
| | | | | | |
Foreign Government (5%) | | | | |
830,000 | | CPPIB Capital Inc. 144A, 1.95%, 9/30/29
CAD (b)(c) | | | 628 | |
406,667 | | Dominican Republic International Bond 144A, 7.50%, 5/06/21 (b) | | | 406 | |
430,000 | | Georgia Government International Bond 144A, 6.88%, 4/12/21 (b) | | | 433 | |
280,000 | | Guatemala Government Bond 144A, 5.38%,
4/24/32 (b) | | | 290 | |
500,000 | | Honduras Government International Bond 144A, 8.75%, 12/16/20 (b) | | | 497 | |
360,000 | | Mongolia Government International Bond 144A, 8.75%, 3/09/24 (b) | | | 347 | |
500,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29 CAD (c) | | | 394 | |
380,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (b) | | | 290 | |
290,000 | | Panama Government International Bond, 4.50%, 4/01/56 | | | 328 | |
300,000 | | Paraguay Government International Bond 144A, 4.95%, 4/28/31 (b) | | | 310 | |
510,000 | | Peruvian Government International Bond, 2.78%, 1/23/31 | | | 527 | |
1,900,000 | | Republic of Poland Government Bond, 2.50%, 4/25/24 PLN (c) | | | 507 | |
350,000 | | Senegal Government International Bond 144A, 4.75%, 3/13/28 EUR (b)(c) | | | 333 | |
294,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 286 | |
300,000 | | Uruguay Government International Bond, 4.98%, 4/20/55 | | | 341 | |
| | | | | | |
Total Foreign Government (Cost - $6,119) | | | 5,917 | |
| | | | | | |
Mortgage Backed (17%) | | | | |
102,151 | | Alternative Loan Trust 2005-47CB, 5.50%, 10/25/35 | | | 83 | |
127,875 | | Alternative Loan Trust 2005-54CB, 5.13%, 11/25/35 | | | 96 | |
660,268 | | Alternative Loan Trust 2005-54CB, 5.50%, 11/25/35 | | | 525 | |
235,692 | | Alternative Loan Trust2007-9T1, 6.00%, 5/25/37 | | | 131 | |
335,456 | | American Home Mortgage Investment Trust2006-3, (6 mo. LIBOR USD + 1.750%), 2.84%, 12/25/36 (a) | | | 280 | |
182,849 | | Banc of America Funding2005-H Trust, 3.89%, 11/20/35 (d) | | | 151 | |
13,296,146 | | BANK 2018-BNK14, 0.67%, 9/15/60 (d) | | | 414 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
407,653 | | BCAP LLC Trust2007-AA2, 6.00%, 4/25/37 | | $ | 303 | |
420,000 | | BX Commercial Mortgage Trust2018-IND 144A, (1 mo. LIBOR USD + 2.050%), 2.86%, 11/15/35 (a)(b) | | | 384 | |
649,672 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 1.080%), 1.89%, 10/15/36 (a)(b) | | | 636 | |
156,744 | | CHL Mortgage Pass-Through Trust2004-29, 2.78%, 2/25/35 (d) | | | 124 | |
9,627,196 | | Citigroup Commercial Mortgage Trust2018-C6, 0.95%, 11/10/51 (d) | | | 509 | |
382,219 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.64%, 11/25/39 (a)(b) | | | 322 | |
600,000 | | Connecticut Avenue Securities Trust2019-R07 144A, (1 mo. LIBOR USD + 2.100%), 2.59%, 10/25/39 (a)(b) | | | 528 | |
510,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 3.46%, 5/15/36 (a)(b) | | | 477 | |
86,822 | | CSMC Mortgage-Backed Trust2006-7, 6.00%, 8/25/36 | | | 59 | |
213,676 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.950%), 1.44%, 10/25/29 (a) | | | 213 | |
497,578 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%), 10.74%, 1/25/29 (a) | | | 426 | |
771,335 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 11.750%), 12.24%, 10/25/28 (a) | | | 690 | |
497,827 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%), 12.74%, 9/25/28 (a) | | | 460 | |
1,241,661 | | FN BM2007 30YR, 4.00%, 9/01/48 | | | 1,324 | |
1,407,410 | | FN MA2561 15YR, 3.00%, 3/01/31 | | | 1,489 | |
1,242,031 | | FN MA3106 30YR, 3.00%, 8/01/47 | | | 1,315 | |
290,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 9/25/49 (a)(b) | | | 249 | |
260,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 2/25/50 (a)(b) | | | 197 | |
391,580 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 0.750%), 1.24%, 10/25/48 (a)(b) | | | 390 | |
300,000 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.14%, 1/25/49 (a)(b) | | | 270 | |
300,000 | | Freddie Mac STACR Trust 2019-FTR3 144A, (1 mo. LIBOR USD + 4.800%), 5.75%, 9/25/47 (a)(b) | | | 84 | |
300,000 | | Freddie Mac STACR Trust 2019-FTR4 144A, (1 mo. LIBOR USD + 5.000%), 5.49%, 11/25/47 (a)(b) | | | 85 | |
Semi-Annual Report 43
Payden Strategic Income Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
96,649 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 4/25/49 (a)(b) | | $ | 88 | |
570,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.89%, 2/25/49 (a)(b) | | | 506 | |
600,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 5.09%, 12/25/42 (a) | | | 449 | |
495,465 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 8.800%), 9.29%, 3/25/28 (a) | | | 379 | |
494,577 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 9.350%), 9.84%, 4/25/28 (a) | | | 387 | |
331,612 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.500%), 10.99%, 5/25/28 (a) | | | 274 | |
495,496 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.74%, 12/25/28 (a) | | | 434 | |
248,220 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.74%, 10/25/29 (a) | | | 156 | |
1,373,171 | | G2 MA3802 30YR, 3.00%, 7/20/46 | | | 1,468 | |
320,195 | | GSMPS Mortgage Loan Trust2005-RP2 144A, (1 mo. LIBORUSD + 0.350%), 0.84%, 3/25/35 (a)(b) | | | 280 | |
38,872 | | JP Morgan Mortgage Trust2006-A4, 4.29%,
6/25/36 (d) | | | 32 | |
196,800 | | JP Morgan Mortgage Trust2014-2 144A, 3.00%, 6/25/29 (b)(d) | | | 200 | |
420,000 | | Multifamily Connecticut Avenue Securities Trust2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.74%, 10/15/49 (a)(b) | | | 325 | |
1,050,000 | | Multifamily Connecticut Avenue Securities Trust2020-01 144A, (1 mo. LIBOR USD + 3.750%), 4.24%, 3/25/50 (a)(b) | | | 855 | |
75,126 | | Nationstar Mortgage Loan Trust2013-A 144A, 3.75%, 12/25/52 (b)(d) | | | 76 | |
77,396 | | New Residential Mortgage Loan Trust2015-1 144A, 3.75%, 5/28/52 (b)(d) | | | 79 | |
328,092 | | New Residential Mortgage Loan Trust2015-2 144A, 3.75%, 8/25/55 (b)(d) | | | 337 | |
578,762 | | New Residential Mortgage Loan Trust2017-4 144A, 4.00%, 5/25/57 (b)(d) | | | 614 | |
104,282 | | PHH Alternative Mortgage Trust Series2007-1, 6.00%, 2/25/37 | | | 94 | |
152,666 | | RFMSI Series2006-SA2 Trust, 5.04%, 8/25/36 (d) | | | 109 | |
1,000,000 | | Seasoned Credit Risk Transfer Trust Series2016-1 144A, 3.00%, 9/25/55 (b)(d) | | | 960 | |
275,041 | | Sequoia Mortgage Trust2017-CH1 144A, 3.50%, 8/25/47 (b)(d) | | | 279 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
660,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.89%, 2/25/47 (a)(b) | | $ | 496 | |
300,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.99%, 2/25/47 (a)(b) | | | 137 | |
189,763 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust, 3.72%, 9/25/36 (d) | | | 168 | |
482,176 | | WaMu Mortgage Pass-Through Certificates Series2007-HY1 Trust, 3.81%, 2/25/37 (d) | | | 432 | |
| | | | | | |
Total Mortgage Backed (Cost - $24,426) | | | 21,828 | |
| | | | | | |
Municipal (4%) | | | | |
910,000 | | California Health Facilities Financing Authority, 2.48%, 6/01/27 | | | 902 | |
650,000 | | California Pollution Control Financing Authority 144A, 5.00%, 7/01/37 (b) | | | 672 | |
1,000,000 | | California Pollution Control Financing Authority 144A, 6.75%, 12/01/28 (b) | | | 929 | |
250,000 | | California Pollution Control Financing Authority 144A, 7.50%, 12/01/39 (b) | | | 40 | |
250,000 | | District of Columbia Water & Sewer Authority, 4.81%, 10/01/2114 | | | 336 | |
1,500,000 | | Municipal Improvement Corp. of Los Angeles, 3.43%, 11/01/21 | | | 1,539 | |
1,000,000 | | New York Transportation Development Corp., 5.00%, 7/01/41 | | | 1,021 | |
| | | | | | |
Total Municipal (Cost - $5,641) | | | 5,439 | |
| | | | | | |
U.S. Treasury (10%) | | | | |
4,310,000 | | U.S. Treasury Bill, 0.03%, 5/05/20 (i) | | | 4,310 | |
160,000 | | U.S. Treasury Bond, 2.00%,
2/15/50 | | | 189 | |
1,613,184 | | U.S. Treasury Inflation Indexed Bonds, 0.13%, 10/15/24 | | | 1,651 | |
700,000 | | U.S. Treasury Note, 1.38%, 8/31/26 (j) | | | 739 | |
4,160,000 | | U.S. Treasury Note, 1.50%, 2/15/30 | | | 4,506 | |
770,000 | | U.S. Treasury Note, 2.75%, 7/31/23 (j)(k) | | | 832 | |
| | | | | | |
Total U.S. Treasury (Cost - $12,148) | | | 12,227 | |
| | | | | | |
Stocks (0%) | | | | |
Preferred Stock (0%) | | | | |
3,550 | | U.S. Bancorp, 6.50% | | | | |
| | (Cost - $102) | | | 96 | |
| | | | | | |
Investment Company (2%) | | | | |
2,265,284 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $2,265) | | | 2,265 | |
| | | | | | |
Total Investments (Cost - $134,064) (100%) | | | 127,856 | |
Liabilities in excess of Other Assets (0%) | | | (47 | ) |
| | | | | | |
Net Assets (100%) | | $ | 127,809 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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. |
| (e) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
44 Payden Mutual Funds
| (f) | Perpetual security with no stated maturity date. |
| (g) | All or a portion of these securities are on loan. At April 30, 2020, the total market value of the Fund’s securities on loan is $768 and the total market value of the collateral held by the Fund is $779. Amounts in 000s. |
| (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) | Yield to maturity at time of purchase. |
| (j) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (k) | 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 (000s) | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | |
EUR 570 | | USD 623 | | Citibank, N.A. | | | 06/23/2020 | | | $ | 3 | | | | | |
USD 5,969 | | EUR 5,316 | | Citibank, N.A. | | | 06/23/2020 | | | | 137 | | | | | |
USD 1,037 | | CAD 1,427 | | HSBC Bank USA, N.A. | | | 06/23/2020 | | | | 12 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | 152 | | | | | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
USD 1,306 | | EUR 1,197 | | Citibank, N.A. | | | 06/23/2020 | | | | (7 | ) | | | | |
USD 495 | | PLN 2,071 | | Citibank, N.A. | | | 07/28/2020 | | | | (4 | ) | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | (11 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | $ | 141 | | | | | |
| | | | | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury5-Year Note Future | | 52 | | | Jun-20 | | | $ | 6,525 | | | $ | 220 | | | | $220 | | | | | |
U.S. Ultra Bond Future | | 8 | | | Jun-20 | | | | 1,798 | | | | 188 | | | | 188 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 408 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury10-Year Note Future | | 1 | | | Jun-20 | | | | (139 | ) | | | (6 | ) | | | (6) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | $ | 402 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
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 | | | | 06/20/2025 | | | | $ | 6,500 | | | | $ | (308 | ) | | | $ | (507 | ) | | | $ | 199 | |
High Yield Series 34 Index), Pay 5% Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 45
Payden Strategic Income Fundcontinued
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 | | $ | 768 | |
Non-cash Collateral2 | | | (768) | |
| | | | |
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, 2020, 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.
46 Payden Mutual Funds
Payden Absolute Return Bond Fund
| | | | | | | | | | |
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 | | | |
| | Asset Backed | | | 29% | |
| | Mortgage Backed | | | 27% | |
| | Corporate | | | 26% | |
| | U.S. Treasury | | | 8% | |
| | Foreign Government | | | 7% | |
| | Other | | | 3% | |
| | | | | | |
| | | | | | |
| Schedule of Investments -April 30, 2020 (Unaudited) | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (29%) | | | | |
316,428 | | Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%), 2.63%, 7/25/27 (a)(b) | | $ | 311 | |
600,000 | | Allegro CLOII-S Ltd. 144A, (3 mo. LIBOR USD + 1.080%), 2.19%, 10/21/28 (a)(b) | | | 584 | |
1,600,000 | | ALM XVI Ltd./ALM XVI LLC 144A, (3 mo. LIBOR USD + 1.500%), 2.72%, 7/15/27 (a)(b) | | | 1,538 | |
4,350,000 | | ALM XVII Ltd. 144A, (3 mo. LIBOR USD + 0.930%), 2.15%, 1/15/28 (a)(b) | | | 4,279 | |
1,600,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 0.930%), 2.07%, 7/18/27 (a)(b) | | | 1,574 | |
650,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 3.59%, 7/18/27 (a)(b) | | | 545 | |
700,000 | | Apres Static CLO Ltd. 144A, (3 mo. LIBOR USD + 1.750%), 2.97%, 1/15/27 (a)(b) | | | 659 | |
3,000,000 | | Arbor Realty Commercial Real Estate Notes2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 2.31%, 5/15/37 (a)(b) | | | 2,644 | |
1,700,000 | | Arbor Realty Commercial Real Estate Notes2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.700%), 2.51%, 5/15/37 (a)(b) | | | 1,418 | |
1,500,000 | | Arbor Realty Commercial Real Estate Notes2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.750%), 2.56%, 9/15/34 (a)(b) | | | 1,245 | |
1,700,000 | | Atlas Senior Loan Fund Ltd. 144A, (3 mo. LIBOR USD + 1.300%), 2.48%, 1/16/30 (a)(b) | | | 1,696 | |
2,350,000 | | Avery Point VI CLO Ltd. 144A, (3 mo. LIBOR USD + 1.050%), 2.79%, 8/05/27 (a)(b) | | | 2,309 | |
795,761 | | Barings BDC Static CLO Ltd.2019-1 144A, (3 mo. LIBOR USD + 1.020%), 2.24%, 4/15/27 (a)(b) | | | 780 | |
1,500,000 | | Barings BDC Static CLO Ltd.2019-1 144A, (3 mo. LIBOR USD + 1.650%), 2.87%, 4/15/27 (a)(b) | | | 1,432 | |
370,000 | | Barings CLO Ltd.2016-II 144A, (3 mo. LIBOR USD + 3.250%), 4.39%, 7/20/28 (a)(b) | | | 321 | |
300,000 | | BDS2019-FL3 Ltd. 144A, (1 mo. LIBOR USD + 1.400%), 2.15%, 12/15/35 (a)(b) | | | 288 | |
1,450,000 | | BDS2019-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.700%), 3.45%, 12/15/35 (a)(b) | | | 1,265 | |
2,200,000 | | BDS2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.87%, 2/16/37 (a)(b) | | | 2,036 | |
2,350,000 | | BDS2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.350%), 2.07%, 2/16/37 (a)(b) | | | 2,170 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
2,100,000 | | BDS2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.800%), 2.52%, 2/16/37 (a)(b) | | $ | 1,877 | |
450,000 | | Blackrock European CLO III DAC 144A, (3 mo. EURIBOR + 0.850%), 0.85%, 4/15/30
EUR (a)(b)(c) | | | 480 | |
1,300,000 | | Blackrock European CLO V DAC, (3 mo. EURIBOR + 1.100%), 1.10%, 7/16/31
EUR (a)(c)(d) | | | 1,270 | |
2,030,931 | | BlueMountain CLO2013-1 Ltd. 144A, (3 mo. LIBOR USD + 1.230%), 2.37%, 1/20/29 (a)(b) | | | 1,979 | |
1,400,000 | | Bristol Park CLO Ltd. 144A, (3 mo. LIBOR USD + 7.000%), 8.22%, 4/15/29 (a)(b) | | | 1,018 | |
600,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 9/15/35 (a)(b) | | | 549 | |
450,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 2.41%, 9/15/35 (a)(b) | | | 372 | |
400,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.100%), 2.91%, 9/15/35 (a)(b) | | | 303 | |
350,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 3.56%, 9/15/35 (a)(b) | | | 232 | |
439,612 | | Carlyle Global Market Strategies Euro CLO2015-2 DAC 144A, (3 mo. EURIBOR + 0.730%), 0.73%, 9/21/29 EUR (a)(b)(c) | | | 473 | |
1,741,493 | | CARS-DB4 LP 144A, 2.69%, 2/15/50 (b) | | | 1,686 | |
1,200,000 | | CARS-DB4 LP 144A, 3.19%, 2/15/50 (b) | | | 1,171 | |
2,800,000 | | CARS-DB4 LP 144A, 4.17%, 2/15/50 (b) | | | 2,579 | |
800,000 | | CARS-DB4 LP 144A, 4.52%, 2/15/50 (b) | | | 709 | |
970,000 | | CARS-DB4 LP 144A, 4.95%, 2/15/50 (b) | | | 820 | |
1,410,000 | | Cedar Funding II CLO Ltd. 144A, (3 mo. LIBOR USD + 1.230%), 2.23%, 6/09/30 (a)(b) | | | 1,377 | |
1,950,000 | | Cedar Funding VI CLO Ltd. 144A, (3 mo. LIBOR USD + 1.090%), 2.23%, 10/20/28 (a)(b) | | | 1,902 | |
500,000 | | Cedar Funding VI CLO Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 2.74%, 10/20/28 (a)(b) | | | 470 | |
1,925,000 | | Cent CLO 17 Ltd. 144A, (3 mo. LIBOR USD + 2.800%), 3.56%, 4/30/31 (a)(b) | | | 1,504 | |
350,000 | | CIFC Funding2013-III-R Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.92%, 4/24/31 (a)(b) | | | 275 | |
5,660,000 | | CIFC Funding2014-II-R Ltd. 144A, (3 mo. LIBOR USD + 1.050%), 2.07%, 4/24/30 (a)(b) | | | 5,460 | |
2,325,000 | | CIFC Funding2015-V Ltd. 144A, (3 mo. LIBOR USD + 0.860%), 1.85%, 10/25/27 (a)(b) | | | 2,275 | |
700,000 | | CIFC Funding2015-V Ltd. 144A, (3 mo. LIBOR USD + 2.950%), 3.94%, 10/25/27 (a)(b) | | | 588 | |
1,100,000 | | Clarinda Park CLO DAC 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 11/15/29 EUR (a)(b)(c) | | | 1,193 | |
Semi-Annual Report 47
Payden Absolute Return Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,450,000 | | Clarinda Park CLO DAC 144A, (3 mo. EURIBOR + 1.600%), 1.60%, 11/15/29 EUR (a)(b)(c) | | $ | 1,513 | |
250,000 | | Columbia Cent CLO 27 Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 2.59%, 10/25/28 (a)(b) | | | 236 | |
911,053 | | CoreVest American Finance2018-2 Trust 144A, 4.03%, 11/15/52 (b) | | | 944 | |
404,103 | | Countrywide Asset-Backed Certificates, 4.57%, 10/25/46 (e) | | | 396 | |
300,000 | | CVC Cordatus Loan Fund III DAV 144A, (3 mo. EURIBOR + 2.550%), 2.55%, 8/15/32
EUR (a)(b)(c) | | | 255 | |
1,661,750 | | DB Master Finance LLC 144A, 3.63%,
11/20/47 (b) | | | 1,649 | |
694,750 | | DB Master Finance LLC 144A, 3.79%, 5/20/49 (b) | | | 705 | |
2,204,475 | | Domino’s Pizza Master Issuer LLC 144A, 3.08%, 7/25/47 (b) | | | 2,209 | |
1,200,000 | | Drive Auto Receivables Trust2018-1, 3.81%, 5/15/24 | | | 1,210 | |
3,700,000 | | Drive Auto Receivables Trust2019-2, 3.69%, 8/17/26 | | | 3,612 | |
1,000,000 | | Drive Auto Receivables Trust2019-3, 3.18%, 10/15/26 | | | 958 | |
1,086,250 | | Driven Brands Funding LLC 144A, 4.64%,
4/20/49 (b) | | | 1,065 | |
888,150 | | Driven Brands Funding LLC 144A, 5.22%,
7/20/45 (b) | | | 908 | |
1,650,000 | | Dryden 36 Senior Loan Fund 144A, (3 mo. LIBOR USD + 1.750%), 2.97%, 4/15/29 (a)(b) | | | 1,596 | |
650,000 | | Dryden 39 Euro CLO 2015 BV 144A, (3 mo. EURIBOR + 0.870%), 0.87%, 10/15/31
EUR (a)(b)(c) | | | 697 | |
945,000 | | First Investors Auto Owner Trust2019-1 144A, 3.55%, 4/15/25 (b) | | | 879 | |
2,000,000 | | First Investors Auto Owner Trust2019-2 144A, 2.80%, 12/15/25 (b) | | | 1,880 | |
1,256,621 | | Galaxy XXIX CLO Ltd. 144A, (3 mo. LIBOR USD + 0.790%), 2.48%, 11/15/26 (a)(b) | | | 1,233 | |
500,000 | | GPMT2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 2/22/36 (a)(b) | | | 482 | |
600,000 | | GPMT2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 2.41%, 2/22/36 (a)(b) | | | 542 | |
800,000 | | GPMT2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.900%), 2.71%, 2/22/36 (a)(b) | | | 748 | |
1,700,000 | | Grand Avenue CRE2019-FL1 144A, (1 mo. LIBOR USD + 1.500%), 2.31%, 6/15/37 (a)(b) | | | 1,595 | |
2,800,000 | | Greystone Commercial Real Estate Notes2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 2.36%, 9/15/28 (a)(b) | | | 2,638 | |
250,000 | | Greystone Commercial Real Estate Notes2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.150%), 2.96%, 9/15/28 (a)(b) | | | 230 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
2,450,000 | | Greystone Commercial Real Estate Notes2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.650%), 3.46%, 9/15/28 (a)(b) | | $ | 2,170 | |
2,100,000 | | Greystone CRE Notes2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.180%), 1.99%, 9/15/37 (a)(b) | | | 1,929 | |
2,300,000 | | Greystone CRE Notes2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.400%), 3.21%, 9/15/37 (a)(b) | | | 1,917 | |
2,000,000 | | Greystone CRE Notes2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 3.56%, 9/15/37 (a)(b) | | | 1,592 | |
2,300,000 | | Greywolf CLO IV Ltd. 144A, (3 mo. LIBOR USD + 1.950%), 3.08%, 4/17/30 (a)(b) | | | 2,168 | |
1,000,000 | | Grippen Park CLO Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 2.79%, 1/20/30 (a)(b) | | | 957 | |
500,000 | | Halcyon Loan Advisors Funding2015-2 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 2.64%,
7/25/27 (a)(b) | | | 476 | |
2,300,000 | | Henley CLO I DAC 144A, (3 mo. EURIBOR + 1.140%), 1.14%, 7/15/32 EUR (a)(b)(c) | | | 2,420 | |
1,300,000 | | Henley CLO I DAC 144A, (3 mo. EURIBOR + 1.800%), 1.80%, 7/15/32 EUR (a)(b)(c) | | | 1,347 | |
1,000,000 | | Hunt CRE2017-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.000%), 1.81%, 8/15/34 (a)(b) | | | 966 | |
250,000 | | Hunt CRE2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.89%, 8/15/28 (a)(b) | | | 231 | |
450,000 | | Hunt CRE2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.350%), 3.16%, 8/15/28 (a)(b) | | | 389 | |
2,400,000 | | ICG U.S. CLO2015-2R Ltd. 144A, (3 mo. LIBOR USD + 1.370%), 3.08%, 1/16/33 (a)(b) | | | 2,302 | |
400,000 | | ICG U.S. CLO2017-1 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 2.54%, 4/28/29 (a)(b) | | | 374 | |
606,660 | | Invitation Homes 2018-SFR3 Trust 144A, (1 mo. LIBOR USD + 1.000%), 1.75%, 7/17/37 (a)(b) | | | 594 | |
150,935 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 2.09%, 4/21/25 (a)(b) | | | 150 | |
250,000 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 2.59%, 4/21/25 (a)(b) | | | 242 | |
550,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.85%, 6/15/36 (a)(b) | | | 530 | |
300,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.350%), 2.10%, 6/15/36 (a)(b) | | | 278 | |
200,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD +1.600%), 2.35%, 6/15/36 (a)(b) | | | 180 | |
200,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 2.000%), 2.75%, 6/15/36 (a)(b) | | | 173 | |
1,500,000 | | LCM XVIII LP 144A, (3 mo. LIBOR USD + 1.240%), 2.46%, 7/15/27 (a)(b) | | | 1,472 | |
950,000 | | LCM XVIII LP 144A, (3 mo. LIBOR USD + 1.750%), 2.97%, 7/15/27 (a)(b) | | | 916 | |
750,000 | | LCM XX LP 144A, (3 mo. LIBOR USD + 1.040%), 2.18%, 10/20/27 (a)(b) | | | 740 | |
48 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
800,000 | | LMREC 2019-CRE3 Inc. 144A, (1 mo. LIBOR USD + 1.400%), 1.97%, 12/22/35 (a)(b) | | $ | 708 | |
1,200,000 | | LoanCore 2018-CRE1 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.130%), 1.94%, 5/15/28 (a)(b) | | | 1,118 | |
1,300,000 | | LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 2.31%, 5/15/36 (a)(b) | | | 1,141 | |
755,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 2.09%, 4/19/30 (a)(b) | | | 739 | |
1,340,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.99%, 4/19/30 (a)(b) | | | 1,127 | |
3,250,000 | | Magnetite VII Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 2.02%, 1/15/28 (a)(b) | | | 3,178 | |
1,050,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.96%, 6/15/28 (a)(b) | | | 980 | |
150,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 2.36%, 6/15/28 (a)(b) | | | 127 | |
706,205 | | Neuberger Berman CLOXVI-S Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 2.07%, 1/15/28 (a)(b) | | | 692 | |
3,500,000 | | Neuberger Berman Loan Advisers CLO 24 Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 2.16%, 4/19/30 (a)(b) | | | 3,388 | |
1,000,000 | | NLY Commercial Mortgage Trust 144A, (1 mo. LIBOR USD + 1.600%), 2.41%, 2/15/36 (a)(b) | | | 889 | |
4,511,520 | | NP SPE II LLC 144A, 2.86%, 11/19/49 (b) | | | 4,558 | |
2,350,000 | | OCP CLO2013-4 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 2.47%, 4/24/29 (a)(b) | | | 2,208 | |
400,000 | | OCP CLO2014-5 Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.89%, 4/26/31 (a)(b) | | | 312 | |
350,000 | | Octagon Investment Partners 25 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 1.94%, 10/20/26 (a)(b) | | | 346 | |
735,000 | | Octagon Investment Partners XXIII Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 2.07%, 7/15/27 (a)(b) | | | 724 | |
1,100,000 | | OneMain Financial Issuance Trust2019-1 144A, 4.22%, 2/14/31 (b) | | | 957 | |
2,181,757 | | OZLM VII Ltd. 144A, (3 mo. LIBOR USD + 1.010%), 2.14%, 7/17/29 (a)(b) | | | 2,115 | |
450,000 | | OZLM XII Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 2.36%, 4/30/27 (a)(b) | | | 435 | |
1,950,000 | | Palmer Square CLO2015-1 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 3.35%, 5/21/29 (a)(b) | | | 1,833 | |
3,150,000 | | Palmer Square CLO2015-1 Ltd. 144A, (3 mo. LIBOR USD + 3.150%), 4.85%, 5/21/29 (a)(b) | | | 2,609 | |
2,250,000 | | Palmer Square Loan Funding2020-1 Ltd. 144A, (3 mo. LIBOR USD + 1.350%), 3.03%, 2/20/28 (a)(b) | | | 2,123 | |
2,900,000 | | Palmer Square Loan Funding2020-1 Ltd. 144A, (3 mo. LIBOR USD + 2.500%), 4.18%, 2/20/28 (a)(b) | | | 2,411 | |
800,000 | | Palmer Square Loan Funding2020-1 Ltd. 144A, (3 mo. LIBOR USD + 4.850%), 6.53%, 2/20/28 (a)(b) | | | 515 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
748,600 | | Planet Fitness Master Issuer LLC 144A, 4.26%, 9/05/48 (b) | | $ | 721 | |
1,970,000 | | Planet Fitness Master Issuer LLC 144A, 4.67%, 9/05/48 (b) | | | 1,826 | |
400,000 | | Progress Residential 2018-SFR3 Trust 144A, 4.08%, 10/17/35 (b) | | | 406 | |
1,250,000 | | Progress Residential 2019-SFR2 Trust 144A, 3.79%, 5/17/36 (b) | | | 1,244 | |
2,350,000 | | Progress Residential 2019-SFR4 Trust 144A, 2.94%, 10/17/36 (b) | | | 2,329 | |
1,800,000 | | Providus CLO IV DAC 144A, (3 mo. EURIBOR + 1.450%), 1.45%, 7/20/31 EUR (a)(b)(c)(f) | | | 1,945 | |
1,850,000 | | Regatta Funding LP2013-2A 144A, (3 mo. LIBOR USD + 1.250%), 2.47%, 1/15/29 (a)(b) | | | 1,805 | |
1,500,000 | | Regatta Funding LP2013-2A 144A, (3 mo. LIBOR USD + 1.850%), 3.07%, 1/15/29 (a)(b) | | | 1,419 | |
850,000 | | Regatta VII Funding Ltd. 144A, (3 mo. LIBOR USD + 1.060%), 2.18%, 12/20/28 (a)(b) | | | 834 | |
300,000 | | Regatta VII Funding Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 3.12%, 12/20/28 (a)(b) | | | 274 | |
2,250,000 | | RR 6 Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 2.82%, 4/15/30 (a)(b) | | | 2,200 | |
1,200,000 | | Santander Drive Auto Receivables Trust2019-2, 3.22%, 7/15/25 | | | 1,150 | |
440,938 | | Shackleton 2015-VIII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.920%), 2.06%, 10/20/27 (a)(b) | | | 433 | |
2,950,000 | | St Paul’s CLO IX DAC, (3 mo. EURIBOR + 0.820%), 0.82%, 11/15/30 EUR (a)(c)(d) | | | 3,107 | |
553,746 | | Starwood Waypoint Homes2017-1 Trust 144A, (1 mo. LIBOR USD + 0.950%), 1.76%, 1/17/35 (a)(b) | | | 545 | |
1,700,000 | | STWD2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.89%, 7/15/38 (a)(b) | | | 1,602 | |
3,061,097 | | Symphony CLO XIV Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 2.26%, 7/14/26 (a)(b) | | | 3,016 | |
2,050,000 | | Symphony CLO XVII Ltd. 144A, (3 mo. LIBOR USD + 0.880%), 2.10%, 4/15/28 (a)(b) | | | 2,020 | |
500,000 | | Symphony CLO XVII Ltd., (3 mo. LIBOR USD + 2.650%), 3.87%, 4/15/28 (a)(d) | | | 426 | |
450,000 | | Symphony CLO XVII Ltd. 144A, (3 mo. LIBOR USD + 2.650%), 3.87%, 4/15/28 (a)(b) | | | 387 | |
3,357,500 | | Taco Bell Funding LLC 144A, 4.32%, 11/25/48 (b) | | | 3,443 | |
204,182 | | Thacher Park CLO Ltd. 144A, (3 mo. LIBOR USD + 1.160%), 2.30%, 10/20/26 (a)(b) | | | 203 | |
193,369 | | THL Credit Wind River2015-2 CLO Ltd. 144A, (3 mo. LIBOR USD + 0.870%), 2.09%, 10/15/27 (a)(b) | | | 190 | |
1,000,000 | | TPG Real Estate Finance2018-FL2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.130%), 1.88%, 11/15/37 (a)(b) | | | 952 | |
250,000 | | TPG Real Estate Finance2018-FL2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.300%), 3.05%, 11/15/37 (a)(b) | | | 197 | |
900,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%), 2.11%, 4/15/29 (a)(b) | | | 876 | |
Semi-Annual Report 49
Payden Absolute Return Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
764,080 | | Venture XVII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.880%), 2.10%, 4/15/27 (a)(b) | | $ | 745 | |
2,300,000 | | Venture XXIV CLO Ltd. 144A, (3 mo. LIBOR USD + 1.180%), 2.32%, 10/20/28 (a)(b) | | | 2,214 | |
2,800,000 | | Voya CLO2019-1 Ltd. 144A, (3 mo. LIBOR USD + 1.060%), 2.28%, 4/15/31 (a)(b) | | | 2,713 | |
2,443,750 | | Wendy’s Funding LLC 144A, 3.57%, 3/15/48 (b) | | | 2,345 | |
888,750 | | Wendy’s Funding LLC 144A, 3.78%, 6/15/49 (b) | | | 864 | |
550,000 | | Westlake Automobile Receivables Trust2018-3 144A, 4.00%, 10/16/23 (b) | | | 550 | |
4,600,000 | | Westlake Automobile Receivables Trust2019-1 144A, 3.67%, 3/15/24 (b) | | | 4,555 | |
3,400,000 | | Westlake Automobile Receivables Trust2019-3 144A, 2.72%, 11/15/24 (b) | | | 3,204 | |
4,800,000 | | Westlake Automobile Receivables Trust2020-1 144A, 2.80%, 6/16/25 (b) | | | 4,506 | |
841,500 | | Wingstop Funding2018-1 LLC 144A, 4.97%, 12/05/48 (b) | | | 858 | |
Total Asset Backed (Cost - $214,196) | | | 201,686 | |
| |
Bank Loans (g) (2%) | | | | |
1,695,750 | | 1011778 BC ULC Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 11/19/26 | | | 1,600 | |
662,853 | | Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD3-Month + 1.750%), 3.20%, 6/01/24 | | | 647 | |
1,994,911 | | Beacon Roofing Supply Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.250%), 2.65%, 1/02/25 | | | 1,872 | |
1,058,855 | | Charter Communications Operating LLC Term Loan B2 1L, (LIBOR USD1-Month + 1.750%), 2.16%, 2/01/27 | | | 1,022 | |
1,300,000 | | Elanco Animal Health Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 1.75%, 2/04/27 | | | 1,260 | |
900,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%), 2.63%, 1/31/27 EUR (c) | | | 935 | |
1,994,987 | | HCA Inc. Term Loan B13 1L, (LIBOR USD1-Month + 1.750%), 1.75%, 3/18/26 | | | 1,953 | |
96,000 | | Hilton Worldwide Finance LLC Term Loan B2 1L, (LIBOR USD1-Month + 1.750%), 2.24%, 6/21/26 | | | 92 | |
1,940,565 | | KFC Holding Co. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.47%, 4/03/25 | | | 1,866 | |
1,800,000 | | T-Mobile USA Inc. Term Loan B 1L, (LIBOR USD3-Month + 3.000%), 4.94%, 4/01/27 | | | 1,791 | |
1,293,282 | | U.S. Foods Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 6/27/23 | | | 1,200 | |
1,960,000 | | WMG Acquisition Corp. Term Loan F 1L, (LIBOR USD1-Month + 2.125%), 2.53%, 11/01/23 | | | 1,911 | |
1,732,412 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 5/30/25 | | | 1,600 | |
Total Bank Loans (Cost - $18,412) | | | 17,749 | |
| |
Corporate Bond (27%) | | | | |
850,000 | | ACI Worldwide Inc. 144A, 5.75%, 8/15/26 (b) | | | 852 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
2,230,000 | | ADCB Finance Cayman Ltd. 144A, 4.00%,
3/29/23 (b) | | $ | 2,299 | |
450,000 | | ADCB Finance Cayman Ltd., 4.00%, 3/29/23 (d) | | | 464 | |
1,100,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 5/15/21 | | | 1,068 | |
430,000 | | Alcoa Nederland Holding BV 144A, 6.75%,
9/30/24 (b) | | | 428 | |
978,000 | | Allergan Sales LLC 144A, 4.88%, 2/15/21 (b) | | | 1,012 | |
1,000,000 | | Allergan Sales LLC 144A, 5.00%, 12/15/21 (b) | | | 1,048 | |
500,000 | | Allison Transmission Inc. 144A, 5.88%, 6/01/29 (b) | | | 488 | |
1,900,000 | | Anheuser-Busch InBev Worldwide Inc., 4.15%, 1/23/25 | | | 2,119 | |
1,000,000 | | Anthem Inc., 2.95%, 12/01/22 | | | 1,039 | |
1,000,000 | | ANZ New Zealand Int’l Ltd. 144A, 3.40%,
3/19/24 (b) | | | 1,061 | |
1,150,000 | | ASB Bank Ltd. 144A, 3.75%, 6/14/23 (b) | | | 1,214 | |
270,000 | | Ashtead Capital Inc. 144A, 4.13%, 8/15/25 (b) | | | 268 | |
1,100,000 | | AT&T Inc., 0.25%, 3/04/26 EUR (c) | | | 1,164 | |
2,000,000 | | AT&T Inc., 4.13%, 2/17/26 | | | 2,206 | |
270,000 | | Athene Global Funding 144A, 4.00%, 1/25/22 (b) | | | 278 | |
800,000 | | Aviation Capital Group LLC 144A, (3 mo. LIBOR USD + 0.950%), 2.53%, 6/01/21 (a)(b) | | | 741 | |
880,000 | | Avolon Holdings Funding Ltd. 144A, 3.63%, 5/01/22 (b) | | | 807 | |
2,200,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (b) | | | 2,141 | |
1,600,000 | | Banco Bradesco SA 144A, 3.20%, 1/27/25 (b) | | | 1,532 | |
690,000 | | Banco de Credito del Peru 144A, 2.70%, 1/11/25 (b) | | | 675 | |
1,200,000 | | Banco de Sabadell SA, 1.75%, 5/10/24 EUR (c)(d) | | | 1,212 | |
1,060,000 | | Banco Internacional del Peru SAA Interbank 144A, 3.25%, 10/04/26 (b) | | | 1,019 | |
1,200,000 | | Banco Santander SA, 2.71%, 6/27/24 | | | 1,234 | |
440,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.160%), 3.12%, 1/20/23 (a) | | | 452 | |
1,350,000 | | Barclays PLC, (3 mo. LIBOR USD + 1.400%), 4.61%, 2/15/23 (a) | | | 1,404 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 5.50%, 11/01/25 (b) | | | 1,044 | |
1,200,000 | | Bayer U.S. Finance II LLC 144A, 3.88%,
12/15/23 (b) | | | 1,276 | |
1,300,000 | | Becton Dickinson Euro Finance Sarl, 0.63%, 6/04/23 EUR (c) | | | 1,398 | |
2,550,000 | | BPCE SA 144A, 2.38%, 1/14/25 (b) | | | 2,543 | |
185,000 | | Bristol-Myers Squibb Co. 144A, 2.75%, 2/15/23 (b) | | | 195 | |
1,400,000 | | Bristol-Myers Squibb Co. 144A, 2.90%, 7/26/24 (b) | | | 1,518 | |
1,700,000 | | CaixaBank SA, 1.75%, 10/24/23 EUR (c)(d) | | | 1,869 | |
1,300,000 | | Carrier Global Corp. 144A, 2.24%, 2/15/25 (b) | | | 1,294 | |
240,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.00%, 3/01/23 (b) | | | 243 | |
1,055,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 1,129 | |
1,000,000 | | Centene Corp. 144A, 3.38%, 2/15/30 (b) | | | 1,011 | |
50 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
480,000 | | Centene Corp., 4.75%, 5/15/22 | | $ | 487 | |
600,000 | | CenterPoint Energy Inc., 2.50%, 9/01/24 | | | 619 | |
550,000 | | CenterPoint Energy Inc., 3.60%, 11/01/21 | | | 567 | |
1,500,000 | | CenturyLink Inc., 5.80%, 3/15/22 | | | 1,543 | |
1,800,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 7/23/22 | | | 1,898 | |
320,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.50%, 2/01/24 | | | 347 | |
900,000 | | Chubb INA Holdings Inc., 0.30%, 12/15/24
EUR (c) | | | 963 | |
860,000 | | Cigna Corp., 3.40%, 9/17/21 | | | 885 | |
987,000 | | Cigna Corp., 3.75%, 7/15/23 | | | 1,056 | |
700,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (a) | | | 619 | |
1,800,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.867%), 2.31%, 11/04/22 (a) | | | 1,817 | |
750,000 | | Citigroup Inc., 2.70%, 10/27/22 | | | 769 | |
300,000 | | Citigroup Inc., 2.75%, 4/25/22 | | | 307 | |
1,200,000 | | Citigroup Inc., 2.90%, 12/08/21 | | | 1,225 | |
1,200,000 | | Comcast Corp., 3.10%, 4/01/25 | | | 1,298 | |
350,000 | | Comcast Corp., 3.70%, 4/15/24 | | | 384 | |
210,000 | | Covanta Holding Corp., 5.88%, 3/01/24 | | | 208 | |
695,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.560%), 2.59%, 9/11/25 (a)(b) | | | 694 | |
1,600,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.80%, 9/15/22 | | | 1,664 | |
600,000 | | CSC Holdings LLC 144A, 5.38%, 7/15/23 (b) | | | 610 | |
550,000 | | CSC Holdings LLC, 6.75%, 11/15/21 | | | 577 | |
1,200,000 | | Danaher Corp., 1.70%, 3/30/24 EUR (c) | | | 1,370 | |
750,000 | | Dell International LLC/EMC Corp. 144A, 4.42%, 6/15/21 (b) | | | 762 | |
750,000 | | DH Europe Finance II Sarl, 0.20%, 3/18/26
EUR (c) | | | 803 | |
650,000 | | Dollar Tree Inc., 3.70%, 5/15/23 | | | 682 | |
1,350,000 | | Dominion Energy Inc., 2.72%, 8/15/21 | | | 1,363 | |
395,000 | | DTE Energy Co., 2.53%, 10/01/24 | | | 403 | |
706,000 | | Encompass Health Corp., 5.75%, 11/01/24 | | | 713 | |
1,500,000 | | Enel Finance International NV 144A, 4.63%, 9/14/25 (b) | | | 1,641 | |
205,000 | | Energy Transfer Operating LP, 3.60%, 2/01/23 | | | 200 | |
250,000 | | Energy Transfer Operating LP, 4.20%, 9/15/23 | | | 246 | |
325,000 | | Energy Transfer Operating LP, 4.25%, 3/15/23 | | | 323 | |
1,400,000 | | Energy Transfer Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | | | 1,404 | |
2,140,000 | | EQM Midstream Partners LP, 4.75%, 7/15/23 | | | 2,032 | |
150,000 | | Equinix Inc., 2.88%, 3/15/24 EUR (c) | | | 167 | |
500,000 | | Fidelity National Information Services Inc., 0.75%, 5/21/23 EUR (c) | | | 550 | |
400,000 | | Fidelity National Information Services Inc., 2.60%, 5/21/25 GBP (c) | | | 521 | |
1,800,000 | | Fiserv Inc., 2.75%, 7/01/24 | | | 1,886 | |
1,600,000 | | Five Corners Funding Trust 144A, 4.42%,
11/15/23 (b) | | | 1,762 | |
800,000 | | Ford Motor Co., 8.50%, 4/21/23 | | | 792 | |
1,350,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 1,223 | |
1,400,000 | | Ford Motor Credit Co. LLC, 3.34%, 3/18/21 | | | 1,351 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
700,000 | | Ford Motor Credit Co. LLC, 3.35%, 11/01/22 | | $ | 635 | |
1,600,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (b) | | | 1,311 | |
1,950,000 | | General Motors Financial Co. Inc., 2.90%, 2/26/25 | | | 1,772 | |
1,350,000 | | General Motors Financial Co. Inc., 3.55%, 7/08/22 | | | 1,307 | |
700,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 0.821%), 2.88%, 10/31/22 (a) | | | 712 | |
1,700,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,812 | |
600,000 | | Goldman Sachs Group Inc., 3.63%, 2/20/24 | | | 637 | |
581,000 | | Goldman Sachs Group Inc., 5.75%, 1/24/22 | | | 622 | |
640,000 | | Goodyear Tire & Rubber Co., 5.13%, 11/15/23 | | | 604 | |
1,000,000 | | Grifols SA 144A, 1.63%, 2/15/25 EUR (b)(c) | | | 1,074 | |
200,000 | | HSBC Holdings PLC, (3 mo. LIBOR USD + 1.055%), 3.26%, 3/13/23 (a) | | | 205 | |
1,200,000 | | HSBC Holdings PLC, (3 mo. LIBOR USD + 0.987%), 3.95%, 5/18/24 (a) | | | 1,275 | |
900,000 | | Humana Inc., 2.90%, 12/15/22 | | | 930 | |
155,000 | | Husky Energy Inc., 3.95%, 4/15/22 | | | 152 | |
1,800,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.23%, 11/15/21 (b) | | | 1,818 | |
1,300,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.71%, 11/15/23 (b) | | | 1,331 | |
330,000 | | ING Groep NV, 4.10%, 10/02/23 | | | 354 | |
340,000 | | International Lease Finance Corp., 4.63%, 4/15/21 | | | 334 | |
1,205,000 | | Iron Mountain Inc., 5.75%, 8/15/24 | | | 1,191 | |
2,250,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b) | | | 2,176 | |
1,700,000 | | Itau Unibanco Holding SA 144A, 3.25%, 1/24/25 (b) | | | 1,655 | |
1,000,000 | | John Deere Capital Corp., 1.20%, 4/06/23 | | | 1,010 | |
2,100,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.850%), 2.08%, 4/22/26 (a) | | | 2,132 | |
800,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 1.000%), 4.02%, 12/05/24 (a) | | | 867 | |
445,000 | | Level 3 Financing Inc., 5.13%, 5/01/23 | | | 445 | |
1,300,000 | | Lowe’s Cos. Inc., 4.00%, 4/15/25 | | | 1,444 | |
1,250,000 | | Macquarie Bank Ltd. 144A, 2.10%, 10/17/22 (b) | | | 1,263 | |
1,715,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b) | | | 1,752 | |
1,450,000 | | Mastercard Inc., 3.30%, 3/26/27 | | | 1,619 | |
450,000 | | Meritage Homes Corp., 7.00%, 4/01/22 | | | 462 | |
250,000 | | Midwest Connector Capital Co. LLC 144A, 3.63%, 4/01/22 (b) | | | 240 | |
2,000,000 | | Mitsubishi UFJ Financial Group Inc., 2.19%, 2/25/25 | | | 2,018 | |
1,200,000 | | Mitsubishi UFJ Financial Group Inc., 2.62%, 7/18/22 | | | 1,226 | |
410,000 | | Mitsubishi UFJ Financial Group Inc., 3.00%, 2/22/22 | | | 420 | |
700,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.753%), 0.64%, 7/26/24 EUR (a)(c) | | | 761 | |
1,500,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.990%), 2.19%, 4/28/26 (a) | | | 1,520 | |
Semi-Annual Report 51
Payden Absolute Return Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
440,000 | | MPT Operating Partnership LP/MPT Finance Corp., 5.50%, 5/01/24 | | $ | 439 | |
1,300,000 | | Muthoot Finance Ltd. 144A, 4.40%, 9/02/23 (b) | | | 1,121 | |
800,000 | | National Bank of Canada 144A, 2.15%,
10/07/22 (b) | | | 812 | |
1,400,000 | | NIKE Inc., 2.40%, 3/27/25 | | | 1,476 | |
1,180,000 | | Nissan Motor Acceptance Corp. 144A, 3.15%, 3/15/21 (b) | | | 1,145 | |
300,000 | | Nordea Bank Abp 144A, 4.88%, 5/13/21 (b) | | | 308 | |
1,100,000 | | Occidental Petroleum Corp., 2.60%, 8/13/21 | | | 1,034 | |
1,150,000 | | Occidental Petroleum Corp., 2.70%, 8/15/22 | | | 1,006 | |
210,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 211 | |
1,455,000 | | ONEOK Partners LP, 5.00%, 9/15/23 | | | 1,460 | |
1,200,000 | | Otis Worldwide Corp. 144A, 2.06%, 4/05/25 (b) | | | 1,226 | |
900,000 | | Park Aerospace Holdings Ltd. 144A, 5.25%, 8/15/22 (b) | | | 831 | |
950,000 | | PayPal Holdings Inc., 2.20%, 9/26/22 | | | 968 | |
1,000,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.45%, 7/01/24 (b) | | | 1,038 | |
575,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.65%, 7/29/21 (b) | | | 583 | |
443,000 | | Petrobras Global Finance BV, 5.30%, 1/27/25 | | | 433 | |
900,000 | | Petroleos Mexicanos, 3.50%, 1/30/23 | | | 799 | |
750,000 | | Petroleos Mexicanos, 3.75%, 2/21/24 EUR (c)(d) | | | 705 | |
1,550,000 | | Petroleos Mexicanos 144A, 6.49%, 1/23/27 (b) | | | 1,268 | |
1,800,000 | | Plains All American Pipeline LP/PAA Finance Corp., 5.00%, 2/01/21 | | | 1,761 | |
1,200,000 | | Post Holdings Inc. 144A, 5.00%, 8/15/26 (b) | | | 1,191 | |
1,300,000 | | PTC Inc. 144A, 3.63%, 2/15/25 (b) | | | 1,288 | |
1,150,000 | | Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (b) | | | 1,168 | |
1,240,000 | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 144A, 5.13%, 7/15/23 (b) | | | 1,253 | |
1,850,000 | | Ryder System Inc., 2.50%, 9/01/24 | | | 1,815 | |
1,700,000 | | Sabine Pass Liquefaction LLC, 5.63%, 3/01/25 | | | 1,784 | |
460,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 481 | |
455,000 | | SBA Communications Corp., 4.00%, 10/01/22 | | | 460 | |
2,800,000 | | SBA Tower Trust 144A, 2.84%, 1/15/25 (b) | | | 2,875 | |
220,000 | | Service Corp. International, 5.38%, 5/15/24 | | | 224 | |
1,100,000 | | Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 | | | 1,146 | |
400,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (b) | | | 296 | |
1,300,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (b) | | | 999 | |
1,230,000 | | Sirius XM Radio Inc. 144A, 4.63%, 5/15/23 (b) | | | 1,244 | |
200,000 | | SMBC Aviation Capital Finance DAC 144A, 4.13%, 7/15/23 (b) | | | 202 | |
340,000 | | Smithfield Foods Inc. 144A, 3.35%, 2/01/22 (b) | | | 332 | |
787,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 792 | |
850,000 | | Standard Industries Inc. 144A, 2.25%, 11/21/26 EUR (b)(c) | | | 802 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,300,000 | | State Street Corp. 144A, (U.S. Secured Overnight Financing Rate + 2.690%), 2.83%, 3/30/23 (a)(b) | | $ | 1,337 | |
1,520,000 | | Sumitomo Mitsui Financial Group Inc., 2.45%, 9/27/24 | | | 1,551 | |
526,000 | | Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23 | | | 514 | |
1,000,000 | | Sysco Corp., 5.65%, 4/01/25 | | | 1,123 | |
300,000 | | Takeda Pharmaceutical Co. Ltd. 144A, 1.13%, 11/21/22 EUR (b)(c) | | | 331 | |
650,000 | | Takeda Pharmaceutical Co. Ltd., 4.00%, 11/26/21 | | | 679 | |
1,470,000 | | Tenet Healthcare Corp., 4.63%, 7/15/24 | | | 1,458 | |
750,000 | | TerraForm Power Operating LLC 144A, 4.25%, 1/31/23 (b) | | | 773 | |
800,000 | | Teva Pharmaceutical Finance Netherlands II BV, 3.25%, 4/15/22 EUR (c) | | | 864 | |
1,315,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 1,286 | |
1,000,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | | | 924 | |
1,400,000 | | Thermo Fisher Scientific Inc., 4.13%, 3/25/25 | | | 1,581 | |
1,400,000 | | T-Mobile USA Inc. 144A, 3.50%, 4/15/25 (b) | | | 1,487 | |
300,000 | | T-Mobile USA Inc., 6.50%, 1/15/24 | | | 309 | |
1,500,000 | | UBS Group AG 144A, 3.49%, 5/23/23 (b) | | | 1,545 | |
90,000 | | Universal Health Services Inc. 144A, 4.75%,
8/01/22 (b) | | | 91 | |
2,050,000 | | Ventas Realty LP, 3.50%, 4/15/24 | | | 2,075 | |
2,000,000 | | VeriSign Inc., 5.25%, 4/01/25 | | | 2,204 | |
785,000 | | Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (b) | | | 792 | |
250,000 | | Vodafone Group PLC, 3.75%, 1/16/24 | | | 270 | |
1,250,000 | | Volkswagen Group of America Finance LLC 144A, 4.00%, 11/12/21 (b) | | | 1,271 | |
900,000 | | Volkswagen Group of America Finance LLC 144A, 4.25%, 11/13/23 (b) | | | 944 | |
2,100,000 | | Wells Fargo & Co., (3 mo. LIBOR USD + 0.750%), 2.16%, 2/11/26 (a) | | | 2,114 | |
1,500,000 | | Welltower Inc., 4.00%, 6/01/25 | | | 1,544 | |
1,500,000 | | Worldline SA, 0.25%, 9/18/24 EUR (c)(d) | | | 1,575 | |
Total Corporate Bond (Cost - $186,311) | | | 185,180 | |
| |
Foreign Government (7%) | | | | |
1,068,000 | | Dominican Republic International Bond 144A, 5.88%, 4/18/24 (b) | | | 1,038 | |
1,900,000 | | Dominican Republic International Bond 144A, 7.50%, 5/06/21 (b) | | | 1,895 | |
1,266,667 | | Dominican Republic International Bond, 7.50%, 5/06/21 (d) | | | 1,264 | |
1,700,000 | | Egypt Government International Bond 144A, 6.13%, 1/31/22 (b) | | | 1,698 | |
800,000 | | Egypt Government International Bond, 6.13%, 1/31/22 (d) | | | 799 | |
1,560,000 | | El Salvador Government International Bond, 7.75%, 1/24/23 (d) | | | 1,357 | |
2,400,000 | | Fondo MIVIVIENDA SA, 3.50%, 1/31/23 (d) | | | 2,418 | |
52 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
2,600,000 | | Georgia Government International Bond 144A, 6.88%, 4/12/21 (b) | | $ | 2,622 | |
800,000 | | Georgia Government International Bond, 6.88%, 4/12/21 (d) | | | 807 | |
2,491,000 | | Guatemala Government Bond 144A, 5.75%, 6/06/22 (b) | | | 2,568 | |
1,910,000 | | Guatemala Government Bond, 5.75%, 6/06/22 (d) | | | 1,969 | |
1,600,000 | | Honduras Government International Bond 144A, 7.50%, 3/15/24 (b) | | | 1,552 | |
900,000 | | Honduras Government International Bond, 7.50%, 3/15/24 (d) | | | 873 | |
1,700,000 | | Honduras Government International Bond 144A, 8.75%, 12/16/20 (b) | | | 1,692 | |
1,150,000 | | Honduras Government International Bond, 8.75%, 12/16/20 (d) | | | 1,144 | |
1,500,000 | | Indonesia Government International Bond, 0.90%, 2/14/27 EUR (c) | | | 1,476 | |
1,550,000 | | Kazakhstan Government International Bond 144A, 1.55%, 11/09/23 EUR (b)(c) | | | 1,672 | |
2,235,000 | | Mongolia Government International Bond 144A, 5.63%, 5/01/23 (b) | | | 2,000 | |
2,120,000 | | Mongolia Government International Bond 144A, 10.88%, 4/06/21 (b) | | | 2,094 | |
200,000 | | Mongolia Government International Bond, 10.88%, 4/06/21 (d) | | | 198 | |
1,670,000 | | Nigeria Government International Bond 144A, 6.38%, 7/12/23 (b) | | | 1,441 | |
2,020,000 | | Nigeria Government International Bond, 6.75%, 1/28/21 (d) | | | 1,920 | |
1,300,000 | | Nigeria Government International Bond 144A, 6.75%, 1/28/21 (b) | | | 1,235 | |
1,500,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 3.40%, 3/29/21 (b) | | | 1,516 | |
1,800,000 | | Peruvian Government International Bond, 2.39%, 1/23/26 | | | 1,840 | |
1,590,000 | | Republic of Belarus International Bond 144A, 6.88%, 2/28/23 (b) | | | 1,561 | |
1,926,000 | | Senegal Government International Bond 144A, 6.25%, 7/30/24 (b) | | | 1,797 | |
990,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 964 | |
250,000 | | Senegal Government International Bond, 8.75%, 5/13/21 (d) | | | 243 | |
600,000 | | Sri Lanka Government International Bond 144A, 5.88%, 7/25/22 (b) | | | 378 | |
3,500,000 | | Sri Lanka Government International Bond 144A, 6.25%, 10/04/20 (b) | | | 3,132 | |
600,000 | | Sri Lanka Government International Bond 144A, 6.25%, 7/27/21 (b) | | | 435 | |
1,600,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/22 (b) | | | 1,532 | |
1,400,000 | | Ukraine Government International Bond, 7.75%, 9/01/23 (d) | | | 1,334 | |
Total Foreign Government (Cost - $54,511) | | | 50,464 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Mortgage Backed (27%) | | | | |
513,739 | | Alternative Loan Trust2005-56, (1 mo. LIBOR USD + 0.730%), 1.22%, 11/25/35 (a) | | $ | �� 472 | |
1,515,398 | | Alternative Loan Trust 2006-25CB, 6.00%, 10/25/36 | | | 1,171 | |
254,555 | | Alternative Loan Trust2006-2CB, 6.00%, 3/25/36 | | | 182 | |
196,001 | | Alternative Loan Trust 2006-45T1, 6.00%, 2/25/37 | | | 129 | |
374,050 | | Alternative Loan Trust 2006-HY11, (1 mo. LIBOR USD + 0.120%), 0.61%, 6/25/36 (a) | | | 329 | |
697,552 | | Alternative Loan Trust 2007-12T1, 6.00%, 6/25/37 | | | 491 | |
808,527 | | Alternative Loan Trust 2007-15CB, 5.75%, 7/25/37 | | | 660 | |
505,693 | | Alternative Loan Trust2007-6, 5.75%, 4/25/47 | | | 400 | |
161,516 | | American Home Mortgage Investment Trust2006-3, (6 mo. LIBOR USD + 1.750%), 2.84%, 12/25/36 (a) | | | 135 | |
449,283 | | AREIT 2018-CRE2 Trust 144A, (1 mo. LIBOR USD + 1.200%), 1.99%, 11/14/35 (a)(b) | | | 407 | |
249,602 | | AREIT 2018-CRE2 Trust 144A, (1 mo. LIBOR USD + 1.400%), 2.19%, 11/14/35 (a)(b) | | | 217 | |
1,900,000 | | BAMLL Commercial Mortgage Securities Trust 2015-200P 144A, 3.72%, 4/14/33 (b)(e) | | | 1,925 | |
115,927 | | Banc of America Funding2005-H Trust, 3.89%, 11/20/35 (e) | | | 95 | |
4,995,905 | | BANK 2018-BNK13, 0.66%, 8/15/61 (e) | | | 149 | |
2,307,000 | | BBCMS 2018-TALL Mortgage Trust 144A, (1 mo. LIBOR USD + 0.722%), 1.54%, 3/15/37 (a)(b) | | | 2,193 | |
1,808,000 | | BBCMS 2018-TALL Mortgage Trust 144A, (1 mo. LIBOR USD + 0.971%), 1.79%, 3/15/37 (a)(b) | | | 1,689 | |
312,547 | | BDS2018-FL2 144A, (1 mo. LIBOR USD + 0.950%), 1.70%, 8/15/35 (a)(b) | | | 296 | |
200,000 | | BDS2018-FL2 144A, (1 mo. LIBOR USD + 1.400%), 2.15%, 8/15/35 (a)(b) | | | 176 | |
148,425 | | Bear StearnsALT-A Trust2006-6, 3.91%,
11/25/36 (e) | | | 127 | |
94,898 | | Bear Stearns ARM Trust2007-3, 4.04%, 5/25/47 (e) | | | 85 | |
9,932,558 | | Benchmark2018-B4 Mortgage Trust, 0.69%, 7/15/51 (e) | | | 307 | |
420,000 | | BX Commercial Mortgage Trust2018-IND 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 11/15/35 (a)(b) | | | 404 | |
350,000 | | BX Commercial Mortgage Trust2018-IND 144A, (1 mo. LIBOR USD + 1.800%), 2.61%, 11/15/35 (a)(b) | | | 327 | |
1,995,000 | | BX Commercial Mortgage Trust2018-IND 144A, (1 mo. LIBOR USD + 2.050%), 2.86%, 11/15/35 (a)(b) | | | 1,823 | |
1,146,481 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 1.800%), 2.61%, 10/15/36 (a)(b) | | | 1,099 | |
Semi-Annual Report 53
Payden Absolute Return Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
2,054,111 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 2.000%), 2.81%,
10/15/36 (a)(b) | | $ | 1,949 | |
3,343,902 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 3.11%,
10/15/36 (a)(b) | | | 3,128 | |
900,000 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%), 2.41%,
12/15/36 (a)(b) | | | 856 | |
1,200,000 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 2.000%), 2.81%,
12/15/36 (a)(b) | | | 1,139 | |
897,789 | | BXMT2017-FL1 Ltd. 144A, (1 mo. LIBOR USD + 0.870%), 1.62%, 6/15/35 (a)(b) | | | 876 | |
550,000 | | BXMT2017-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.950%), 2.70%, 6/15/35 (a)(b) | | | 489 | |
15,586,961 | | Cantor Commercial Real Estate Lending2019-CF1, 1.30%,
5/15/52 (e) | | | 1,150 | |
1,096,252 | | CGDBB Commercial Mortgage Trust 2017-BIOC 144A, (1 mo. LIBOR USD + 2.150%), 2.96%, 7/15/32 (a)(b) | | | 971 | |
2,588,829 | | CHC Commercial Mortgage Trust2019-CHC 144A, (1 mo. LIBOR USD + 1.500%), 2.31%,
6/15/34 (a)(b) | | | 2,292 | |
1,593,125 | | CHC Commercial Mortgage Trust2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 3.16%, 6/15/34 (a)(b) | | | 1,182 | |
1,045,489 | | CHC Commercial Mortgage Trust2019-CHC 144A, (1 mo. LIBOR USD + 2.608%), 3.42%,
6/15/34 (a)(b) | | | 723 | |
150,475 | | CHL Mortgage Pass-Through Trust2004-29, 2.78%, 2/25/35 (e) | | | 119 | |
108,763 | | CHL Mortgage Pass-Through Trust 2006-HYB1, 3.49%, 3/20/36 (e) | | | 97 | |
163,499 | | CHL Mortgage Pass-Through Trust 2007-HYB2, 3.43%, 2/25/47 (e) | | | 138 | |
1,400,000 | | COMM2015-3BP Mortgage Trust 144A, 3.35%, 2/10/35 (b)(e) | | | 1,261 | |
9,377,117 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.64%,
11/25/39 (a)(b) | | | 7,891 | |
657,467 | | Connecticut Avenue Securities Trust2019-R01 144A, (1 mo. LIBOR USD + 2.450%), 2.94%, 7/25/31 (a)(b) | | | 593 | |
600,000 | | Connecticut Avenue Securities Trust2019-R01 144A, (1 mo. LIBOR USD + 4.350%), 4.84%, 7/25/31 (a)(b) | | | 336 | |
1,300,000 | | Connecticut Avenue Securities Trust2019-R02 144A, (1 mo. LIBOR USD + 4.150%), 4.64%, 8/25/31 (a)(b) | | | 891 | |
1,143,082 | | Connecticut Avenue Securities Trust2019-R03 144A, (1 mo. LIBOR USD + 2.150%), 2.64%, 9/25/31 (a)(b) | | | 1,051 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,050,000 | | Connecticut Avenue Securities Trust2019-R03 144A, (1 mo. LIBOR USD + 4.100%), 4.59%, 9/25/31 (a)(b) | | $ | 710 | |
2,052,314 | | Connecticut Avenue Securities Trust2019-R06 144A, (1 mo. LIBOR USD + 0.750%), 1.24%, 9/25/39 (a)(b) | | | 2,042 | |
2,200,000 | | Connecticut Avenue Securities Trust2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 2.59%, 9/25/39 (a)(b) | | | 1,891 | |
1,000,000 | | Connecticut Avenue Securities Trust2019-R07 144A, (1 mo. LIBOR USD + 3.400%), 3.89%, 10/25/39 (a)(b) | | | 536 | |
1,800,000 | | Connecticut Avenue Securities Trust2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 1/25/40 (a)(b) | | | 1,390 | |
3,550,000 | | Connecticut Avenue Securities Trust2020-R01 144A, (1 mo. LIBOR USD + 3.250%), 3.74%, 1/25/40 (a)(b) | | | 1,634 | |
750,000 | | Connecticut Avenue Securities Trust2020-R02 144A, (1 mo. LIBOR USD + 2.000%), 2.49%, 1/25/40 (a)(b) | | | 545 | |
1,900,000 | | Connecticut Avenue Securities Trust2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.49%, 1/25/40 (a)(b) | | | 857 | |
2,350,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 0.980%), 1.79%, 5/15/36 (a)(b) | | | 2,302 | |
2,800,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.150%), 2.96%, 5/15/36 (a)(b) | | | 2,624 | |
2,250,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 3.46%, 5/15/36 (a)(b) | | | 2,103 | |
1,100,000 | | CSMC Trust 2017-MOON 144A, 3.30%,
7/10/34 (b)(e) | | | 1,022 | |
335,240 | | DeutscheAlt-B Securities Mortgage Loan Trust Series2006-AB1, 5.60%, 2/25/36 (e) | | | 318 | |
177,601 | | DeutscheAlt-B Securities Mortgage Loan Trust Series2006-AB4, 6.00%, 10/25/36 (e) | | | 161 | |
88,905 | | DeutscheAlt-B Securities Mortgage Loan Trust Series2006-AB4, 6.00%, 10/25/36 | | | 80 | |
1,100,000 | | Exantas Capital Corp. 2019-RSO7 Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 2.25%, 4/15/36 (a)(b) | | | 1,006 | |
890,307 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.600%), 1.09%, 7/25/30 (a) | | | 888 | |
28,183 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.650%), 1.14%, 5/25/30 (a) | | | 28 | |
16,045 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.850%), 1.34%, 11/25/29 (a) | | | 16 | |
19,885 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.300%), 1.79%, 4/25/29 (a) | | | 20 | |
889,586 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.000%), 2.49%, 3/25/31 (a) | | | 810 | |
1,228,521 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.100%), 2.59%, 3/25/31 (a) | | | 1,104 | |
54 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
3,900,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.150%), 2.64%, 10/25/30 (a) | | $ | 3,544 | |
2,929,111 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 2.69%, 8/25/30 (a) | | | 2,596 | |
2,310,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.250%), 2.74%, 7/25/30 (a) | | | 2,043 | |
1,700,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.350%), 2.84%, 1/25/31 (a) | | | 1,538 | |
1,712,577 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.550%), 3.04%, 12/25/30 (a) | | | 1,502 | |
787,642 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 3.000%), 3.49%, 7/25/24 (a) | | | 615 | |
2,300,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 3.000%), 3.49%, 10/25/29 (a) | | | 2,205 | |
1,400,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.100%), 4.59%, 3/25/31 (a) | | | 944 | |
316,426 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%), 4.74%, 1/25/29 (a) | | | 314 | |
267,236 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 5.700%), 6.19%, 4/25/28 (a) | | | 273 | |
294,978 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 6.000%), 6.49%, 9/25/28 (a) | | | 303 | |
153,081 | | First Horizon Alternative Mortgage Securities Trust2006-AA5, 3.69%, 9/25/36 (e) | | | 132 | |
137,685 | | First Horizon Alternative Mortgage Securities Trust2006-FA2, 6.00%, 5/25/36 | | | 95 | |
296,438 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 0.750%), 1.24%, 9/25/49 (a)(b) | | | 296 | |
4,100,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 9/25/49 (a)(b) | | | 3,525 | |
1,900,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 3.000%), 3.49%, 9/25/49 (a)(b) | | | 1,178 | |
800,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 7.500%), 7.99%, 9/25/49 (a)(b) | | | 289 | |
650,000 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 5.250%), 5.74%,
1/25/50 (a)(b) | | | 180 | |
1,300,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 0.750%), 1.24%,
2/25/50 (a)(b) | | | 1,245 | |
900,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.34%,
2/25/50 (a)(b) | | | 683 | |
1,700,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 2.500%), 2.99%,
2/25/50 (a)(b) | | | 882 | |
700,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 4.800%), 5.29%,
2/25/50 (a)(b) | | | 187 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,650,000 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.39%, 1/25/50 (a)(b) | | $ | 1,101 | |
700,000 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 5.100%), 5.59%, 1/25/50 (a)(b) | | | 191 | |
1,700,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 1.100%), 1.59%, 3/25/50 (a)(b) | | | 1,635 | |
2,300,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 3.100%), 3.59%, 3/25/50 (a)(b) | | | 1,666 | |
1,000,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 4.100%), 4.59%, 3/25/50 (a)(b) | | | 498 | |
1,300,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 7.600%), 8.09%, 3/25/50 (a)(b) | | | 432 | |
1,868,904 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 0.750%), 1.24%, 10/25/48 (a)(b) | | | 1,859 | |
4,150,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.79%, 10/25/48 (a)(b) | | | 3,560 | |
127,236 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 0.900%), 1.39%, 1/25/49 (a)(b) | | | 127 | |
2,800,000 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.14%, 1/25/49 (a)(b) | | | 2,520 | |
2,279,167 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 2.450%), 2.94%, 3/25/49 (a)(b) | | | 2,001 | |
550,000 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 4.350%), 4.84%, 3/25/49 (a)(b) | | | 372 | |
296,759 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 0.700%), 1.19%, 10/25/49 (a)(b) | | | 295 | |
1,878,865 | | Freddie Mac STACR Trust 2019-FTR2 144A, (1 mo. LIBOR USD + 0.950%), 1.44%, 11/25/48 (a)(b) | | | 1,841 | |
550,000 | | Freddie Mac STACR Trust 2019-FTR3 144A, (1 mo. LIBOR USD + 4.800%), 5.75%, 9/25/47 (a)(b) | | | 153 | |
600,000 | | Freddie Mac STACR Trust 2019-FTR4 144A, (1 mo. LIBOR USD + 5.000%), 5.49%, 11/25/47 (a)(b) | | | 170 | |
1,974,063 | | Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 2.350%), 2.84%, 2/25/49 (a)(b) | | | 1,818 | |
1,643,027 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 4/25/49 (a)(b) | | | 1,494 | |
Semi-Annual Report 55
Payden Absolute Return Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,550,000 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 4.100%), 4.59%, 4/25/49 (a)(b) | | $ | 976 | |
611,997 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.750%), 1.24%, 3/25/30 (a) | | | 608 | |
115,022 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%), 1.69%, 7/25/29 (a) | | | 115 | |
3,110,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.800%), 2.29%, 7/25/30 (a) | | | 2,714 | |
3,508,356 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%), 2.79%, 9/25/30 (a) | | | 3,127 | |
2,244,039 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.350%), 2.84%, 4/25/30 (a) | | | 1,984 | |
1,403,675 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.450%), 2.94%, 12/25/42 (a) | | | 1,271 | |
3,350,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.500%), 2.99%, 3/25/30 (a) | | | 3,193 | |
450,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (b)(e) | | | 346 | |
42,535 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (b)(e) | | | 42 | |
1,950,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 5.09%, 12/25/42 (a) | | | 1,458 | |
1,251,027 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.74%, 10/25/29 (a) | | | 788 | |
245,649 | | GreenPoint MTA Trust2005-AR1, (1 mo. LIBOR USD + 0.440%), 0.93%, 6/25/45 (a) | | | 203 | |
1,557,000 | | GS Mortgage Securities Corp. Trust 2017-500K 144A, (1 mo. LIBOR USD + 1.500%), 2.31%,
7/15/32 (a)(b) | | | 1,495 | |
750,000 | | GS Mortgage Securities Corp. Trust 2017-500K 144A, (1 mo. LIBOR USD + 1.800%), 2.61%,
7/15/32 (a)(b) | | | 719 | |
1,150,000 | | GS Mortgage Securities Corp. Trust 2017-500K 144A, (1 mo. LIBOR USD + 2.500%), 3.31%,
7/15/32 (a)(b) | | | 1,098 | |
2,500,000 | | GS Mortgage Securities Corp. Trust 2019-SOHO 144A, (1 mo. LIBOR USD + 1.875%), 2.69%,6/15/36 (a)(b) | | | 2,267 | |
151,273 | | GSMPS Mortgage Loan Trust2005-RP2 144A, (1 mo. LIBOR USD + 0.350%), 0.84%, 3/25/35 (a)(b) | | | 132 | |
216,139 | | GSMPS Mortgage Loan Trust2005-RP3 144A, (1 mo. LIBOR USD + 0.350%), 0.84%, 9/25/35 (a)(b) | | | 178 | |
60,865 | | HomeBanc Mortgage Trust2004-1, (1 mo. LIBOR USD + 0.860%), 1.35%, 8/25/29 (a) | | | 56 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
326,318 | | IndyMac INDX Mortgage Loan Trust 2006-AR29, (1 mo. LIBOR USD + 0.250%), 0.74%, 11/25/36 (a) | | $ | 281 | |
1,633,623 | | IndyMac INDX Mortgage Loan Trust 2006-AR35, (1 mo. LIBOR USD + 0.180%), 0.67%, 1/25/37 (a) | | | 1,380 | |
2,200,000 | | InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 0.700%), 1.51%, 1/15/33 (a)(b) | | | 2,026 | |
300,000 | | InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 3.100%), 3.91%, 1/15/33 (a)(b) | | | 252 | |
7,115,869 | | JP Morgan Alternative Loan Trust, 6.00%, 12/25/35 | | | 4,263 | |
3,350,000 | | JP Morgan Chase Commercial Mortgage Securities Trust 2018-BCON 144A, 3.88%, 1/05/31 (b)(e) | | | 3,182 | |
1,350,000 | | JPMorgan Chase Commercial Mortgage Securities Trust 2018-BCON 144A, 3.88%, 1/05/31 (b)(e) | | | 1,214 | |
1,683,479 | | JP Morgan Chase Commercial Mortgage Securities Trust2018-LAQ 144A, (1 mo. LIBOR USD + 1.000%), 1.81%, 6/15/32 (a)(b) | | | 1,552 | |
251,962 | | JP Morgan Chase Commercial Mortgage Securities Trust2018-PHH 144A, (1 mo. LIBOR USD + 0.910%), 1.72%, 6/15/35 (a)(b) | | | 228 | |
260,000 | | JP Morgan Chase Commercial Mortgage Securities Trust2018-PHH 144A, (1 mo. LIBOR USD + 1.160%), 1.97%, 6/15/35 (a)(b) | | | 227 | |
112,717 | | JP Morgan Mortgage Trust2006-A3, 3.74%,
5/25/36 (e) | | | 104 | |
99,075 | | JPMorgan Mortgage Trust2006-A3, 3.74%,
5/25/36 (e) | | | 92 | |
45,153 | | JP Morgan Mortgage Trust 2014-IVR3 144A, 3.00%, 9/25/44 (b)(e) | | | 46 | |
782,606 | | JP Morgan Mortgage Trust2017-5 144A, 3.15%, 10/26/48 (b)(e) | | | 793 | |
5,947,882 | | LCCM 2017-LC26 144A, 1.66%, 7/12/50 (b)(e) | | | 359 | |
370,000 | | Madison Avenue Trust 2013-650M 144A, 4.17%, 10/12/32 (b)(e) | | | 371 | |
250,254 | | Merrill Lynch Mortgage Backed Securities Trust Series2007-2, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.400%), 2.54%, 8/25/36 (a) | | | 225 | |
2,378,600 | | Morgan Stanley Capital I Trust2018-H3, 0.99%, 7/15/51 (e) | | | 118 | |
1,444,406 | | Motel 6 Trust 2017-MTL6 144A, (1 mo. LIBOR USD + 1.190%), 2.00%, 8/15/34 (a)(b) | | | 1,325 | |
872,405 | | Multifamily Connecticut Avenue Securities Trust2019-01 144A, (1 mo. LIBOR USD + 1.700%), 2.19%, 10/15/49 (a)(b) | | | 746 | |
2,300,000 | | Multifamily Connecticut Avenue Securities Trust2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.74%, 10/15/49 (a)(b) | | | 1,778 | |
4,424,368 | | NACC Reperforming Loan REMIC Trust2004-R1 144A, 6.50%,
3/25/34 (b) | | | 4,220 | |
56 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,016,512 | | NACC Reperforming Loan REMIC Trust2004-R1 144A, 7.50%, 3/25/34 (b) | | $ | 998 | |
470,402 | | New Residential Mortgage Loan Trust2014-3 144A, 5.60%, 11/25/54 (b)(e) | | | 492 | |
332,085 | | New Residential Mortgage Loan Trust2017-5 144A, (1 mo. LIBOR USD + 1.500%), 1.99%, 6/25/57 (a)(b) | | | 326 | |
1,000,000 | | PFP2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 2.21%, 4/14/36 (a)(b) | | | 930 | |
453,846 | | RALI Series2005-QA4 Trust, 4.14%, 4/25/35 (e) | | | 374 | |
179,662 | | RALI Series 2005-QS14 Trust, 6.00%, 9/25/35 | | | 166 | |
3,080,026 | | RALI Series 2007-QS10 Trust, 6.50%, 9/25/37 | | | 2,861 | |
521,788 | | RALI Series2007-QS2 Trust, 6.25%, 1/25/37 | | | 459 | |
2,175,706 | | Residential Asset Securitization Trust 2006-A4IP, 6.62%, 5/25/36 (e) | | | 1,288 | |
451,510 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%), 1.55%, 8/20/56 GBP (a)(b)(c) | | | 565 | |
1,825,747 | | Sequoia Mortgage Trust2007-1, 3.58%, 2/20/47 (e) | | | 1,535 | |
250,960 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 0.750%), 1.24%, 9/25/48 (a)(b) | | | 250 | |
350,000 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 2.100%), 2.59%, 9/25/48 (a)(b) | | | 304 | |
4,189,683 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.14%, 4/25/43 (a)(b) | | | 3,962 | |
2,500,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.24%, 4/25/43 (a)(b) | | | 1,814 | |
932,171 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 12.24%, 4/25/43 (a)(b) | | | 468 | |
2,562,282 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.74%, 2/25/47 (a)(b) | | | 2,455 | |
3,300,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.89%, 2/25/47 (a)(b) | | | 2,479 | |
1,900,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.99%, 2/25/47 (a)(b) | | | 870 | |
851,459 | | Structured Asset Mortgage Investments II Trust2006-AR7, (1 mo. LIBOR USD + 0.210%), 0.70%, 8/25/36 (a) | | | 712 | |
2,772,912 | | Structured Asset Securities Corp. Mortgage Loan Trust Series2006-RF4 144A, 6.00%, 10/25/36 (b) | | | 2,072 | |
339,249 | | VMC Finance2018-FL2 LLC 144A, (1 mo. LIBOR USD + 0.920%), 1.67%, 10/15/35 (a)(b) | | | 319 | |
457,162 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust, (1 mo. LIBOR USD + 0.610%), 1.10%, 8/25/45(a) | | | 347 | |
371,382 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust, (1 mo. LIBOR USD + 0.280%), 0.77%, 11/25/45 (a) | | | 345 | |
92,170 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust, (1 mo. LIBOR USD + 0.290%), 0.78%, 12/25/45 (a) | | | 80 | |
108,277 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust, 3.72%, 9/25/36 (e) | | | 96 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
130,807 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust, (Cost of Funds for the 11th District of San Francisco + 1.250%), 2.24%, 1/25/47 (a) | | $ | 115 | |
112,185 | | WaMu Mortgage Pass-Through Certificates Series2006-AR8 Trust, 3.89%, 8/25/46 (e) | | | 99 | |
506,284 | | WaMu Mortgage Pass-Through Certificates Series2007-HY1 Trust, 3.81%, 2/25/37 (e) | | | 453 | |
63,698 | | WaMu Mortgage Pass-Through Certificates Series2007-HY6 Trust, 3.60%, 6/25/37 (e) | | | 56 | |
589,884 | | WaMu Mortgage Pass-Through Certificates Series2007-HY7 Trust, 3.80%, 7/25/37 (e) | | | 503 | |
1,109,795 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series2005-5 Trust, (1 mo. LIBOR USD +1.400%), 1.89%, 7/25/35 (a) | | | 952 | |
210,994 | | Wells Fargo Alternative Loan2007-PA2 Trust, 6.00%, 6/25/37 | | | 207 | |
450,000 | | Wells Fargo Commercial Mortgage Trust2017-SMP 144A, (1 mo. LIBOR USD + 1.650%), 2.46%, 12/15/34 (a)(b) | | | 366 | |
6,852,275 | | Wells Fargo Commercial Mortgage Trust 2018-C46, 1.11%, 8/15/51 (e) | | | 327 | |
Total Mortgage Backed (Cost - $221,578) | | | 188,006 | |
| |
U.S. Treasury (8%) | | | | |
10,200,000 | | U.S. Cash Management Bill, 0.13%, 6/09/20 (f) | | | 10,199 | |
12,000,000 | | U.S. Cash Management Bill, 0.13%, 7/28/20 (f) | | | 11,998 | |
30,000,000 | | U.S. Treasury Bill, 0.06%,
5/05/20 (f) | | | 30,000 | |
385,000 | | U.S. Treasury Bill, 1.50%,
5/21/20 (f)(h) | | | 385 | |
400,000 | | U.S. Treasury Note, 2.50%,
6/30/20 (i) | | | 402 | |
600,000 | | U.S. Treasury Note, 2.75%,
11/30/20 (i) | | | 609 | |
Total U.S. Treasury (Cost - $53,578) | | | 53,593 | |
| |
Investment Company (1%) | | | | |
6,576,258 | | Payden Cash Reserves Money Market Fund *
(Cost - $6,576) | | | 6,576 | |
| |
Total Investments (Cost - $755,162) (101%) | | | 703,254 | |
Liabilities in excess of Other Assets(-1%) | | | (6,017 | ) |
| |
Net Assets (100%) | | $ | 697,237 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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) | 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. |
| (e) | 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. |
| (f) | Yield to maturity at time of purchase. |
| (g) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (h) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (i) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Semi-Annual Report 57
Payden Absolute Return Bond Fundcontinued
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | | | Currency Sold (000s) | | Counterparty | | Settlement Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | |
EUR 1,073 | | | | USD 1,159 | | Citibank, N.A. | | 06/23/2020 | | | $ | 18 | |
GBP 44 | | | | USD 53 | | HSBC Bank USA, N.A. | | 06/23/2020 | | | | 2 | |
IDR 35,321 | | | | EUR 31,252 | | Citibank, N.A. | | 06/23/2020 | | | | 1,036 | |
USD 1,156 | | | | GBP 899 | | HSBC Bank USA, N.A. | | 06/23/2020 | | | | 24 | |
ZAR 2,945 | | | | USD 3,230 | | Citibank, N.A. | | 06/23/2020 | | | | 1 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | 1,081 | |
| | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | |
USD 2,619 | | | | EUR 2,408 | | Citibank, N.A. | | 06/23/2020 | | | | (23 | ) |
| | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | $ | 1,058 | |
| | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AUD3-Year Bond Future | | | | 832 | | | | | | | Jun-20 | | | | $ | 63,529 | | | | $ | 264 | | | | $ | 264 | |
Euro-Bund Future | | | | 2 | | | | | | | Jun-20 | | | | | 382 | | | | | (1 | ) | | | | (1 | ) |
U.S. Treasury2-Year Note Future | | | | 195 | | | | | | | Jun-20 | | | | | 42,984 | | | | | 208 | | | | | 208 | |
U.S. Treasury5-Year Note Future | | | | 96 | | | | | | | Jun-20 | | | | | 12,047 | | | | | 406 | | | | | 406 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | 877 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | | | 143 | | | | | | | Jun-20 | | | | | (21,304 | ) | | | | 42 | | | | | 42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | | | | $ | 919 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | Notional
Amount (000s) | | Value
(000s) | | Upfront
payments/
receipts
(000s) | | Unrealized
Appreciation
(000s) |
| 3-Year Interest Rate Swap, Receive Fixed 1.5535% Semi-Annually, Pay Variable 1.94625% (CDOR03 Index) Semi-Annually | | | | 08/30/2022 | | | | CAD | 10,817 | | | | $ | 135 | | | | $ | — | | | | $ | 135 | |
| 3-Year Interest Rate Swap, Receive Fixed 1.558% Semi-Annually, Pay Variable 1.94625% (CDOR03 Index) Semi-Annually | | | | 08/30/2022 | | | | CAD | 10,817 | | | | | 136 | | | | | — | | | | | 136 | |
| 3-Year Interest Rate Swap, Receive Fixed 1.575% Semi-Annually, Pay Variable 1.945% (CDOR03 Index) Semi-Annually | | | | 08/30/2022 | | | | CAD | 9,499 | | | | | 122 | | | | | — | | | | | 122 | |
| 3-Year Interest Rate Swap, Receive Fixed 1.8905% Semi-Annually, Pay Variable 1.97% (CDOR03 Index) Semi-Annually | | | | 12/02/2022 | | | | CAD | 7,838 | | | | | 177 | | | | | — | | | | | 177 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 570 | | | | $ | — | | | | $ | 570 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
58 Payden Mutual Funds
Payden Floating Rate Fund
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 | | | 82% | |
Investment Company | | | 7% | |
Corporate | | | 6% | |
Mortgage Backed | | | 4% | |
Asset Backed | | | 1% | |
| | | | | | |
| Schedule of Investments -April 30, 2020 (Unaudited) | |
Principal or Shares | | Security Description | | Value (000) | |
Asset Backed (1%) | | | | |
1,200,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.99%, 4/19/30 (a)(b)
(Cost - $1,185) | | $ | 1,010 | |
Bank Loans(c) (85%) | | | | |
Communications (11%) | | | | |
1,179,525 | | Altice France SA Term Loan B13 1L, (LIBOR USD1-Month + 4.000%), 4.81%, 8/14/26 | | | 1,105 | |
500,000 | | Banijay Group U.S. Holding Inc. Term Loan B 1L, (LIBOR USD1-Month + 3.750%), 3.75%, 3/01/25 | | | 464 | |
598,500 | | CenturyLink Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.250%), 2.65%, 3/15/27 | | | 569 | |
931,195 | | Charter Communications Operating LLC Term Loan B2 1L, (LIBOR USD1-Month + 1.750%), 2.16%, 2/01/27 | | | 899 | |
1,000,000 | | Coral U.S.Co-Borrower LLC Term Loan B5 1L, (LIBOR USD1-Month + 2.250%), 2.65%, 1/31/28 | | | 934 | |
995,000 | | Diamond Sports Group LLC Term Loan B 1L, (LIBOR USD1-Month + 3.250%), 3.82%, 8/24/26 | | | 819 | |
500,000 | | Iridium Satellite LLC Term Loan B 1L, (LIBOR USD1-Month + 3.750%), 4.75%, 11/04/26 | | | 495 | |
1,000,000 | | Lamar Media Corp. Term Loan B 1L, (LIBOR USD1-Month + 1.500%), 2.48%, 2/06/27 | | | 964 | |
950,000 | | T-Mobile USA Inc. Term Loan B 1L, (LIBOR USD3-Month + 3.000%), 4.94%, 4/01/27 | | | 945 | |
| | | | | 7,194 | |
Consumer Cyclical (29%) | | | | |
1,008,052 | | 1011778 BC ULC Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 11/19/26 | | | 951 | |
1,097,867 | | Air Canada Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.47%, 10/06/23 | | | 1,005 | |
465,325 | | Aramark Services Inc. Term Loan B3 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 3/11/25 | | | 439 | |
975,075 | | Beacon Roofing Supply Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.250%), 2.65%, 1/02/25 | | | 915 | |
1,027,630 | | BJ’s Wholesale Club Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.250%), 3.08%, 2/03/24 | | | 1,003 | |
1,191,068 | | Burlington Coat Factory Warehouse Corp. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.58%, 11/17/24 | | | 1,128 | |
987,374 | | Caesars Resort Collection LLC Term Loan B 1L, (LIBOR USD1-Month + 2.750%), 3.15%, 12/22/24 | | | 839 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
467,665 | | Core & Main LP Term Loan B 1L, (LIBOR USD3-Month + 2.750%), 3.99%, 8/01/24 | | $ | 444 | |
997,500 | | Dealer Tire LLC Term Loan B 1L, (LIBOR USD1-Month + 4.250%), 4.25%, 2/05/27 | | | 883 | |
457,221 | | Flynn Restaurant Group LP Term Loan 2L, (LIBOR USD1-Month + 7.000%), 7.40%, 6/29/26 | | | 331 | |
1,269,483 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD3-Month + 2.750%), 3.74%, 10/22/25 | | | 1,237 | |
928,777 | | Harbor Freight Tools USA Inc. Term Loan 1L, (LIBOR USD1-Month + 2.500%), 3.25%, 8/16/23 | | | 882 | |
496,852 | | Hilton Worldwide Finance LLC Term Loan B2 1L, (LIBOR USD1-Month + 1.750%), 2.24%, 6/21/26 | | | 474 | |
1,245,647 | | Jane Street Group LLC Term Loan B 1L, (LIBOR USD3-Month + 3.000%), 4.60%, 1/07/25 | | | 1,190 | |
460,482 | | KFC Holding Co. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.47%, 4/03/25 | | | 443 | |
842,000 | | K-MAC Holdings Corp. Term Loan 1L, (LIBOR USD1-Month + 3.000%), 3.40%, 3/16/25 | | | 720 | |
344,167 | | K-MAC Holdings Corp. Term Loan 2L, (LIBOR USD1-Month + 6.750%), 7.15%, 3/16/26 | | | 267 | |
474,620 | | Live Nation Entertainment Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.50%, 10/17/26 | | | 450 | |
1,186,530 | | Marriott Ownership Resorts Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 8/31/25 | | | 1,078 | |
591,869 | | Sabre GLBL Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.000%), 2.40%, 2/22/24 | | | 546 | |
1,221,937 | | Scientific Games International Inc. Term Loan B5 1L, (LIBOR USD1-Month + 2.750%), 3.52%, 8/14/24 | | | 1,017 | |
1,173,538 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD1-Month + 3.500%), 3.90%, 2/05/27 | | | 1,018 | |
560,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD1-Month + 7.500%), 7.90%, 2/05/28 | | | 442 | |
Semi-Annual Report 59
Payden Floating Rate Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,150,000 | | WMG Acquisition Corp. Term Loan F 1L, (LIBOR USD1-Month + 2.125%), 2.53%, 11/01/23 | | $ | 1,121 | |
492,055 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 5/30/25 | | | 454 | |
| | | | | 19,277 | |
ConsumerNon-Cyclical (8%) | | | | |
639,675 | | Change Healthcare Holdings LLC Term Loan B 1L, (LIBOR USD3-Month + 2.500%), 3.50%, 3/01/24 | | | 618 | |
914,622 | | Dole Food Co. Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.750%), 3.75%, 4/06/24 | | | 884 | |
500,000 | | Froneri U.S. Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.250%), 2.25%, 1/31/27 | | | 465 | |
990,000 | | JBS USA LUX SA Term Loan B 1L, (LIBOR USD3-Month + 2.000%), 3.07%, 5/01/26 | | | 960 | |
530,980 | | MPH Acquisition Holdings LLC Term Loan B 1L, (LIBOR USD3-Month + 2.750%), 4.20%, 6/07/23 | | | 492 | |
922,234 | | U.S. Foods Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 6/27/23 | | | 856 | |
977,500 | | Versant Health Holdco Inc. Term Loan B 1L, (LIBOR USD3-Month + 3.000%), 4.45%, 12/01/24 | | | 914 | |
| | | | | 5,189 | |
Energy (1%) | | | | |
994,778 | | Calpine Corp. Term Loan B5 1L, (LIBOR USD1-Month + 2.250%), 2.66%, 1/15/24 | | | 965 | |
Financial Services (6%) | | | | |
498,715 | | Altice Financing SA Term Loan B 1L, (LIBOR USD1-Month + 2.750%), 3.56%, 7/15/25 | | | 464 | |
497,425 | | AmWINS Group Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.750%), 3.75%, 1/25/24 | | | 483 | |
500,000 | | Asurion LLC Term Loan B2 2L, (LIBOR USD1-Month + 6.500%), 6.90%, 8/04/25 | | | 485 | |
695,997 | | Asurion LLC Term Loan B4 1L, (LIBOR USD1-Month + 3.000%), 4.00%, 8/04/22 | | | 673 | |
540,375 | | HUB International Ltd. Term Loan B 1L, (LIBOR USD3-Month + 2.750%), 4.02%, 4/25/25 | | | 509 | |
1,172,278 | | Iron Mountain Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 1/02/26 | | | 1,104 | |
498,750 | | Nexus Buyer LLC Term Loan B 1L, (LIBOR USD1-Month + 3.750%), 4.58%, 11/08/26 | | | 487 | |
| | | | | 4,205 | |
Healthcare (3%) | | | | |
997,500 | | Grifols Worldwide Operations USA Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.000%), 2.14%, 11/15/27 | | | 969 | |
482,008 | | Radiology Partners Inc. Term Loan B 1L, (LIBOR USD3-Month + 4.250%), 5.67%, 7/09/25 | | | 436 | |
500,000 | | Sotera Health Holdings LLC Term Loan 1L, (LIBOR USD1-Month + 4.500%), 5.50%, 12/13/26 | | | 483 | |
| | | | | 1,888 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Industrial (16%) | | | | |
500,000 | | AI Convoy Luxembourg SARL Term Loan B 1L, (LIBOR USD3-Month + 3.500%), 4.65%, 1/20/27 | | $ | 475 | |
1,045,688 | | Altra Industrial Motion Corp. Term Loan B 1L, (LIBOR USD1-Month + 2.000%), 2.40%, 10/01/25 | | | 993 | |
1,000,000 | | Arconic Corp. Term Loan B 1L, (LIBOR USD1-Month + 2.750%), 3.24%, 3/25/27 | | | 995 | |
983,903 | | Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD3-Month + 1.750%), 3.20%, 6/01/24 | | | 960 | |
1,196,146 | | Bausch Health Americas Inc. Term Loan B 1L, (LIBOR USD1-Month + 3.000%), 3.72%, 6/01/25 | | | 1,160 | |
1,191,000 | | Berry Global Inc. Term Loan Y 1L, (LIBOR USD1-Month + 2.000%), 2.83%, 7/01/26 | | | 1,142 | |
500,000 | | Delta Air Lines Inc. Term Loan B 1L, (LIBOR USD1-Month + 4.750%), 5.75%, 4/29/23 | | | 499 | |
300,000 | | Elanco Animal Health Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 1.75%, 2/04/27 | | | 291 | |
744,181 | | H.B. Fuller Co. Term Loan B 1L, (LIBOR USD1-Month + 2.000%), 2.72%, 10/20/24 | | | 718 | |
740,588 | | Mauser Packaging Solutions Holding Co. Term Loan B 1L, (LIBOR USD3-Month + 3.250%), 4.56%, 4/03/24 | | | 643 | |
963,663 | | PQ Corp. Term Loan B1 1L, (LIBOR USD1-Month + 2.250%), 2.65%, 2/07/27 | | | 925 | |
1,241,057 | | Reynolds Group Holdings Inc. Term Loan B 1L, (LIBOR USD1-Month + 2.750%), 3.15%, 2/05/23 | | | 1,187 | |
492,242 | | United Rentals N.A. Inc. Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 10/31/25 | | | 473 | |
| | | | | 10,461 | |
Technology (11%) | | | | |
498,747 | | Blackboard Inc. Term Loan B5 1L, (LIBOR USD3-Month + 6.000%), 7.74%, 6/30/24 | | | 453 | |
390,937 | | CDW LLC Term Loan B 1L, (LIBOR USD1-Month + 1.750%), 2.16%, 8/17/23 | | | 387 | |
980,056 | | CSC Holdings LLC Term Loan B5 1L, (LIBOR USD1-Month + 2.500%), 3.31%, 4/15/27 | | | 942 | |
1,154,718 | | Dell International LLC Term Loan B1 1L, (LIBOR USD1-Month + 2.000%), 2.75%, 9/19/25 | | | 1,129 | |
496,250 | | Global Foundries Inc. Term Loan B 1L, (LIBOR USD3-Month + 4.750%), 6.25%, 6/05/26 | | | 457 | |
983,093 | | Infor U.S. Inc. Term Loan B6 1L, (LIBOR USD1-Month + 2.750%), 3.75%, 2/01/22 | | | 969 | |
500,000 | | Presidio Holdings Inc. Term Loan B 1L, (LIBOR USD3-Month + 3.500%), 4.27%, 12/19/26 | | | 476 | |
493,655 | | Rackspace Hosting Inc. Term Loan B 1L, (LIBOR USD3-Month + 3.000%), 4.76%, 11/03/23 | | | 466 | |
955,096 | | RP Crown Parent LLC Term Loan B 1L, (LIBOR USD1-Month + 2.750%), 3.75%, 10/12/23 | | | 919 | |
60 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
776,276 | | Western Digital Corp. Term Loan B4 1L, (LIBOR USD1-Month + 1.750%), 2.77%, 4/29/23 | | $ | 751 | |
| | | | | 6,949 | |
Total Bank Loans (Cost - $59,487) | | | 56,128 | |
Corporate Bond (6%) | | | | |
1,000,000 | | Bombardier Inc. 144A, 6.00%,
10/15/22 (b) | | | 756 | |
500,000 | | CenturyLink Inc. 144A, 4.00%, 2/15/27 (b) | | | 488 | |
500,000 | | Covanta Holding Corp., 5.88%, 7/01/25 | | | 487 | |
400,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (b) | | | 328 | |
500,000 | | Lithia Motors Inc. 144A, 5.25%,
8/01/25 (b) | | | 488 | |
200,000 | | Range Resources Corp., 5.75%, 6/01/21 | | | 177 | |
1,000,000 | | Tenet Healthcare Corp., 8.13%, 4/01/22 | | | 1,012 | |
500,000 | | Whiting Petroleum Corp., 5.75%,
3/15/21 (d) | | | 53 | |
Total Corporate Bond (Cost - $4,664) | | | 3,789 | |
Mortgage Backed (4%) | | | | |
816,122 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 11.750%), 12.24%, 10/25/28 (a) | | | 730 | |
796,524 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%), 12.74%, 9/25/28 (a) | | | 737 | |
300,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 4.800%), 5.29%,
2/25/50 (a)(b) | | | 80 | |
300,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 5.09%, 12/25/42 (a) | | | 224 | |
664,219 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.500%), 10.99%, 5/25/28 (a) | | | 548 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
496,050 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 12.750%), 13.24%, 8/25/29 (a) | | $ | 310 | |
686,863 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 12.24%,
4/25/43 (a)(b) | | | 345 | |
Total Mortgage Backed (Cost - $4,321) | | | 2,974 | |
| |
Investment Company (7%) | | | | |
4,629,078 | | Payden Cash Reserves Money Market Fund *
(Cost - $4,629) | | | 4,629 | |
| |
Total Investments (Cost - $74,286) (103%) | | | 68,530 | |
Liabilities in excess of Other Assets(-3%) | | | (2,239 | ) |
| |
Net Assets (100%) | | $ | 66,291 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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, 2020. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (d) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
See notes to financial statements.
Semi-Annual Report 61
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 | |
Energy | | | 12% | |
Basic Industry | | | 11% | |
Healthcare | | | 10% | |
Investment Company | | | 6% | |
Telecommunications | | | 6% | |
Bank Loans | | | 6% | |
Financial Services | | | 6% | |
Other | | | 43% | |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Asset Backed (1%) | | | | |
1,650,000 | | ALM XVI Ltd./ALM XVI LLC 144A, (3 mo. LIBOR USD + 2.700%), 3.92%, 7/15/27 (a)(b) | | $ | 1,434 | |
2,500,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.99%, 4/19/30 (a)(b) | | | 2,103 | |
Total Asset Backed (Cost - $4,042) | | | 3,537 | |
Bank Loans(c) (6%) | | | | |
1,500,000 | | AI Convoy Luxembourg SARL Term Loan B 1L, (LIBOR USD3-Month + 3.500%), 4.65%, 1/20/27 | | | 1,426 | |
1,350,000 | | Asurion LLC Term Loan B2 2L, (LIBOR USD1-Month + 6.500%), 6.90%, 8/04/25 | | | 1,310 | |
1,337,838 | | Bausch Health Americas Inc. Term Loan B 1L, (LIBOR USD1-Month + 3.000%), 3.72%, 6/01/25 | | | 1,298 | |
496,250 | | Berry Global Inc. Term Loan Y 1L, (LIBOR USD1-Month + 2.000%), 2.83%, 7/01/26 | | | 476 | |
2,768,063 | | CSC Holdings LLC Term Loan B5 1L, (LIBOR USD1-Month + 2.500%), 3.31%, 4/15/27 | | | 2,660 | |
2,100,000 | | Flynn Restaurant Group LP Term Loan 2L, (LIBOR USD1-Month + 7.000%), 7.40%, 6/29/26 | | | 1,522 | |
2,481,250 | | Global Foundries Inc. Term Loan B 1L, (LIBOR USD3-Month + 4.750%), 6.25%, 6/05/26 | | | 2,286 | |
1,284,931 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD3-Month + 2.750%), 3.74%, 10/22/25 | | | 1,252 | |
2,985,000 | | HCA Inc. Term Loan B13 1L, (LIBOR USD1-Month + 1.750%), 2.15%, 3/18/26 | | | 2,922 | |
1,250,000 | | Informatica LLC Term Loan 2L, (LIBOR USD1-Month + 7.125%), 0.10%,
2/14/25 (d) | | | 1,209 | |
1,180,000 | | K-MAC Holdings Corp. Term Loan 2L, (LIBOR USD1-Month + 6.750%), 7.15%, 3/16/26 | | | 917 | |
307,101 | | Mission Broadcasting Inc. Term Loan B3 1L, (LIBOR USD1-Month + 2.250%), 3.23%, 1/17/24 | | | 291 | |
1,193,743 | | Nexstar Broadcasting Inc. Term Loan B3 1L, (LIBOR USD1-Month + 2.250%), 2.65%, 1/17/24 | | | 1,130 | |
987,310 | | Rackspace Hosting Inc. Term Loan B 1L, (LIBOR USD3-Month + 3.000%), 4.76%, 11/03/23 | | | 931 | |
2,000,000 | | Sotera Health Holdings LLC Term Loan 1L, (LIBOR USD1-Month + 4.500%), 5.50%, 12/13/26 | | | 1,931 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
2,505,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD1-Month + 7.500%), 7.90%, 2/05/28 | | $ | 1,976 | |
1,250,000 | | TIBCO Software Inc. Term Loan 2L, (LIBOR USD1-Month + 7.750%), 8.24%, 3/04/28 | | | 1,170 | |
Total Bank Loans (Cost - $26,658) | | | 24,707 | |
Corporate Bond (86%) | | | | |
Automotive (6%) | | | | |
1,000,000 | | Allison Transmission Inc. 144A, 4.75%, 10/01/27 (b) | | | 937 | |
1,000,000 | | American Axle & Manufacturing Inc., 6.25%, 3/15/26 | | | 752 | |
2,000,000 | | Dana Financing Luxembourg Sarl 144A, 6.50%, 6/01/26 (b) | | | 1,824 | |
1,900,000 | | Dealer Tire LLC/DT Issuer LLC 144A, 8.00%, 2/01/28 (b) | | | 1,340 | |
1,000,000 | | Ford Motor Co., 4.75%, 1/15/43 | | | 645 | |
700,000 | | Ford Motor Co., 8.50%, 4/21/23 | | | 693 | |
1,500,000 | | Ford Motor Co., 9.00%, 4/22/25 | | | 1,468 | |
400,000 | | Ford Motor Co., 9.63%, 4/22/30 | | | 400 | |
2,000,000 | | Ford Motor Credit Co. LLC, 3.82%, 11/02/27 | | | 1,583 | |
2,050,000 | | Ford Motor Credit Co. LLC, 4.06%, 11/01/24 | | | 1,794 | |
1,000,000 | | Ford Motor Credit Co. LLC, 5.88%, 8/02/21 | | | 995 | |
1,000,000 | | Goodyear Tire & Rubber Co., 5.00%, 5/31/26 (e) | | | 875 | |
1,000,000 | | Howmet Aerospace Inc., 5.13%, 10/01/24 | | | 963 | |
1,000,000 | | IHO Verwaltungs GmbH, 3.75%, 9/15/26 EUR (f)(g) | | | 998 | |
1,000,000 | | IHO Verwaltungs GmbH 144A, 6.38%, 5/15/29 (b) | | | 877 | |
2,023,000 | | Moog Inc. 144A, 4.25%, 12/15/27 (b) | | | 1,909 | |
450,000 | | Panther BF Aggregator 2 LP/Panther Finance Co. Inc. 144A, 6.25%, 5/15/26 (b) | | | 455 | |
450,000 | | Panther BF Aggregator 2 LP/Panther Finance Co. Inc. 144A, 8.50%, 5/15/27 (b) | | | 383 | |
2,000,000 | | Spirit AeroSystems Inc., 4.60%, 6/15/28 | | | 1,590 | |
1,000,000 | | Spirit AeroSystems Inc. 144A, 7.50%, 4/15/25 (b) | | | 990 | |
250,000 | | TransDigm Inc. 144A, 8.00%, 12/15/25 (b) | | | 261 | |
1,500,000 | | TransDigm UK Holdings PLC, 6.88%, 5/15/26 | | | 1,293 | |
| | | | | 23,025 | |
Banking (2%) | | | | |
1,500,000 | | Bank of America Corp., (3 mo. LIBOR USD + 2.931%), 5.88%, (a)(h) | | | 1,531 | |
500,000 | | CIT Group Inc., 4.13%, 3/09/21 | | | 494 | |
2,000,000 | | CIT Group Inc., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.372%), 4.13%, 11/13/29 (a) | | | 1,862 | |
62 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,940,000 | | CIT Group Inc., (3 mo. LIBOR USD + 3.972%), 5.80%, (a)(e)(h) | | $ | 1,523 | |
1,500,000 | | Citigroup Inc., (3 mo. LIBOR USD + 4.068%), 5.95%, (a)(h) | | | 1,494 | |
1,000,000 | | Deutsche Bank AG, (USD Swap Rate 11:00 am NY1 + 2.553%), 4.88%, 12/01/32 (a) | | | 898 | |
1,500,000 | | Lloyds Banking Group PLC, (5 yr. Swap Semi 30/360 USD + 4.496%), 7.50%, (a)(h) | | | 1,486 | |
| | | | | 9,288 | |
Basic Industry (12%) | | | | |
2,600,000 | | Anixter Inc., 6.00%, 12/01/25 | | | 2,645 | |
2,750,000 | | ARD Finance SA 144A, 6.50%, 6/30/27 (b) | | | 2,565 | |
1,828,000 | | Ashland LLC, 6.88%, 5/15/43 | | | 1,972 | |
2,000,000 | | Boise Cascade Co. 144A, 5.63%,
9/01/24 (b) | | | 2,005 | |
2,000,000 | | BWX Technologies Inc. 144A, 5.38%,
7/15/26 (b) | | | 2,057 | |
1,300,000 | | CF Industries Inc., 5.15%, 3/15/34 | | | 1,358 | |
416,000 | | Cleveland-Cliffs Inc., 5.75%, 3/01/25 (e) | | | 300 | |
1,500,000 | | Cleveland-Cliffs Inc., 5.88%, 6/01/27 | | | 944 | |
2,000,000 | | Element Solutions Inc. 144A, 5.88%,
12/01/25 (b) | | | 1,994 | |
1,750,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.50%, 9/15/27 (b) | | | 1,718 | |
198,000 | | Freeport-McMoRan Inc., 3.55%, 3/01/22 | | | 200 | |
2,600,000 | | Freeport-McMoRan Inc., 5.00%, 9/01/27 | | | 2,547 | |
960,000 | | Freeport-McMoRan Inc., 5.45%, 3/15/43 | | | 877 | |
1,800,000 | | Hudbay Minerals Inc. 144A, 7.63%, 1/15/25 (b) | | | 1,637 | |
1,350,000 | | IAMGOLD Corp. 144A, 7.00%, 4/15/25 (b) | | | 1,371 | |
1,250,000 | | James Hardie International Finance DAC 144A, 5.00%, 1/15/28 (b) | | | 1,193 | |
1,750,000 | | Lennar Corp., 4.75%, 11/29/27 | | | 1,802 | |
1,000,000 | | Mauser Packaging Solutions Holding Co., 4.75%, 4/15/24 EUR (f)(g) | | | 1,025 | |
2,500,000 | | Mauser Packaging Solutions Holding Co. 144A, 7.25%, 4/15/25 (b) | | | 1,972 | |
1,500,000 | | Mueller Water Products Inc. 144A, 5.50%, 6/15/26 (b) | | | 1,546 | |
1,850,000 | | Novelis Corp. 144A, 4.75%, 1/30/30 (b) | | | 1,633 | |
1,200,000 | | Novelis Corp. 144A, 5.88%, 9/30/26 (b) | | | 1,173 | |
1,500,000 | | OCI NV 144A, 6.63%, 4/15/23 (b) | | | 1,515 | |
1,000,000 | | PolyOne Corp. 144A, 5.75%, 5/15/25 (b) | | | 1,015 | |
500,000 | | PQ Corp. 144A, 6.75%, 11/15/22 (b) | | | 508 | |
2,000,000 | | Standard Industries Inc. 144A, 4.75%,
1/15/28 (b) | | | 1,968 | |
1,500,000 | | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc. 144A, 5.63%,
3/01/24 (b) | | | 1,421 | |
1,500,000 | | Trinseo Materials Operating SCA/Trinseo Materials Finance Inc. 144A, 5.38%, 9/01/25 (b) | | | 1,273 | |
2,000,000 | | Trivium Packaging Finance BV 144A, 8.50%, 8/15/27 (b) | | | 2,099 | |
2,500,000 | | Univar Solutions USA Inc. 144A, 5.13%, 12/01/27 (b) | | | 2,493 | |
| | | | | 46,826 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Consumer Goods (4%) | | | | |
1,400,000 | | Albertsons Companies Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 4.88%, 2/15/30 (b) | | $ | 1,428 | |
2,500,000 | | Dole Food Co. Inc. 144A, 7.25%, 6/15/25 (b) | | | 2,368 | |
2,750,000 | | KeHE Distributors LLC/KeHE Finance Corp. 144A, 8.63%, 10/15/26 (b) | | | 2,921 | |
2,150,000 | | Kraft Heinz Foods Co., 3.95%, 7/15/25 | | | 2,254 | |
2,850,000 | | Kraft Heinz Foods Co., 5.00%, 7/15/35 | | | 3,068 | |
3,250,000 | | Kraft Heinz Foods Co., 5.00%, 6/04/42 | | | 3,315 | |
900,000 | | Post Holdings Inc. 144A, 4.63%, 4/15/30 (b) | | | 887 | |
950,000 | | Post Holdings Inc. 144A, 5.50%,
12/15/29 (b) | | | 959 | |
| | | | | 17,200 | |
Energy (13%) | | | | |
1,400,000 | | Ascent Resources Utica Holdings LLC/ARU Finance Corp. 144A, 7.00%, 11/01/26 (b) | | | 794 | |
750,000 | | Ascent Resources Utica Holdings LLC/ARU Finance Corp. 144A, 10.00%, 4/01/22 (b) | | | 620 | |
1,500,000 | | Callon Petroleum Co., 8.25%, 7/15/25 | | | 281 | |
2,000,000 | | Cenovus Energy Inc., 3.80%, 9/15/23 | | | 1,671 | |
1,000,000 | | Cenovus Energy Inc., 6.75%, 11/15/39 | | | 709 | |
3,424,000 | | CNX Resources Corp. 144A, 7.25%,
3/14/27 (b) | | | 3,086 | |
1,000,000 | | Comstock Resources Inc., 9.75%, 8/15/26 | | | 871 | |
1,000,000 | | Continental Resources Inc., 3.80%, 6/01/24 | | | 843 | |
4,000,000 | | DCP Midstream Operating LP 144A, 6.75%, 9/15/37 (b) | | | 2,434 | |
2,000,000 | | Diamond Offshore Drilling Inc., 3.45%,
11/01/23 (i) | | | 230 | |
1,500,000 | | Energy Transfer Operating LP, (3 mo. LIBOR USD + 4.028%), 6.25% (a)(h) | | | 1,053 | |
1,500,000 | | EnLink Midstream Partners LP, 4.40%, 4/01/24 | | | 954 | |
1,000,000 | | EnLink Midstream Partners LP, 5.45%, 6/01/47 | | | 413 | |
1,500,000 | | EQM Midstream Partners LP, 4.13%, 12/01/26 | | | 1,291 | |
997,000 | | EQT Corp., 4.88%, 11/15/21 | | | 973 | |
4,000,000 | | EQT Corp., 7.00%, 2/01/30 (e) | | | 3,805 | |
2,000,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (b) | | | 1,282 | |
500,000 | | Gulfport Energy Corp., 6.00%, 10/15/24 | | | 252 | |
500,000 | | Gulfport Energy Corp., 6.38%, 5/15/25 | | | 239 | |
350,000 | | Gulfport Energy Corp., 6.38%, 1/15/26 | | | 162 | |
350,000 | | Gulfport Energy Corp., 6.63%, 5/01/23 | | | 191 | |
2,000,000 | | Hess Midstream Operations LP 144A, 5.13%, 6/15/28 (b) | | | 1,759 | |
1,500,000 | | Holly Energy Partners LP/Holly Energy Finance Corp. 144A, 5.00%, 2/01/28 (b) | | | 1,372 | |
1,000,000 | | Occidental Petroleum Corp., 2.60%, 8/13/21 | | | 940 | |
1,500,000 | | Occidental Petroleum Corp., 2.70%, 8/15/22 | | | 1,312 | |
1,450,000 | | Occidental Petroleum Corp., 3.50%, 6/15/25 | | | 1,054 | |
2,000,000 | | Occidental Petroleum Corp., 3.50%, 8/15/29 | | | 1,390 | |
1,500,000 | | Occidental Petroleum Corp., 4.63%, 6/15/45 | | | 926 | |
1,500,000 | | Parkland Fuel Corp. 144A, 5.88%,
7/15/27 (b) | | | 1,447 | |
1,500,000 | | Parsley Energy LLC/Parsley Finance Corp. 144A, 5.63%, 10/15/27 (b) | | | 1,290 | |
1,000,000 | | PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/25 | | | 755 | |
250,000 | | QEP Resources Inc., 6.88%, 3/01/21 | | | 122 | |
1,300,000 | | Range Resources Corp., 5.75%, 6/01/21 | | | 1,150 | |
1,000,000 | | Range Resources Corp. 144A, 9.25%, 2/01/26 (b) | | | 810 | |
1,000,000 | | SM Energy Co., 5.00%, 1/15/24 | | | 323 | |
Semi-Annual Report 63
Payden High Income Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
500,000 | | Southwestern Energy Co., 6.20%, 1/23/25 | | $ | 446 | |
1,000,000 | | Southwestern Energy Co., 7.75%, 10/01/27 | | | 876 | |
1,000,000 | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.25%, 5/01/23 | | | 950 | |
1,500,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (b) | | | 1,544 | |
1,250,000 | | TerraForm Power Operating LLC 144A, 5.00%, 1/31/28 (b) | | | 1,306 | |
1,600,000 | | TransMontaigne Partners LP/TLP Finance Corp., 6.13%, 2/15/26 | | | 1,292 | |
1,252,500 | | Transocean Guardian Ltd. 144A, 5.88%, 1/15/24 (b) | | | 977 | |
750,000 | | Transocean Poseidon Ltd. 144A, 6.88%, 2/01/27 (b) | | | 600 | |
1,000,000 | | Transocean Sentry Ltd. 144A, 5.38%, 5/15/23 (b) | | | 775 | |
283,000 | | Viper Energy Partners LP 144A, 5.38%, 11/01/27 (b) | | | 255 | |
1,000,000 | | Western Midstream Operating LP, 4.00%, 7/01/22 | | | 972 | |
1,000,000 | | Western Midstream Operating LP, 4.65%, 7/01/26 | | | 890 | |
1,000,000 | | Whiting Petroleum Corp., 6.25%,
4/01/23 (i) | | | 104 | |
1,530,000 | | WPX Energy Inc., 4.50%, 1/15/30 (e) | | | 1,255 | |
500,000 | | WPX Energy Inc., 5.75%, 6/01/26 | | | 456 | |
| | | | | 49,502 | |
Financial Services (6%) | | | | |
1,500,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 1,482 | |
1,500,000 | | Ally Financial Inc., 4.13%, 2/13/22 | | | 1,527 | |
2,600,000 | | FS KKR Capital Corp.II144A, 4.25%, 2/14/25 (b) | | | 2,131 | |
3,500,000 | | goeasy Ltd. 144A, 5.38%, 12/01/24 (b) | | | 3,124 | |
1,700,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 1,604 | |
850,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26 | | | 839 | |
2,000,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.75%, 2/01/24 | | | 2,020 | |
750,000 | | Navient Corp., 5.00%, 3/15/27 | | | 636 | |
2,500,000 | | Navient Corp., 5.50%, 1/25/23 | | | 2,334 | |
500,000 | | Navient Corp., 6.63%, 7/26/21 | | | 500 | |
2,000,000 | | Pershing Square Holdings Ltd. 144A, 5.50%, 7/15/22 (b) | | | 2,060 | |
2,700,000 | | SLM Corp., 5.13%, 4/05/22 | | | 2,490 | |
1,000,000 | | Springleaf Finance Corp., 5.38%, 11/15/29 | | | 835 | |
350,000 | | Springleaf Finance Corp., 6.63%, 1/15/28 | | | 311 | |
2,000,000 | | Springleaf Finance Corp., 6.88%, 3/15/25 | | | 1,904 | |
| | | | | 23,797 | |
Healthcare (10%) | | | | |
1,350,000 | | Bausch Health Americas Inc. 144A, 9.25%, 4/01/26 (b) | | | 1,499 | |
2,800,000 | | Bausch Health Cos. Inc., 4.50%, 5/15/23 EUR (f)(g) | | | 3,018 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 5.00%, 1/30/28 (b) | | | 965 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 5.25%, 1/30/30 (b) | | $ | 995 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 7.00%, 1/15/28 (b) | | | 1,042 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 9.00%, 12/15/25 (b) | | | 1,096 | |
950,000 | | Catalent Pharma Solutions Inc. 144A, 5.00%, 7/15/27 (b) | | | 973 | |
1,500,000 | | Centene Corp. 144A, 4.25%, 12/15/27 (b) | | | 1,576 | |
1,500,000 | | Centene Corp. 144A, 4.63%, 12/15/29 (b) | | | 1,649 | |
2,000,000 | | Centene Corp., 4.75%, 1/15/25 | | | 2,072 | |
660,000 | | Centene Corp. 144A, 5.38%, 6/01/26 (b) | | | 702 | |
1,500,000 | | Centene Corp. 144A, 5.38%, 8/15/26 (b) | | | 1,612 | |
875,000 | | Charles River Laboratories International Inc. 144A, 4.25%, 5/01/28 (b) | | | 887 | |
2,100,000 | | CHS/Community Health Systems Inc., 6.25%, 3/31/23 | | | 1,987 | |
950,000 | | CHS/Community Health Systems Inc. 144A, 6.63%, 2/15/25 (b) | | | 878 | |
2,100,000 | | HCA Inc., 3.50%, 9/01/30 | | | 2,010 | |
860,000 | | HCA Inc., 5.88%, 2/01/29 | | | 988 | |
500,000 | | Hill-Rom Holdings Inc. 144A, 4.38%, 9/15/27 (b) | | | 510 | |
1,900,000 | | Radiology Partners Inc. 144A, 9.25%, 2/01/28 (b) | | | 1,822 | |
1,700,000 | | Select Medical Corp. 144A, 6.25%,
8/15/26 (b) | | | 1,645 | |
1,800,000 | | Tenet Healthcare Corp. 144A, 4.88%, 1/01/26 (b) | | | 1,776 | |
2,000,000 | | Tenet Healthcare Corp., 6.75%, 6/15/23 | | | 2,008 | |
2,000,000 | | Tenet Healthcare Corp., 7.00%, 8/01/25 (e) | | | 1,870 | |
500,000 | | Tenet Healthcare Corp. 144A, 7.50%, 4/01/25 (b) | | | 540 | |
1,000,000 | | Teva Pharmaceutical Finance Netherlands II BV, 1.13%, 10/15/24 EUR (f)(g) | | | 950 | |
1,500,000 | | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | | | 1,314 | |
2,225,000 | | Universal Health Services Inc. 144A, 5.00%, 6/01/26 (b) | | | 2,263 | |
| | | | | 38,647 | |
Insurance (3%) | | | | |
1,750,000 | | Alliant Holdings Intermediate LLC/Alliant HoldingsCo-Issuer 144A, 6.75%,
10/15/27 (b) | | | 1,754 | |
2,500,000 | | AmWINS Group Inc. 144A, 7.75%,
7/01/26 (b) | | | 2,593 | |
1,450,000 | | Assurant Inc., (3 mo. LIBOR USD + 4.135%), 7.00%, 3/27/48 (a) | | | 1,426 | |
2,000,000 | | Athene Holding Ltd., 6.15%, 4/03/30 | | | 2,098 | |
1,400,000 | | Fidelity & Guaranty Life Holdings Inc. 144A, 5.50%, 5/01/25 (b) | | | 1,488 | |
1,000,000 | | GTCR AP Finance Inc. 144A, 8.00%, 5/15/27 (b) | | | 942 | |
2,050,000 | | HUB International Ltd. 144A, 7.00%, 5/01/26 (b) | | | 2,035 | |
| | | | | 12,336 | |
Leisure (3%) | | | | |
1,500,000 | | Churchill Downs Inc. 144A, 4.75%,
1/15/28 (b) | | | 1,403 | |
64 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,500,000 | | Hilton Domestic Operating Co. Inc., 4.88%, 1/15/30 | | $ | 1,441 | |
1,800,000 | | Hilton Domestic Operating Co. Inc. 144A, 5.75%, 5/01/28 (b) | | | 1,823 | |
985,000 | | MGM Resorts International, 5.75%, 6/15/25 | | | 952 | |
750,000 | | Newell Brands Inc., 4.70%, 4/01/26 | | | 755 | |
500,000 | | Newell Brands Inc., 5.88%, 4/01/36 | | | 526 | |
970,000 | | Sabre GLBL Inc. 144A, 9.25%, 4/15/25 (b) | | | 1,028 | |
1,000,000 | | Scientific Games International Inc. 144A, 8.25%, 3/15/26 (b) | | | 760 | |
1,000,000 | | Wyndham Hotels & Resorts Inc. 144A, 5.38%, 4/15/26 (b) | | | 921 | |
| | | | | 9,609 | |
Media (5%) | | | | |
750,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.00%, 3/01/23 (b) | | | 760 | |
1,500,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.50%, 8/15/30 (b) | | | 1,526 | |
1,600,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.75%, 3/01/30 (b) | | | 1,635 | |
2,550,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 5.38%, 6/01/29 (b) | | | 2,702 | |
500,000 | | CSC Holdings LLC 144A, 6.50%,
2/01/29 (b) | | | 549 | |
700,000 | | CSC Holdings LLC 144A, 10.88%, 10/15/25 (b) | | | 760 | |
1,300,000 | | Diamond Sports Group LLC/Diamond Sports Finance Co. 144A, 5.38%,
8/15/26 (b) | | | 994 | |
1,080,000 | | Diamond Sports Group LLC/Diamond Sports Finance Co. 144A, 6.63%,
8/15/27 (b)(e) | | | 596 | |
1,500,000 | | DISH DBS Corp., 5.88%, 7/15/22 | | | 1,511 | |
1,500,000 | | DISH DBS Corp., 7.75%, 7/01/26 | | | 1,485 | |
750,000 | | Netflix Inc. 144A, 4.88%, 6/15/30 (b) | | | 799 | |
1,000,000 | | Netflix Inc. 144A, 5.38%, 11/15/29 (b) | | | 1,103 | |
1,000,000 | | Scripps Escrow Inc. 144A, 5.88%,
7/15/27 (b) | | | 850 | |
1,300,000 | | Sinclair Television Group Inc. 144A, 5.50%, 3/01/30 (b) | | | 1,085 | |
2,500,000 | | Sirius XM Radio Inc. 144A, 5.00%,
8/01/27 (b) | | | 2,573 | |
| | | | | 18,928 | |
Real Estate (2%) | | | | |
1,450,000 | | Iron Mountain Inc. 144A, 4.88%,
9/15/29 (b) | | | 1,397 | |
1,500,000 | | Iron Mountain Inc. 144A, 5.25%,
3/15/28 (b) | | | 1,473 | |
1,000,000 | | iStar Inc., 4.75%, 10/01/24 | | | 840 | |
1,500,000 | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 144A, 4.25%, 2/01/27 (b) | | | 1,052 | |
1,000,000 | | MPT Operating Partnership LP/MPT Finance Corp., 4.63%, 8/01/29 | | | 999 | |
500,000 | | Shea Homes LP/Shea Homes Funding Corp. 144A, 4.75%, 2/15/28 (b) | | | 434 | |
1,500,000 | | Toll Brothers Finance Corp., 3.80%, 11/01/29 | | | 1,412 | |
950,000 | | VICI Properties LP/VICI Note Co. Inc. 144A, 3.75%, 2/15/27 (b) | | | 888 | |
| | | | | 8,495 | |
Retail (3%) | | | | |
1,000,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 5.00%, 10/15/25 (b) | | | 1,010 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,000,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 5.75%, 4/15/25 (b)(e) | | $ | 1,055 | |
2,500,000 | | Beacon Roofing Supply Inc. 144A, 4.88%, 11/01/25 (b) | | | 2,223 | |
500,000 | | L Brands Inc., 6.88%, 11/01/35 | | | 371 | |
650,000 | | L Brands Inc., 7.50%, 6/15/29 | | | 483 | |
700,000 | | Lithia Motors Inc. 144A, 4.63%, 12/15/27 (b) | | | 666 | |
1,500,000 | | Lithia Motors Inc. 144A, 5.25%, 8/01/25 (b) | | | 1,462 | |
1,000,000 | | Penske Automotive Group Inc., 5.50%, 5/15/26 | | | 920 | |
750,000 | | Sonic Automotive Inc., 6.13%, 3/15/27 | | | 650 | |
2,000,000 | | Yum! Brands Inc., 6.88%, 11/15/37 | | | 2,047 | |
875,000 | | Yum! Brands Inc. 144A, 7.75%, 4/01/25 (b) | | | 960 | |
| | | | | 11,847 | |
Service (3%) | | | | |
800,000 | | Aramark Services Inc. 144A, 5.00%,
2/01/28 (b) | | | 782 | |
1,450,000 | | Ashtead Capital Inc. 144A, 5.25%,
8/01/26 (b) | | | 1,457 | |
1,000,000 | | Avis Budget Car Rental LLC/Avis Budget Finance Inc. 144A, 5.75%, 7/15/27 (b) | | | 587 | |
2,500,000 | | Cimpress PLC 144A, 7.00%, 6/15/26 (b) | | | 1,833 | |
1,000,000 | | Covanta Holding Corp., 5.88%, 7/01/25 | | | 975 | |
1,500,000 | | Covanta Holding Corp., 6.00%, 1/01/27 | | | 1,451 | |
900,000 | | Harsco Corp. 144A, 5.75%, 7/31/27 (b) | | | 854 | |
850,000 | | Refinitiv U.S. Holdings Inc. 144A, 8.25%, 11/15/26 (b) | | | 924 | |
950,000 | | United Rentals North America Inc., 4.00%, 7/15/30 | | | 901 | |
1,250,000 | | United Rentals North America Inc., 4.88%, 1/15/28 | | | 1,258 | |
2,000,000 | | United Rentals North America Inc., 5.88%, 9/15/26 | | | 2,068 | |
| | | | | 13,090 | |
Technology (2%) | | | | |
950,000 | | Castle U.S. Holding Corp. 144A, 9.50%, 2/15/28 (b) | | | 897 | |
1,000,000 | | Dell International LLC/EMC Corp. 144A, 8.35%, 7/15/46 (b) | | | 1,253 | |
1,500,000 | | Presidio Holdings Inc. 144A, 8.25%,
2/01/28 (b) | | | 1,490 | |
960,000 | | PTC Inc. 144A, 3.63%, 2/15/25 (b) | | | 951 | |
500,000 | | PTC Inc. 144A, 4.00%, 2/15/28 (b) | | | 493 | |
980,000 | | Science Applications International Corp. 144A, 4.88%, 4/01/28 (b) | | | 964 | |
2,500,000 | | TTM Technologies Inc. 144A, 5.63%, 10/01/25 (b) | | | 2,406 | |
| | | | | 8,454 | |
Telecommunications (7%) | | | | |
1,000,000 | | Altice France SA, 5.88%, 2/01/27 EUR (f)(g) | | | 1,143 | |
2,500,000 | | Altice France SA 144A, 7.38%, 5/01/26 (b) | | | 2,624 | |
2,160,000 | | CenturyLink Inc., 5.80%, 3/15/22 | | | 2,221 | |
1,000,000 | | CenturyLink Inc., 6.88%, 1/15/28 | | | 1,042 | |
1,500,000 | | CommScope Inc. 144A, 8.25%, 3/01/27 (b) | | | 1,445 | |
1,000,000 | | CommScope Technologies LLC 144A, 6.00%, 6/15/25 (b) | | | 896 | |
1,000,000 | | Qualitytech LP/QTS Finance Corp. 144A, 4.75%, 11/15/25 (b) | | | 1,013 | |
1,230,000 | | Sprint Capital Corp., 6.88%, 11/15/28 | | | 1,487 | |
2,200,000 | | Sprint Communications Inc., 6.00%, 11/15/22 | | | 2,336 | |
1,000,000 | | Sprint Corp., 7.13%, 6/15/24 | | | 1,128 | |
3,500,000 | | Sprint Corp., 7.63%, 3/01/26 | | | 4,154 | |
Semi-Annual Report 65
Payden High Income Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
2,200,000 | | Telecom Italia Capital SA, 6.38%, 11/15/33 | | $ | 2,381 | |
3,000,000 | | T-Mobile USA Inc., 6.50%, 1/15/26 | | | 3,183 | |
950,000 | | Zayo Group Holdings Inc. 144A, 6.13%, 3/01/28 (b) | | | 900 | |
| | | | | 25,953 | |
Transportation (2%) | | | | |
1,914,629 | | American Airlines2013-1 Class B Pass-Through Trust 144A, 5.63%, 1/15/21 (b) | | | 1,889 | |
1,500,000 | | Delta Air Lines Inc. 144A, 7.00%,
5/01/25 (b) | | | 1,541 | |
986,060 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (b) | | | 835 | |
2,025,000 | | United Airlines Holdings Inc., 5.00%, 2/01/24 | | | 1,561 | |
600,000 | | XPO Logistics Inc. 144A, 6.13%,
9/01/23 (b) | | | 611 | |
| | | | | 6,437 | |
Utility (3%) | | | | |
1,200,000 | | AES Corp., 4.50%, 3/15/23 | | | 1,204 | |
500,000 | | Calpine Corp. 144A, 4.50%, 2/15/28 (b) | | | 486 | |
1,000,000 | | Calpine Corp. 144A, 5.13%, 3/15/28 (b) | | | 981 | |
1,150,000 | | Calpine Corp. 144A, 5.25%, 6/01/26 (b) | | | 1,176 | |
1,400,000 | | Calpine Corp., 5.50%, 2/01/24 | | | 1,396 | |
2,000,000 | | DPL Inc., 4.35%, 4/15/29 | | | 1,953 | |
1,500,000 | | NextEra Energy Operating Partners LP 144A, 3.88%, 10/15/26 (b) | | | 1,490 | |
1,000,000 | | Talen Energy Supply LLC 144A, 6.63%, 1/15/28 (b) | | | 948 | |
1,000,000 | | Vistra Operations Co. LLC 144A, 5.00%, 7/31/27 (b) | | | 1,025 | |
1,250,000 | | Vistra Operations Co. LLC 144A, 5.50%, 9/01/26 (b) | | | 1,294 | |
| | | | | 11,953 | |
Total Corporate Bond (Cost - $350,958) | | | 335,387 | |
Mortgage Backed (3%) | | | | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.74%, 11/25/39 (a)(b) | | | 3,160 | |
1,990,312 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%), 10.74%, 1/25/29 (a) | | | 1,703 | |
1,991,310 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%), 12.74%, 9/25/28 (a) | | | 1,842 | |
1,700,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 4.800%), 5.29%, 2/25/50 (a)(b) | | | 454 | |
1,200,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.500%), 9.99%, 2/25/49 (a)(b) | | | 472 | |
900,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 5.09%, 12/25/42 (a) | | | 673 | |
1,737,538 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.74%, 10/25/29 (a) | | | 1,095 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
1,864,342 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 12.24%, 4/25/43 (a)(b) | | $ | 936 | |
1,550,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.99%, 2/25/47 (a)(b) | | | 710 | |
Total Mortgage Backed (Cost - $17,108) | | | 11,045 | |
Investment Company (7%) | | | | |
25,970,493 | | Payden Cash Reserves Money Market Fund * (Cost - $25,970) | | | 25,970 | |
Total Investments (Cost - $424,736) (103%) | | | 400,646 | |
Liabilities in excess of Other Assets(-3%) | | | (11,277 | ) |
| |
Net Assets (100%) | | $ | 389,369 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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, 2020. 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) | All or a portion of these securities are on loan. At April 30, 2020, the total market value of the Fund’s securities on loan is $5,075 and the total market value of the collateral held by the Fund is $5,219. Amounts in 000s. |
| (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) | Principal in foreign currency. |
| (h) | Perpetual security with no stated maturity date. |
| (i) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
66 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | | | Currency Sold (000s) | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | | | | | | |
USD 8,271 | | | | EUR 7,326 | | | | Citibank, N.A. | | | | | 06/23/2020 | | | | $ | 234 | |
Liabilities: | | | | | | | | | | | | | | | | | | | |
EUR 579 | | | | USD 641 | | | | Citibank, N.A. | | | | | 06/23/2020 | | | | | (5 | ) |
| | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | $ | 229 | |
| | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
| 4-Year Interest Rate Swap, Pay Fixed 0.2405% Annually, Receive Variable (0.41600)%(1-Month EURIBOR) Monthly | | | 10/29/2023 | | | EUR | 2,343 | | | | $(68) | | | $— | | $(68) |
| 4-Year Interest Rate Swap, Receive Fixed 3.013% Semi-Annually, Pay Variable 2.325%(1-Month USD LIBOR) Monthly | | | 10/29/2023 | | | USD | 14,240 | | | | 1,540 | | | — | | 1,540 |
| | | | | | | | $1,472 | | | $— | | $1,472 |
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 | | $ | 5,075 | |
| Non-cash Collateral2 | | | (5,075 | ) |
| | | | |
| 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, 2020, 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 67
Payden California Municipal Social Impact Fund
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 | | | 43 | % |
Healthcare | | | 14 | % |
Transportation | | | 11 | % |
Water & Sewer | | | 7 | % |
Education | | | 7 | % |
Other | | | 18 | % |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Corporate Bond (6%) | | | | |
500,000 | | Century Housing Corp., 4.00%, 11/01/21 | | $ | 523 | |
500,000 | | Conservation Fund A Nonprofit Corp., 3.47%, 12/15/29 | | | 532 | |
500,000 | | Low Income Investment Fund, 3.71%, 7/01/29 | | | 503 | |
2,000,000 | | Massachusetts Institute of Technology, 2.29%, 7/01/51 | | | 2,000 | |
Total Corporate Bond (Cost - $3,500) | | | 3,558 | |
General Obligation (50%) | | | | |
645,000 | | Abag Finance Authority for Nonprofit Corps, 5.00%, 9/02/26 | | | 751 | |
455,000 | | Abag Finance Authority for Nonprofit Corps, 5.00%, 9/02/28 AGM (a) | | | 562 | |
100,000 | | Alameda Community Improvement Commission Successor Agency, 5.00%, 9/01/28 BAM (a) | | | 116 | |
250,000 | | Alameda Community Improvement Commission Successor Agency, 5.00%, 9/01/32 BAM (a) | | | 288 | |
300,000 | | Anaheim Public Financing Authority, 5.00%, 5/01/34 | | | 328 | |
500,000 | | Anaheim Public Financing Authority, 5.00%, 9/01/36 BAM (a) | | | 593 | |
200,000 | | Brea Community Benefit Financing Authority, 5.00%, 7/01/29 | | | 231 | |
500,000 | | Brea Redevelopment Agency, 5.00%, 8/01/31 | | | 606 | |
300,000 | | Brentwood Infrastructure Financing Authority, 4.00%, 10/01/36 | | | 331 | |
1,000,000 | | California Health Facilities Financing Authority, 2.48%, 6/01/27 | | | 991 | |
250,000 | | California Infrastructure & Economic Development Bank, 0.69%, 8/01/47 (b) | | | 251 | |
500,000 | | California Infrastructure & Economic Development Bank, 0.91%, 12/01/50 (b) | | | 499 | |
500,000 | | California Infrastructure & Economic Development Bank, 5.00%, 7/01/26 | | | 497 | |
410,000 | | California Infrastructure & Economic Development Bank, 5.00%, 8/01/34 | | | 487 | |
500,000 | | California Infrastructure & Economic Development Bank, 5.00%, 8/01/44 | | | 591 | |
1,000,000 | | California Pollution Control Financing Authority 144A, 5.00%, 7/01/39 (c) | | | 1,062 | |
385,000 | | California State Public Works Board, 5.25%, 10/01/33 | | | 441 | |
500,000 | | California State Public Works Board, 8.00%, 3/01/35 | | | 502 | |
300,000 | | City & County of San Francisco CA Community Facilities District No 2014-1, 3.11%, 9/01/24 | | �� | 318 | |
670,000 | | City of Irvine CA, 4.00%, 9/02/38 | | | 726 | |
260,000 | | City of Irvine CA, 5.00%, 9/02/22 | | | 283 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
295,000 | | Coronado Community Development Agency Successor Agency, 5.00%, 9/01/33 | | $ | 345 | |
400,000 | | County of Sacramento CA, 5.75%, 2/01/30 | | | 402 | |
1,000,000 | | County of Santa Barbara CA, AMT, 5.00%, 12/01/36 | | | 1,199 | |
500,000 | | Fresno Unified School District, 0.00%, 8/01/27 | | | 423 | |
400,000 | | Inglewood Joint Powers Authority, 2.75%, 8/01/21 BAM (a) | | | 405 | |
460,000 | | Kern Community College District, 2.65%, 11/01/27 | | | 481 | |
500,000 | | Lancaster Redevelopment Agency Successor Agency, 5.00%, 8/01/30 AGM (a) | | | 590 | |
500,000 | | Los Angeles County Public Works Financing Authority, 5.00%, 12/01/49 | | | 580 | |
350,000 | | Los Angeles County Redevelopment Authority, 5.25%, 12/01/26 AGM (a) | | | 412 | |
100,000 | | Municipal Improvement Corp. of Los Angeles, 5.00%, 5/01/30 | | | 112 | |
500,000 | | Municipal Improvement Corp. of Los Angeles, 5.00%, 11/01/31 | | | 580 | |
500,000 | | Municipal Improvement Corp. of Los Angeles, 5.00%, 11/01/38 | | | 556 | |
500,000 | | Napa Valley Community College District, 0.00%, 8/01/23 | | | 534 | |
1,000,000 | | Nuveen, CA Free Quality Municipal Income Fund, AMT 144A, 0.90%, 10/01/47 (b)(c) | | | 1,000 | |
100,000 | | Peralta Community College District, 5.00%, 8/01/22 | | | 109 | |
415,000 | | Riverside County Redevelopment Successor Agency, 7.25%, 12/01/40 | | | 458 | |
500,000 | | San Bernardino Community College District, 2.87%, 8/01/32 | | | 519 | |
900,000 | | San Diego Association of Governments, 5.00%, 11/15/26 | | | 1,042 | |
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 | | | 389 | |
550,000 | | San Diego Public Facilities Financing Authority, 5.00%, 10/15/32 | | | 626 | |
120,000 | | San Jose Financing Authority, 5.00%, 6/01/28 | | | 133 | |
750,000 | | San Marcos Redevelopment Agency Successor Agency, 3.25%, 10/01/29 | | | 792 | |
250,000 | | San Mateo Joint Powers Financing Authority, 5.00%,6/15/30 | | | 285 | |
68 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
815,000 | | Santa Monica Public Financing Authority, 4.00%, 7/01/38 | | $ | 902 | |
200,000 | | Simi Valley Public Financing Authority, 5.00%, 10/01/29 | | | 230 | |
550,000 | | South Orange County Public Financing Authority, 5.00%, 4/01/34 | | | 631 | |
540,000 | | State of California, 1.37%, 5/01/20 (b) | | | 539 | |
1,000,000 | | State of California, 5.00%, 4/01/30 | | | 1,276 | |
550,000 | | State of California, 6.51%, 4/01/39 | | | 591 | |
105 | | State of California, 7.95%, 3/01/36 | | | — | |
300,000 | | Stockton Public Financing Authority, 1.40%, 6/01/22 | | | 295 | |
800,000 | | Temecula Redevelopment Agency Successor Agency, 5.00%, 12/15/37
AGM (a) | | | 915 | |
350,000 | | Union City Community Redevelopment Agency, 5.00%, 10/01/35 | | | 393 | |
| |
Total General Obligation (Cost - $28,200) | | | 28,601 | |
| |
Revenue (46%) | | | | |
| |
Airport/Port (5%) | | | | |
500,000 | | City of Los Angeles Department of Airports, 5.00%, 5/15/24 | | | 562 | |
250,000 | | City of Los Angeles Department of Airports, 5.00%, 5/15/26 | | | 293 | |
500,000 | | City of Los Angeles Department of Airports, AMT, 5.00%, 5/15/36 | | | 575 | |
400,000 | | City of Palm Springs CA Passenger Facility Charge Revenue, 5.00%, 6/01/26 BAM (a) | | | 454 | |
750,000 | | San Diego County Regional Airport Authority, 5.00%, 7/01/39 | | | 861 | |
225,000 | | San Francisco City & County Airport Comm-San Francisco International Airport, 5.00%, 5/01/41 | | | 246 | |
| | | | | 2,991 | |
| |
Education (6%) | | | | |
500,000 | | California Educational Facilities Authority, 3.18%, 4/01/27 | | | 526 | |
370,000 | | California Educational Facilities Authority, 5.00%, 10/01/37 | | | 434 | |
360,000 | | California Educational Facilities Authority, 5.00%, 10/01/38 | | | 422 | |
650,000 | | California Municipal Finance Authority, 0.57%, 10/01/45 (b) | | | 650 | |
120,000 | | California School Finance Authority 144A, 4.00%, 7/01/22 (c) | | | 123 | |
1,000,000 | | California School Finance Authority 144A, 5.00%, 8/01/38 (c) | | | 1,014 | |
250,000 | | Oxnard School District, 2.00%, 8/01/45
BAM (a)(b) | | | 271 | |
| | | | | 3,440 | |
| |
Healthcare (13%) | | | | |
750,000 | | California Health Facilities Financing Authority, 3.57%, 11/01/36 | | | 749 | |
200,000 | | California Health Facilities Financing Authority, 4.00%, 8/15/34 | | | 206 | |
710,000 | | California Health Facilities Financing Authority, 5.00%, 11/15/27 | | | 770 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
500,000 | | California Health Facilities Financing Authority, 5.00%, 2/01/31 | | $ | 589 | |
350,000 | | California Health Facilities Financing Authority, 5.00%, 8/15/32 | | | 391 | |
800,000 | | California Health Facilities Financing Authority, 5.00%, 11/01/34 | | | 997 | |
1,000,000 | | California Health Facilities Financing Authority, 5.00%, 11/15/49 | | | 1,109 | |
205,000 | | California Health Facilities Financing Authority, 5.25%, 3/01/28 | | | 209 | |
650,000 | | California Municipal Finance Authority, 5.00%, 1/01/33 | | | 766 | |
325,000 | | California Municipal Finance Authority, 5.00%, 5/15/37 | | | 366 | |
500,000 | | California Municipal Finance Authority, 5.00%, 7/01/39 | | | 590 | |
750,000 | | California Statewide Communities Development Authority, 4.00%, 8/01/45 | | | 787 | |
| | | | | 7,529 | |
| |
Industrial Development/Pollution Control (4%) | | | | |
230,000 | | California Infrastructure & Economic Development Bank, 3.25%, 7/01/26 | | | 241 | |
1,000,000 | | California Pollution Control Financing Authority, AMT 144A, 6.75%, 12/01/28 (c) | | | 929 | |
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) | | | 348 | |
390,000 | | Palm Springs Community Redevelopment Agency Successor Agency, 5.00%, 9/01/31 AGM (a) | | | 451 | |
| | | | | 2,397 | |
| |
Resource Recovery (2%) | | | | |
600,000 | | California Pollution Control Financing Authority 144A, 7.50%, 12/01/39 (c) | | | 95 | |
1,000,000 | | South Bayside Waste Management Authority, 5.00%, 9/01/23 | | | 1,123 | |
| | | | | 1,218 | |
| |
Transportation (11%) | | | | |
660,000 | | Bay Area Toll Authority, 4.00%, 4/01/37 | | | 725 | |
750,000 | | City of Long Beach CA Harbor Revenue, 5.00%, 5/15/28 | | | 875 | |
1,000,000 | | Foothill-Eastern Transportation Corridor Agency, 5.50%, 1/15/53 (b) | | | 1,056 | |
620,000 | | Port of Los Angeles, 5.00%, 8/01/24 | | | 696 | |
1,000,000 | | Port of Los Angeles, 5.00%, 8/01/25 | | | 1,147 | |
835,000 | | Port of Los Angeles, 5.00%, 8/01/29 | | | 935 | |
750,000 | | Port of Oakland, 5.00%, 5/01/24 | | | 805 | |
| | | | | 6,239 | |
| |
Water & Sewer (5%) | | | | |
500,000 | | City of San Francisco CA Public Utilities Commission Water Revenue, 3.45%, 11/01/30 | | | 530 | |
Semi-Annual Report 69
Payden California Municipal Social Impact Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
250,000 | | El Dorado, Irrigation District, 5.00%, 3/01/29 AGM (a) | | $ | 286 | |
500,000 | | Los Angeles Department of Water & Power Power System Revenue, 6.17%, 7/01/40 | | | 504 | |
600,000 | | Metropolitan Water District of Southern California, 6.95%, 7/01/40 | | | 605 | |
100,000 | | Orange County Water District, 5.00%, 8/15/33 | | | 126 | |
100,000 | | San Diego Public Facilities Financing Authority Water Revenue, 5.00%, 8/01/32 | | | 121 | |
700,000 | | Western Municipal Water District Facilities Authority, 6.51%, 10/01/40 | | | 714 | |
| | | | | 2,886 | |
| |
Total Revenue (Cost - $27,009) | | | 26,700 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| |
Total Investments (Cost - $58,709) (102%) | | $ | 58,859 | |
| |
Liabilities in excess of Other Assets (-2%) | | | (1,158 | ) |
| |
Net Assets (100%) | | $ | 57,701 | |
| | | | | | |
| (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. |
| (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. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(000s) |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Ultra Bond Future | | | | 10 | | | | | | | Jun-20 | | | | $ | (2,248 | ) | | | $ | (7 | ) | | | $ | (7 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
70 Payden Mutual Funds
Payden Global Low Duration Fund
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 | | 42% |
Asset Backed | | 22% |
U.S. Treasury | | 18% |
Mortgage Backed | | 11% |
Foreign Government | | 4% |
Other | | 3% |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Bonds (98%) | | | | |
Australia (USD) (1%) | | | | |
250,000 | | Australia & New Zealand Banking Group Ltd., 2.05%, 11/21/22 | | $ | 255 | |
515,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 2.63%,
11/28/23 (a)(b) | | | 505 | |
250,000 | | National Australia Bank Ltd., 1.88%, 12/13/22 | | | 254 | |
| | | | | 1,014 | |
Bermuda (USD) (0%) | | | | |
180,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 183 | |
Brazil (USD) ( 1%) | | | | |
200,000 | | Banco Bradesco SA 144A, 2.85%,
1/27/23 (b) | | | 195 | |
260,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b) | | | 251 | |
| | | | | 446 | |
Canada (USD) (7%) | | | | |
345,000 | | Bank of Montreal, 2.90%, 3/26/22 | | | 355 | |
195,000 | | Bank of Nova Scotia, 2.38%, 1/18/23 | | | 201 | |
376,481 | | Canadian Pacer Auto Receivables Trust 2019-1 144A, 2.78%, 3/21/22 (b) | | | 379 | |
720,000 | | Canadian Pacer Auto Receivables Trust 2019-1 144A, 2.80%, 10/19/23 (b) | | | 729 | |
1,240,000 | | Evergreen Credit Card Trust 144A, 2.95%, 3/15/23 (b) | | | 1,261 | |
505,000 | | National Bank of Canada, 2.10%, 2/01/23 | | | 512 | |
250,000 | | National Bank of Canada 144A, 2.15%, 10/07/22 (b) | | | 254 | |
750,000 | | Ontario Teachers’ Finance Trust 144A, 2.75%, 4/16/21 (b)(c) | | | 766 | |
920,000 | | Securitized Term Auto Receivables Trust 2019-1 144A, 2.99%, 2/27/23 (b) | | | 929 | |
120,000 | | Trillium Credit Card Trust II 144A, 2.33%, 12/26/24 (b) | | | 116 | |
| | | | | 5,502 | |
Cayman Islands (USD) (11%) | | | | |
200,000 | | ADCB Finance Cayman Ltd. 144A, 4.00%, 3/29/23 (b) | | | 206 | |
400,000 | | Alibaba Group Holding Ltd., 3.13%, 11/28/21 | | | 408 | |
400,000 | | ALM XVI Ltd./ALM XVI LLC 144A, (3 mo. LIBOR USD + 1.500%), 2.72%, 7/15/27 (a)(b) | | | 384 | |
420,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 1.450%), 2.59%, 7/18/27 (a)(b) | | | 403 | |
340,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 3.59%, 7/18/27 (a)(b) | | | 285 | |
110,000 | | Avolon Holdings Funding Ltd. 144A, 3.63%, 5/01/22 (b) | | | 101 | |
472,762 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR USD + 0.800%), 1.94%,
1/20/28 (a)(b) | | | 468 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
210,000 | | BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.87%, 2/16/37 (a)(b) | | $ | 194 | |
670,000 | | Bristol Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.990%), 2.21%, 4/15/29 (a)(b) | | | 655 | |
470,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.11%,
9/15/35 (a)(b) | | | 430 | |
360,000 | | CIFC Funding 2015-II Ltd. 144A, (3 mo. LIBOR USD + 1.010%), 2.23%,
4/15/30 (a)(b) | | | 349 | |
500,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.150%), 2.96%, 9/15/28 (a)(b) | | | 460 | |
430,000 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.85%, 6/15/36 (a)(b) | | | 415 | |
380,000 | | LCM XX LP 144A, (3 mo. LIBOR USD +1.040%), 2.18%, 10/20/27 (a)(b) | | | 375 | |
1,050,000 | | Magnetite VII Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 2.02%, 1/15/28 (a)(b) | | | 1,027 | |
250,000 | | Octagon Investment Partners XXIII Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 2.07%, 7/15/27 (a)(b) | | | 246 | |
700,000 | | Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 2.48%, 2/20/28 (a)(b) | | | 679 | |
115,000 | | Park Aerospace Holdings Ltd. 144A, 5.25%, 8/15/22 (b) | | | 106 | |
330,000 | | PFP 2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.050%), 1.84%, 4/14/37 (a)(b) | | | 311 | |
210,000 | | PFP 2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 2.24%, 4/14/37 (a)(b) | | | 183 | |
370,000 | | STWD 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.89%, 7/15/38 (a)(b) | | | 349 | |
470,000 | | TRTX 2019-FL3 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 2.20%,
9/15/34 (a)(b) | | | 410 | |
815,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%), 2.11%, 4/15/29 (a)(b) | | | 793 | |
| | | | | 9,237 | |
Chile (CLP) (0%) | | | | |
180,000,000 | | Bonos de la Tesoreria de la Republica en pesos, 4.50%, 3/01/26 CLP | | | 246 | |
Chile (USD) (1%) | | | | |
275,000 | | Banco del Estado de Chile 144A, 2.67%, 1/08/21 (b) | | | 277 | |
245,000 | | Banco Santander Chile 144A, 2.50%, 12/15/20 (b) | | | 247 | |
| | | | | 524 | |
Finland (USD) (1%) | | | | |
940,000 | | Finnvera Oyj 144A, 1.88%, 10/05/20 (b) | | | 945 | |
Semi-Annual Report 71
Payden Global Low Duration Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
France (USD) (1%) | | | | |
450,000 | | BNP Paribas SA 144A, 2.95%, 5/23/22 (b) | | $ | 458 | |
450,000 | | Credit Agricole SA 144A, 3.38%,
1/10/22 (b) | | | 460 | |
250,000 | | Dexia Credit Local SA 144A, 0.75%, 5/07/23 (b) | | | 250 | |
| | | | | 1,168 | |
Georgia (USD) (0%) | | | | |
400,000 | | Georgia Government International Bond 144A, 6.88%, 4/12/21 (b) | | | 403 | |
Germany (USD) (1%) | | | | |
535,000 | | Deutsche Bank AG, 3.15%, 1/22/21 | | | 534 | |
Guernsey (USD) (1%) | | | | |
550,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.80%, 9/15/22 | | | 572 | |
India (USD) (1%) | | | | |
345,000 | | ICICI Bank Ltd. 144A, 5.75%,
11/16/20 (b) | | | 349 | |
500,000 | | REC Ltd. 144A, 5.25%, 11/13/23 (b) | | | 503 | |
200,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (b) | | | 148 | |
| | | | | 1,000 | |
Indonesia (USD) (1%) | | | | |
225,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.23%, 11/15/21 (b) | | | 227 | |
395,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (b) | | | 397 | |
280,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 3.75%, 3/01/23 (b) | | | 287 | |
| | | | | 911 | |
Ireland (USD) (1%) | | | | |
340,000 | | Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | | | 346 | |
355,000 | | SMBC Aviation Capital Finance DAC 144A, 3.00%, 7/15/22 (b) | | | 350 | |
| | | | | 696 | |
Italy (USD) (1%) | | | | |
425,000 | | Intesa Sanpaolo SpA 144A, 3.13%, 7/14/22 (b) | | | 425 | |
350,000 | | UniCredit SpA 144A, 6.57%, 1/14/22 (b) | | | 361 | |
| | | | | 786 | |
Japan (USD) (3%) | | | | |
450,000 | | Mitsubishi UFJ Financial Group Inc., 2.62%, 7/18/22 | | | 459 | |
460,000 | | Mitsubishi UFJ Financial Group Inc., 3.22%, 3/07/22 | | | 473 | |
330,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.840%), 2.72%,
7/16/23 (a) | | | 336 | |
400,000 | | Mizuho Financial Group Inc., 2.95%, 2/28/22 | | | 409 | |
450,000 | | Sumitomo Mitsui Financial Group Inc., 3.10%, 1/17/23 | | | 467 | |
| | | | | 2,144 | |
Liberia (USD) ( 0%) | | | | |
135,000 | | Royal Caribbean Cruises Ltd., 2.65%, 11/28/20 | | | 123 | |
Netherlands (USD) ( 2%) | | | | |
345,000 | | BMW Finance NV 144A, 2.25%,
8/12/22 (b) | | | 344 | |
460,000 | | Enel Finance International NV 144A, 2.88%, 5/25/22 (b) | | | 463 | |
560,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 548 | |
| | | | | 1,355 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
New Zealand (USD) (1%) | | | | |
350,000 | | ANZ New Zealand Int’l Ltd. 144A, 1.90%, 2/13/23 (b) | | $ | 353 | |
500,000 | | BNZ International Funding Ltd. 144A, 2.65%, 11/03/22 (b) | | | 512 | |
| | | | | 865 | |
Nigeria (USD) (0%) | | | | |
250,000 | | Nigeria Government International Bond 144A, 6.75%, 1/28/21 (b) | | | 238 | |
Panama (USD) (0%) | | | | |
225,000 | | Intercorp Financial Services Inc. 144A, 4.13%, 10/19/27 (b) | | | 214 | |
Peru (USD) (1%) | | | | |
320,000 | | Fondo MIVIVIENDA SA 144A, 3.50%, 1/31/23 (b) | | | 322 | |
320,000 | | Inretail Pharma SA 144A, 5.38%,
5/02/23 (b) | | | 324 | |
| | | | | 646 | |
Senegal (USD) (0%) | | | | |
210,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 205 | |
Switzerland (USD) (2%) | | | | |
250,000 | | Credit Suisse AG, 2.80%, 4/08/22 | | | 256 | |
280,000 | | UBS AG 144A, 1.75%, 4/21/22 (b) | | | 281 | |
825,000 | | UBS Group AG 144A, 3.00%, 4/15/21 (b) | | | 834 | |
| | | | | 1,371 | |
United Kingdom (USD) (4%) | | | | |
399,000 | | Anglo American Capital PLC 144A, 4.13%, 4/15/21 (b) | | | 401 | |
250,000 | | HSBC Holdings PLC, (3 mo. LIBOR USD + 1.055%), 3.26%, 3/13/23 (a) | | | 257 | |
500,000 | | HSBC Holdings PLC, 3.40%, 3/08/21 | | | 509 | |
272,800 | | Lanark Master Issuer PLC, (3 mo. LIBOR USD + 0.420%), 2.10%, 12/22/69 (a) | | | 271 | |
460,000 | | Lloyds Banking Group PLC, 3.00%, 1/11/22 | | | 468 | |
285,000 | | NatWest Markets PLC 144A, 3.63%, 9/29/22 (b) | | | 294 | |
660,000 | | Royal Bank of Scotland Group PLC, (3 mo. LIBOR USD + 1.470%), 3.16%, 5/15/23 (a) | | | 639 | |
460,000 | | Santander UK Group Holdings PLC, 3.13%, 1/08/21 | | | 464 | |
295,000 | | Santander UK PLC, 2.10%, 1/13/23 | | | 297 | |
| | | | | 3,600 | |
United States (USD) (56%) | | | | |
20,000 | | 3M Co., 2.65%, 4/15/25 | | | 21 | |
300,000 | | AES Corp., 4.00%, 3/15/21 | | | 302 | |
90,000 | | AIG Global Funding 144A, 2.30%,
7/01/22 (b) | | | 92 | |
115,000 | | Air Lease Corp., 2.25%, 1/15/23 | | | 107 | |
75,000 | | Air Lease Corp., 2.75%, 1/15/23 | | | 69 | |
120,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 119 | |
140,000 | | Ally Financial Inc., 4.13%, 2/13/22 | | | 142 | |
165,000 | | Ameren Corp., 2.50%, 9/15/24 | | | 171 | |
360,000 | | AmeriCredit Automobile Receivables Trust 2020-1, 1.11%, 8/19/24 | | | 355 | |
120,000 | | Anthem Inc., 2.38%, 1/15/25 | | | 124 | |
225,000 | | Aon Corp., 2.20%, 11/15/22 | | | 229 | |
299,522 | | AREIT 2018-CRE2 Trust 144A, (1 mo. LIBOR USD + 1.400%), 2.19%,
11/14/35 (a)(b) | | | 260 | |
400,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 394 | |
72 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
245,000 | | Assurant Inc., (3 mo. LIBOR USD + 1.250%), 2.48%, 3/26/21 (a) | | $ | 244 | |
25,569,512 | | BANK 2018-BNK14, 0.67%, 9/15/60 (d) | | | 796 | |
240,000 | | Bank of The West Auto Trust 2019-1 144A, 2.43%, 4/15/24 (b) | | | 242 | |
190,000 | | Bank of The West Auto Trust 2019-1 144A, 2.51%, 10/15/24 (b) | | | 192 | |
15,660,013 | | Benchmark 2018-B6 Mortgage Trust, 0.59%, 10/10/51 (d) | | | 391 | |
171,972 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 0.920%), 1.73%, 10/15/36 (a)(b) | | | 169 | |
171,972 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.080%), 1.89%, 10/15/36 (a)(b) | | | 168 | |
100,000 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%), 2.41%, 12/15/36 (a)(b) | | | 95 | |
2,886,622 | | Cantor Commercial Real Estate Lending 2019-CF1, 1.30%, 5/15/52 (d) | | | 213 | |
250,000 | | CarMax Auto Owner Trust 2020-1, 1.89%, 12/16/24 | | | 253 | |
95,000 | | Carrier Global Corp. 144A, 1.92%,
2/15/23 (b) | | | 96 | |
98,948 | | CARS-DB4 LP 144A, 2.69%, 2/15/50 (b) | | | 96 | |
65,000 | | Centene Corp., 4.75%, 5/15/22 | | | 66 | |
105,000 | | Centene Corp. 144A, 4.75%, 1/15/25 (b) | | | 109 | |
70,000 | | CenterPoint Energy Inc., 3.60%, 11/01/21 | | | 72 | |
149,356 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.86%, 6/15/34 (a)(b) | | | 121 | |
348,496 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 3.16%, 6/15/34 (a)(b) | | | 258 | |
265,000 | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | | | 275 | |
185,000 | | Cigna Corp., (3 mo. LIBOR USD + 0.650%), 1.49%, 9/17/21 (a) | | | 182 | |
250,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%,
9/27/25 (a) | | | 221 | |
210,000 | | CIT Group Inc., 5.00%, 8/15/22 | | | 208 | |
340,000 | | COMM 2019-WCM Mortgage Trust 144A, (1 mo. LIBOR USD + 0.900%), 1.71%, 10/15/36 (a)(b) | | | 312 | |
46,000 | | Conagra Brands Inc., (3 mo. LIBOR USD + 0.750%), 1.85%, 10/22/20 (a) | | | 46 | |
594,564 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.64%, 11/25/39 (a)(b) | | | 500 | |
250,000 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 2.100%), 2.59%, 10/25/39 (a)(b) | | | 220 | |
90,000 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 1/25/40 (a)(b) | | | 70 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
100,000 | | Connecticut Avenue Securities Trust 2020-SBT1 144A, (1 mo. LIBOR USD + 3.650%), 4.14%, 2/25/40 (a)(b) | | $ | 71 | |
340,000 | | CVS Health Corp., (3 mo. LIBOR USD + 0.720%), 1.72%, 3/09/21 (a) | | | 339 | |
300,000 | | Dell International LLC/EMC Corp. 144A, 4.42%, 6/15/21 (b) | | | 305 | |
46,000 | | Dell International LLC/EMC Corp. 144A, 5.88%, 6/15/21 (b) | | | 46 | |
375,000 | | Delta Air Lines Inc., 2.60%, 12/04/20 | | | 360 | |
85,000 | | Dominion Energy Inc. 144A, 2.45%, 1/15/23 (b) | | | 87 | |
135,000 | | Dominion Energy Inc., 2.72%, 8/15/21 | | | 136 | |
240,000 | | Drive Auto Receivables Trust 2019-4, 2.51%, 11/17/25 | | | 239 | |
330,000 | | Drive Auto Receivables Trust 2020-1, 2.08%, 7/15/24 | | | 327 | |
230,000 | | Drive Auto Receivables Trust 2020-1, 2.36%, 3/16/26 | | | 221 | |
285,000 | | DTE Energy Co., 2.25%, 11/01/22 | | | 290 | |
105,000 | | DTE Energy Co., 2.60%, 6/15/22 | | | 106 | |
200,000 | | DuPont de Nemours Inc., 2.17%, 5/01/23 | | | 202 | |
90,000 | | Elanco Animal Health Inc., 4.66%, 8/27/21 | | | 93 | |
280,000 | | Enterprise Fleet Financing 2019-2 LLC 144A, 2.29%, 2/20/25 (b) | | | 280 | |
290,000 | | Evergy Inc., 2.45%, 9/15/24 | | | 301 | |
425,000 | | Exxon Mobil Corp., 1.57%, 4/15/23 | | | 431 | |
236,078 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 2.69%, 8/25/30 (a) | | | 209 | |
280,000 | | Ford Credit Auto Lease Trust 2020-A, 2.05%, 6/15/23 | | | 275 | |
280,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.270%), 2.64%, 3/28/22 (a) | | | 248 | |
200,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 181 | |
90,000 | | Fox Corp., 3.67%, 1/25/22 | | | 93 | |
285,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 9/25/49 (a)(b) | | | 245 | |
140,000 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 1.700%), 2.19%, 1/25/50 (a)(b) | | | 109 | |
100,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 2/25/50 (a)(b) | | | 76 | |
260,000 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.39%, 1/25/50 (a)(b) | | | 173 | |
670,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 1.100%), 1.59%, 3/25/50 (a)(b) | | | 644 | |
250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 5.09%, 12/25/42(a) | | | 187 | |
248,220 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.74%, 10/25/29 (a) | | | 156 | |
300,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 287 | |
Semi-Annual Report 73
Payden Global Low Duration Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
245,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (b) | | $ | 201 | |
530,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%), 2.86%, 1/14/22 (a) | | | 494 | |
390,000 | | GM Financial Consumer Automobile Receivables Trust 2019-3, 2.18%, 4/16/24 | | | 393 | |
460,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 1.84%, 9/16/24 | | | 467 | |
110,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.03%, 4/16/25 | | | 108 | |
80,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.18%, 5/16/25 | | | 76 | |
105,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 112 | |
240,000 | | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 144A, 1.76%, 8/15/23 (b) | | | 235 | |
180,000 | | Hyundai Auto Lease Securitization Trust 2020-A 144A, 2.00%, 12/15/23 (b) | | | 180 | |
130,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 123 | |
200,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 2/01/22 | | | 203 | |
415,268 | | Invitation Homes 2018-SFR1 Trust 144A, (1 mo. LIBOR USD + 0.700%), 1.45%, 3/17/37 (a)(b) | | | 401 | |
40,000 | | iStar Inc., 4.75%, 10/01/24 | | | 34 | |
350,000 | | Jackson National Life Global Funding 144A, 3.30%, 2/01/22 (b) | | | 360 | |
265,400 | | JP Morgan Mortgage Trust 2017-1 144A, 3.50%, 1/25/47 (b)(d) | | | 269 | |
464,646 | | JP Morgan Mortgage Trust 2017-5 144A, 3.00%, 10/26/48 (b)(d) | | | 470 | |
240,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 2.50%, 1/15/23 (a) | | | 219 | |
30,271 | | L.A. Arena Funding LLC 144A, 7.66%, 12/15/26 (b) | | | 30 | |
350,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 353 | |
135,000 | | Marriott International Inc., 2.13%, 10/03/22 | | | 127 | |
45,000 | | McDonald’s Corp., 3.30%, 7/01/25 | | | 49 | |
210,000 | | Midwest Connector Capital Co. LLC 144A, 3.63%, 4/01/22 (b) | | | 202 | |
65,000 | | Mondelez International Inc., 2.13%, 4/13/23 | | | 66 | |
180,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.180%), 2.32%, 1/20/22 (a) | | | 180 | |
220,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.152%), 2.72%, 7/22/25 (a) | | | 227 | |
300,000 | | Morgan Stanley, 3.13%, 1/23/23 | | | 312 | |
96,934 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 1.700%), 2.19%, 10/15/49 (a)(b) | | | 83 | |
140,182 | | MVW Owner Trust 2017-1 144A, 2.42%, 12/20/34 (b) | | | 135 | |
250,000 | | National Securities Clearing Corp. 144A, 1.20%, 4/23/23 (b) | | | 250 | |
264,103 | | New Residential Mortgage Loan Trust 2017-1 144A, 4.00%, 2/25/57 (b)(d) | | | 278 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
527,042 | | New Residential Mortgage Loan Trust 2017-4 144A, 4.00%, 5/25/57 (b)(d) | | $ | 559 | |
290,000 | | NextEra Energy Capital Holdings Inc., 2.90%, 4/01/22 | | | 300 | |
110,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (b) | | | 113 | |
30,000 | | NIKE Inc., 2.40%, 3/27/25 | | | 32 | |
290,000 | | Nissan Auto Lease Trust 2019-B, 2.29%, 4/15/25 | | | 293 | |
200,000 | | Nissan Auto Lease Trust 2020-A, 1.88%, 4/15/25 | | | 202 | |
215,768 | | NP SPE II LLC 144A, 2.86%, 11/19/49 (b) | | | 218 | |
84,000 | | Occidental Petroleum Corp., 2.60%, 8/13/21 | | | 79 | |
80,000 | | Occidental Petroleum Corp., 2.70%, 8/15/22 (c) | | | 70 | |
590,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 593 | |
115,000 | | Oracle Corp., 2.50%, 4/01/25 | | | 121 | |
190,000 | | PayPal Holdings Inc., 2.20%, 9/26/22 | | | 194 | |
295,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 2.70%, 11/01/24 (b) | | | 295 | |
260,000 | | PepsiCo Inc., 0.75%, 5/01/23 | | | 260 | |
35,000 | | QEP Resources Inc., 6.88%, 3/01/21 | | | 17 | |
130,000 | | Reliance Standard Life Global Funding II 144A, 2.15%, 1/21/23 (b) | | | 130 | |
165,000 | | Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (b) | | | 168 | |
154,556 | | Residential Asset Securitization Trust 2006-A8, 6.00%, 8/25/36 | | | 111 | |
110,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 110 | |
465,000 | | Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 | | | 465 | |
550,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 557 | |
150,000 | | Santander Holdings USA Inc., 4.45%, 12/03/21 | | | 155 | |
310,000 | | Santander Retail Auto Lease Trust 2019-B 144A, 2.30%, 1/20/23 (b) | | | 312 | |
105,000 | | Sempra Energy, (3 mo. LIBOR USD + 0.500%), 1.72%, 1/15/21 (a) | | | 104 | |
290,000 | | Sirius XM Radio Inc. 144A, 4.63%, 7/15/24 (b) | | | 297 | |
180,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (b) | | | 177 | |
200,000 | | Southern California Edison Co., 1.85%, 2/01/22 | | | 199 | |
125,000 | | Spirit AeroSystems Inc., (3 mo. LIBOR USD + 0.800%), 1.54%, 6/15/21 (a) | | | 118 | |
180,000 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 181 | |
372,474 | | STACR Trust 2018-DNA2 144A, (1 mo. LIBOR USD + 0.800%), 1.29%, 12/25/30 (a)(b) | | | 370 | |
339,165 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.14%, 4/25/43 (a)(b) | | | 321 | |
250,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.24%, 4/25/43 (a)(b) | | | 181 | |
150,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.99%, 2/25/47 (a)(b) | | | 69 | |
100,000 | | Starwood Property Trust Inc., 3.63%, 2/01/21 | | | 95 | |
70,000 | | State Street Corp. 144A, (U.S. Secured Overnight Financing Rate + 2.690%), 2.83%, 3/30/23 (a)(b) | | | 72 | |
195,000 | | Sterling Bancorp, 3.50%, 6/08/20 | | | 195 | |
74 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
80,000 | | Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23 | | $ | 78 | |
290,000 | | Synchrony Card Funding LLC, 2.34%, 6/15/25 | | | 291 | |
100,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 97 | |
227,125 | | Taco Bell Funding LLC 144A, | | | | |
| | 4.32%, 11/25/48 (b) | | | 233 | |
35,000 | | Target Corp., 2.25%, 4/15/25 | | | 37 | |
55,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 56 | |
2,780,000 | | U.S. Treasury Note, 0.13%, 4/30/22 | | | 2,777 | |
6,968,000 | | U.S. Treasury Note, 0.25%, 4/15/23 | | | 6,971 | |
268,000 | | U.S. Treasury Note, 1.50%, 8/15/22 (e)(f) | | | 276 | |
4,410,000 | | U.S. Treasury Note, 2.75%, 5/31/23 | | | 4,748 | |
369,000 | | U.S. Treasury Note, 2.75%, 8/31/23 | | | 399 | |
250,000 | | Ventas Realty LP, 2.65%, 1/15/25 | | | 238 | |
7,615,842 | | Wells Fargo Commercial Mortgage Trust 2018-C46, 1.11%, 8/15/51 (d) | | | 363 | |
80,000 | | Westlake Automobile Receivables Trust 2018-3 144A, 4.00%, 10/16/23 (b) | | | 80 | |
510,000 | | Westlake Automobile Receivables Trust 2019-3 144A, 2.49%, 10/15/24 (b) | | | 493 | |
240,000 | | Westlake Automobile Receivables Trust 2020-1 144A, 2.80%, 6/16/25 (b) | | | 225 | |
168,300 | | Wingstop Funding 2018-1 LLC 144A, 4.97%, 12/05/48 (b) | | | 172 | |
290,000 | | World Omni Auto Receivables Trust 2019-B, 2.59%, 7/15/24 | | | 296 | |
| | | | | 46,917 | |
| | Total Bonds (Cost - $83,774) | | | 81,845 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Preferred Stock (1%) | | | | |
19,900 | | Digital Realty Trust Inc., 6.35% (Cost - $ 499) | | $ | 508 | |
| |
Investment Company (1%) | | | | |
1,328,550 | | Payden Cash Reserves Money Market Fund * (Cost - $ 1,329) | | | 1,329 | |
| |
Total Investments (Cost - $85,602) (100%) | | | 83,682 | |
| |
Other Assets, net of Liabilities (0%) | | | 93 | |
| |
Net Assets (100%) | | $ | 83,775 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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, 2020, the total market value of the Fund’s securities on loan is $196 and the total market value of the collateral held by the Fund is $199. Amount in 000s. |
| (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. |
| (e) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (f) | 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 (000s) | | Counterparty | | Settlement
Date | | Unrealized
Depreciation
(000s) |
Liabilities: | | | | | | | | | | | | | | |
USD 240 | | CLP 200,900 | | HSBC Bank USA, N.A. | | | | 07/13/2020 | | | | $ | (1) | |
| | | | | | | | | | | | | | |
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 | | 135 | | | | Jun-20 | | | | $ | 29,758 | | | | | $451 | | | | $ | 451 | |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 10-Year Note Future | | 31 | | | | Jun-20 | | | | | (4,311 | ) | | | | (191 | ) | | | | (191 | ) |
U.S. Treasury 5-Year Note Future | | 46 | | | | Jun-20 | | | | | (5,772 | ) | | | | (195 | ) | | | | (195 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (386 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | $ | 65 | |
| | | | | | | | | | | | | | | | | | | | | | |
Payden Global Low Duration Fund continued
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | Notional
Amount (000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Appreciation
(000s) |
3-Year Interest Rate Swap, Receive Fixed 1.5535% Semi-Annually, | | 08/30/2022 | | | CAD 1,060 | | | $ | 13 | | | | — | | | $13 |
Pay Variable 1.94625% (CDOR03 Index) Semi-Annually | | | | | | | | | | | | | | | | |
3-Year Interest Rate Swap, Receive Fixed 1.558% Semi-Annually, Pay | | 08/30/2022 | | | CAD 1,060 | | | | 13 | | | | — | | | 13 |
Variable 1.94625% (CDOR03 Index) Semi-Annually | | | | | | | | | | | | | | | | |
3-Year Interest Rate Swap, Receive Fixed 1.575% Semi-Annually, Pay | | 08/30/2022 | | | CAD 930 | | | | 12 | | | | — | | | 12 |
Variable 1.945% (CDOR03 Index) Semi-Annually | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | $ | 38 | | | | | | | $38 |
| | | | | | | | | | | | | | | | |
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 | | | $196 | |
of Assets and Liabilities1 | | | | |
Non-cash Collateral2 | | | 196 | |
| | | | |
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, 2020, 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.
76 Payden Mutual Funds
Payden Global Fixed Income Fund
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 | | 34% |
Corporate | | 33% |
Mortgage Backed | | 16% |
Asset Backed | | 11% |
U.S. Treasury | | 4% |
Other | | 2% |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Bonds (98%) | | | | |
| |
Australia (AUD) (1%) | | | | |
250,000 | | Australia Government Bond, 2.75%, 6/21/35(a)(b) | | $ | 198 | |
1,700,000 | | Australia Government Bond, 3.25%, 4/21/25(a)(b) | | | 1,262 | |
| | | | | 1,460 | |
| |
Australia (GBP) (0%) | | | | |
400,000 | | Westfield America Management Ltd., 2.63%, 3/30/29(a)(b) | | | 487 | |
| |
Australia (USD) (1%) | | | | |
520,000 | | APT Pipelines Ltd. 144A, 4.20%,
3/23/25(c) | | | 546 | |
250,000 | | Macquarie Bank Ltd. 144A,
6.63%, 4/07/21(c) | | | 259 | |
| | | | | 805 | |
| |
Austria (EUR) (0%) | | | | |
120,000 | | Republic of Austria Government Bond 144A, 1.65%, 10/21/24(a)(b)(c) | | | 144 | |
120,000 | | Republic of Austria Government Bond 144A, 2.40%, 5/23/34(a)(b)(c) | | | 176 | |
90,000 | | Republic of Austria Government Bond 144A, 3.15%, 6/20/44(a)(b)(c) | | | 169 | |
| | | | | 489 | |
| |
Belgium (EUR) (1%) | | | | |
100,000 | | Kingdom of Belgium Government Bond 144A, 0.80%, 6/22/25(a)(b)(c) | | | 116 | |
300,000 | | Kingdom of Belgium Government Bond 144A, 1.00%, 6/22/31(a)(b)(c) | | | 364 | |
210,000 | | Kingdom of Belgium Government Bond 144A, 1.60%, 6/22/47(a)(b)(c) | | | 290 | |
| | | | | 770 | |
| |
Canada (CAD) (2%) | | | | |
880,000 | | Canadian Government Bond, 3.50%, 12/01/45(b) | | | 969 | |
200,000 | | Canadian Government Bond, 5.00%, 6/01/37(b) | | | 237 | |
900,000 | | CPPIB Capital Inc. 144A, 1.95%, 9/30/29(b)(c) | | | 681 | |
400,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29(b) | | | 315 | |
500,000 | | OMERS Finance Trust 144A, 2.60%, 5/14/29(b)(c) | | | 387 | |
| | | | | 2,589 | |
| |
Canada (EUR) (0%) | | | | |
400,000 | | Canadian Imperial Bank of Commerce, 0.38%, 5/03/24(a)(b) | | | 428 | |
| |
Canada (USD) (1%) | | | | |
360,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 5.00%, 10/15/25(c) | | | 364 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
405,000 | | Manulife Financial Corp., (USD ICE Swap Rate 11:00 am NY 5Y + 1.647%), 4.06%, 2/24/32(d) | | $ | 417 | |
100,000 | | Open Text Corp. 144A, 3.88%, 2/15/28(c) | | | 98 | |
| | | | | 879 | |
| |
Cayaman Islands (USD) (5%) | | | | |
250,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 3.59%, 7/18/27(c)(d) | | | 209 | |
350,000 | | Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 2.31%, 5/15/37(c)(d) | | | 309 | |
540,000 | | Atrium XII 144A, (3 mo. LIBOR USD + 2.800%), 3.90%, 4/22/27(c)(d) | | | 442 | |
525,000 | | BDS 2019-FL4 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.91%, 8/15/36(c)(d) | | | 461 | |
397,415 | | BlueMountain CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 0.930%), 2.07%, 7/18/27(c)(d) | | | 386 | |
500,000 | | BXMT 2020-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.650%), 2.40%, 2/16/37 (c)(d) | | | 437 | |
200,000 | | BXMT 2020-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.950%), 2.70%, 2/16/37(c)(d) | | | 171 | |
400,000 | | CLNC 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.250%), 1.97%, 8/20/35(c)(d) | | | 358 | |
500,000 | | GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 2/22/36(c)(d) | | | 482 | |
678,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.150%), 2.96%, 9/15/28(c)(d) | | | 624 | |
250,000 | | Grippen Park CLO Ltd. 144A, (3 mo. LIBOR USD + 3.300%), 4.44%, 1/20/30(c)(d) | | | 212 | |
400,000 | | Hunt CRE 2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.89%, 8/15/28(c)(d) | | | 369 | |
250,000 | | Hunt CRE 2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 2.26%, 8/15/28(c)(d) | | | 196 | |
300,000 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.85%, 6/15/36(c)(d) | | | 289 | |
400,000 | | LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 2.31%, 5/15/36(c)(d) | | | 351 | |
400,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.96%, 6/15/28(c)(d) | | | 373 | |
350,000 | | OCP CLO 2014-5 Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.89%, 4/26/31(c)(d) | | | 273 | |
300,000 | | OZLM XII Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 2.36%, 4/30/27(c)(d) | | | 290 | |
700,000 | | Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 2.48%, 2/20/28(c)(d) | | | 679 | |
Semi-Annual Report 77
Payden Global Fixed Income Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
300,000 | | PFP 2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 2.21%, 4/14/36(c)(d) | | $ | 279 | |
200,000 | | STWD 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 2.41%,
7/15/38(c)(d) | | | 167 | |
300,000 | | Voya CLO 2015-1 Ltd. 144A, (3 mo. LIBOR USD + 2.350%), 3.49%,
1/18/29(c)(d) | | | 229 | |
| | | | | 7,586 | |
| |
Chile (USD) (0%) | | | | |
187,467 | | Latam Airlines 2015-1 Pass-Through Trust A, 4.20%, 11/15/27 | | | 148 | |
| |
Denmark (DKK) (0%) | | | | |
650,000 | | Denmark Government Bond, 4.50%, 11/15/39(b) | | | 182 | |
| |
Dominica Republic (USD) (0%) | | | | |
200,000 | | Dominican Republic International Bond 144A, 5.50%, 1/27/25(c) | | | 189 | |
| |
Finland (EUR) (0%) | | | | |
170,000 | | Finland Government Bond 144A, 2.75%, 7/04/28(a)(b)(c) | | | 233 | |
| |
France (EUR) (4%) | | | | |
275,000 | | Altice France SA 144A, 2.13%,
2/15/25(b)(c) | | | 282 | |
500,000 | | Credit Mutuel Arkea SA, 1.63%,
4/15/26(a)(b) | | | 559 | |
200,000 | | Crown European Holdings SA, 2.88%, 2/01/26(a)(b) | | | 222 | |
1,100,000 | | French Republic Government Bond OAT, 0.75%, 11/25/28(a)(b) | | | 1,303 | |
550,000 | | French Republic Government Bond OAT 144A, 1.25%, 5/25/36(a)(b)(c) | | | 697 | |
1,120,000 | | French Republic Government Bond OAT, 1.75%, 11/25/24(a)(b) | | | 1,355 | |
150,000 | | French Republic Government Bond OAT 144A, 2.00%, 5/25/48(a)(b)(c) | | | 226 | |
390,000 | | French Republic Government Bond OAT, 3.25%, 5/25/45(a)(b) | | | 705 | |
| | | | | 5,349 | |
| |
France (USD) (1%) | | | | |
300,000 | | BNP Paribas SA 144A, (U.S. Secured Overnight Financing Rate + 1.507%), 3.05%, 1/13/31(c)(d) | | | 302 | |
400,000 | | BPCE SA 144A, 2.38%, 1/14/25(c) | | | 399 | |
| | | | | 701 | |
| |
Germany (EUR) (2%) | | | | |
170,000 | | Bundesrepublik Deutschland Bundesanleihe, 0.25%, 8/15/26(a)(b)(e) | | | 195 | |
750,000 | | Bundesrepublik Deutschland Bundesanleihe, | | | | |
| | 1.25%, 8/15/48(a)(b) | | | 1,169 | |
60,000 | | Bundesrepublik Deutschland Bundesanleihe, 3.25%, 7/04/42(a)(b) | | | 120 | |
350,000 | | Bundesrepublik Deutschland Bundesanleihe, 4.00%, 1/04/37(a)(b) | | | 676 | |
450,000 | | Volkswagen Leasing GmbH, 1.38%, 1/20/25(a)(b) | | | 489 | |
| | | | | 2,649 | |
| |
Guatemala (USD) (0%) | | | | |
300,000 | | Guatemala Government Bond 144A, 5.38%, 4/24/32(c) | | | 310 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Iceland (EUR) (0%) | | | | |
100,000 | | Landsbankinn HF, 1.63%, 3/15/21(a)(b) | | $ | 110 | |
| |
India (USD) (1%) | | | | |
250,000 | | Muthoot Finance Ltd. 144A, 6.13%,
10/31/22(c) | | | 227 | |
665,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22(c) | | | 511 | |
| | | | | 738 | |
| |
Indonesia (EUR) (0%) | | | | |
290,000 | | Indonesia Government International Bond 144A, 3.75%, 6/14/28(b)(c) | | | 342 | |
| |
Indonesia (USD) (1%) | | | | |
200,000 | | Indonesia Government International Bond 144A, 4.13%, 1/15/25(c) | | | 209 | |
300,000 | | Pertamina Persero PT 144A, 3.10%, 8/25/30(c) | | | 280 | |
310,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 4.15%, 3/29/27(c) | | | 327 | |
| | | | | 816 | |
| |
Ireland (EUR) (4%) | | | | |
650,000 | | Blackrock European CLO VII DAC 144A, (3 mo. EURIBOR + 1.700%), 1.70%, 10/15/31(b)(c)(d) | | | 661 | |
500,000 | | CIFC European Funding CLO II DAC 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 4/15/33(b)(c)(d) | | | 538 | |
500,000 | | Henley CLO I DAC 144A, (3 mo. EURIBOR + 1.140%), 1.14%, 7/15/32(b)(c)(d) | | | 526 | |
250,000 | | Ireland Government Bond, 1.10%,
5/15/29(a)(b) | | | 300 | |
100,000 | | Ireland Government Bond, 3.40%,
3/18/24(a)(b) | | | 125 | |
400,000 | | Man GLG Euro CLO 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 10/15/32(b)(c)(d) | | | 435 | |
750,000 | | OZLME V DAC 144A, (3 mo. EURIBOR + 1.750%), 1.75%, 1/14/32(b)(c)(d) | | | 768 | |
350,000 | | Providus CLO IV DAC 144A, (3 mo. EURIBOR + 1.450%), 1.45%,
7/20/31(b)(c)(d)(e) | | | 378 | |
400,000 | | Sound Point Euro CLO III Funding DAC 144A, (3 mo. EURIBOR + 0.950%), 0.95%, 4/15/33(b)(c)(d) | | | 419 | |
325,000 | | St Paul’s CLO IX DAC, (3 mo. EURIBOR + 0.820%), 0.82%, 11/15/30(a)(b)(d) | | | 342 | |
550,000 | | St Paul’s CLO XII DAC 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/33(b)(c)(d) | | | 481 | |
300,000 | | Voya Euro CLO III DAC 144A, (3 mo. EURIBOR + 0.920%), 0.92%, 4/15/33(b)(c)(d) | | | 314 | |
| | | | | 5,287 | |
| |
Ireland (USD) (1%) | | | | |
185,000 | | Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 | | | 192 | |
535,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21(c) | | | 533 | |
| | | | | 725 | |
| |
Israel (USD) (1%) | | | | |
400,000 | | Israel Government International Bond, 2.75%, 7/03/30 | | | 422 | |
200,000 | | Israel Government International Bond, 3.88%, 7/03/50 | | | 222 | |
| | | | | 644 | |
| |
Italy (EUR) (3%) | | | | |
270,000 | | Assicurazioni Generali SpA, (3 mo. EURIBOR + 5.350%), 5.00%, 6/08/48(a)(b)(d) | | | 323 | |
78 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
900,000 | | Italy Buoni Poliennali Del Tesoro 144A, 1.85%, 7/01/25(a)(b)(c) | | $ | 1,015 | |
850,000 | | Italy Buoni Poliennali Del Tesoro 144A, 2.95%, 9/01/38(a)(b)(c) | | | 1,024 | |
1,040,000 | | Italy Buoni Poliennali Del Tesoro, 5.25%, 11/01/29(b) | | | 1,484 | |
| | | | | | |
| | | | | 3,846 | |
| | | | | | |
Italy (USD) (0%) | | | | |
350,000 | | UniCredit SpA 144A, 6.57%,
1/14/22(c) | | | 361 | |
| | | | | | |
Japan (EUR) (0%) | | | | |
250,000 | | Takeda Pharmaceutical Co. Ltd. 144A, 3.00%, 11/21/30(b)(c) | | | 312 | |
| | | | | | |
Japan (JPY) (14%) | | | | |
337,400,000 | | Japan Government Ten Year Bond, 0.30%, 12/20/25(b) | | | 3,228 | |
465,000,000 | | Japan Government Ten Year Bond, 0.80%, 9/20/23(b) | | | 4,479 | |
85,000,000 | | Japan Government Thirty Year Bond, 0.80%, 3/20/48(b) | | | 873 | |
182,800,000 | | Japan Government Thirty Year Bond, 1.40%, 12/20/45(b) | | | 2,121 | |
28,000,000 | | Japan Government Thirty Year Bond, 2.00%, 9/20/40(b) | | | 348 | |
40,000,000 | | Japan Government Thirty Year Bond, 2.20%, 9/20/39(b) | | | 506 | |
140,000,000 | | Japan Government Thirty Year Bond, 2.30%, 3/20/39(b) | | | 1,784 | |
354,500,000 | | Japan Government Twenty Year Bond, 1.70%, 9/20/33(b) | | | 3,997 | |
295,000,000 | | Japan Government Twenty Year Bond, 2.10%, 6/20/28(b) | | | 3,252 | |
| | | | | | |
| | | | | 20,588 | |
| | | | | | |
Japan (USD) (1%) | | | | |
500,000 | | Takeda Pharmaceutical Co. Ltd., 5.00%, 11/26/28 | | | 604 | |
| | | | | | |
Kazakhstan (EUR) (0%) | | | | |
300,000 | | Kazakhstan Government International Bond, 1.55%, 11/09/23(a)(b) | | | 324 | |
| | | | | | |
Kenya (USD) (0%) | | | | |
200,000 | | Kenya Government International Bond, 6.88%, 6/24/24(a) | | | 185 | |
| | | | | | |
Luxembourg (EUR) (1%) | | | | |
750,000 | | Allergan Funding SCS, 1.25%,
6/01/24(b) | | | 842 | |
600,000 | | Becton Dickinson Euro Finance Sarl, 1.21%, 6/04/26(b) | | | 644 | |
| | | | | | |
| | | | | 1,486 | |
| | | | | | |
Luxembourg (USD) (0%) | | | | |
240,000 | | Allergan Funding SCS, 3.45%, 3/15/22 | | | 246 | |
| | | | | | |
Malaysia (MYR) (0%) | | | | |
1,700,000 | | Malaysia Government Bond, 3.50%, 5/31/27(b) | | | 416 | |
| | | | | | |
Mexico (MXN) (1%) | | | | |
11,660,000 | | Mexican Bonos, 5.75%, 3/05/26(b) | | | 480 | |
5,500,000 | | Mexican Bonos, 6.50%, 6/10/21(b) | | | 231 | |
| | | | | | |
| | | | | 711 | |
| | | | | | |
Mexico (USD) (0%) | | | | |
400,000 | | Petroleos Mexicanos 144A, 5.95%, 1/28/31(c) | | | 292 | |
| | | | | | | | |
Principal or Shares | | | Security Description | | Value (000) | |
| | | | | | | | |
| | 320,000 | | | Petroleos Mexicanos 144A, 6.49%,
1/23/27(c) | | $ | 262 | |
| | | | | | | | |
| | | | | | | 554 | |
| | | | | | | | |
| | Netherlands (EUR) (2%) | | | | |
| | 350,000 | | | Ashland Services BV 144A, 2.00%,
1/30/28(b)(c) | | | 360 | |
| | 325,000 | | | Dryden 39 Euro CLO 2015 BV, (3 mo. EURIBOR + 0.870%), 0.87%, 10/15/31(a)(b)(d) | | | 348 | |
| | 300,000 | | | Netherlands Government Bond 144A, 0.50%, 7/15/26(a)(b)(c) | | | 351 | |
| | 130,000 | | | Netherlands Government Bond 144A, 2.25%, 7/15/22(a)(b)(c) | | | 152 | |
| | 230,000 | | | Netherlands Government Bond 144A, 4.00%, 1/15/37(a)(b)(c) | | | 431 | |
| | 400,000 | | | Q-Park Holding I BV 144A, 2.00%, 3/01/27(b)(c) | | | 400 | |
| | 220,000 | | | Teva Pharmaceutical Finance Netherlands II BV, 1.13%, 10/15/24(a)(b) | | | 209 | |
| | 110,000 | | | Teva Pharmaceutical Finance Netherlands II BV, 4.50%, 3/01/25(b) | | | 118 | |
| | | | | | | | |
| | | | | | | 2,369 | |
| | | | | | | | |
| | Netherlands (GBP) (0%) | | | | |
| | 400,000 | | | ING Groep NV, 3.00%, 2/18/26(a)(b) | | | 525 | |
| | | | | | | | |
| | Netherlands (USD) (1%) | | | | |
| | 700,000 | | | Enel Finance International NV 144A, 4.63%, 9/14/25(c) | | | 766 | |
| | 200,000 | | | Lukoil Securities BV 144A, 3.88%,
5/06/30(c) | | | 200 | |
| | 200,000 | | | Prosus NV 144A, 3.68%, 1/21/30(c) | | | 201 | |
| | 250,000 | | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 244 | |
| | | | | | | | |
| | | | | | | 1,411 | |
| | | | | | | | |
| | New Zealand (USD) (0%) | | | | |
| | 310,000 | | | ASB Bank Ltd. 144A, 3.75%, 6/14/23(c) | | | 327 | |
| | | | | | | | |
| | Nigeria (USD) (0%) | | | | |
| | 400,000 | | | Nigeria Government International Bond, 6.75%, 1/28/21(a) | | | 380 | |
| | | | | | | | |
| | Panama (USD) (0%) | | | | |
| | 300,000 | | | Panama Government International Bond, 4.50%, 4/01/56 | | | 339 | |
| | | | | | | | |
| | Paraguay (USD) (0%) | | | | |
| | 300,000 | | | Paraguay Government International Bond 144A, 4.95%, 4/28/31(c) | | | 310 | |
| | | | | | | | |
| | Peru (USD) (0%) | | | | |
| | 200,000 | | | Banco de Credito del Peru 144A, 2.70%, 1/11/25(c) | | | 196 | |
| | 387,000 | | | Banco Internacional del Peru SAA Interbank 144A, 3.25%, 10/04/26(c) | | | 372 | |
| | | | | | | | |
| | | | | | | 568 | |
| | | | | | | | |
| | Poland (PLN) (0%) | | | | |
| | 410,000 | | | Republic of Poland Government Bond, 2.75%, 10/25/29(b) | | | 111 | |
| | 500,000 | | | Republic of Poland Government Bond, 5.25%, 10/25/20(b) | | | 123 | |
| | | | | | | | |
| | | | | | | 234 | |
| | | | | | | | |
| | Russian Federation (RUB) (0%) | | | | |
| | 14,880,000 | | | Russian Federal Bond - OFZ, 8.15%, 2/03/27(b) | | | 228 | |
| | | | | | | | |
Payden Global Fixed Income Fundcontinued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
Russian Federation (USD) (0%) | | | | |
400,000 | | Russian Foreign Bond - Eurobond, 5.63%, 4/04/42(a) | | $ | 510 | |
| | | | | | |
Senegal (USD) (0%) | | | | |
295,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21(c) | | | 287 | |
| | | | | | |
Singapore (SGD) (0%) | | | | |
280,000 | | Singapore Government Bond, 3.50%, 3/01/27(b) | | | 235 | |
| | | | | | |
Spain (EUR) (2%) | | | | |
400,000 | | Banco de Sabadell SA, 1.75%,
5/10/24(a)(b) | | | 404 | |
500,000 | | Spain Government Bond, 0.75%,
7/30/21(b) | | | 555 | |
850,000 | | Spain Government Bond 144A, 1.25%, 10/31/30(a)(b)(c) | | | 975 | |
500,000 | | Spain Government Bond 144A, 1.95%, 4/30/26(a)(b)(c) | | | 601 | |
320,000 | | Spain Government Bond 144A, 2.90%, 10/31/46(a)(b)(c) | | | 464 | |
500,000 | | Telefonica Emisiones SA, 1.53%,
1/17/25(a)(b) | | | 570 | |
| | | | | | |
| | | | | 3,569 | |
| | | | | | |
Sri Lanka (USD) (0%) | | | | |
300,000 | | Sri Lanka Government International Bond 144A, 5.88%, 7/25/22(c) | | | 189 | |
| | | | | | |
Sweden (SEK) (0%) | | | | |
2,900,000 | | Sweden Government Bond, 1.00%, 11/12/26(a)(b) | | | 322 | |
| | | | | | |
Switzerland (CHF) (1%) | | | | |
550,000 | | Swiss Confederation Government Bond, 0.50%, 5/27/30(a)(b) | | | 633 | |
| | | | | | |
Switzerland (USD) (0%) | | | | |
395,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.560%), 2.59%, 9/11/25(c)(d) | | | 395 | |
200,000 | | UBS AG 144A, 1.75%, 4/21/22(c) | | | 201 | |
| | | | | | |
| | | | | 596 | |
| | | | | | |
Thailand (THB) (0%) | | | | |
15,100,000 | | Thailand Government Bond, 1.60%, 12/17/29(b) | | | 486 | |
| | | | | | |
United Arab Emirates (USD) (0%) | | | | |
300,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39(c) | | | 294 | |
| | | | | | |
United Kingdom (EUR) (0%) | | | | |
500,000 | | Nationwide Building Society, (5 yr. Euro Swap + 1.500%), 2.00%, 7/25/29(a)(b)(d) | | | 541 | |
| | | | | | |
United Kingdom (GBP) (5%) | | | | |
350,000 | | Barclays PLC, 3.00%, 5/08/26(a)(b) | | | 448 | |
310,000 | | HSBC Bank PLC, (3 mo. LIBOR GBP + 1.500%), 5.38%, 11/04/30(b)(d) | | | 451 | |
250,000 | | Legal & General Group PLC, (5 yr. UK Government Bonds Note Generic Bid Yield + 3.170%), 5.50%, 6/27/64(a)(b)(d) | | | 358 | |
350,000 | | Lloyds Banking Group PLC, (5 yr. UK Government Bonds Note Generic Bid Yield + 4.607%), 5.13%, 3/27/68(b)(d)(f) | | | 398 | |
250,000 | | Prudential PLC, 6.13%, 12/19/31(a)(b) | | | 408 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
423,290 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%), 1.55%, 8/20/56(b)(c)(d) | | $ | 529 | |
300,000 | | Royal Bank of Scotland Group PLC, (1 yr. GBP interest rate swap + 1.490%), 2.88%, 9/19/26(a)(b)(d) | | | 385 | |
340,000 | | United Kingdom Gilt, 4.25%, 12/07/55(a)(b) | | | 955 | |
260,000 | | United Kingdom Gilt, 4.25%, 12/07/55(a)(b) | | | 730 | |
910,000 | | United Kingdom Gilt, 4.75%, 12/07/38(a)(b) | | | 2,010 | |
420,000 | | United Kingdom Gilt, 5.00%, 3/07/25(a)(b) | | | 655 | |
| | | | | | |
| | | | | 7,327 | |
| | | | | | |
United Kingdom (USD) (0%) | | | | |
400,000 | | Lloyds Banking Group PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.000%), 2.44%, 2/05/26(d) | | | 400 | |
| | | | | | |
United States (EUR)(3%) | | | | |
350,000 | | AT&T Inc., 1.80%, 9/14/39(b) | | | 374 | |
450,000 | | Blackstone Holdings Finance Co. LLC 144A, 1.00%, 10/05/26(b)(c) | | | 490 | |
500,000 | | Chubb INA Holdings Inc., 0.88%,
12/15/29(b) | | | 529 | |
450,000 | | Comcast Corp., 0.25%, 5/20/27(b) | | | 481 | |
200,000 | | Comcast Corp., 0.75%, 2/20/32(b) | | | 216 | |
200,000 | | Comcast Corp., 1.25%, 2/20/40(b) | | | 221 | |
450,000 | | Danaher Corp., 2.10%, 9/30/26(b) | | | 534 | |
200,000 | | Equinix Inc., 2.88%, 10/01/25(b) | | | 222 | |
100,000 | | Fidelity National Information Services Inc., 0.75%, 5/21/23(b) | | | 110 | |
400,000 | | General Motors Financial Co. Inc., 0.96%, 9/07/23(a)(b) | | | 390 | |
250,000 | | International Flavors & Fragrances Inc., 1.80%, 9/25/26(b) | | | 263 | |
400,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.753%), 0.64%, 7/26/24(b)(d) | | | 435 | |
200,000 | | Standard Industries Inc. 144A, 2.25%, 11/21/26(b)(c) | | | 189 | |
270,000 | | Thermo Fisher Scientific Inc., 2.38%, 4/15/32(b) | | | 334 | |
| | | | | | |
| | | 4,788 | |
| | | | | | |
United States (GBP) (0%) | | | | |
100,000 | | Fidelity National Information Services Inc., 2.60%, 5/21/25(b) | | | 130 | |
| | | | | | |
United States (USD) (38%) | | | | |
250,000 | | AbbVie Inc. 144A, 4.25%, 11/21/49(c) | | | 292 | |
400,000 | | Air Products and Chemicals Inc., 2.05%, 5/15/30 | | | 407 | |
400,000 | | Allison Transmission Inc. 144A, 5.88%,6/01/29(c) | | | 390 | |
600,000 | | Ameren Corp., 3.50%, 1/15/31 | | | 666 | |
390,000 | | American Equity Investment Life Holding Co., 5.00%,6/15/27 | | | 378 | |
450,000 | | American Water Capital Corp., 2.80%, 5/01/30 | | | 483 | |
350,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 345 | |
400,000 | | AT&T Inc., 4.35%, 3/01/29 | | | 450 | |
8,438,185 | | BANK 2018-BNK14, 0.67%, 9/15/60(g) | | | 263 | |
200,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.870%), 2.46%, 10/22/25(d) | | | 205 | |
350,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.210%), 3.97%, 2/07/30(d) | | | 394 | |
200,000 | | BlackRock Inc., 1.90%, 1/28/31 | | | 200 | |
500,000 | | Boise Cascade Co. 144A, 5.63%, 9/01/24(c) | | | 501 | |
80 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
400,000 | | Boston Properties LP, 2.90%, 3/15/30 | | $ | 392 | |
252,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 1.700%), 2.51%, 11/15/35(c)(d) | | | 242 | |
280,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 1.800%), 2.61%, 11/15/35(c)(d) | | | 262 | |
716,550 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 3.11%, 10/15/36(c)(d) | | | 670 | |
200,000 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 2.000%), 2.81%, 12/15/36(c)(d) | | | 190 | |
2,309,697 | | Cantor Commercial Real Estate Lending 2019-CF1, 1.30%, 5/15/52(g) | | | 170 | |
480,000 | | CarMax Auto Owner Trust 2020-2, 1.75%, 1/17/23 | | | 481 | |
300,000 | | Carrier Global Corp. 144A, 2.72%,
2/15/30(c) | | | 284 | |
300,000 | | Carrier Global Corp. 144A, 3.58%,
4/05/50(c) | | | 272 | |
296,845 | | CARS-DB4 LP 144A, 3.25%, 2/15/50(c) | | | 284 | |
350,000 | | CARS-DB4 LP 144A, 4.17%, 2/15/50(c) | | | 322 | |
285,000 | | Centene Corp. 144A, 3.38%, 2/15/30(c) | | | 288 | |
220,000 | | Centene Corp. 144A, 4.25%, 12/15/27(c) | | | 231 | |
300,000 | | CenterPoint Energy Inc., 3.70%, 9/01/49 | | | 314 | |
400,000 | | Charles Schwab Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.971%), 5.38%(d)(f) | | | 410 | |
298,711 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.86%, 6/15/34(c)(d) | | | 243 | |
150,000 | | Cheniere Energy Partners LP 144A, 4.50%, 10/01/29(c) | | | 139 | |
385,000 | | Cigna Corp., 4.38%, 10/15/28 | | | 442 | |
300,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25(d) | | | 265 | |
100,000 | | Comcast Corp., 3.75%, 4/01/40 | | | 116 | |
764,439 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.64%, 11/25/39(c)(d) | | | 643 | |
262,987 | | Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 2.450%), 2.94%, 7/25/31(c)(d) | | | 237 | |
219,823 | | Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 2.150%), 2.64%, 9/25/31(c)(d) | | | 202 | |
200,000 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 1/25/40(c)(d) | | | 154 | |
150,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.49%, 1/25/40(c)(d) | | | 68 | |
400,000 | | CVS Health Corp., 4.30%, 3/25/28 | | | 454 | |
400,000 | | Dell International LLC/EMC Corp. 144A, 6.10%, 7/15/27(c) | | | 438 | |
175,000 | | Diamond Sports Group LLC/Diamond Sports Finance Co. 144A, 5.38%, 8/15/26(c) | | | 134 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
90,000 | | Dignity Health, 3.13%, 11/01/22 | | $ | 90 | |
419,688 | | Driven Brands Funding LLC 144A, 4.64%, 4/20/49(c) | | | 412 | |
300,000 | | DuPont de Nemours Inc., 2.17%, 5/01/23 | | | 302 | |
200,000 | | Energy Transfer Operating LP, 3.75%, 5/15/30 | | | 183 | |
160,000 | | Energy Transfer Operating LP, 6.50%, 2/01/42 | | | 162 | |
230,000 | | EQM Midstream Partners LP, 4.75%, 7/15/23 | | | 218 | |
310,000 | | EQT Corp., 3.00%, 10/01/22 | | | 294 | |
235,000 | | Evergy Inc., 2.90%, 9/15/29 | | | 242 | |
116,551 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.950%), 1.44%, 10/25/29(d) | | | 116 | |
350,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.150%), 2.64%, 10/25/30(d) | | | 318 | |
226,019 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%), 4.74%, 1/25/29(d) | | | 224 | |
330,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%), 4.74%, 4/25/29(d) | | | 326 | |
125,693 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.450%), 4.94%, 1/25/29(d) | | | 125 | |
199,391 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 9.500%), 9.99%, 5/25/29(d) | | | 147 | |
497,578 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%), 10.74%, 1/25/29(d) | | | 426 | |
498,685 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.750%), 11.24%, 1/25/29(d) | | | 387 | |
460,000 | | Fannie Mae-Aces, 3.82%, 9/25/30(g) | | | 545 | |
400,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 2.88%, 4/25/26 | | | 449 | |
388,640 | | FN AS4885 30YR, 3.50%, 5/01/45 | | | 418 | |
584,018 | | FN CA0133 30YR, 4.00%, 8/01/47 | | | 626 | |
1,236,326 | | FN FM1717 30YR, 3.50%, 12/01/45 | | | 1,334 | |
490,357 | | FN MA3143 30YR, 3.00%, 9/01/47 | | | 519 | |
672,065 | | FN MA3238 30YR, 3.50%, 1/01/48 | | | 714 | |
1,282,215 | | FN MA3247 15YR, 3.00%, 1/01/33 | | | 1,355 | |
746,751 | | FN MA3774 30YR, 3.00%, 9/01/49 | | | 790 | |
1,448,875 | | FN MA3864 15YR, 2.50%, 12/01/34 | | | 1,518 | |
1,393,698 | | FN MA3871 30YR, 3.00%, 12/01/49 | | | 1,474 | |
400,000 | | Ford Motor Co., 4.75%, 1/15/43 | | | 258 | |
400,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 2.500%), 2.99%, 2/25/50(c)(d) | | | 207 | |
600,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.79%, 10/25/48(c)(d) | | | 515 | |
39,150 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBORUSD + 0.900%), 1.39%, 1/25/49(c)(d) | | | 39 | |
300,000 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.14%, 1/25/49(c)(d) | | | 270 | |
Payden Global Fixed Income Fundcontinued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
386,299 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 2.450%), 2.94%, 3/25/49(c)(d) | | $ | 339 | |
246,545 | | Freddie Mac STACR Trust 2019-DNA3 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 7/25/49(c)(d) | | | 214 | |
200,000 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 2.700%), 3.19%, 10/25/49(c)(d) | | | 115 | |
144,973 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 4/25/49(c)(d) | | | 132 | |
250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 3.250%), 3.74%, 7/25/29(d) | | | 241 | |
325,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 310 | |
350,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25(c) | | | 287 | |
371,514 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 400 | |
1,236,714 | | G2 MA4126 30YR, 3.00%, 12/20/46 | | | 1,323 | |
539,499 | | G2 MA5021 30YR, 4.50%, 2/20/48 | | | 587 | |
720,000 | | G2SF, 3.50%, 30YR TBA(h) | | | 764 | |
350,000 | | General Motors Co., 6.25%, 10/02/43 | | | 307 | |
500,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 498 | |
18,953 | | GreenPoint MTA Trust 2005-AR1, (1 mo. LIBOR USD + 0.560%), 1.05%, 6/25/45(d) | | | 16 | |
150,000 | | HCA Inc., 4.13%, 6/15/29 | | | 163 | |
500,000 | | HCA Inc., 5.38%, 2/01/25 | | | 540 | |
350,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.510%), 2.74%, 10/15/30(d) | | | 363 | |
225,000 | | Kimberly-Clark Corp., 3.10%, 3/26/30 | | | 252 | |
375,000 | | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | | | 443 | |
250,000 | | KKR Group Finance Co. II LLC 144A, 5.50%, 2/01/43(c) | | | 283 | |
720,000 | | Kubota Credit Owner Trust 2020-1 144A, 1.92%, 12/15/22(c) | | | 720 | |
500,000 | | LMREC 2019-CRE3 Inc. 144A, (1 mo. LIBOR USD + 1.400%), 1.97%, 12/22/35(c)(d) | | | 442 | |
250,000 | | Lowe’s Cos. Inc., 4.00%, 4/15/25 | | | 278 | |
250,000 | | Lowe’s Cos. Inc., 5.13%,4/15/50 | | | 328 | |
380,000 | | Madison Avenue Trust 2013-650M 144A, 4.17%, 10/12/32(c)(g) | | | 381 | |
175,000 | | Mastercard Inc., 3.30%, 3/26/27 | | | 195 | |
200,000 | | Mastercard Inc., 3.85%, 3/26/50 | | | 251 | |
450,000 | | Meritage Homes Corp., 5.13%, 6/06/27 | | | 433 | |
250,000 | | Mondelez International Inc., 2.75%, 4/13/30 | | | 267 | |
121,000 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.74%, 10/15/49(c)(d) | | | 94 | |
1,050,000 | | Multifamily Connecticut Avenue Securities Trust 2020-01 144A, (1 mo. LIBOR USD + 3.750%), 4.24%, 3/25/50(c)(d) | | | 855 | |
170,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39(c) | | | 284 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
239,848 | | New Residential Mortgage Loan Trust 2017-2 144A, 4.00%, 3/25/57(c)(g) | | $ | 254 | |
450,000 | | NextEra Energy Capital Holdings Inc., 3.55%, 5/01/27 | | | 496 | |
420,000 | | NiSource Inc., 3.60%, 5/01/30 | | | 470 | |
380,000 | | Nissan Auto Receivables 2020-A Owner Trust, 1.45%, 12/15/22 | | | 380 | |
375,000 | | Northern Trust Corp., 1.95%, 5/01/30 | | | 376 | |
485,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 510 | |
400,000 | | NVIDIA Corp., 2.85%, 4/01/30 | | | 438 | |
310,000 | | NVIDIA Corp., 3.50%, 4/01/50 | | | 359 | |
250,000 | | Occidental Petroleum Corp., 2.70%, 8/15/22 | | | 219 | |
320,000 | | ONEOK Partners LP, 6.65%, 10/01/36 | | | 306 | |
63,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39(c) | | | 107 | |
300,000 | | PacifiCorp., 2.70%, 9/15/30 | | | 325 | |
400,000 | | Plains All American Pipeline LP/PAA Finance Corp., 5.00%, 2/01/21 | | | 391 | |
299,250 | | Planet Fitness Master Issuer LLC 144A, 3.86%, 12/05/49(c) | | | 212 | |
700,000 | | Progress Residential 2019-SFR4 Trust 144A, 2.69%, 10/17/36(c) | | | 710 | |
400,000 | | Sabine Pass Liquefaction LLC, 5.63%, 3/01/25 | | | 420 | |
400,000 | | San Diego Gas & Electric Co., 3.32%, 4/15/50 | | | 437 | |
500,000 | | SBA Tower Trust 144A, 2.84%,
1/15/25(c) | | | 513 | |
500,000 | | SLM Corp., 5.13%, 4/05/22 | | | 461 | |
155,000 | | SM Energy Co., 6.13%, 11/15/22 | | | 63 | |
334,177 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.14%,
4/25/43(c)(d) | | | 316 | |
400,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.89%,
2/25/47(c)(d) | | | 301 | |
140,000 | | Target Corp., 2.65%, 9/15/30 | | | 150 | |
200,000 | | Teachers Insurance & Annuity Association of America 144A, 4.90%, 9/15/44(c) | | | 257 | |
640,000 | | Toledo Hospital, 5.33%, 11/15/28 | | | 663 | |
3,085,000 | | U.S. Treasury Bond, 2.25%,
8/15/46(i)(j)(k) | | | 3,755 | |
100,000 | | U.S. Treasury Bond, 2.88%, 5/15/49 | | | 139 | |
830,000 | | U.S. Treasury Bond, 4.50%, 5/15/38 | | | 1,324 | |
300,000 | | U.S. Treasury Bond, 5.38%, 2/15/31 | | | 449 | |
200,000 | | U.S. Treasury Note, 2.38%, 5/15/29 | | | 231 | |
300,000 | | Ventas Realty LP, 3.00%, 1/15/30 | | | 275 | |
325,000 | | Ventas Realty LP, 3.50%, 2/01/25 | | | 322 | |
200,000 | | VICI Properties LP/VICI Note Co. Inc. 144A, 4.25%, 12/01/26(c) | | | 188 | |
280,000 | | Welltower Inc., 3.63%, 3/15/24 | | | 284 | |
297,000 | | Wingstop Funding 2018-1 LLC 144A, 4.97%, 12/05/48(c) | | | 303 | |
400,000 | | Wisconsin Power & Light Co., 3.65%, 4/01/50 | | | 468 | |
| | | | | | |
| | | | | 57,301 | |
| | | | | | |
Total Bonds (Cost - $148,332) | | | 147,848 | |
| | | | | | |
Bank Loans(l) (1%) | | | | |
150,000 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (3 mo. EURIBOR + 3.750%) 3.75%, 1/20/27 EUR (b) | | | 156 | |
150,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%) 2.63%, 1/31/27 EUR (b) | | | 156 | |
299,250 | | Grifols SA Term Loan B 1L, (3 mo. EURIBOR + 2.250%) 2.25%, 11/15/27 EUR (b) | | | 324 | |
82 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
150,000 | | T-Mobile USA Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.000%) 4.94%, 4/01/27 | | $ | 149 | |
| | | | | | |
Total Bank Loans (Cost - $808) | | | 785 | |
| | | | | | |
Investment Company (2%) | | | | |
2,013,092 | | Payden Cash Reserves Money Market Fund * | | | 2,013 | |
146,702 | | Payden Floating Rate Fund, SI Class * | | | 1,319 | |
| | | | | | |
Total Investment Company (Cost - $3,482) | | | 3,332 | |
| | | | | | |
Total Investments (Cost - $152,622) (101%) | | | 151,965 | |
Liabilities in excess of Other Assets (-1%) | | | (1,692 | ) |
| | | | | | |
Net Assets (100%) | | $ | 150,273 | |
| | | | | | |
| | | | | | |
| (a) | 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. |
| (b) | Principal in foreign currency. |
| (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. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (e) | Yield to maturity at time of purchase. |
| (f) | Perpetual security with no stated maturity date. |
| (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. |
| (h) | Security was purchased on a delayed delivery basis. |
| (i) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (j) | All or a portion of the security is pledged to cover futures contract margin requirements. |
| (k) | All or a portion of security has been pledged as collateral in connection with outstanding OTC derivatives. |
| (l) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | |
EUR 500 | | USD 546 | | | Citibank, N.A. | | | | 05/14/2020 | | | $ | 2 | | | | | |
EUR 30,007 | | USD 32,853 | | | State Street Bank & Trust Co. | | | | 05/14/2020 | | | | 39 | | | | | |
MYR 1,752 | | USD 407 | | | Barclays Bank PLC | | | | 05/06/2020 | | | | — | | | | | |
USD 428 | | MYR 1,752 | | | Barclays Bank PLC | | | | 05/06/2020 | | | | 20 | | | | | |
USD 20,798 | | JPY 2,225,300 | | | Citibank, N.A. | | | | 06/08/2020 | | | | 50 | | | | | |
USD 264 | | RUB 17,560 | | | HSBC Bank USA, N.A. | | | | 05/06/2020 | | | | 28 | | | | | |
USD 498 | | THB 15,550 | | | HSBC Bank USA, N.A. | | | | 05/07/2020 | | | | 18 | | | | | |
USD 9,261 | | GBP 7,351 | | | HSBC Bank USA, N.A. | | | | 06/08/2020 | | | | 1 | | | | | |
USD 237 | | RUB 17,560 | | | HSBC Bank USA, N.A. | | | | 08/06/2020 | | | | 4 | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | 162 | | | | | |
| | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | |
GBP 7,081 | | USD 8,920 | | | HSBC Bank USA, N.A. | | | | 05/14/2020 | | | | (1 | ) | | | | |
JPY 2,223,000 | | USD 20,770 | | | Citibank, N.A. | | | | 05/14/2020 | | | | (51 | ) | | | | |
RUB 17,560 | | USD 241 | | | HSBC Bank USA, N.A. | | | | 05/06/2020 | | | | (4 | ) | | | | |
USD 406 | | MYR 1,752 | | | Barclays Bank PLC | | | | 08/06/2020 | | | | — | | | | | |
USD 32,269 | | EUR 29,877 | | | Citibank, N.A. | | | | 05/14/2020 | | | | (480 | ) | | | | |
USD 20,508 | | JPY 2,223,000 | | | Citibank, N.A. | | | | 05/14/2020 | | | | (211 | ) | | | | |
USD 688 | | EUR 630 | | | Citibank, N.A. | | | | 05/14/2020 | | | | (3 | ) | | | | |
USD 636 | | CHF 615 | | | Citibank, N.A. | | | | 07/28/2020 | | | | (3 | ) | | | | |
USD 242 | | PLN 1,010 | | | Citibank, N.A. | | | | 07/28/2020 | | | | (2 | ) | | | | |
USD 8,667 | | GBP 7,081 | | | HSBC Bank USA, N.A. | | | | 05/14/2020 | | | | (252 | ) | | | | |
USD 724 | | MXN 17,860 | | | HSBC Bank USA, N.A. | | | | 07/28/2020 | | | | (7 | ) | | | | |
USD 317 | | SEK 3,200 | | | HSBC Bank USA, N.A. | | | | 07/28/2020 | | | | (11 | ) | | | | |
USD 234 | | SGD 335 | | | HSBC Bank USA, N.A. | | | | 07/28/2020 | | | | (3 | ) | | | | |
USD 183 | | DKK 1,255 | | | HSBC Bank USA, N.A. | | | | 07/28/2020 | | | | (2 | ) | | | | |
USD 33,753 | | EUR 30,814 | | | State Street Bank & Trust Co. | | | | 06/08/2020 | | | | (41 | ) | | | | |
USD 2,527 | | CAD 3,584 | | | State Street Bank & Trust Co. | | | | 07/28/2020 | | | | (48 | ) | | | | |
USD 1,436 | | AUD 2,281 | | | State Street Bank & Trust Co. | | | | 07/28/2020 | | | | (51 | ) | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | (1,170 | ) | | | | |
| | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | (1,008 | ) | | | | |
| | | | | | | | | | | | | | | | | | |
Payden Global Fixed Income Fundcontinued
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | | | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bund Future | | 15 | | | | | | | | | | | | | | Jun-20 | | | | $ | 2,867 | | | | $ | 16 | | | | | $16 | |
Euro-Schatz Future | | 40 | | | | | | | | | | | | | | Jun-20 | | | | | 4,922 | | | | | (5 | ) | | | | (5) | |
U.S. Long Bond Future | | 1 | | | | | | | | | | | | | | Jun-20 | | | | | 181 | | | | | 15 | | | | | 15 | |
U.S. Treasury 10-Year Note Future | | 5 | | | | | | | | | | | | | | Jun-20 | | | | | 695 | | | | | 2 | | | | | 2 | |
U.S. Treasury 2-Year Note Future | | 23 | | | | | | | | | | | | | | Jun-20 | | | | | 5,070 | | | | | 79 | | | | | 79 | |
U.S. Treasury 5-Year Note Future | | 44 | | | | | | | | | | | | | | Jun-20 | | | | | 5,521 | | | | | 186 | | | | | 186 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 293 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro Buxl 30-Year Bond Future | | 2 | | | | | | | | | | | | | | Jun-20 | | | | | (480 | ) | | | | (8 | ) | | | | (8) | |
Euro-Bobl Future | | 11 | | | | | | | | | | | | | | Jun-20 | | | | | (1,639 | ) | | | | (7 | ) | | | | (7) | |
Long Gilt Future | | 25 | | | | | | | | | | | | | | Jun-20 | | | | | (4,336 | ) | | | | (44 | ) | | | | (44) | |
U.S. 10-Year Ultra Future | | 46 | | | | | | | | | | | | | | Jun-20 | | | | | (7,223 | ) | | | | (199 | ) | | | | (199) | |
U.S. Ultra Bond Future | | 2 | | | | | | | | | | | | | | Jun-20 | | | | | (450 | ) | | | | (3 | ) | | | | (3) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (261) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
Description | | Maturity
Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Appreciation
(000s) | |
10-Year Interest Rate Swap, Receive Fixed 1.125% Quarterly, Pay | | | 10/07/2029 | | | KRW | 1,584,200 | | | $ | 6,433 | | | $ | — | | | $ | 6,433 | |
Variable 1.55% (3M KWCDC) Quarterly | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.580% Quarterly, Pay | | | 02/05/2025 | | | CNY | 2,350 | | | | 12 | | | | — | | | | 12 | |
Variable 2.50% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.920% Quarterly,Pay | | | 01/17/2025 | | | CNY | 11,580 | | | | 85 | | | | — | | | | 85 | |
Variable 2.75% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.960% Quarterly, Pay | | | 12/09/2024 | | | CNY | 28,890 | | | | 218 | | | | — | | | | 218 | |
Variable 2.43% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 6,748 | | | $ | — | | | $ | 6,748 | |
| | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
84 Payden Mutual Funds
Payden Emerging Markets Bond Fund
| | | | | | | | | | |
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 | | | 30% | |
| | Cash equivalent | | | 3% | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | | | | | | |
Schedule of Investments -April 30, 2020(Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Bonds (96%) | | | | |
Angola (USD) (1%) | | | | |
4,720,000 | | Angolan Government International Bond 144A, 8.00%, 11/26/29 (a) | | $ | 2,100 | |
5,695,000 | | Angolan Government International Bond 144A, 8.25%, 5/09/28 (a) | | | 2,534 | |
6,425,000 | | Angolan Government International Bond 144A, 9.38%, 5/08/48 (a) | | | 2,799 | |
3,490,000 | | Angolan Government International Bond 144A, 9.50%, 11/12/25 (a) | | | 1,668 | |
| | | | | 9,101 | |
| |
Argentina (ARS) (0%) | | | | |
44,420,000 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a) | | | 353 | |
| |
Argentina (USD) (2%) | | | | |
4,442,500 | | Argentine Republic Government International Bond, 3.75%, 12/31/38 | | | 1,415 | |
4,475,000 | | Argentine Republic Government International Bond, 5.63%, 1/26/22 | | | 1,264 | |
4,240,000 | | Argentine Republic Government International Bond, 6.88%, 1/11/48 | | | 1,002 | |
3,085,000 | | Argentine Republic Government International Bond, 7.13%, 7/06/36 | | | 756 | |
2,290,000 | | Argentine Republic Government International Bond, 7.13%, 6/28/2117 | | | 541 | |
6,785,000 | | Argentine Republic Government International Bond, 7.50%, 4/22/26 | | | 1,835 | |
11,069,090 | | Argentine Republic Government International Bond, 8.28%, 12/31/33 | | | 3,908 | |
1,940,000 | | Provincia de Buenos Aires/Argentina 144A, 6.50%, 2/15/23 (a) | | | 548 | |
1,475,000 | | Provincia de Buenos Aires/Argentina 144A, 7.88%, 6/15/27 (a) | | | 402 | |
4,910,000 | | Provincia de Cordoba 144A, 7.13%, 6/10/21 (a) | | | 2,259 | |
| | | | | 13,930 | |
| |
Armenia (USD) (1%) | | | | |
8,460,000 | | Republic of Armenia International Bond 144A, 7.15%, 3/26/25 (a) | | | 9,050 | |
| |
Azerbaijan (USD) (0%) | | | | |
3,570,000 | | Southern Gas Corridor CJSC 144A, 6.88%, 3/24/26 (a) | | | 3,740 | |
| |
Bahrain (USD) (1%) | | | | |
1,835,000 | | Bahrain Government International Bond 144A, 5.63%, 9/30/31 (a) | | | 1,657 | |
1,940,000 | | Bahrain Government International Bond 144A, 6.75%, 9/20/29 (a) | | | 1,888 | |
3,560,000 | | Bahrain Government International Bond 144A, 7.00%, 1/26/26 (a) | | | 3,562 | |
| | | | | 7,107 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Belarus (USD) (1%) | | | | |
3,445,000 | | Republic of Belarus International Bond 144A, 6.88%, 2/28/23 (a) | | $ | 3,382 | |
5,145,000 | | Republic of Belarus International Bond 144A, 7.63%, 6/29/27 (a) | | | 5,102 | |
| | | | | 8,484 | |
| |
Bermuda (USD) (0%) | | | | |
610,000 | | Geopark Ltd. 144A, 6.50%, 9/21/24 (a) | | | 444 | |
| |
Brazil (BRL) (1%) | | | | |
32,425,358 | | Brazil Notas do Tesouro Nacional Serie B, 6.00%, 8/15/28 BRL | | | 6,984 | |
| |
Brazil (USD) (2%) | | | | |
1,800,000 | | Brazilian Government International Bond, 4.50%, 5/30/29 | | | 1,792 | |
7,750,000 | | Brazilian Government International Bond, 4.75%, 1/14/50 | | | 6,985 | |
4,150,000 | | Brazilian Government International Bond, 5.00%, 1/27/45 | | | 3,880 | |
4,220,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.822%) 4.50%, 11/21/29 (a)(b) | | | 3,980 | |
4,492,010 | | USJ-Acucar e Alcool S/A 144A, 10.50%, 11/09/23 (a) | | | 2,246 | |
| | | | | 18,883 | |
| |
Cayman Islands (USD) (0%) | | | | |
868,000 | | Odebrecht Oil & Gas Finance Ltd. 144A, 0.00%, (a)(c)(d) | | | 10 | |
1,665,000 | | Saudi Electricity Global Sukuk Co. 2 144A, 5.06%, 4/08/43 (a) | | | 1,770 | |
| | | | | 1,780 | |
| |
Chile (CLP) (1%) | | | | |
4,250,000,000 | | Bonos de la Tesoreria de la Republica en pesos, 4.50%, 3/01/26 CLP | | | 5,803 | |
| |
Chile (USD) (0%) | | | | |
2,907,646 | | Latam Airlines 2015-1 Pass-Through Trust A, 4.20%, 11/15/27 | | | 2,297 | |
2,101,745 | | Latam Airlines 2015-1 Pass-Through Trust B, 4.50%, 11/15/23 | | | 1,511 | |
| | | | | 3,808 | |
| |
Colombia (USD) ( 3%) | | | | |
4,475,000 | | Colombia Government International Bond, 3.88%, 4/25/27 | | | 4,441 | |
3,655,000 | | Colombia Government International Bond, 4.50%, 3/15/29 | | | 3,710 | |
4,120,000 | | Colombia Government International Bond, 5.00%, 6/15/45 | | | 4,137 | |
Payden Emerging Markets Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
4,754,000 | | Colombia Government International Bond, 6.13%, 1/18/41 | | $ | 5,325 | |
4,985,000 | | Colombia Government International Bond, 7.38%, 9/18/37 | | | 6,206 | |
| | | | | 23,819 | |
| |
Costa Rica (USD) (0%) | | | | |
1,820,000 | | Costa Rica Government International Bond 144A, 6.13%, 2/19/31 (a) | | | 1,476 | |
2,560,000 | | Costa Rica Government International Bond 144A, 7.00%, 4/04/44 (a) | | | 1,968 | |
1,275,000 | | Costa Rica Government International Bond 144A, 7.16%, 3/12/45 (a) | | | 995 | |
| | | | | 4,439 | |
| |
Dominica Republic (DOP) (0%) | | | | |
213,300,000 | | Dominican Republic International Bond 144A, 9.75%, 6/05/26 DOP (a) | | | 3,199 | |
| |
Dominica Republic (USD) (2%) | | | | |
940,000 | | Dominican Republic International Bond 144A, 5.50%, 1/27/25 (a) | | | 886 | |
6,335,000 | | Dominican Republic International Bond 144A, 5.95%, 1/25/27 (a) | | | 5,755 | |
1,990,000 | | Dominican Republic International Bond 144A, 6.40%, 6/05/49 (a) | | | 1,652 | |
2,050,000 | | Dominican Republic International Bond 144A, 6.50%, 2/15/48 (a) | | | 1,712 | |
1,130,000 | | Dominican Republic International Bond 144A, 6.60%, 1/28/24 (a)(e) | | | 1,110 | |
820,000 | | Dominican Republic International Bond 144A, 6.85%, 1/27/45 (a) | | | 718 | |
4,490,000 | | Dominican Republic International Bond 144A, 6.88%, 1/29/26 (a) | | | 4,342 | |
3,160,000 | | Dominican Republic International Bond 144A, 7.45%, 4/30/44 (a) | | | 2,891 | |
| | | | | 19,066 | |
| |
Ecuador (USD) (1%) | | | | |
13,645,000 | | Ecuador Government International Bond 144A, 7.88%, 1/23/28 (a) | | | 4,008 | |
1,520,000 | | Ecuador Government International Bond, 7.95%, 6/20/24 (f) | | | 481 | |
1,185,000 | | Ecuador Government International Bond 144A, 7.95%, 6/20/24 (a) | | | 375 | |
2,820,000 | | Ecuador Government International Bond 144A, 8.75%, 6/02/23 (a) | | | 888 | |
1,370,000 | | Ecuador Government International Bond 144A, 9.65%, 12/13/26 (a) | | | 397 | |
| | | | | 6,149 | |
| |
Egypt (USD) (2%) | | | | |
1,550,000 | | Egypt Government International Bond 144A, 5.58%, 2/21/23 (a) | | | 1,510 | |
1,950,000 | | Egypt Government International Bond 144A, 6.20%, 3/01/24 (a)(e) | | | 1,896 | |
6,840,000 | | Egypt Government International Bond 144A, 7.50%, 1/31/27 (a) | | | 6,680 | |
4,450,000 | | Egypt Government International Bond 144A, 7.90%, 2/21/48 (a) | | | 3,863 | |
3,565,000 | | Egypt Government International Bond 144A, 8.50%, 1/31/47 (a) | | | 3,203 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
5,380,000 | | Egypt Government International Bond 144A, 8.70%, 3/01/49 (a) | | $ | 4,852 | |
| | | | | 22,004 | |
| |
El Salvador (USD) (1%) | | | | |
3,900,000 | | El Salvador Government International Bond 144A, 6.38%, 1/18/27 (a) | | | 3,130 | |
2,410,000 | | El Salvador Government International Bond 144A, 7.63%, 2/01/41 (a) | | | 1,876 | |
995,000 | | El Salvador Government International Bond 144A, 7.65%, 6/15/35 (a) | | | 795 | |
2,565,000 | | El Salvador Government International Bond 144A, 8.63%, 2/28/29 (a) | | | 2,193 | |
| | | | | 7,994 | |
| |
Gabon (USD) (0%) | | | | |
755,097 | | Gabon Government International Bond 144A, 6.38%, 12/12/24 (a) | | | 547 | |
2,800,000 | | Gabon Government International Bond 144A, 6.63%, 2/06/31 (a) | | | 1,997 | |
1,290,000 | | Gabon Government International Bond 144A, 6.95%, 6/16/25 (a) | | | 924 | |
| | | | | 3,468 | |
| |
Georgia (GEL) (0%) | | | | |
5,260,000 | | Bank of Georgia JSC 144A, 11.00%, 6/01/20 GEL (a) | | | 1,646 | |
| |
Georgia (USD) (2%) | | | | |
3,460,000 | | Bank of Georgia JSC 144A, 6.00%, 7/26/23 (a) | | | 3,425 | |
915,000 | | Georgian Oil and Gas Corp. JSC 144A, 6.75%, 4/26/21 (a) | | | 879 | |
6,605,000 | | Georgian Railway JSC 144A, 7.75%, 7/11/22 (a) | | | 6,506 | |
3,140,000 | | TBC Bank JSC 144A, 5.75%, 6/19/24 (a) | | | 2,975 | |
| | | | | 13,785 | |
| |
Ghana (USD) (2%) | | | | |
9,530,000 | | Ghana Government International Bond 144A, 6.38%, 2/11/27 (a) | | | 7,386 | |
1,910,000 | | Ghana Government International Bond 144A, 7.63%, 5/16/29 (a) | | | 1,476 | |
2,690,000 | | Ghana Government International Bond 144A, 7.88%, 3/26/27 (a) | | | 2,152 | |
2,020,000 | | Ghana Government International Bond 144A, 8.63%, 6/16/49 (a) | | | 1,534 | |
9,570,000 | | Ghana Government International Bond 144A, 10.75%, 10/14/30 (a) | | | 10,060 | |
| | | | | 22,608 | |
| |
Guatemala (USD) (3%) | | | | |
2,535,000 | | Guatemala Government Bond 144A, 4.38%, 6/05/27 (a) | | | 2,528 | |
5,530,000 | | Guatemala Government Bond 144A, 4.50%, 5/03/26 (a) | | | 5,541 | |
4,701,000 | | Guatemala Government Bond 144A, 4.88%, 2/13/28 (a) | | | 4,771 | |
2,150,000 | | Guatemala Government Bond 144A, 4.90%, 6/01/30 (a) | | | 2,162 | |
1,760,000 | | Guatemala Government Bond 144A, 5.38%, 4/24/32 (a) | | | 1,821 | |
86 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,275,000 | | Guatemala Government Bond 144A, 5.75%, 6/06/22 (a) | | $ | 3,377 | |
6,185,000 | | Guatemala Government Bond 144A, 6.13%, 6/01/50 (a) | | | 6,485 | |
| | | | | 26,685 | |
| |
India (USD) (3%) | | | | |
810,000 | | Adani Green Energy UP Ltd./Prayatna Developers Pvt. Ltd./Parampujya Solar Energy 144A, 6.25%, 12/10/24 (a) | | | 794 | |
4,240,000 | | Adani Transmission Ltd. 144A, 4.25%, 5/21/36 (a) | | | 3,784 | |
3,770,000 | | Export-Import Bank of India 144A, 3.25%,
1/15/30 (a) | | | 3,483 | |
3,760,000 | | Muthoot Finance Ltd. 144A, 6.13%, 10/31/22 (a) | | | 3,420 | |
4,610,000 | | Power Finance Corp. Ltd. 144A, 6.15%,
12/06/28 (a) | | | 4,835 | |
1,275,000 | | ReNew Power Ltd. 144A, 6.45%, 9/27/22 (a) | | | 1,124 | |
4,170,000 | | ReNew Power Pvt. Ltd. 144A, 5.88%, 3/05/27 (a) | | | 3,414 | |
5,060,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 3,887 | |
| | | | | 24,741 | |
| |
Indonesia (EUR) (0%) | | | | |
380,000 | | Indonesia Government International Bond, 1.40%, 10/30/31 EUR | | | 364 | |
| |
Indonesia (USD) (5%) | | | | |
1,880,000 | | Indonesia Asahan Aluminium Persero PT 144A, 6.53%, 11/15/28 (a) | | | 2,044 | |
800,000 | | Indonesia Government International Bond 144A, 3.70%, 1/08/22 (a) | | | 815 | |
2,595,000 | | Indonesia Government International Bond 144A, 5.25%, 1/17/42 (a) | | | 2,961 | |
1,675,000 | | Indonesia Government International Bond 144A, 6.63%, 2/17/37 (a) | | | 2,135 | |
3,575,000 | | Indonesia Government International Bond 144A, 8.50%, 10/12/35 (a) | | | 5,177 | |
1,950,000 | | Indonesia Government International Bond, 8.50%, 10/12/35 (f) | | | 2,824 | |
2,060,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (a) | | | 2,072 | |
4,125,000 | | Pertamina Persero PT 144A, 3.10%, 8/25/30 (a) | | | 3,846 | |
3,890,000 | | Pertamina Persero PT 144A, 4.70%, 7/30/49 (a) | | | 3,636 | |
1,580,000 | | Pertamina Persero PT 144A, 5.63%, 5/20/43 (a) | | | 1,627 | |
4,000,000 | | Pertamina Persero PT 144A, 6.50%, 11/07/48 (a) | | | 4,518 | |
2,050,000 | | Perusahaan Listrik Negara PT 144A, 3.88%, 7/17/29 (a) | | | 2,003 | |
241,000 | | Perusahaan Listrik Negara PT 144A, 5.25%, 5/15/47 (a) | | | 247 | |
4,665,000 | | Perusahaan Listrik Negara PT 144A, 6.15%, 5/21/48 (a) | | | 5,125 | |
5,005,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 4.15%, 3/29/27 (a) | | | 5,277 | |
2,025,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 4.40%, 3/01/28 (a) | | | 2,156 | |
| | | | | 46,463 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Israel (USD) (1%) | | | | |
3,340,000 | | Israel Government International Bond, 2.75%, 7/03/30 | | $ | 3,524 | |
2,560,000 | | Israel Government International Bond, 4.50%, 4/03/2120 | | | 3,008 | |
| | | | | 6,532 | |
| |
Ivory Coast (EUR) (0%) | | | | |
3,190,000 | | Ivory Coast Government International Bond 144A, 5.88%, 10/17/31 EUR (a) | | | 2,868 | |
| |
Ivory Coast (USD) (1%) | | | | |
5,375,000 | | Ivory Coast Government International Bond 144A, 6.13%, 6/15/33 (a) | | | 4,653 | |
| |
Jordan (USD) (0%) | | | | |
1,005,000 | | Jordan Government International Bond 144A, 7.38%, 10/10/47 (a) | | | 936 | |
| |
Kazakhstan (KZT) (0%) | | | | |
2,098,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a) | | | 4,422 | |
| |
Kazakhstan (USD) (1%) | | | | |
10,780,000 | | KazMunayGas National Co. JSC 144A, 5.75%, 4/19/47 (a) | | | 10,841 | |
| |
Kenya (USD) (1%) | | | | |
3,870,000 | | Kenya Government International Bond 144A, 6.88%, 6/24/24 (a) | | | 3,572 | |
1,690,000 | | Kenya Government International Bond 144A, 8.25%, 2/28/48 (a) | | | 1,522 | |
| | | | | 5,094 | |
| |
Lebanon (USD) (0%) | | | | |
3,370,000 | | Lebanon Government International Bond, 6.00%, 1/27/23 (f)(g)(h) | | | 565 | |
3,240,000 | | Lebanon Government International Bond, 6.20%, 2/26/25 (f)(g)(h) | | | 543 | |
1,935,000 | | Lebanon Government International Bond, 6.60%, 11/27/26 (f)(g)(h) | | | 324 | |
1,176,000 | | Lebanon Government International Bond, 6.65%, 2/26/30 (f)(g)(h) | | | 197 | |
2,880,000 | | Lebanon Government International Bond, 6.75%, 11/29/27 (f)(g)(h) | | | 482 | |
1,320,000 | | Lebanon Government International Bond, 6.85%, 5/25/29 (g)(h) | | | 218 | |
2,790,000 | | Lebanon Government International Bond, 7.00%, 3/23/32 (e)(f)(g)(h) | | | 467 | |
| | | | | 2,796 | |
| |
Luxembourg (USD) (1%) | | | | |
4,885,000 | | Gazprom PJSC Via Gaz Capital SA 144A, 5.15%, 2/11/26 (a) | | | 5,269 | |
4,150,000 | | Ultrapar International SA 144A, 5.25%, 6/06/29 (a) | | | 3,806 | |
| | | | | 9,075 | |
| |
Malaysia (USD) (2%) | | | | |
8,500,000 | | 1MDB Energy Ltd., 5.99%, 5/11/22 (f) | | | 8,437 | |
3,540,000 | | Petronas Capital Ltd. 144A, 3.50%, 4/21/30 (a) | | | 3,712 | |
4,530,000 | | Petronas Capital Ltd. 144A, 4.55%, 4/21/50 (a) | | | 4,941 | |
1,170,000 | | Petronas Capital Ltd. 144A, 4.80%, 4/21/60 (a) | | | 1,359 | |
| | | | | 18,449 | |
Semi-Annual Report 87
Payden Emerging Markets Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Mauritius (USD) (0%) | | | | |
1,610,000 | | Azure Power Solar Energy Pvt. Ltd. 144A, 5.65%, 12/24/24 (a) | | $ | 1,489 | |
| |
Mexico (MXN) (0%) | | | | |
26,900,000 | | Grupo Televisa SAB, 7.25%, 5/14/43 MXN | | | 762 | |
56,000,000 | | Mexican Bonos, 8.50%, 11/18/38 MXN | | | 2,538 | |
| | | | | 3,300 | |
| |
Mexico (USD) (6%) | | | | |
2,210,000 | | Banco Mercantil del Norte SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.447%) 5.75%, 10/04/31 (a)(b) | | | 2,049 | |
6,992,000 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 (a) | | | 6,318 | |
4,245,072 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (a) | | | 4,203 | |
6,835,000 | | Mexico City Airport Trust 144A, 5.50%, 7/31/47 (a) | | | 5,732 | |
4,290,000 | | Mexico Government International Bond, 3.90%, 4/27/25 (e) | | | 4,344 | |
1,630,000 | | Mexico Government International Bond, 6.05%, 1/11/40 | | | 1,779 | |
5,200,000 | | Petroleos Mexicanos 144A, 5.95%, 1/28/31 (a) | | | 3,792 | |
5,143,000 | | Petroleos Mexicanos 144A, 6.49%, 1/23/27 (a) | | | 4,207 | |
7,915,000 | | Petroleos Mexicanos, 6.50%, 3/13/27 | | | 6,490 | |
2,650,000 | | Petroleos Mexicanos, 6.50%, 1/23/29 | | | 2,100 | |
3,020,000 | | Petroleos Mexicanos, 6.63%, 6/15/35 | | | 2,144 | |
4,439,000 | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 3,074 | |
1,046,000 | | Petroleos Mexicanos 144A, 6.84%, 1/23/30 (a) | | | 828 | |
5,320,000 | | Petroleos Mexicanos 144A, 6.95%, 1/28/60 (a) | | | 3,751 | |
456,000 | | Petroleos Mexicanos 144A, 7.69%, 1/23/50 (a) | | | 337 | |
| | | | | 51,148 | |
| |
Mongolia (USD) (4%) | | | | |
5,675,000 | | Development Bank of Mongolia LLC 144A, 7.25%, 10/23/23 (a) | | | 4,951 | |
6,950,000 | | Mongolia Government International Bond 144A, 5.13%, 12/05/22 (a) | | | 6,255 | |
3,065,000 | | Mongolia Government International Bond, 5.13%, 12/05/22 (f) | | | 2,758 | |
2,450,000 | | Mongolia Government International Bond 144A, 5.63%, 5/01/23 (a) | | | 2,193 | |
7,165,000 | | Mongolia Government International Bond 144A, 8.75%, 3/09/24 (a) | | | 6,914 | |
9,073,000 | | Mongolia Government International Bond 144A, 10.88%, 4/06/21 (a) | | | 8,960 | |
| | | | | 32,031 | |
| |
Netherlands (USD) (2%) | | | | |
2,640,000 | | Greenko Dutch BV 144A, 5.25%, 7/24/24 (a) | | | 2,368 | |
2,050,000 | | Listrindo Capital BV 144A, 4.95%, 9/14/26 (a) | | | 1,983 | |
4,380,000 | | Minejesa Capital BV 144A, 5.63%, 8/10/37 (a) | | | 4,177 | |
4,102,010 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (a) | | | 3,475 | |
3,240,000 | | Prosus NV 144A, 3.68%,
1/21/30 (a) | | | 3,253 | |
| | | | | 15,256 | |
| |
Nigeria (USD) (2%) | | | | |
4,355,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (a) | | | 3,321 | |
4,170,000 | | Nigeria Government International Bond 144A, 7.14%, 2/23/30 (a) | | | 3,169 | |
3,940,000 | | Nigeria Government International Bond 144A, 7.63%, 11/21/25 (a) | | | 3,322 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,285,000 | | Nigeria Government International Bond 144A, 7.70%, 2/23/38 (a) | | $ | 2,439 | |
2,050,000 | | Nigeria Government International Bond 144A, 7.88%, 2/16/32 (a) | | | 1,568 | |
3,125,000 | | Nigeria Government International Bond 144A, 8.75%, 1/21/31 (a) | | | 2,518 | |
| | | | | 16,337 | |
| |
Oman (USD) (1%) | | | | |
1,425,000 | | Oman Government International Bond 144A, 5.38%, 3/08/27 (a) | | | 1,095 | |
4,890,000 | | Oman Government International Bond 144A, 6.50%, 3/08/47 (a) | | | 3,452 | |
5,200,000 | | Oman Government International Bond 144A, 6.75%, 1/17/48 (a) | | | 3,689 | |
| | | | | 8,236 | |
| |
Panama (USD) (3%) | | | | |
1,900,000 | | Aeropuerto Internacional de Tocumen SA 144A, 6.00%, 11/18/48 (a) | | | 1,938 | |
1,840,000 | | Empresa de Transmision Electrica SA 144A, 5.13%, 5/02/49 (a) | | | 1,874 | |
5,190,000 | | Panama Government International Bond, 4.30%, 4/29/53 | | | 5,683 | |
6,070,000 | | Panama Government International Bond, 4.50%, 4/01/56 | | | 6,859 | |
7,870,000 | | Panama Government International Bond, 6.70%, 1/26/36 | | | 10,417 | |
2,720,000 | | Panama Government International Bond, 9.38%, 4/01/29 | | | 3,831 | |
| | | | | 30,602 | |
| |
Paraguay (USD) (2%) | | | | |
9,185,000 | | Paraguay Government International Bond 144A, 4.95%, 4/28/31 (a) | | | 9,489 | |
2,030,000 | | Paraguay Government International Bond 144A, 5.40%, 3/30/50 (a) | | | 2,111 | |
3,110,000 | | Paraguay Government International Bond 144A, 5.60%, 3/13/48 (a) | | | 3,286 | |
2,220,000 | | Paraguay Government International Bond 144A, 6.10%, 8/11/44 (a) | | | 2,376 | |
| | | | | 17,262 | |
| |
Peru (PEN) (2%) | | | | |
20,917,000 | | Peru Government Bond 144A, 5.35%, 8/12/40 PEN (a)(f) | | | 5,911 | |
23,364,000 | | Peru Government Bond 144A, 5.40%, 8/12/34 PEN (a)(f) | | | 7,137 | |
12,020,000 | | Peru Government Bond 144A, 5.94%, 2/12/29 PEN (a)(f) | | | 4,018 | |
12,600,000 | | Peru Government Bond 144A, 6.15%, 8/12/32 PEN (a)(f) | | | 4,148 | |
| | | | | 21,214 | |
| |
Peru (USD) (1%) | | | | |
2,144,560 | | ABY Transmision Sur SA 144A, 6.88%, 4/30/43 (a) | | | 2,702 | |
3,985,000 | | Corp. Financiera de Desarrollo SA 144A, 4.75%, 7/15/25 (a) | | | 4,169 | |
1,030,000 | | Peruvian Government International Bond, 2.39%, 1/23/26 | | | 1,053 | |
88 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,310,000 | | Peruvian Government International Bond, 2.78%, 1/23/31 | | $ | 1,353 | |
| | | | | 9,277 | |
| |
Philippines (USD) (1%) | | | | |
5,925,000 | | Philippine Government International Bond, 3.70%, 3/01/41 | | | 6,824 | |
| |
Qatar (USD) (2%) | | | | |
2,440,000 | | Qatar Government International Bond 144A, 3.40%, 4/16/25 (a) | | | 2,600 | |
3,060,000 | | Qatar Government International Bond 144A, 4.40%, 4/16/50 (a) | | | 3,487 | |
8,020,000 | | Qatar Government International Bond 144A, 4.82%, 3/14/49 (a) | | | 9,685 | |
480,000 | | Qatar Government International Bond, 4.82%, 3/14/49 (f) | | | 580 | |
3,195,000 | | Qatar Government International Bond 144A, 5.10%, 4/23/48 (a) | | | 3,994 | |
| | | | | 20,346 | |
| |
Romania (USD) (0%) | | | | |
1,804,000 | | Romanian Government International Bond 144A, 5.13%, 6/15/48 (a) | | | 1,927 | |
2,080,000 | | Romanian Government International Bond 144A, 6.13%, 1/22/44 (a) | | | 2,487 | |
| | | | | 4,414 | |
| |
Russian Federation (RUB) (1%) | | | | |
608,930,000 | | Russian Federal Bond - OFZ, 8.15%, 2/03/27 RUB | | | 9,329 | |
| |
Russian Federation (USD) (2%) | | | | |
1,400,000 | | Russian Foreign Bond - Eurobond, 4.75%,
5/27/26 (f) | | | 1,556 | |
4,800,000 | | Russian Foreign Bond - Eurobond 144A, 5.10%, 3/28/35 (a) | | | 5,641 | |
400,000 | | Russian Foreign Bond - Eurobond, 5.10%,
3/28/35 (f) | | | 470 | |
3,000,000 | | Russian Foreign Bond - Eurobond 144A, 5.25%, 6/23/47 (a) | | | 3,722 | |
3,800,000 | | Russian Foreign Bond - Eurobond, 5.63%,
4/04/42 (f) | | | 4,843 | |
| | | | | 16,232 | |
| |
Saudi Arabia (USD) (2%) | | | | |
9,220,000 | | Saudi Arabian Oil Co. 144A, 4.25%, 4/16/39 (a) | | | 9,538 | |
5,170,000 | | Saudi Government International Bond 144A, 3.75%, 1/21/55 (a) | | | 4,756 | |
| | | | | 14,294 | |
| |
Senegal (EUR) (0%) | | | | |
2,985,000 | | Senegal Government International Bond 144A, 4.75%, 3/13/28 EUR (a) | | | 2,839 | |
| |
Senegal (USD) (1%) | | | | |
4,545,000 | | Senegal Government International Bond 144A, 6.25%, 5/23/33 (a) | | | 4,003 | |
1,993,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (a) | | | 1,941 | |
| | | | | 5,944 | |
| |
Singapore (USD) (1%) | | | | |
4,840,000 | | BOC Aviation Ltd. 144A, 3.00%, 9/11/29 (a) | | | 4,663 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
South Africa (USD) (2%) | | | | |
2,270,000 | | Eskom Holdings SOC Ltd. 144A, 6.35%, 8/10/28 (a) | | $ | 2,040 | |
3,530,000 | | Eskom Holdings SOC Ltd. 144A, 6.75%, 8/06/23 (a) | | | 2,667 | |
8,365,000 | | Republic of South Africa Government International Bond, 4.30%, 10/12/28 | | | 7,065 | |
3,390,000 | | Republic of South Africa Government International Bond, 5.75%, 9/30/49 | | | 2,663 | |
1,870,000 | | Republic of South Africa Government International Bond, 5.88%, 6/22/30 | | | 1,725 | |
2,545,000 | | Transnet SOC Ltd. 144A, 4.00%, 7/26/22 (a) | | | 2,368 | |
| | | | | 18,528 | |
| |
South Africa (ZAR) (1%) | | | | |
94,000,000 | | Republic of South Africa Government Bond, 10.50%, 12/21/26 ZAR | | | 5,574 | |
| |
Sri Lanka (USD) (2%) | | | | |
5,390,000 | | Sri Lanka Government International Bond 144A, 5.75%, 4/18/23 (a) | | | 3,234 | |
2,950,000 | | Sri Lanka Government International Bond 144A, 5.88%, 7/25/22 (a) | | | 1,858 | |
3,775,000 | | Sri Lanka Government International Bond 144A, 6.20%, 5/11/27 (a) | | | 2,189 | |
670,000 | | Sri Lanka Government International Bond 144A, 6.75%, 4/18/28 (a) | | | 385 | |
4,315,000 | | Sri Lanka Government International Bond 144A, 6.85%, 11/03/25 (a) | | | 2,503 | |
1,685,000 | | Sri Lanka Government International Bond 144A, 7.55%, 3/28/30 (a) | | | 986 | |
4,645,000 | | Sri Lanka Government International Bond 144A, 7.85%, 3/14/29 (a) | | | 2,671 | |
| | | | | 13,826 | |
| |
Tunisia (EUR) (0%) | | | | |
2,510,000 | | Banque Centrale de Tunisie International Bond 144A, 6.38%, 7/15/26 EUR (a) | | | 2,259 | |
| |
Tunisia (USD) (1%) | | | | |
11,230,000 | | Banque Centrale de Tunisie International Bond 144A, 5.75%, 1/30/25 (a)(e) | | | 9,468 | |
| |
Turkey (USD) (2%) | | | | |
1,320,000 | | TC Ziraat Bankasi AS 144A, 5.13%, 5/03/22 (a) | | | 1,288 | |
4,485,000 | | Turkey Government International Bond, 4.25%, 4/14/26 | | | 3,874 | |
3,970,000 | | Turkey Government International Bond, 5.63%, 3/30/21 | | | 4,001 | |
5,370,000 | | Turkey Government International Bond, 6.13%, 10/24/28 | | | 4,902 | |
4,675,000 | | Turkey Government International Bond, 7.25%, 12/23/23 | | | 4,753 | |
3,175,000 | | Turkey Government International Bond, 7.38%, 2/05/25 | | | 3,235 | |
| | | | | 22,053 | |
| |
Ukraine (EUR) (1%) | | | | |
4,330,000 | | Ukraine Government International Bond 144A, 4.38%, 1/27/30 EUR (a) | | | 3,690 | |
3,160,000 | | Ukraine Government International Bond 144A, 6.75%,6/20/26 EUR (a) | | | 3,079 | |
| | | | | 6,769 | |
Semi-Annual Report 89
Payden Emerging Markets Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| |
Ukraine (UAH) (0%) | | | | |
103,920,000 | | Ukraine Government International Bond 144A, 11.67%, 11/22/23 UAH (a) | | $ | 3,471 | |
| |
Ukraine (USD) (3%) | | | | |
2,895,000 | | Ukraine Government International Bond 144A, 0.00%, 5/31/40 (a)(i) | | | 2,154 | |
980,000 | | Ukraine Government International Bond 144A, 7.38%, 9/25/32 (a) | | | 872 | |
3,290,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/22 (a) | | | 3,149 | |
1,166,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/23 (a) | | | 1,111 | |
3,635,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/24 (a) | | | 3,443 | |
10,328,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/27 (a) | | | 9,499 | |
3,180,000 | | Ukraine Government International Bond 144A, 8.99%, 2/01/24 (a) | | | 3,113 | |
| | | | | 23,341 | |
| |
United Arab Emirates (USD) (2%) | | | | |
9,413,000 | | Abu Dhabi Crude Oil Pipeline LLC 144A, 4.60%, 11/02/47 (a) | | | 10,108 | |
4,810,000 | | Abu Dhabi Government International Bond 144A, 3.13%, 9/30/49 (a) | | | 4,631 | |
3,005,000 | | Ruwais Power Co. PJSC 144A, 6.00%, 8/31/36 (a) | | | 3,509 | |
| | | | | 18,248 | |
| |
United Kingdom (IDR) (1%) | | | | |
89,288,000,000 | | Standard Chartered Bank 144A, 8.25%, 5/19/36 IDR (a) | | | 6,063 | |
| |
United States (IDR) (1%) | | | | |
75,400,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 5.63%, 5/17/23 IDR (a) | | | 4,904 | |
48,100,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.25%, 5/17/36 IDR (a) | | | 3,266 | |
24,925,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.38%, 3/17/34 IDR (a) | | | 1,700 | |
11,270,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 11.00%, 9/17/25 IDR (a) | | | 868 | |
| | | | | 10,738 | |
| |
United States (UAH) (1%) | | | | |
134,000,000 | | Citigroup Global Markets Holdings Inc. 144A, 15.92%, 11/19/21 UAH (a) | | | 5,460 | |
| |
Uruguay (USD) (3%) | | | | |
15,285,000 | | Uruguay Government International Bond, 4.98%, 4/20/55 | | | 17,366 | |
8,764,580 | | Uruguay Government International Bond, 5.10%, 6/18/50 | | | 10,023 | |
| | | | | 27,389 | |
| |
Venezuela (USD) (0%) | | | | |
6,400,000 | | Petroleos de Venezuela SA, 5.38%, 4/12/27 (g)(h) | | | 272 | |
6,055,000 | | Petroleos de Venezuela SA 144A, 6.00%, 11/15/26 (a)(g)(h) | | | 257 | |
1,122,500 | | Petroleos de Venezuela SA 144A, 8.50%, 10/27/20 (a) | | | 154 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
5,085,000 | | Petroleos de Venezuela SA, 9.00%, 11/17/21 (f)(g)(h) | | $ | 216 | |
2,420,000 | | Venezuela Government International Bond, 7.00%, 3/31/38 (g)(h) | | | 206 | |
7,789,000 | | Venezuela Government International Bond, 7.65%, 4/21/25 (g)(h) | | | 662 | |
4,020,000 | | Venezuela Government International Bond, 7.75%, 10/13/19 (g)(h) | | | 342 | |
9,060,000 | | Venezuela Government International Bond, 9.25%, 9/15/27 (g)(h) | | | 770 | |
| | | | | 2,879 | |
| |
Virgin Islands (British) (USD) (2%) | | | | |
24,600,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (f) | | | 22,140 | |
| |
Zambia (USD) (0%) | | | | |
3,045,000 | | Zambia Government International Bond 144A, 5.38%, 9/20/22 (a) | | | 1,046 | |
3,060,000 | | Zambia Government International Bond 144A, 8.97%, 7/30/27 (a) | | | 1,052 | |
| | | | | 2,098 | |
Total Bonds (Cost - $1,024,666) | | | 872,904 | |
| |
Investment Company (2%) | | | | |
21,836,121 | | Payden Cash Reserves Money Market Fund * (Cost - $21,836) | | | 21,836 | |
Total Investments (Cost - $1,046,502) (98%) | | | 894,740 | |
Other Assets, net of Liabilities (2%) | | | 16,773 | |
| |
Net Assets (100%) | | $ | 911,513 | |
| | | | | | |
| (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, 2020. |
| (c) | Perpetual security with no stated maturity date. |
| (d) | Yield to maturity at time of purchase. |
| (e) | All or a portion of these securities are on loan. At April 30, 2020, the total market value of the Fund’s securities on loan is $9,148 and the total market value of the collateral held by the Fund is $9,519. Amounts in 000s. |
| (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) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (h) | Non-income producing security. |
| (i) | 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. |
90 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency
Sold
(000s) | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | |
HUF 3,124,900 | | USD 9,591 | | HSBC Bank USA, N.A. | | | | 07/22/2020 | | | | $ | 113 | |
IDR 71,877,000 | | USD 4,552 | | HSBC Bank USA, N.A. | | | | 06/04/2020 | | | | | 258 | |
PEN 24,473 | | USD 6,988 | | Citibank, N.A. | | | | 05/26/2020 | | | | | 250 | |
PHP 233,740 | | USD 4,560 | | HSBC Bank USA, N.A. | | | | 07/17/2020 | | | | | 65 | |
RUB 212,733 | | USD 2,658 | | Citibank, N.A. | | | | 05/13/2020 | | | | | 202 | |
RUB 329,420 | | USD 4,260 | | HSBC Bank USA, N.A. | | | | 05/13/2020 | | | | | 169 | |
USD 10,020 | | ZAR 150,330 | | BNP PARIBAS | | | | 05/21/2020 | | | | | 1,928 | |
USD 10,915 | | ZAR 175,230 | | Citibank, N.A. | | | | 05/21/2020 | | | | | 1,482 | |
USD 2,219 | | ZAR 40,794 | | Citibank, N.A. | | | | 05/21/2020 | | | | | 23 | |
USD 11,176 | | IDR 163,902,000 | | HSBC Bank USA, N.A. | | | | 06/04/2020 | | | | | 209 | |
USD 9,471 | | BRL 45,322 | | HSBC Bank USA, N.A. | | | | 06/18/2020 | | | | | 1,167 | |
USD 18,228 | | EUR 16,113 | | HSBC Bank USA, N.A. | | | | 06/23/2020 | | | | | 551 | |
USD 5,386 | | MXN 131,320 | | HSBC Bank USA, N.A. | | | | 07/20/2020 | | | | | 4 | |
USD 2,253 | | COP 8,910,000 | | HSBC Bank USA, N.A. | | | | 08/18/2020 | | | | | 22 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 6,443 | |
| | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | |
BRL 3,426 | | USD 719 | | HSBC Bank USA, N.A. | | | | 06/18/2020 | | | | | (92 | ) |
IDR 94,391,000 | | USD 6,575 | | Barclays Bank PLC | | | | 06/04/2020 | | | | | (259 | ) |
MXN 156,930 | | USD 6,604 | | HSBC Bank USA, N.A. | | | | 07/20/2020 | | | | | (172 | ) |
USD 11,452 | | PEN 39,858 | | Barclays Bank PLC | | | | 05/26/2020 | | | | | (336 | ) |
USD 5,665 | | IDR 84,847,000 | | Barclays Bank PLC | | | | 06/04/2020 | | | | | (13 | ) |
USD 4,615 | | THB 150,800 | | Barclays Bank PLC | | | | 08/11/2020 | | | | | (46 | ) |
USD 13,600 | | MYR 59,807 | | Barclays Bank PLC | | | | 08/24/2020 | | | | | (253 | ) |
USD 11,606 | | RUB 880,560 | | Citibank, N.A. | | | | 05/13/2020 | | | | | (234 | ) |
USD 22,790 | | PEN 79,458 | | Citibank, N.A. | | | | 05/26/2020 | | | | | (709 | ) |
USD 5,676 | | CLP 4,742,900 | | HSBC Bank USA, N.A. | | | | 07/13/2020 | | | | | (16 | ) |
USD 9,447 | | HUF 3,124,900 | | HSBC Bank USA, N.A. | | | | 07/22/2020 | | | | | (256 | ) |
ZAR 74,380 | | USD 4,946 | | BNP PARIBAS | | | | 05/21/2020 | | | | | (942 | ) |
ZAR 39,450 | | USD 2,194 | | Citibank, N.A. | | | | 05/21/2020 | | | | | (70 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | (3,398 | ) |
| | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | 3,045 | |
| | | | | | | | | | | | | | |
Semi-Annual Report 91
Payden Emerging Markets Bond Fundcontinued
Open Centrally Cleared Credit Default Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | | Notional
Amount (000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Protection Bought (Relevant Credit: Federative Republic of Brazil), Pay 1% Quarterly, Receive upon credit default | | | 12/20/2024 | | | $ | 10,500 | | | $ | 879 | | | $ | 549 | | | $ | 330 | |
Protection Bought (Relevant Credit: Kingdom of Saudi Arabia), Pay 1% Quarterly, Receive upon credit default | | | 06/20/2025 | | | | 9,000 | | | | 295 | | | | 244 | | | | 51 | |
Protection Bought (Relevant Credit: Markit CDX, North America High Yield Series 34 Index), Pay 5% Quarterly, Receive upon credit default | | | 06/20/2025 | | | | 19,495 | | | | 885 | | | | 1,150 | | | | (266 | ) |
Protection Bought (Relevant Credit: Republic of Colombia), Pay 1% Quarterly, Receive upon credit default | | | 12/20/2024 | | | | 11,750 | | | | 645 | | | | 552 | | | | 94 | |
Protection Bought (Relevant Credit: Republic of Colombia), Pay 1% Quarterly, Receive upon credit default | | | 06/20/2025 | | | | 4,790 | | | | 322 | | | | 343 | | | | (21 | ) |
Protection Bought (Relevant Credit: Republic of South Africa), Pay 1% Quarterly, Receive upon credit default | | | 06/20/2025 | | | | 4,700 | | | | 672 | | | | 623 | | | | 49 | |
Protection Bought (Relevant Credit: Republic of Turkey), Pay 1% Quarterly, Receive upon credit default | | | 12/20/2024 | | | | 8,410 | | | | 1,566 | | | | 535 | | | | 1,031 | |
Protection Bought (Relevant Credit: United Mexican States), Pay 1% Quarterly, Receive upon credit default | | | 06/20/2025 | | | | 4,900 | | | | 361 | | | | 395 | | | | (34 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 5,625 | | | $ | 4,391 | | | $ | 1,234 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 9,148 | |
Non-cash Collateral2 | | | (9,148 | ) |
| | | | |
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, 2020, 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.
92 Payden Mutual Funds
Payden Emerging Markets Local Bond Fund
| | | | | | | | |
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 | | | 80% | | | |
| | Corporate | | | 18% | | | |
| | Cash equivalent | | | 2% | | | |
| | | | | | | | |
| | | | | | | | |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
Bonds (94%) | | | | |
Argentina (ARS) (0%) | | | | |
8,765,600 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a) | | $ | 70 | |
Brazil (BRL) (7%) | | | | |
955,000 | | Brazil Notas do Tesouro Nacional Serie B, 6.00%, 8/15/26 BRL | | | 669 | |
5,955,678 | | Brazil Notas do Tesouro Nacional Serie B, 6.00%, 8/15/28 BRL | | | 1,283 | |
8,267,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/21 BRL | | | 1,590 | |
18,246,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/23 BRL | | | 3,769 | |
12,810,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/27 BRL | | | 2,700 | |
| | | | | 10,011 | |
| |
Chile (CLP) (3%) | | | | |
1,310,000,000 | | Bonos de la Tesoreria de la Republica en pesos, 4.50%, 3/01/26 CLP | | | 1,789 | |
695,000,000 | | Bonos de la Tesoreria de la Republica en pesos, 5.00%, 3/01/35 CLP | | | 1,047 | |
410,000,000 | | Bonos de la Tesoreria de la Republica en pesos, 6.00%, 1/01/43 CLP | | | 715 | |
79,000,000 | | Chile Government International Bond, 5.50%, 8/05/20 CLP | | | 96 | |
| | | | | 3,647 | |
| |
Colombia (COP) (7%) | | | | |
540,000,000 | | Colombia Government International Bond, 7.75%, 4/14/21 COP | | | 140 | |
2,891,167,650 | | Colombian TES, 3.30%, 3/17/27 COP | | | 747 | |
2,700,000,000 | | Colombian TES, 6.00%, 4/28/28 COP | | | 651 | |
6,401,000,000 | | Colombian TES, 7.00%, 5/04/22 COP | | | 1,703 | |
4,700,000,000 | | Colombian TES, 7.50%, 8/26/26 COP | | �� | 1,270 | |
2,670,000,000 | | Colombian TES, 7.75%, 9/18/30 COP | | | 714 | |
9,649,000,000 | | Colombian TES, 10.00%, 7/24/24 COP | | | 2,870 | |
900,000,000 | | Emgesa SA ESP 144A, 8.75%, 1/25/21 COP (a) | | | 231 | |
1,245,000,000 | | Empresas Publicas de Medellin ESP 144A, 7.63%, 9/10/24 COP (a) | | | 321 | |
2,003,000,000 | | Empresas Publicas de Medellin ESP 144A, 8.38%, 11/08/27 COP (a) | | | 501 | |
1,585,000,000 | | Financiera de Desarrollo Territorial SA Findeter 144A, 7.88%, 8/12/24 COP (a) | | | 413 | |
| | | | | 9,561 | |
| |
Czech Republic (CZK) (5%) | | | | |
11,400,000 | | Czech Republic Government Bond, 0.95%, 5/15/30 CZK (b) | | | 449 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
13,400,000 | | Czech Republic Government Bond, 2.00%, 10/13/33 CZK | | $ | 586 | |
22,900,000 | | Czech Republic Government Bond, 2.40%, 9/17/25 CZK (b) | | | 992 | |
30,000,000 | | Czech Republic Government Bond, 2.75%, 7/23/29 CZK | | | 1,379 | |
19,000,000 | | Czech Republic Government Bond, 3.85%, 9/29/21 CZK (b) | | | 806 | |
47,320,000 | | Czech Republic Government Bond, 4.70%, 9/12/22 CZK (b) | | | 2,099 | |
| | | | | 6,311 | |
| |
Dominica Republic (DOP) (2%) | | | | |
78,400,000 | | Dominican Republic International Bond 144A, 8.90%, 2/15/23 DOP (a) | | | 1,277 | |
88,900,000 | | Dominican Republic International Bond 144A, 9.75%, 6/05/26 DOP (a) | | | 1,333 | |
| | | | | 2,610 | |
| |
Georgia (GEL) (0%) | | | | |
1,185,000 | | Bank of Georgia JSC 144A, 11.00%, 6/01/20 GEL (a) | | | 371 | |
Hungary (HUF) (3%) | | | | |
190,000,000 | | Hungary Government Bond, 2.50%, 10/24/24 HUF | | | 621 | |
140,000,000 | | Hungary Government Bond, 3.00%, 6/26/24 HUF | | | 462 | |
707,000,000 | | Hungary Government Bond, 3.00%, 8/21/30 HUF | | | 2,418 | |
187,000,000 | | Hungary Government Bond, 5.50%, 6/24/25 HUF | | | 697 | |
115,610,000 | | Hungary Government Bond, 7.00%, 6/24/22 HUF | | | 403 | |
| | | | | 4,601 | |
| |
Indonesia (IDR) (2%) | | | | |
16,400,000,000 | | Indonesia Treasury Bond, 8.38%, 3/15/24 IDR | | | 1,142 | |
8,900,000,000 | | Indonesia Treasury Bond, 8.38%, 9/15/26 IDR | | | 618 | |
4,500,000,000 | | Indonesia Treasury Bond, 8.38%, 3/15/34 IDR | | | 307 | |
21,440,000,000 | | Wijaya Karya Persero Tbk PT 144A, 7.70%, 1/31/21 IDR (a) | | | 1,291 | |
| | | | | 3,358 | |
| |
Kazakhstan (KZT) (1%) | | | | |
620,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a) | | | 1,307 | |
Luxembourg (BRL) (1%) | | | | |
6,650,000 | | Swiss Insured Brazil Power Finance Sarl 144A, 9.85%, 7/16/32 BRL (a) | | | 1,315 | |
Payden Emerging Markets Local Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| |
Malaysia (MYR) (5%) | | | | |
6,510,000 | | Malaysia Government Bond, 3.89%, 3/15/27 MYR | | $ | 1,621 | |
7,100,000 | | Malaysia Government Bond, 3.90%, 11/16/27 MYR | | | 1,776 | |
1,905,000 | | Malaysia Government Bond, 4.18%, 7/15/24 MYR | | | 472 | |
7,255,000 | | Malaysia Government Bond, 4.39%, 4/15/26 MYR | | | 1,840 | |
1,700,000 | | Malaysia Government Bond, 4.76%, 4/07/37 MYR | | | 463 | |
| | | | | 6,172 | |
| |
Mexico (MXN) (8%) | | | | |
72,300 | | America Movil SAB de CV, 6.45%, 12/05/22 MXN | | | 296 | |
10,700,000 | | Comision Federal de Electricidad, 7.35%, 11/25/25 MXN | | | 413 | |
7,270,000 | | Grupo Televisa SAB, 7.25%, 5/14/43 MXN | | | 206 | |
17,300,000 | | Mexican Bonos, 6.50%, 6/09/22 MXN | | | 736 | |
46,000,000 | | Mexican Bonos, 7.50%, 6/03/27 MXN | | | 2,050 | |
39,220,000 | | Mexican Bonos, 7.75%, 11/23/34 MXN | | | 1,726 | |
24,620,000 | | Mexican Bonos, 7.75%, 11/13/42 MXN | | | 1,017 | |
15,000,000 | | Mexican Bonos, 8.00%, 12/07/23 MXN | | | 676 | |
22,700,000 | | Mexican Bonos, 8.00%, 11/07/47 MXN | | | 971 | |
40,500,000 | | Mexican Bonos, 8.50%, 5/31/29 MXN | | | 1,899 | |
10,600,000 | | Mexican Bonos, 8.50%, 11/18/38 MXN | | | 480 | |
9,200,000 | | Petroleos Mexicanos, 7.19%, 9/12/24 MXN | | | 297 | |
16,240,000 | | Petroleos Mexicanos 144A, 7.65%, 11/24/21 MXN (a) | | | 649 | |
| | | | | 11,416 | |
| |
Peru (PEN) (6%) | | | | |
3,100,000 | | Banco de Credito del Peru 144A, 4.65%, 9/17/24 PEN (a) | | | 942 | |
402,000 | | Banco de Credito del Peru 144A, 4.85%, 10/30/20 PEN (a) | | | 120 | |
2,085,000 | | Peru Government Bond 144A, 5.35%, 8/12/40 PEN (a)(b) | | | 589 | |
4,930,000 | | Peru Government Bond 144A, 5.40%, 8/12/34 PEN (a)(b) | | | 1,506 | |
2,610,000 | | Peru Government Bond 144A, 5.94%, 2/12/29 PEN (a)(b) | | | 873 | |
5,010,000 | | Peru Government Bond 144A, 6.15%, 8/12/32 PEN (a)(b) | | | 1,649 | |
2,660,000 | | Peruvian Government International Bond 144A, 5.35%, 8/12/40 PEN (a) | | | 752 | |
2,055,000 | | Peruvian Government International Bond 144A, 6.35%, 8/12/28 PEN (a) | | | 708 | |
4,030,000 | | Peruvian Government International Bond 144A, 6.95%, 8/12/31 PEN (a) | | | 1,417 | |
| | | | | 8,556 | |
| |
Philippines (PHP) (0%) | | | | |
17,000,000 | | Philippine Government International Bond, 6.25%, 1/14/36 PHP | | | 381 | |
| |
Poland (PLN) (7%) | | | | |
7,120,000 | | Republic of Poland Government Bond, 2.50%, 4/25/24 PLN | | | 1,899 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
9,920,000 | | Republic of Poland Government Bond, 2.75%, 10/25/29 PLN | | $ | 2,670 | |
9,070,000 | | Republic of Poland Government Bond, 3.25%, 7/25/25 PLN | | | 2,440 | |
2,370,000 | | Republic of Poland Government Bond, 4.00%, 10/25/23 PLN | | | 637 | |
5,600,000 | | Republic of Poland Government Bond, 5.75%, 9/23/22 PLN | | | 1,515 | |
| | | | | 9,161 | |
| |
Romania (RON) (1%) | | | | |
5,200,000 | | Romania Government Bond, 5.00%, 2/12/29 RON | | | 1,195 | |
2,700,000 | | Romania Government Bond, 5.80%, 7/26/27 RON | | | 666 | |
| | | | | 1,861 | |
| |
Russian Federation (RUB) (9%) | | | | |
344,375,000 | | Russian Federal Bond—OFZ, 7.05%, 1/19/28 RUB | | | 4,996 | |
149,000,000 | | Russian Federal Bond—OFZ, 7.70%, 3/23/33 RUB | | | 2,287 | |
38,000,000 | | Russian Federal Bond—OFZ, 7.70%, 3/16/39 RUB | | | 598 | |
276,770,000 | | Russian Federal Bond—OFZ, 8.15%, 2/03/27 RUB | | | 4,240 | |
| | | | | 12,121 | |
| |
South Africa (ZAR) (7%) | | | | |
1,510,000 | | Republic of South Africa Government Bond, 6.50%, 2/28/41 ZAR | | | 49 | |
23,000,000 | | Republic of South Africa Government Bond, 8.25%, 3/31/32 ZAR | | | 1,033 | |
58,900,000 | | Republic of South Africa Government Bond, 8.50%, 1/31/37 ZAR | | | 2,471 | |
39,000,000 | | Republic of South Africa Government Bond, 8.75%, 1/31/44 ZAR | | | 1,595 | |
16,200,000 | | Republic of South Africa Government Bond, 8.75%, 2/28/48 ZAR | | | 657 | |
32,000,000 | | Republic of South Africa Government Bond, 8.88%, 2/28/35 ZAR | | | 1,427 | |
32,460,000 | | Republic of South Africa Government Bond, 10.50%, 12/21/26 ZAR | | | 1,925 | |
11,200,000 | | Transnet SOC Ltd. 144A, 9.50%, 5/13/21
ZAR (a) | | | 636 | |
| | | | | 9,793 | |
| |
South Korea (MXN) (0%) | | | | |
12,000,000 | | Export-Import Bank of Korea, 7.93%, 7/30/26 MXN | | | 516 | |
Thailand (THB) (7%) | | | | |
8,400,000 | | Thailand Government Bond, 2.88%, 6/17/46 THB | | | 300 | |
31,500,000 | | Thailand Government Bond, 3.30%, 6/17/38 THB | | | 1,244 | |
48,500,000 | | Thailand Government Bond, 3.40%, 6/17/36 THB | | | 1,898 | |
170,000 | | Thailand Government Bond, 3.65%, 12/17/21 THB | | | 5 | |
70,500,000 | | Thailand Government Bond, 3.65%, 6/20/31 THB | | | 2,687 | |
94 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
94,800,000 | | Thailand Government Bond, 4.88%, 6/22/29 THB | | $ | 3,868 | |
| | | 10,002 | |
| |
Turkey (TRY) (2%) | | | | |
3,676,520 | | Turkey Government Bond, 3.00%, 2/23/22 TRY | | | 537 | |
7,200,000 | | Turkey Government Bond, 7.10%, 3/08/23 TRY | | | 950 | |
7,140,000 | | Turkey Government Bond, 11.00%, 3/02/22 TRY | | | 1,054 | |
| | | 2,541 | |
| |
Ukraine (UAH) (0%) | | | | |
11,570,000 | | Ukraine Government International Bond 144A, 11.67%, 11/22/23 UAH (a) | | | 387 | |
| |
United Kingdom (IDR) (4%) | | | | |
59,000,000,000 | | Standard Chartered Bank 144A, 8.25%, 5/19/36 IDR (a) | | | 4,006 | |
17,200,000,000 | | Standard Chartered Bank 144A, 8.38%, 3/17/34 IDR (a) | | | 1,172 | |
| | | 5,178 | |
| |
United States (IDR) (5%) | | | | |
32,200,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.38%, 3/17/34 IDR (a) | | | 2,197 | |
10,000,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.75%, 5/19/31 IDR (a) | | | 705 | |
49,194,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 9.50%, 7/17/31 IDR (a) | | | 3,624 | |
| | | 6,526 | |
| |
United States (UAH) (2%) | | | | |
27,000,000 | | Citigroup Global Markets Holdings Inc. 144A, 15.92%, 11/19/21 UAH (a) | | | 1,100 | |
56,000,000 | | Citigroup Global Markets Holdings Inc. (Republic of Ukraine) 144A, 13.41%, 10/17/22 UAH (a) | | | 2,108 | |
| | | 3,208 | |
| |
Uruguay (UYU) (0%) | | | | |
10,970,000 | | Uruguay Government International Bond 144A, 8.50%, 3/15/28 UYU (a) | | | 218 | |
Total Bonds (Cost - $154,847) | | | 131,199 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Investment Company (3%) | | | | |
3,357,680 | | Payden Cash Reserves Money Market Fund *
(Cost-$3,358) | | $ | 3,358 | |
| |
Total Investments (Cost - $158,205) (97%) | | | 134,557 | |
Other Assets, net of Liabilities (3%) | | | 4,602 | |
| |
Net Assets (100%) | | $ | 139,159 | |
| (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. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | | | Counterparty | | | Settlement Date | | | Unrealized Appreciation (Depreciation) (000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
CLP 872,400 | | | USD 1,021 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/13/2020 | | | $ | 26 | |
HUF 846,037 | | | USD 2,609 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/22/2020 | | | | 18 | |
IDR 13,168,000 | | | USD 829 | | | | | | | | Barclays Bank PLC | | | | 06/04/2020 | | | | 52 | |
IDR 97,354,000 | | | USD 6,146 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/04/2020 | | | | 369 | |
MYR 4,049 | | | USD 921 | | | | | | | | Barclays Bank PLC | | | | 08/24/2020 | | | | 17 | |
PEN 6,431 | | | USD 1,895 | | | | | | | | Citibank, N.A. | | | | 05/26/2020 | | | | 7 | |
PEN 4,183 | | | USD 1,194 | | | | | | | | Citibank, N.A. | | | | 05/26/2020 | | | | 43 | |
PHP 56,900 | | | USD 1,110 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/17/2020 | | | | 16 | |
RUB 118,866 | | | USD 1,516 | | | | | | | | Citibank, N.A. | | | | 05/13/2020 | | | | 83 | |
RUB 44,380 | | | USD 596 | | | | | | | | Citibank, N.A. | | | | 05/13/2020 | | | | 1 | |
RUB 153,240 | | | USD 2,006 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/13/2020 | | | | 54 | |
Semi-Annual Report 95
Payden Emerging Markets Local Bond Fundcontinued
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | | | Counterparty | | | Settlement Date | | | Unrealized Appreciation (Depreciation) (000s) | |
THB 87,850 | | | USD 2,689 | | | | | | | | Barclays Bank PLC | | | | 08/11/2020 | | | $ | 27 | |
TRY 1,967 | | | USD 269 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/22/2020 | | | | 6 | |
USD 2,330 | | | ZAR 36,010 | | | | | | | | BNP PARIBAS | | | | 05/21/2020 | | | | 392 | |
USD 4,818 | | | PEN 16,054 | | | | | | | | BNP PARIBAS | | | | 05/26/2020 | | | | 70 | |
USD 3,145 | | | ZAR 50,480 | | | | | | | | Citibank, N.A. | | | | 05/21/2020 | | | | 428 | |
USD 652 | | | ZAR 11,991 | | | | | | | | Citibank, N.A. | | | | 05/21/2020 | | | | 7 | |
USD 413 | | | TRY 2,947 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/22/2020 | | | | 1 | |
USD 3,199 | | | COP 12,653,000 | | | | | | | | HSBC Bank USA, N.A. | | | | 08/18/2020 | | | | 31 | |
ZAR 20,820 | | | USD 1,114 | | | | | | | | Citibank, N.A. | | | | 05/21/2020 | | | | 7 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 1,655 | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
BRL 8,107 | | | USD 1,629 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/18/2020 | | | | (143 | ) |
CNH 9,692 | | | USD 1,374 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/12/2020 | | | | (5 | ) |
CZK 95,360 | | | USD 4,030 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/18/2020 | | | | (172 | ) |
IDR 17,444,000 | | | USD 1,215 | | | | | | | | Barclays Bank PLC | | | | 06/04/2020 | | | | (48 | ) |
MXN 126,800 | | | USD 5,214 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/20/2020 | | | | (18 | ) |
PLN 25,508 | | | USD 6,661 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/26/2020 | | | | (515 | ) |
USD 4,757 | | | IDR 71,252,000 | | | | | | | | Barclays Bank PLC | | | | 06/04/2020 | | | | (10 | ) |
USD 2,704 | | | THB 87,820 | | | | | | | | Barclays Bank PLC | | | | 08/11/2020 | | | | (11 | ) |
USD 1,747 | | | RUB 133,610 | | | | | | | | Citibank, N.A. | | | | 05/13/2020 | | | | (50 | ) |
USD 2,287 | | | PEN 8,082 | | | | | | | | Citibank, N.A. | | | | 05/26/2020 | | | | (103 | ) |
USD 2,836 | | | CZK 72,010 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/18/2020 | | | | (77 | ) |
USD 2,829 | | | IDR 42,931,000 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/04/2020 | | | | (44 | ) |
USD 1,821 | | | PLN 7,684 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/26/2020 | | | | (30 | ) |
USD 1,014 | | | CLP 858,000 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/13/2020 | | | | (16 | ) |
USD 525 | | | PHP 26,810 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/17/2020 | | | | (5 | ) |
USD 2,919 | | | MXN 71,840 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/20/2020 | | | | (25 | ) |
USD 3,606 | | | HUF 1,192,700 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/22/2020 | | | | (98 | ) |
USD 58 | | | RON 263 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/23/2020 | | | | (1 | ) |
ZAR 15,380 | | | USD 1,023 | | | | | | | | BNP PARIBAS | | | | 05/21/2020 | | | | (195 | ) |
ZAR 7,660 | | | USD 522 | | | | | | | | BNP PARIBAS | | | | 05/21/2020 | | | | (109 | ) |
ZAR 13,090 | | | USD 799 | | | | | | | | Citibank, N.A. | | | | 05/21/2020 | | | | (95 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (1,770 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | (115 | ) |
| | | | | | | | | | | | | | | | | | | | |
Open OTC Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | Notional Amount (000s) | | Value (000s) | | | Upfront payments/
receipts (000s) | | | Unrealized Appreciation (000s) | |
Barclays Bank, 5-Year Interest Rate Swap, Receive Fixed 2.35% | | 03/05/2025 | | CNY 15,750 | | $ | 58 | | | $ | — | | | $ | 58 | |
| | | | | | | | | | | | | | | | |
Quarterly, Pay Variable 2.10% (CNR R007) Quarterly | | | | | | | | | | | | | | | | |
See notes to financial statements.
96 Payden Mutual Funds
Payden Emerging Markets Corporate Bond Fund
| | | | | | | | | | |
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 Bond | | | 82% | |
| | Foreign Government | | | 7% | |
| | Mortgage Backed | | | 3% | |
| | Bank Loans | | | 2% | |
| | Asset Backed | | | 1% | |
| | | | | Cash equivalent | | | 5% | | | |
Schedule of Investments -April 30, 2020 (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) | | $ | 16 | |
| |
Argentina (USD) (1%) | | | | |
230,000 | | Capex SA 144A, 6.88%, 5/15/24 (a) | | | 154 | |
225,000 | | Pampa Energia SA 144A, 7.38%, 7/21/23 (a) | | | 148 | |
255,000 | | Provincia de Buenos Aires/Argentina 144A, 6.50%, 2/15/23 (a) | | | 72 | |
70,000 | | Tecpetrol SA 144A, 4.88%, 12/12/22 (a) | | | 55 | |
| | | | | 429 | |
| |
Austria (USD)(1%) | | | | |
220,000 | | JBS Investments II GmbH 144A, 7.00%,
1/15/26 (a) | | | 229 | |
200,000 | | Klabin Austria GmbH 144A, 5.75%, 4/03/29 (a) | | | 196 | |
| | | | | 425 | |
| |
Bahamas (USD) (1%) | | | | |
405,000 | | Intercorp Peru Ltd. 144A, 3.88%, 8/15/29 (a) | | | 366 | |
| |
Bermuda (USD) (2%) | | | | |
105,000 | | Digicel Group One Ltd. 144A, 8.25%, 12/30/22 (a) | | | 63 | |
100,000 | | Digicel Group Two Ltd. 144A, 8.25%, 9/30/22 (a) | | | 5 | |
210,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 135 | |
200,000 | | Ooredoo International Finance Ltd. 144A, 5.00%, 10/19/25 (a) | | | 222 | |
285,000 | | Tengizchevroil Finance Co. International Ltd. 144A, 4.00%, 8/15/26 (a) | | | 273 | |
| | | | | 698 | |
| |
Brazil (USD) (2%) | | | | |
200,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.822%), 4.50%, 11/21/29 (a)(b) | | | 189 | |
196,199 | | Prumo Participacoes e Investimentos S/A 144A, 7.50%, 12/31/31 (a) | | | 180 | |
691,905 | | USJ-Acucar e Alcool S/A 144A, 10.50%,
11/09/23 (a) | | | 346 | |
| | | | | 715 | |
| |
Canada (USD) (1%) | | | | |
420,000 | | CNOOC Finance 2014 ULC, 4.25%, 4/30/24 | | | 453 | |
| |
Cayman Islands (USD) (8%) | | | | |
200,000 | | Bioceanico Sovereign Certificate Ltd. 144A, 0.00%, 6/05/34 (a)(c) | | | 128 | |
220,000 | | Braskem Finance Ltd. 144A, 7.38% (a)(d) | | | 205 | |
610,000 | | Dar Al-Arkan Sukuk Co. Ltd., 6.88%, 4/10/22 (e) | | | 573 | |
200,000 | | Industrial Senior Trust 144A, 5.50%, 11/01/22 (a) | | | 202 | |
450,000 | | JD.com Inc., 3.38%, 1/14/30 | | | 467 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
405,000 | | Kaisa Group Holdings Ltd., 7.25%, 6/30/20 (e) | | $ | 405 | |
210,000 | | Melco Resorts Finance Ltd., 4.88%, 6/06/25 (e) | | | 204 | |
98,900 | | Odebrecht Oil & Gas Finance Ltd. 144A,
0.00%, (a)(c)(d) | | | 1 | |
280,000 | | Saudi Electricity Global Sukuk Co. 2 144A, 5.06%, 4/08/43 (a) | | | 298 | |
220,000 | | Saudi Electricity Global Sukuk Co. 4, 4.72%, 9/27/28 (e) | | | 243 | |
200,000 | | Weibo Corp., 3.50%, 7/05/24 | | | 204 | |
| | | | | 2,930 | |
| |
Chile (USD) (2%) | | | | |
280,840 | | Empresa Electrica Angamos SA 144A, 4.88%, 5/25/29 (a)(f) | | | 278 | |
210,000 | | Engie Energia Chile SA 144A, 3.40%, 1/28/30 (a) | | | 204 | |
325,375 | | Latam Airlines 2015-1 Pass-Through Trust B, 4.50%, 11/15/23 | | | 234 | |
| | | | | 716 | |
| |
China (USD) (0%) | | | | |
200,000 | | China Life Insurance Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.294%), 4.00%, 7/03/75 (b)(e) | | | 195 | |
| |
Colombia (USD) (4%) | | | | |
215,000 | | Banco de Bogota SA 144A, 4.38%, 8/03/27 (a) | | | 197 | |
215,000 | | Banco de Bogota SA 144A, 6.25%, 5/12/26 (a) | | | 216 | |
190,000 | | Ecopetrol SA, 5.88%, 9/18/23 | | | 196 | |
400,000 | | Grupo de Inversiones Suramericana SA 144A, 5.50%, 4/29/26 (a) | | | 403 | |
405,000 | | Oleoducto Central SA 144A, 4.00%, 5/07/21 (a) | | | 407 | |
| | | | | 1,419 | |
| |
Cyprus (USD) (0%) | | | | |
200,000 | | MHP SE 144A, 7.75%, 5/10/24 (a) | | | 196 | |
| |
Dominica Republic (USD) (0%) | | | | |
203,333 | | Dominican Republic International Bond 144A, 7.50%, 5/06/21 (a) | | | 203 | |
| |
Georgia (USD) (1%) | | | | |
200,000 | | Silknet JSC, 11.00%, 4/02/24 (e) | | | 193 | |
210,000 | | TBC Bank JSC 144A, 5.75%, 6/19/24 (a) | | | 199 | |
| | | | | 392 | |
| |
Ghana (USD) (0%) | | | | |
200,000 | | Ghana Government International Bond 144A, 6.38%, 2/11/27 (a) | | | 155 | |
| |
Guatemala (USD)(1%) | | | | |
200,000 | | Guatemala Government Bond 144A, 5.38%,
4/24/32 (a) | | | 207 | |
Semi-Annual Report 97
Payden Emerging Markets Corporate Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Hong Kong (USD) (2%) | | | | |
200,000 | | AIA Group Ltd. 144A, 3.20%, 3/11/25 (a) | | $ | 208 | |
400,000 | | CNAC HK Finbridge Co. Ltd., 3.88%, 6/19/29 (e) | | | 407 | |
200,000 | | CNAC HK Finbridge Co. Ltd., 5.13%, 3/14/28 (e) | | | 219 | |
| | | | | 834 | |
| |
India (USD) (5%) | | | | |
210,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%,
2/12/30 (a) | | | 179 | |
305,000 | | Adani Green Energy UP Ltd./Prayatna Developers Pvt. Ltd./Parampujya Solar Energy 144A, 6.25%, 12/10/24 (a) | | | 299 | |
204,225 | | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt. Ltd./Wardha Solar Maharash 144A, 4.63%, 10/15/39 (a) | | | 180 | |
200,000 | | Adani Transmission Ltd. 144A, 4.25%, 5/21/36 (a) | | | 178 | |
200,000 | | Export-Import Bank of India 144A, 3.38%,
8/05/26 (a) | | | 197 | |
220,000 | | Muthoot Finance Ltd. 144A, 6.13%, 10/31/22 (a) | | | 200 | |
210,000 | | ReNew Power Ltd. 144A, 6.45%, 9/27/22 (a) | | | 185 | |
210,000 | | ReNew Power Pvt. Ltd. 144A, 5.88%, 3/05/27 (a) | | | 172 | |
420,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 323 | |
| | | | | 1,913 | |
| |
Indonesia (USD) (2%) | | | | |
200,000 | | Indonesia Asahan Aluminium Persero PT 144A, 6.53%, 11/15/28 (a) | | | 218 | |
200,000 | | Pertamina Persero PT 144A, 3.10%, 8/25/30 (a) | | | 186 | |
200,000 | | Pertamina Persero PT 144A, 6.50%, 11/07/48 (a) | | | 226 | |
| | | | | 630 | |
| |
Ireland (USD) (1%) | | | | |
400,000 | | C&W Senior Financing DAC 144A, 7.50%,
10/15/26 (a) | | | 402 | |
| |
Israel (USD) (2%) | | | | |
410,000 | | Bank Leumi Le-Israel BM 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity +1.631%), 3.28%, 1/29/31 (a)(b)(e) | | | 381 | |
265,000 | | Israel Electric Corp. Ltd. 144A, 6.88%, 6/21/23 (a) | | | 298 | |
| | | | | 679 | |
| |
Ivory Coast (USD) (0%) | | | | |
210,000 | | Ivory Coast Government International Bond 144A, 6.38%, 3/03/28 (a) | | | 189 | |
| |
Jersey (USD) (1%) | | | | |
435,000 | | Petropavlovsk 2016 Ltd., 8.13%, 11/14/22 (e) | | | 456 | |
| |
Kazakhstan (KZT) (0%) | | | | |
70,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a) | | | 148 | |
| |
Luxembourg (USD) (3%) | | | | |
307,669 | | JBS USA LUX SA Term Loan B 1L, (LIBOR USD 3-Month + 2.000%), 3.07%, 5/01/26 (g) | | | 298 | |
210,000 | | MHP Lux SA 144A, 6.25%, 9/19/29 (a) | | | 179 | |
200,000 | | Millicom International Cellular SA 144A, 5.13%, 1/15/28 (a) | | | 185 | |
220,000 | | Minerva Luxembourg SA 144A, 6.50%, 9/20/26 (a) | | | 212 | |
200,000 | | VTB Bank OJSC Via VTB Capital SA 144A, 6.95%, 10/17/22 (a) | | | 209 | |
| | | | | 1,083 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Malaysia (USD) (1%) | | | | |
200,000 | | Petronas Capital Ltd. 144A, 3.50%, 4/21/30 (a) | | $ | 210 | |
| |
Marshall Islands (USD) (1%) | | | | |
250,000 | | Nakilat Inc. 144A, 6.07%, 12/31/33 (a) | | | 291 | |
| |
Mauritius (USD) (0%) | | | | |
200,000 | | Azure Power Solar Energy Pvt. Ltd. 144A, 5.65%, 12/24/24 (a) | | | 185 | |
| |
Mexico (MXN) (0%) | | | | |
1,600,000 | | Mexican Bonos, 8.50%, 11/18/38 MXN | | | 73 | |
| |
Mexico (USD) (6%) | | | | |
200,000 | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.995%), 5.95%, 10/01/28 (a)(b) | | | 194 | |
205,000 | | BBVA Bancomer SA 144A, 6.75%, 9/30/22 (a) | | | 213 | |
200,000 | | Cibanco SA Ibm/PLA Administradora Industrial S de RL de CV 144A, 4.96%, 7/18/29 (a) | | | 150 | |
190,000 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 (a) | | | 172 | |
448,120 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (a) | | | 444 | |
200,000 | | Fomento Economico Mexicano SAB de CV, 3.50%, 1/16/50 | | | 193 | |
200,000 | | Grupo Bimbo SAB de CV 144A, 4.00%, 9/06/49 (a) | | | 183 | |
200,000 | | Grupo Bimbo SAB de CV 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.280%), 5.95% (a)(b)(d) | | | 200 | |
205,000 | | Infraestructura Energetica Nova SAB de CV 144A, 4.88%, 1/14/48 (a) | | | 172 | |
200,000 | | Mexico City Airport Trust 144A, 5.50%, 7/31/47 (a) | | | 168 | |
229,690 | | Mexico Generadora de Energia S de rl 144A, 5.50%, 12/06/32 (a) | | | 228 | |
60,000 | | Petroleos Mexicanos 144A, 6.49%, 1/23/27 (a) | | | 49 | |
| | | | | 2,366 | |
| |
Morocco (USD) (1%) | | | | |
225,000 | | OCP SA 144A, 6.88%, 4/25/44 (a) | | | 270 | |
| |
Netherlands (USD) (13%) | | | | |
205,000 | | Bharti Airtel International Netherlands BV 144A, 5.35%, 5/20/24 (a) | | | 214 | |
235,000 | | Equate Petrochemical BV 144A, 3.00%, 3/03/22 (a) | | | 236 | |
210,000 | | Greenko Dutch BV 144A, 5.25%, 7/24/24 (a) | | | 188 | |
200,000 | | Listrindo Capital BV, 4.95%, 9/14/26 (e) | | | 194 | |
200,000 | | Lukoil Securities BV 144A, 3.88%, 5/06/30 (a) | | | 200 | |
200,000 | | Minejesa Capital BV 144A, 4.63%, 8/10/30 (a) | | | 192 | |
435,000 | | Minejesa Capital BV 144A, 5.63%, 8/10/37 (a) | | | 415 | |
197,212 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (a) | | | 167 | |
390,000 | | Petrobras Global Finance BV, 5.30%, 1/27/25 | | | 381 | |
180,000 | | Petrobras Global Finance BV, 6.00%, 1/27/28 | | | 175 | |
40,000 | | Petrobras Global Finance BV, 6.90%, 3/19/49 | | | 39 | |
98 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
90,000 | | Petrobras Global Finance BV, 8.75%, 5/23/26 | | $ | 100 | |
200,000 | | Prosus NV 144A, 3.68%, 1/21/30 (a) | | | 201 | |
500,000 | | Prosus NV 144A, 5.50%, 7/21/25 (a) | | | 550 | |
890,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.75%, 3/01/28 | | | 920 | |
210,000 | | VEON Holdings BV 144A, 4.00%, 4/09/25 (a) | | | 218 | |
290,000 | | VEON Holdings BV 144A, 4.95%, 6/16/24 (a) | | | 308 | |
325,000 | | VTR Finance BV 144A, 6.88%, 1/15/24 (a) | | | 325 | |
| | | | | 5,023 | |
| |
Nigeria (USD) (0%) | | | | |
216,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (a) | | | 165 | |
| |
Panama (USD) (1%) | | | | |
210,000 | | Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd. 144A, 8.38%, 5/10/20 (a) | | | 39 | |
200,000 | | Banco General SA 144A, 4.13%, 8/07/27 (a) | | | 198 | |
| | | | | 237 | |
| |
Paraguay (USD) (1%) | | | | |
200,000 | | Paraguay Government International Bond 144A, 4.95%, 4/28/31 (a) | | | 207 | |
| |
Peru (PEN) (1%) | | | | |
1,180,000 | | Peruvian Government International Bond 144A, 6.35%, 8/12/28 PEN (a) | | | 406 | |
| |
Peru (USD) (4%) | | | | |
194,960 | | ABY Transmision Sur SA 144A, | | | | |
| | 6.88%, 4/30/43 (a) | | | 246 | |
170,000 | | Banco de Credito del Peru 144A, (3 mo. LIBOR USD + 7.043%), 6.13%, 4/24/27 (a)(b) | | | 180 | |
325,000 | | Banco Internacional del Peru SAA Interbank 144A, (3 mo. LIBOR USD + 5.760%), 6.63%,
3/19/29 (a)(b) | | | 340 | |
200,000 | | Kallpa Generacion SA 144A, 4.88%, 5/24/26 (a) | | | 205 | |
40,000 | | Peruvian Government International Bond, 2.39%, 1/23/26 | | | 41 | |
50,000 | | Peruvian Government International Bond, 2.78%, 1/23/31 | | | 52 | |
200,000 | | SAN Miguel Industrias Pet SA 144A, 4.50%, 9/18/22 (a) | | | 197 | |
360,000 | | Scotiabank Peru SAA 144A, (3 mo. LIBOR USD + 3.856%), 4.50%, 12/13/27 (a)(b) | | | 362 | |
| | | | | 1,623 | |
| |
Qatar (USD) (1%) | | | | |
200,000 | | Qatar Government International Bond 144A, 3.40%, 4/16/25 (a) | | | 213 | |
300,000 | | Ras Laffan Liquefied Natural Gas Co. Ltd. 3 144A, 5.84%, 9/30/27 (a) | | | 338 | |
| | | | | 551 | |
| |
Saudi Arabia (USD) (1%) | | | | |
200,000 | | Saudi Arabian Oil Co. 144A, 4.25%, 4/16/39 (a) | | | 207 | |
200,000 | | Saudi Telecom Co., 3.89%, 5/13/29 (e) | | | 209 | |
| | | | | 416 | |
| |
Singapore (USD) (1%) | | | | |
210,000 | | BOC Aviation Ltd. 144A, 3.00%, 9/11/29 (a) | | | 202 | |
200,000 | | Marble II Pte Ltd. 144A, 5.30%, 6/20/22 (a)(f) | | | 184 | |
| | | | | 386 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Spain (USD) (1%) | | | | |
250,000 | | AI Candelaria Spain SLU 144A, 7.50%,
12/15/28 (a) | | $ | 229 | |
| |
Sri Lanka (USD) (0%) | | | | |
230,000 | | Sri Lanka Government International Bond 144A, 5.88%, 7/25/22 (a) | | | 145 | |
| |
Switzerland (USD) (0%) | | | | |
200,000 | | UBS AG 144A, 1.75%, 4/21/22 (a) | | | 201 | |
| |
Thailand (USD) (1%) | | | | |
400,000 | | Bangkok Bank PCL 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.900%), 3.73%, 9/25/34 (a)(b) | | | 359 | |
| |
Turkey (USD) (1%) | | | | |
220,000 | | Turkiye Sise ve Cam Fabrikalari AS 144A, 6.95%, 3/14/26 (a) | | | 213 | |
| |
Ukraine (USD) (1%) | | | | |
215,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/21 (a) | | | 208 | |
| |
United Arab Emirates (USD) (7%) | | | | |
200,000 | | Abu Dhabi Crude Oil Pipeline LLC 144A, 4.60%, 11/02/47 (a) | | | 215 | |
220,000 | | Abu Dhabi National Energy Co. PJSC 144A, 3.63%, 6/22/21 (a) | | | 224 | |
200,000 | | Abu Dhabi National Energy Co. PJSC, 4.38%, 6/22/26 (e) | | | 215 | |
200,000 | | Abu Dhabi National Energy Co. PJSC 144A, 4.38%, 6/22/26 (a) | | | 215 | |
730,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | | 715 | |
200,000 | | DP World PLC 144A, 6.85%, 7/02/37 (a) | | | 219 | |
280,000 | | Emirates Semb Corp. Water & Power Co. PJSC 144A, 4.45%, 8/01/35 (a)(f) | | | 304 | |
200,000 | | Ruwais Power Co. PJSC 144A, | | | | |
| | 6.00%, 8/31/36 (a) | | | 234 | |
200,000 | | Tabreed Sukuk Spc Ltd., 5.50%, 10/31/25 (e) | | | 210 | |
| | | | | 2,551 | |
| |
United Kingdom (USD) (1%) | | | | |
275,000 | | MARB BondCo PLC 144A, 6.88%, 1/19/25 (a) | | | 265 | |
| |
United States (IDR) (1%) | | | | |
6,700,000,000 | | JPMorgan Chase Bank NA 144A, 8.25%, 5/17/36 IDR (a) | | | 455 | |
| |
United States (USD) (7%) | | | | |
156,098 | | Connecticut Avenue Securities Trust 2018-R07 144A, (1 mo. LIBOR USD + 2.400%), 2.89%, 4/25/31 (a)(b) | | | 147 | |
199,000 | | Domino’s Pizza Master Issuer LLC 144A, 3.67%, 10/25/49 (a) | | | 195 | |
95,000 | | DuPont de Nemours Inc., 2.17%, 5/01/23 | | | 96 | |
220,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.150%), 2.64%, 10/25/30 (b) | | | 200 | |
122,411 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 2.69%, 8/25/30 (b) | | | 109 | |
190,286 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.550%), 3.04%, 12/25/30 (b) | | | 167 | |
195,000 | | Ford Motor Co., 9.00%, 4/22/25 | | | 191 | |
Semi-Annual Report 99
Payden Emerging Markets Corporate Bond Fundcontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
215,000 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.14%, 1/25/49 (a)(b) | | $ | 193 | |
96,649 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 4/25/49 (a)(b) | | | 88 | |
202,496 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%), 2.79%, 9/25/30 (b) | | | 180 | |
205,000 | | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 144A, 4.75%, 6/01/27 (a) | | | 213 | |
285,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.24%, 4/25/43 (a)(b) | | | 207 | |
510,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD 1-Month + 7.500%), 7.90%, 2/05/28 (g) | | | 402 | |
100,725 | | Taco Bell Funding LLC 144A, 4.94%, 11/25/48 (a) | | | 107 | |
190,000 | | T-Mobile USA Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.000%), 4.94%, 4/01/27 (g) | | | 189 | |
195,000 | | US. Foods Inc. 144A, 6.25%, 4/15/25 (a) | | | 200 | |
| | | | | 2,884 | |
| |
Virgin Islands (British) (USD) (3%) | | | | |
100,000 | | Arcos Dorados Holdings Inc. 144A, 6.63%, 9/27/23 (a) | | | 99 | |
200,000 | | Gold Fields Orogen Holdings BVI Ltd. 144A, 6.13%, 5/15/29 (a) | | | 212 | |
200,000 | | Gold Fields Orogen Holdings BVI Ltd., 6.13%, 5/15/29 (e) | | | 212 | |
405,000 | | Huarong Finance 2019 Co. Ltd., 3.88%, 11/13/29 (e) | | | 400 | |
200,000 | | Sino-Ocean Land Treasure Finance II Ltd., 5.95%, 2/04/27 (e) | | | 205 | |
| | | | | | |
| | | | | 1,128 | |
| | | | | | |
Total Bonds (Cost - $39,531) | | | 36,896 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Investment Company (5%) | | | | |
1,983,884 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $1,984) | | $ | 1,984 | |
| | | | | | |
Total Investments (Cost - $41,515) (100%) | | | 38,880 | |
Liabilities in excess of Other Assets (0%) | | | (13 | ) |
| | | | | | |
Net Assets (100%) | | $ | 38,867 | |
| | | | | | |
| (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, 2020. |
| (c) | Yield to maturity at time of purchase. |
| (d) | Perpetual security with no stated maturity date. |
| (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, 2020, the total market value of the Fund’s securities on loan is $403 and the total market value of the collateral held by the Fund is $384. Amounts in 000s. |
| (g) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
100 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | |
IDR 1,838,000 | | USD 116 | | | | | HSBC Bank USA, N.A. | | | | 06/04/2020 | | | $ | 6 | |
PEN 181 | | USD 52 | | | | | Citibank, N.A. | | | | 05/26/2020 | | | | 2 | |
PHP 9,710 | | USD 189 | | | | | HSBC Bank USA, N.A. | | | | 07/17/2020 | | | | 3 | |
RUB 17,637 | | USD 220 | | | | | Citibank, N.A. | | | | 05/13/2020 | | | | 17 | |
USD 285 | | IDR 4,181,000 | | | | | HSBC Bank USA, N.A. | | | | 06/04/2020 | | | | 5 | |
USD 9 | | BRL 44 | | | | | HSBC Bank USA, N.A. | | | | 06/18/2020 | | | | 1 | |
USD 268 | | MXN 6,540 | | | | | HSBC Bank USA, N.A. | | | | 07/20/2020 | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 34 | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
MXN 6,120 | | USD 258 | | | | | HSBC Bank USA, N.A. | | | | 07/20/2020 | | | | (7 | ) |
USD 2 | | IDR 28,000 | | | | | Barclays Bank PLC | | | | 06/04/2020 | | | | — | |
USD 193 | | THB 6,310 | | | | | Barclays Bank PLC | | | | 08/11/2020 | | | | (2 | ) |
USD 484 | | MYR 2,128 | | | | | Barclays Bank PLC | | | | 08/24/2020 | | | | (9 | ) |
USD 252 | | RUB 19,140 | | | | | Citibank, N.A. | | | | 05/13/2020 | | | | (5 | ) |
USD 421 | | PEN 1,448 | | | | | Citibank, N.A. | | | | 05/26/2020 | | | | (7 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (30 | ) |
| | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | $ | 4 | |
| | | | | | | | | | | | | | | | |
Open Centrally Cleared Credit Default Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Appreciation/
(Depreciation)
(000s) | |
Protection Bought (Relevant Credit: CDS Brazil 100, Issuer Name: | | | 06/20/2025 | | | $ | 605 | | | $ | 59 | | | $ | 56 | | | $ | 3 | |
Federative Republic of Brazil), Pay 1% Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | |
Protection Bought (Relevant Credit: CDS Index Swap Brazil 100, Issuer Name: Federative Republic of Brazil), Pay 1% Quarterly, Receive upon credit default | | | 12/20/2024 | | | | 915 | | | | 77 | | | | 75 | | | | 2 | |
Protection Bought (Relevant Credit: CDS Mexico 100, Issuer Name: United Mexican States), Pay 1% Quarterly, Receive upon credit default | | | 06/20/2025 | | | | 200 | | | | 15 | | | | 16 | | | | (1 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 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 | | $ | 403 | |
Non-cash Collateral2 | | | (403 | ) |
| | | | |
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, 2020, 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 101
Payden Equity Income Fund
| | | | | | | | | | |
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 | | | |
| | | |
| | Financials | | | 21% | |
| | Healthcare | | | 17% | |
| | Technology | | | 16% | |
| | Consumer Staples | | | 12% | |
| | Utilities | | | 9% | |
| | Other | | | 25% | |
| | | | | | | | |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Stocks (95%) | | | | |
Common Stock (84%) | | | | |
Communication Services (5%) | | | | |
771,400 | | AT&T Inc. | | $ | 23,505 | |
507,400 | | Comcast Corp., Class A | | | 19,093 | |
505,200 | | Verizon Communications Inc. | | | 29,024 | |
| | | | | 71,622 | |
Consumer Discretionary (4%) | | | | |
76,500 | | Home Depot Inc. | | | 16,817 | |
133,200 | | McDonald’s Corp. | | | 24,983 | |
150,100 | | Starbucks Corp. | | | 11,517 | |
| | | | | 53,317 | |
Consumer Staples (12%) | | | | |
329,700 | | Coca-Cola Co. | | | 15,130 | |
797,900 | | Conagra Brands Inc. | | | 26,682 | |
103,400 | | Costco Wholesale Corp. | | | 31,330 | |
554,900 | | General Mills Inc. | | | 33,233 | |
118,200 | | Kimberly-Clark Corp. | | | 16,368 | |
216,500 | | PepsiCo Inc. | | | 28,641 | |
| | | | | 151,384 | |
Energy (3%) | | | | |
173,700 | | Chevron Corp. | | | 15,980 | |
1,369,800 | | Kinder Morgan Inc. | | | 20,862 | |
| | | | | 36,842 | |
Financials (11%) | | | | |
103,700 | | Allianz SE | | | 19,191 | |
492,100 | | Bank of America Corp. | | | 11,835 | |
261,100 | | Citigroup Inc. | | | 12,679 | |
459,800 | | Fidelity National Financial Inc. | | | 12,438 | |
103,600 | | Goldman Sachs Group Inc. | | | 19,002 | |
268,300 | | JPMorgan Chase & Co. | | | 25,692 | |
480,600 | | Morgan Stanley | | | 18,950 | |
253,300 | | Truist Financial Corp. | | | 9,453 | |
298,700 | | U.S. Bancorp | | | 10,903 | |
| | | | | 140,143 | |
Healthcare (17%) | | | | |
177,900 | | AbbVie Inc. | | | 14,623 | |
71,700 | | Amgen Inc. | | | 17,152 | |
455,700 | | Bristol-Myers Squibb Co. | | | 27,711 | |
289,500 | | CVS Health Corp. | | | 17,819 | |
246,300 | | Eli Lilly and Co. | | | 38,088 | |
607,200 | | GlaxoSmithKline PLC | | | 12,703 | |
102,400 | | Johnson & Johnson | | | 15,364 | |
286,400 | | Medtronic PLC | | | 27,961 | |
436,100 | | Merck & Co. Inc. | | | 34,600 | |
402,800 | | Pfizer Inc. | | | 15,452 | |
| | | | | 221,473 | |
Industrials (7%) | | | | |
96,400 | | Lockheed Martin Corp. | | | 37,505 | |
152,400 | | Republic Services Inc. | | | 11,939 | |
83,100 | | Union Pacific Corp. | | | 13,279 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
234,400 | | Waste Management Inc. | | $ | 23,445 | |
| | | | | 86,168 | |
Materials (1%) | | | | |
214,500 | | BASF SE | | | 10,974 | |
Technology (16%) | | | | |
69,300 | | Apple Inc. | | | 20,360 | |
45,600 | | Broadcom Inc. | | | 12,386 | |
661,900 | | Cisco Systems Inc. | | | 28,051 | |
262,200 | | Intel Corp. | | | 15,727 | |
185,700 | | International Business Machines Corp. | | | 23,316 | |
337,300 | | Maxim Integrated Products Inc. | | | 18,545 | |
216,500 | | Microsoft Corp. | | | 38,799 | |
278,400 | | Paychex Inc. | | | 19,076 | |
214,400 | | QUALCOMM Inc. | | | 16,867 | |
156,200 | | Texas Instruments Inc. | | | 18,130 | |
| | | | | 211,257 | |
Utilities (8%) | | | | |
333,200 | | American Electric Power Co. Inc. | | | 27,692 | |
303,300 | | Consolidated Edison Inc. | | | 23,900 | |
154,500 | | DTE Energy Co. | | | 16,028 | |
303,600 | | Duke Energy Corp. | | | 25,703 | |
223,700 | | Public Service Enterprise Group Inc. | | | 11,344 | |
| | | | | 104,667 | |
Total Common Stock | | | 1,087,847 | |
Master Limited Partnership (1%) | | | | |
1,130,500 | | Enterprise Products Partners LP | | | 19,852 | |
Total Master Limited Partnership | | | 19,852 | |
Preferred Stock (1%) | | | | |
279,800 | | Allstate Corp., 5.10% | | | 7,163 | |
150,400 | | Spire Inc., 5.90% | | | 4,020 | |
110,900 | | US Bancorp, 6.50% | | | 2,995 | |
Total Preferred Stock | | | 14,178 | |
Real Estate Investment Trust (9%) | | | | |
136,600 | | Alexandria Real Estate Equities Inc. | | | 21,459 | |
148,600 | | Crown Castle International Corp. | | | 23,691 | |
192,800 | | Digital Realty Trust Inc. | | | 28,822 | |
863,800 | | Healthcare Trust of America Inc., Class A | | | 21,275 | |
189,900 | | Prologis Inc. | | | 16,945 | |
Total Real Estate Investment Trust | | | 112,192 | |
Total Stocks (Cost - $1,093,213) | | | 1,234,069 | |
Corporate Bond (2%) | | | | |
6,050,000 | | CenterPoint Energy Inc., (3 mo. LIBOR USD + 3.270%) 6.13% (a)(b) | | | 5,525 | |
1,956,000 | | CIT Group Inc., (3 mo. LIBOR USD + 3.972%) 5.80% (a)(b)(c) | | | 1,535 | |
6,000,000 | | Citigroup Inc., (3 mo. LIBOR USD + 3.423%) 6.30% (a)(b) | | | 5,929 | |
102 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
6,100,000 | | Citizens Financial Group Inc., (3 mo. LIBOR USD + 3.003%) 6.00% (a)(b) | | $ | 5,220 | |
6,000,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 3.436%) 6.50% (a)(b)(c) | | | 4,871 | |
3,400,000 | | Huntington Bancshares Inc., (3 mo. LIBOR USD + 2.880%) 5.70% (a)(b) | | | 2,994 | |
2,800,000 | | Land O’ Lakes Inc. 144A, 7.00% (a)(d) | | | 2,519 | |
| |
Total Corporate Bond (Cost - $31,882) | | | 28,593 | |
| |
Investment Company (5%) | | | | |
61,450,494 | | Payden Cash Reserves Money Market Fund *
(Cost - $61,450) | | | 61,450 | |
| |
Total Investments (Cost - $1,186,545) (102%) | | | 1,324,112 | |
Liabilities in excess of Other Assets (-2%) | | | (28,264 | ) |
| |
Net Assets (100%) | | $ | 1,295,848 | |
| | | | | | |
| (a) | Perpetual security with no stated maturity date. |
| (b) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (c) | All or a portion of these securities are on loan. At April 30, 2020, the total market value of the Fund’s securities on loan is $5,072 and the total market value of the collateral held by the Fund is $5,314. Amounts in 000s. |
| (d) | 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. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
USD 40,425 | | | EUR 35,960 | | | | | | | | Citibank, N.A. | | | | 06/23/2020 | | | $ | 974 | |
USD 13,246 | | | GBP 10,322 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/23/2020 | | | | 243 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 1,217 | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
EUR 7,409 | | | USD 8,217 | | | | | | | | Citibank, N.A. | | | | 06/23/2020 | | | | (89 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | 1,128 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 5,072 | |
Non-cash Collateral2 | | | (5,072 | ) |
| | | | |
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, 2020, 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 103
| | |
Statements of Assets & Liabilities | | |
April 30, 2020 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Payden
Cash Reserves
Money Market
Fund | | | | Payden
Limited
Maturity
Fund | | | | Payden
Low Duration
Fund | | |
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value * | | | $ | 348,086 | | | | | | | | | $ | 856,981 | | | | | | | | | $ | 1,395,467 | | | | | | |
Affiliated investments, at value ** | | | | — | | | | | | | | | | 16,997 | | | | | | | | | | 19,630 | | | | | | |
Repurchase agreements, at value *** | | | | 117 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Foreign cash **** | | | | — | | | | | | | | | | 253 | | | | | | | | | | — | | | | | | |
Cash | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Cash pledged for financial futures contracts | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Cash pledged for centrally cleared swaps | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Receivable for: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest and dividends | | | | 84 | | | | | | | | | | 2,764 | | | | | | | | | | 6,321 | | | | | | |
Investments sold | | | | — | | | | | | | | | | 1,275 | | | | | | | | | | 180,213 | | | | | | |
Fund shares sold | | | | 2 | | | | | | | | | | 244 | | | | | | | | | | 2,089 | | | | | | |
Futures | | | | — | | | | | | | | | | — | | | | | | | | | | 34 | | | | | | |
Forward currency contracts | | | | — | | | | | | | | | | 993 | | | | | | | | | | — | | | | | | |
Variation margin on centrally cleared swaps | | | | — | | | | | | | | | | — | | | �� | | | | | | | 12 | | | | | | |
Receivable from Advisor (Note 3) | | | | 3 | | | | | | | | | | 42 | | | | | | | | | | — | | | | | | |
Other assets | | | | 27 | | | | | | | | | | 41 | | | | | | | | | | 57 | | | | | | |
Total Assets | | | | 348,319 | | | | | | | | | | 879,590 | | | | | | | | | | 1,603,823 | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investments purchased | | | | 5,006 | | | | | | | | | | 4 | | | | | | | | | | 188,371 | | | | | | |
Fund shares redeemed | | | | — | | | | | | | | | | 2,351 | | | | | | | | | | 1,048 | | | | | | |
Futures | | | | — | | | | | | | | | | — | | | | | | | | | | 45 | | | | | | |
Variation margin on centrally cleared swaps | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Distributions payable | | | | 38 | | | | | | | | | | 22 | | | | | | | | | | 109 | | | | | | |
Liability for securities on loan (Note 2) | | | | — | | | | | | | | | | — | | | | | | | | | | 89 | | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | 240 | | | | | | |
Administration fees (Note 3) | | | | 47 | | | | | | | | | | 103 | | | | | | | | | | 172 | | | | | | |
Distribution fees (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Trustee fees and expenses | | | | 8 | | | | | | | | | | 25 | | | | | | | | | | 39 | | | | | | |
Other liabilities | | | | 49 | | | | | | | | | | 266 | | | | | | | | | | 387 | | | | | | |
Total Liabilities | | | | 5,148 | | | | | | | | | | 2,771 | | | | | | | | | | 190,500 | | | | | | |
NET ASSETS | | | $ | 343,171 | | | | | | | | | $ | 876,819 | | | | | | | | | $ | 1,413,323 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | | $ | 343,170 | | | | | | | | | $ | 891,286 | | | | | | | | | $ | 1,425,712 | | | | | | |
Distributable earnings (loss) | | | | 1 | | | | | | | | | | (14,467 | ) | | | | | | | | | (12,389 | ) | | | | | |
NET ASSETS | | | $ | 343,171 | | | | | | | | | $ | 876,819 | | | | | | | | | $ | 1,413,323 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | $ | 343,171 | | | | | | | | | $ | 876,819 | | | | | | | | | $ | 1,413,323 | | | | | | |
Shares Outstanding | | | | 343,164 | | | | | | | | | | 93,967 | | | | | | | | | | 141,785 | | | | | | |
Net Asset Value Per Share | | | $ | 1.00 | | | | | | | | | $ | 9.33 | | | | | | | | | $ | 9.97 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Shares Outstanding | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Net Asset Value Per Share | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* Investments, at cost | | | $ | 348,086 | | | | | | | | | $ | 872,051 | | | | | | | | | $ | 1,413,764 | | | | | | |
** Affiliated investments, at cost | | | | — | | | | | | | | | | 16,997 | | | | | | | | | | 19,630 | | | | | | |
*** Repurchase agreements, at cost | | | | 117 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
**** Foreign cash, at cost | | | | — | | | | | | | | | | 246 | | | | | | | | | | — | | | | | | |
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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $44,766 | | | | | | | | | | | | | | | | $166,213 | | | | | | | | | | | | $949,750 | | | | | | | | | | | | $451,446 | | | | | | | | | | | | $125,591 | | | | | | | | | | | | $696,678 | | | | | | | | | | | | $63,901 | | | | | |
| | | | | 819 | | | | | | | | | | | | | | | | 2,186 | | | | | | | | | | | | 14,973 | | | | | | | | | | | | 5,775 | | | | | | | | | | | | 2,265 | | | | | | | | | | | | 6,576 | | | | | | | | | | | | 4,629 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 116 | | | | | | | | | | | | — | | | | | | | | | | | | 28 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 23 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 14 | | | | | | | | | | | | 323 | | | | | | | | | | | | 25 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 827 | | | | | | | | | | | | — | | | | | | | | | | | | 115 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 736 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 114 | | | | | | | | | | | | | | | | 365 | | | | | | | | | | | | 5,314 | | | | | | | | | | | | 4,076 | | | | | | | | | | | | 915 | | | | | | | | | | | | 3,205 | | | | | | | | | | | | 113 | | | | | |
| | | | | 1,182 | | | | | | | | | | | | | | | | 2,470 | | | | | | | | | | | | 13,301 | | | | | | | | | | | | 5,828 | | | | | | | | | | | | — | | | | | | | | | | | | 1,865 | | | | | | | | | | | | 856 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 9 | | | | | | | | | | | | 642 | | | | | | | | | | | | 530 | | | | | | | | | | | | 691 | | | | | | | | | | | | 61 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 33 | | | | | | | | | | | | 69 | | | | | | | | | | | | 4 | | | | | | | | | | | | 23 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 833 | | | | | | | | | | | | — | | | | | | | | | | | | 152 | | | | | | | | | | | | 1,081 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 55 | | | | | | | | | | | | — | | | | | | | | | | | | 18 | | | | | | | | | | | | 5 | | | | | | | | | | | | — | | | | | |
| | | | | 7 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | 12 | | | | | | | | | | | | | | | | 12 | | | | | | | | | | | | 48 | | | | | | | | | | | | 50 | | | | | | | | | | | | 23 | | | | | | | | | | | | 38 | | | | | | | | | | | | 21 | | | | | |
| | | | | 46,923 | | | | | | | | | | | | | | | | 171,255 | | | | | | | | | | | | 985,065 | | | | | | | | | | | | 469,337 | | | | | | | | | | | | 129,701 | | | | | | | | | | | | 709,970 | | | | | | | | | | | | 69,545 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 99 | | | | | | | | | | | | — | | | | | | | | | | | | 11 | | | | | | | | | | | | 23 | | | | | | | | | | | | — | | | | | |
| | | | | 4,638 | | | | | | | | | | | | | | | | 47,606 | | | | | | | | | | | | 42,771 | | | | | | | | | | | | 11,622 | | | | | | | | | | | | 928 | | | | | | | | | | | | 11,900 | | | | | | | | | | | | 3,181 | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | 119 | | | | | | | | | | | | 208 | | | | | | | | | | | | 133 | | | | | | | | | | | | 42 | | | | | | | | | | | | 427 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 67 | | | | | | | | | | | | 31 | | | | | | | | | | | | 7 | | | | | | | | | | | | 88 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 26 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 33 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 1,903 | | | | | | | | | | | | 2,400 | | | | | | | | | | | | 779 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 7 | | | | | | | | | | | | 150 | | | | | | | | | | | | 81 | | | | | | | | | | | | 31 | | | | | | | | | | | | 82 | | | | | | | | | | | | 12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 5 | | | | | | | | | | | | | | | | 15 | | | | | | | | | | | | 115 | | | | | | | | | | | | 55 | | | | | | | | | | | | 16 | | | | | | | | | | | | 83 | | | | | | | | | | | | 8 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 18 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 4 | | | | | | | | | | | | 27 | | | | | | | | | | | | 12 | | | | | | | | | | | | 4 | | | | | | | | | | | | 17 | | | | | | | | | | | | 2 | | | | | |
| | | | | | 35 | | | | | | | | | | | | | | | | 113 | | | | | | | | | | | | 262 | | | | | | | | | | | | 187 | | | | | | | | | | | | 74 | | | | | | | | | | | | 113113 | | | | | | | | | | | | 51 | | | | | |
| | | | | | 4,682 | | | | | | | | | | | | | | | | 47,897 | | | | | | | | | | | | 45,620 | | | | | | | | | | | | 14,547 | | | | | | | | | | | | 1,892 | | | | | | | | | | | | 12,733 | | | | | | | | | | | | 3,254 | | | | | |
| | | | | | $42,241 | | | | | | | | | | | | | | | | $123,358 | | | | | | | | | | | | $939,445 | | | | | | | | | | | | $454,790 | | | | | | | | | | | | $127,809 | | | | | | | | | | | | $697,237 | | | | | | | | | | | | $66,291 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $49,129 | | | | | | | | | | | | | | | | $157,061 | | | | | | | | | | | | $915,674 | | | | | | | | | | | | $435,370 | | | | | | | | | | | | $133,669 | | | | | | | | | | | | $751,142 | | | | | | | | | | | | $76,098 | | | | | |
| | | | | | (6,888 | ) | | | | | | | | | | | | | | | (33,703 | ) | | | | | | | | | | | 23,771 | | | | | | | | | | | | 19,420 | | | | | | | | | | | | (5,860 | ) | | | | | | | | | | | (53,905 | ) | | | | | | | | | | | (9,807 | ) | | | | |
| | | | | $42,241 | | | | | | | | | | | | | | | | $123,358 | | | | | | | | | | | | $939,445 | | | | | | | | | | | | $454,790 | | | | | | | | | | | | $127,809 | | | | | | | | | | | | $697,237 | | | | | | | | | | | | $66,291 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | $43,738 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 4,056 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | $10.78 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $42,241 | | | | | | | | | | | | | | | | $123,358 | | | | | | | | | | | | $538,658 | | | | | | | | | | | | $454,790 | | | | | | | | | | | | $81,873 | | | | | | | | | | | | $126,343 | | | | | | | | | | | | $18,571 | | | | | |
| | | | | 4,005 | | | | | | | | | | | | | | | | 12,852 | | | | | | | | | | | | 49,831 | | | | | | | | | | | | 39,418 | | | | | | | | | | | | 8,473 | | | | | | | | | | | | 13,605 | | | | | | | | | | | | 2,067 | | | | | |
| | | | | $10.55 | | | | | | | | | | | | | | | | $9.60 | | | | | | | | | | | | $10.81 | | | | | | | | | | | | $11.54 | | | | | | | | | | | | $9.66 | | | | | | | | | | | | $9.29 | | | | | | | | | | | | $8.98 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | $357,049 | | | | | | | | | | | | — | | | | | | | | | | | | $45,936 | | | | | | | | | | | | $570,894 | | | | | | | | | | | | $47,720 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 33,056 | | | | | | | | | | | | — | | | | | | | | | | | | 4,755 | | | | | | | | | | | | 61,434 | | | | | | | | | | | | 5,310 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | $10.80 | | | | | | | | | | | | — | | | | | | | | | | | | $9.66 | | | | | | | | | | | | $9.29 | | | | | | | | | | | | $8.99 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $44,079 | | | | | | | | | | | | | | | | $161,742 | | | | | | | | | | | | $933,454 | | | | | | | | | | | | $430,978 | | | | | | | | | | | | $131,799 | | | | | | | | | | | | $748,586 | | | | | | | | | | | | $69,657 | | | | | |
| | | | | 819 | | | | | | | | | | | | | | | | 2,186 | | | | | | | | | | | | 14,973 | | | | | | | | | | | | 5,775 | | | | | | | | | | | | 2,265 | | | | | | | | | | | | 6,576 | | | | | | | | | | | | 4,629 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 114 | | | | | | | | | | | | — | | | | | | | | | | | | 27 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
Semi-Annual Report 105
| | |
Statements of Assets & Liabilities continued | | |
April 30, 2020 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | Payden
High Income
Fund | | | | | | Payden
California
Municipal Social
Impact Fund | | | | | | Payden
Global Low
Duration Fund | | | | |
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value * | | $ | 374,676 | | | | | | | $ | 58,859 | | | | | | | $ | 82,353 | | | | | |
Affiliated investments, at value ** | | | 25,970 | | | | | | | | — | | | | | | | | 1,329 | | | | | |
Foreign cash *** | | | 148 | | | | | | | | — | | | | | | | | — | | | | | |
Cash | | | 52 | | | | | | | | 97 | | | | | | | | — | | | | | |
Cash pledged for financial futures contracts | | | — | | | | | | | | 135 | | | | | | | | — | | | | | |
Cash pledged as collateral for OTC derivatives | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Cash pledged for centrally cleared swaps | | | 272 | | | | | | | | — | | | | | | | | — | | | | | |
Receivable for: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest and dividends | | | 5,637 | | | | | | | | 678 | | | | | | | | 429 | | | | | |
Investments sold | | | 6,813 | | | | | | | | 3,579 | | | | | | | | 6,493 | | | | | |
Fund shares sold | | | 152 | | | | | | | | 1 | | | | | | | | 4 | | | | | |
Futures | | | — | | | | | | | | — | | | | | | | | 3 | | | | | |
Forward currency contracts | | | 234 | | | | | | | | — | | | | | | | | — | | | | | |
Variation margin on centrally cleared swaps | | | — | | | | | | | | — | | | | | | | | 1 | | | | | |
Unrealized gain on OTC swaps | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Receivable from Advisor (Note 3) | | | — | | | | | | | | 60 | | | | | | | | — | | | | | |
Other assets | | | 16 | | | | | | | | 2 | | | | | | | | 12 | | | | | |
Total Assets | | | 413,970 | | | | | | | | 63,411 | | | | | | | | 90,624 | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for: | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Forward currency contracts. | | | 5 | | | | | | | | — | | | | | | | | 1 | | | | | |
Investments purchased | | | 18,939 | | | | | | | | 5,608 | | | | | | | | 6,558 | | | | | |
Fund shares redeemed | | | 167 | | | | | | | | 42 | | | | | | | | 1 | | | | | |
Futures | | | — | | | | | | | | 7 | | | | | | | | 6 | | | | | |
Variation margin on centrally cleared swaps | | | 1 | | | | | | | | — | | | | | | | | — | | | | | |
Distributions payable | | | — | | | | | | | | 17 | | | | | | | | — | | | | | |
Liability for securities on loan (Note 2) | | | 5,219 | | | | | | | | — | | | | | | | | 199 | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | 108 | | | | | | | | — | | | | | | | | 7 | | | | | |
Administration fees (Note 3) | | | 46 | | | | | | | | 7 | | | | | | | | 10 | | | | | |
Distribution fees (Note 3) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Trustee fees and expenses | | | 10 | | | | | | | | 2 | | | | | | | | 3 | | | | | |
Other liabilities | | | 106 | | | | | | | | 27 | | | | | | | | 64 | | | | | |
Total Liabilities | | | 24,601 | | | | | | | | 5,710 | | | | | | | | 6,849 | | | | | |
NET ASSETS | | $ | 389,369 | | | | | | | $ | 57,701 | | | | | | | $ | 83,775 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | $ | 446,449 | | | | | | | $ | 57,164 | | | | | | | $ | 85,840 | | | | | |
Distributable earnings (loss) | | | (57,080 | ) | | | | | | | 537 | | | | | | | | (2,065 | ) | | | | |
NET ASSETS | | $ | 389,369 | | | | | | | $ | 57,701 | | | | | | | $ | 83,775 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | $ | 389,369 | | | | | | | $ | 57,701 | | | | | | | $ | 83,775 | | | | | |
Shares Outstanding | | | 66,517 | | | | | | | | 5,709 | | | | | | | | 8,525 | | | | | |
Net Asset Value Per Share | | $ | 5.85 | | | | | | | $ | 10.11 | | | | | | | $ | 9.83 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Shares Outstanding | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Net Asset Value Per Share | | | — | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* Investments, at cost. | | $ | 398,766 | | | | | | | $ | 58,709 | | | | | | | $ | 84,273 | | | | | |
** Affiliated investments, at cost | | | 25,970 | | | | | | | | — | | | | | | | | 1,329 | | | | | |
*** Foreign cash, at cost | | | 146 | | | | | | | | — | | | | | | | | — | | | | | |
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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $148,633 | | | | | | | | | | | | | | | | $ 872,904 | | | | | | | | | | | | $131,199 | | | | | | | | | | | | $36,896 | | | | | | | | | | | | $1,262,662 | | | | | |
| | | | | 3,332 | | | | | | | | | | | | | | | | 21,836 | | | | | | | | | | | | 3,358 | | | | | | | | | | | | 1,984 | | | | | | | | | | | | 61,450 | | | | | |
| | | | | 1,498 | | | | | | | | | | | | | | | | 645 | | | | | | | | | | | | 499 | | | | | | | | | | | | 49 | | | | | | | | | | | | 177 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 245 | | | | | | | | | | | | 579 | | | | | | | | | | | | 188 | | | | | | | | | | | | — | | | | | |
| | | | | 43 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 460 | | | | | | | | | | | | 960 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 4,630 | | | | | | | | | | | | — | | | | | | | | | | | | 90 | | | | | | | | | | | | — | | | | | |
| | | | | 841 | | | | | | | | | | | | | | | | 14,977 | | | | | | | | | | | | 2,755 | | | | | | | | | | | | 513 | | | | | | | | | | | | 3,076 | | | | | |
| | | | | 265 | | | | | | | | | | | | | | | | 4,636 | | | | | | | | | | | | — | | | | | | | | | | | | 29 | | | | | | | | | | | | — | | | | | |
| | | | | 53 | | | | | | | | | | | | | | | | 1,190 | | | | | | | | | | | | 45 | | | | | | | | | | | | — | | | | | | | | | | | | 32 | | | | | |
| | | | | 30 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 162 | | | | | | | | | | | | | | | | 6,443 | | | | | | | | | | | | 1,655 | | | | | | | | | | | | 34 | | | | | | | | | | | | 1,217 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 58 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 5 | | | | | | | | | | | | — | | | | | |
| | | | | | 22 | | | | | | | | | | | | | | | | 71 | | | | | | | | | | | | 21 | | | | | | | | | | | | 18 | | | | | | | | | | | | 57 | | | | | |
| | | | | | 154,879 | | | | | | | | | | | | | | | | 928,037 | | | | | | | | | | | | 141,129 | | | | | | | | | | | | 39,806 | | | | | | | | | | | | 1,328,671 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 1,170 | | | | | | | | | | | | | | | | 3,398 | | | | | | | | | | | | 1,770 | | | | | | | | | | | | 30 | | | | | | | | | | | | 89 | | | | | |
| | | | | 3,193 | | | | | | | | | | | | | | | | 1,848 | | | | | | | | | | | | — | | | | | | | | | | | | 484 | | | | | | | | | | | | 25,301 | | | | | |
| | | | | 16 | | | | | | | | | | | | | | | | 830 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1,186 | | | | | |
| | | | | 46 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 13 | | | | | | | | | | | | | | | | 126 | | | | | | | | | | | | 2 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 9,519 | | | | | | | | | | | | — | | | | | | | | | | | | 384 | | | | | | | | | | | | 5,314 | | | | | |
| | | | | 11 | | | | | | | | | | | | | | | | 290 | | | | | | | | | | | | 72 | | | | | | | | | | | | — | | | | | | | | | | | | 447 | | | | | |
| | | | | 18 | | | | | | | | | | | | | | | | 110 | | | | | | | | | | | | 18 | | | | | | | | | | | | 5 | | | | | | | | | | | | 155 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 24 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 6 | | | | | |
| | | | | 4 | | | | | | | | | | | | | | | | 22 | | | | | | | | | | | | 5 | | | | | | | | | | | | 1 | | | | | | | | | | | | 33 | | | | | |
| | | | | | 134 | | | | | | | | | | | | | | | | 357 | | | | | | | | | | | | 103 | | | | | | | | | | | | 35 | | | | | | | | | | | | 292 | | | | | |
| | | | | | 4,606 | | | | | | | | | | | | | | | | 16,524 | | | | | | | | | | | | 1,970 | | | | | | | | | | | | 939 | | | | | | | | | | | | 32,823 | | | | | |
| | | | | $150,273 | | | | | | | | | | | | | | | | $ 911,513 | | | | | | | | | | | | $139,159 | | | | | | | | | | | | $38,867 | | | | | | | | | | | | $1,295,848 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $150,741 | | | | | | | | | | | | | | | | $1,088,481 | | | | | | | | | | | | $201,537 | | | | | | | | | | | | $42,056 | | | | | | | | | | | | $1,184,765 | | | | | |
| | | | | | (468 | ) | | | | | | | | | | | | | | | (176,968 | ) | | | | | | | | | | | (62,378 | ) | | | | | | | | | | | (3,189 | ) | | | | | | | | | | | 111,083 | | | | | |
| | | | | $150,273 | | | | | | | | | | | | | | | | $ 911,513 | | | | | | | | | | | | $139,159 | | | | | | | | | | | | $38,867 | | | | | | | | | | | | $1,295,848 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $ 53,211 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | $ 14,224 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 4,549 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 908 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $ 11.70 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | $ 15.66 | | | | | |
| | | | | | | |
| | | | | $150,273 | | | | | | | | | | | | | | | | $ 237,008 | | | | | | | | | | | | $139,159 | | | | | | | | | | | | $3,462 | | | | | | | | | | | | $ 489,146 | | | | | |
| | | | | 16,744 | | | | | | | | | | | | | | | | 20,277 | | | | | | | | | | | | 25,063 | | | | | | | | | | | | 377 | | | | | | | | | | | | 31,209 | | | | | |
| | | | | $8.97 | | | | | | | | | | | | | | | | $ 11.69 | | | | | | | | | | | | $5.55 | | | | | | | | | | | | $9.18 | | | | | | | | | | | | $ 15.67 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $ 621,294 | | | | | | | | | | | | — | | | | | | | | | | | | $35,405 | | | | | | | | | | | | $ 792,478 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 53,234 | | | | | | | | | | | | — | | | | | | | | | | | | 3,849 | | | | | | | | | | | | 50,529 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $ 11.67 | | | | | | | | | | | | — | | | | | | | | | | | | $9.20 | | | | | | | | | | | | $ 15.68 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $149,140 | | | | | | | | | | | | | | | | $1,024,666 | | | | | | | | | | | | $154,847 | | | | | | | | | | | | $39,531 | | | | | | | | | | | | $1,125,095 | | | | | |
| | | | | 3,482 | | | | | | | | | | | | | | | | 21,836 | | | | | | | | | | | | 3,358 | | | | | | | | | | | | 1,984 | | | | | | | | | | | | 61,450 | | | | | |
| | | | | 1,491 | | | | | | | | | | | | | | | | 662 | | | | | | | | | | | | 491 | | | | | | | | | | | | 49 | | | | | | | | | | | | 174 | | | | | |
Semi-Annual Report 107
Period ended April 30, 2020 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Payden
Cash Reserves
Money Market
Fund | | | | Payden
Limited
Maturity
Fund | | | | Payden
Low Duration
Fund | | |
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest income (Note 2) | | $ | 1,882 | | | | | | | $ | 9,731 | | | | | | | $ | 18,729 | | | | | |
Dividend income | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Dividend income from affiliated investment (Note 2) | | | — | | | | | | | | 72 | | | | | | | | 58 | | | | | |
Income from securities lending | | | — | | | | | | | | 1 | | | | | | | | 4 | | | | | |
Foreign tax withholdings | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Investment Income | | | 1,882 | | | | | | | | 9,804 | | | | | | | | 18,791 | | | | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | 228 | | | | | | | | 1,193 | | | | | | | | 2,079 | | | | | |
Administration fees (Note 3) | | | 228 | | | | | | | | 639 | | | | | | | | 1,114 | | | | | |
Shareholder servicing fees. | | | — | | | | | | | | 197 | | | | | | | | 256 | | | | | |
Distribution fees (Note 3) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Custodian fees | | | 10 | | | | | | | | 30 | | | | | | | | 40 | | | | | |
Transfer agent fees | | | 12 | | | | | | | | 21 | | | | | | | | 56 | | | | | |
Registration and filing fees | | | 25 | | | | | | | | 37 | | | | | | | | 36 | | | | | |
Trustee fees and expenses | | | 16 | | | | | | | | 47 | | | | | | | | 80 | | | | | |
Printing and mailing costs | | | 9 | | | | | | | | 23 | | | | | | | | 37 | | | | | |
Loan commitment fees | | | — | | | | | | | | 5 | | | | | | | | 9 | | | | | |
Legal fees | | | 4 | | | | | | | | 11 | | | | | | | | 19 | | | | | |
Publication expense | | | 4 | | | | | | | | 9 | | | | | | | | 15 | | | | | |
Pricing fees | | | 1 | | | | | | | | 20 | | | | | | | | 21 | | | | | |
Fund accounting fees | | | 24 | | | | | | | | 51 | | | | | | | | 86 | | | | | |
Insurance | | | 3 | | | | | | | | 18 | | | | | | | | — | | | | | |
Interest expense | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Audit fees | | | 18 | | | | | | | | 19 | | | | | | | | 20 | | | | | |
Other expenses. | | | — | | | | | | | | 15 | | | | | | | | — | | | | | |
Gross Expenses. | | | 582 | | | | | | | | 2,335 | | | | | | | | 3,868 | | | | | |
Expense subsidy (Note 3) | | | (201 | ) | | | | | | | (1,270 | ) | | | | | | | (675 | ) | | | | |
Net Expenses | | | 381 | | | | | | | | 1,065 | | | | | | | | 3,193 | | | | | |
Net Investment Income | | | 1,501 | | | | | | | | 8,739 | | | | | | | | 15,598 | | | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | 11 | | | | | | | | (1,445 | ) | | | | | | | 6,237 | | | | | |
Foreign currency transactions | | | — | | | | | | | | (146 | ) | | | | | | | 19 | | | | | |
Forward foreign exchange contracts | | | — | | | | | | | | 960 | | | | | | | | — | | | | | |
Futures contracts | | | — | | | | | | | | — | | | | | | | | 285 | | | | | |
Written option contracts | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Swap contracts | | | — | | | | | | | | — | | | | | | | | 18 | | | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | — | | | | | | | | (17,305 | ) | | | | | | | (29,688 | ) | | | | |
Translation of assets and liabilities in foreign currencies | | | — | | | | | | | | 14 | | | | | | | | — | | | | | |
Forward foreign exchange contracts | | | — | | | | | | | | 1,497 | | | | | | | | — | | | | | |
Futures contracts | | | — | | | | | | | | — | | | | | | | | 2,164 | | | | | |
Written option contracts | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Swap contracts | | | — | | | | | | | | — | | | | | | | | 886 | | | | | |
Net Realized and Unrealized Gains (Losses) | | | 11 | | | | | | | | (16,425 | ) | | | | | | | (20,079 | ) | | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 1,512 | | | | | | | $ | (7,686 | ) | | | | | | $ | (4,481 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
108 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 510 | | | | | | | | | | | | | | | $ | 1,931 | | | | | | | | | | | $ | 16,003 | | | | | | | | | | | $ | 8,744 | | | | | | | | | | | $ | 2,771 | | | | | | | | | | | $ | 12,110 | | | | | | | | | | | $ | 1,638 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 12 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 9 | | | | | | | | | | | | | | | | 14 | | | | | | | | | | | | 43 | | | | | | | | | | | | 45 | | | | | | | | | | | | 12 | | | | | | | | | | | | 50 | | | | | | | | | | | | 49 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 6 | | | | | | | | | | | | 4 | | | | | | | | | | | | 2 | | | | | | | | | | | | 4 | | | | | | | | | | | | 1 | | | | | |
| | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (10 | ) | | | | | | | | | | | — | | | | | | | | | | | | (2 | ) | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | 519 | | | | | | | | | | | | | | | | 1,945 | | | | | | | | | | | | 16,042 | | | | | | | | | | | | 8,793 | | | | | | | | | | | | 2,795 | | | | | | | | | | | | 12,164 | | | | | | | | | | | | 1,688 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 57 | | | | | | | | | | | | | | | | 172 | | | | | | | | | | | | 1,405 | | | | | | | | | | | | 838 | | | | | | | | | | | | 427 | | | | | | | | | | | | 1,701 | | | | | | | | | | | | 200 | | | | | |
| | | | | 30 | | | | | | | | | | | | | | | | 95 | | | | | | | | | | | | 753 | | | | | | | | | | | | 359 | | | | | | | | | | | | 116 | | | | | | | | | | | | 510 | | | | | | | | | | | | 54 | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 100 | | | | | | | | | | | | 170 | | | | | | | | | | | | 157 | | | | | | | | | | | | 22 | | | | | | | | | | | | 6 | | | | | | | | | | | | 1 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 51 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 7 | | | | | | | | | | | | 34 | | | | | | | | | | | | 19 | | | | | | | | | | | | 10 | | | | | | | | | | | | 26 | | | | | | | | | | | | 11 | | | | | |
| | | | | 7 | | | | | | | | | | | | | | | | 10 | | | | | | | | | | | | 35 | | | | | | | | | | | | 21 | | | | | | | | | | | | 12 | | | | | | | | | | | | 27 | | | | | | | | | | | | 11 | | | | | |
| | | | | 12 | | | | | | | | | | | | | | | | 16 | | | | | | | | | | | | 57 | | | | | | | | | | | | 33 | | | | | | | | | | | | 21 | | | | | | | | | | | | 22 | | | | | | | | | | | | 18 | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | 7 | | | | | | | | | | | | 56 | | | | | | | | | | | | 25 | | | | | | | | | | | | 9 | | | | | | | | | | | | 36 | | | | | | | | | | | | 4 | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | 3 | | | | | | | | | | | | 29 | | | | | | | | | | | | 13 | | | | | | | | | | | | 5 | | | | | | | | | | | | 22 | | | | | | | | | | | | 3 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 6 | | | | | | | | | | | | 3 | | | | | | | | | | | | 1 | | | | | | | | | | | | 6 | | | | | | | | | | | | — | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 2 | | | | | | | | | | | | 12 | | | | | | | | | | | | 6 | | | | | | | | | | | | 2 | | | | | | | | | | | | 10 | | | | | | | | | | | | 1 | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 2 | | | | | | | | | | | | 12 | | | | | | | | | | | | 4 | | | | | | | | | | | | 3 | | | | | | | | | | | | 4 | | | | | | | | | | | | 2 | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 8 | | | | | | | | | | | | 21 | | | | | | | | | | | | 15 | | | | | | | | | | | | 18 | | | | | | | | | | | | 60 | | | | | | | | | | | | 8 | | | | | |
| | | | | 6 | | | | | | | | | | | | | | | | 11 | | | | | | | | | | | | 61 | | | | | | | | | | | | 29 | | | | | | | | | | | | 12 | | | | | | | | | | | | 40 | | | | | | | | | | | | 8 | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 12 | | | | | | | | | | | | 5 | | | | | | | | | | | | — | | | | | | | | | | | | 7 | | | | | | | | | | | | 1 | | | | | |
| | | | | `— | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | — | | | | | |
| | | | | 19 | | | | | | | | | | | | | | | | 20 | | | | | | | | | | | | 21 | | | | | | | | | | | | 21 | | | | | | | | | | | | 22 | | | | | | | | | | | | 23 | | | | | | | | | | | | 28 | | | | | |
| | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | 2 | | | | | | | | | | | | — | | | | | | | | | | | | 7 | | | | | | | | | | | | — | | | | | |
| | | | | 148 | | | | | | | | | | | | | | | | 455 | | | | | | | | | | | | 2,736 | | | | | | | | | | | | 1,550 | | | | | | | | | | | | 680 | | | | | | | | | | | | 2,508 | | | | | | | | | | | | 350 | | | | | |
| | | | | | (62 | ) | | | | | | | | | | | | | | | (136 | ) | | | | | | | | | | | (230 | ) | | | | | | | | | | | 5 | | | | | | | | | | | | (173 | ) | | | | | | | | | | | (777 | ) | | | | | | | | | | | (104 | ) | | | | |
| | | | | | 86 | | | | | | | | | | | | | | | | 319 | | | | | | | | | | | | 2,506 | | | | | | | | | | | | 1,555 | | | | | | | | | | | | 507 | | | | | | | | | | | | 1,731 | | | | | | | | | | | | 246 | | | | | |
| | | | | | 433 | | | | | | | | | | | | | | | | 1,626 | | | | | | | | | | | | 13,536 | | | | | | | | | | | | 7,238 | | | | | | | | | | | | 2,288 | | | | | | | | | | | | 10,433 | | | | | | | | | | | | 1,442 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 101 | | | | | | | | | | | | | | | | 740 | | | | | | | | | | | | 13,468 | | | | | | | | | | | | 518 | | | | | | | | | | | | 992 | | | | | | | | | | | | (1,854 | ) | | | | | | | | | | | (584 | ) | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (29 | ) | | | | | | | | | | | — | | | | | | | | | | | | 4 | | | | | | | | | | | | (99 | ) | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (478 | ) | | | | | | | | | | | — | | | | | | | | | | | | (137 | ) | | | | | | | | | | | (260 | ) | | | | | | | | | | | — | | | | | |
| | | | | (10 | ) | | | | | | | | | | | | | | | (35 | ) | | | | | | | | | | | (2,940 | ) | | | | | | | | | | | (1,918 | ) | | | | | | | | | | | (354 | ) | | | | | | | | | | | 895 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 987 | | | | | | | | | | | | — | | | | | | | | | | | | 157 | | | | | | | | | | | | 255 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (3,265 | ) | | | | | | | | | | | 854 | | | | | | | | | | | | (496 | ) | | | | | | | | | | | (2,947 | ) | | | | | | | | | | | — | | | | | |
| | | | | 797 | | | | | | | | | | | | | | | | 2,022 | | | | | | | | | | | | (19,607 | ) | | | | | | | | | | | (9,264 | ) | | | | | | | | | | | (9,863 | ) | | | | | | | | | | | (57,586 | ) | | | | | | | | | | | (6,477 | ) | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (5 | ) | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | (23 | ) | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 1,387 | | | | | | | | | | | | — | | | | | | | | | | | | 275 | | | | | | | | | | | | 1,386 | | | | | | | | | | | | — | | | | | |
| | | | | 6 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 2,842 | | | | | | | | | | | | (440 | ) | | | | | | | | | | | 486 | | | | | | | | | | | | 864 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (689 | ) | | | | | | | | | | | — | | | | | | | | | | | | (110 | ) | | | | | | | | | | | (161 | ) | | | | | | | | | | | — | | | | | |
| | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 107 | | | | | | | | | | | | (44 | ) | | | | | | | | | | | 199 | | | | | | | | | | | | 920 | | | | | | | | | | | | — | | | | | |
| | | | | | 894 | | | | | | | | | | | | | | | | 2,727 | | | | | | | | | | | | (8,222 | ) | | | | | | | | | | | (10,294 | ) | | | | | | | | | | | (8,846 | ) | | | | | | | | | | | (58,610 | ) | | | | | | | | | | | (7,061 | ) | | | | |
| | | | $ | 1,327 | | | | | | | | | | | | | | | $ | 4,353 | | | | | | | | | | | $ | 5,314 | | | | | | | | | | | $ | (3,056 | ) | | | | | | | | | | $ | (6,558 | ) | | | | | | | | | | $ | (48,177 | ) | | | | | | | | | | $ | (5,619 | ) | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 109
| | |
Statements of Operationscontinued | | |
Period ended April 30, 2020 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden
High Income
Fund | | | | Payden
California Municipal
Social Impact Fund | | | | Payden
Global Low
Duration Fund | | |
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest income (Note 2) | | | $ | 12,360 | | | | | | | | | $ | 823 | | | | | | | | | $ | 1,351 | | | | | | |
Dividend income | | | | 7 | | | | | | | | | | — | | | | | | | | | | 17 | | | | | | |
Dividend income from affiliated investment (Note 2) | | | | 94 | | | | | | | | | | — | | | | | | | | | | 8 | | | | | | |
Income from securities lending | | | | 34 | | | | | | | | | | — | | | | | | | | | | 2 | | | | | | |
Foreign tax withholdings | | | | (1 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investment Income | | | | 12,494 | | | | | | | | | | 823 | | | | | | | | | | 1,378 | | | | | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | 749 | | | | | | | | | | 98 | | | | | | | | | | 138 | | | | | | |
Administration fees (Note 3) | | | | 321 | | | | | | | | | | 46 | | | | | | | | | | 69 | | | | | | |
Shareholder servicing fees. | | | | 65 | | | | | | | | | | 14 | | | | | | | | | | 25 | | | | | | |
Distribution fees (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Custodian fees | | | | — | | | | | | | | | | 2 | | | | | | | | | | 8 | | | | | | |
Transfer agent fees | | | | 17 | | | | | | | | | | 7 | | | | | | | | | | 7 | | | | | | |
Registration and filing fees | | | | 27 | | | | | | | | | | 1 | | | | | | | | | | 9 | | | | | | |
Trustee fees and expenses | | | | 22 | | | | | | | | | | 3 | | | | | | | | | | 5 | | | | | | |
Printing and mailing costs | | | | 7 | | | | | | | | | | 17 | | | | | | | | | | 2 | | | | | | |
Loan commitment fees | | | | 3 | | | | | | | | | | — | | | | | | | | | | 1 | | | | | | |
Legal fees | | | | 9 | | | | | | | | | | 40 | | | | | | | | | | 1 | | | | | | |
Publication expense | | | | 6 | | | | | | | | | | 1 | | | | | | | | | | 2 | | | | | | |
Pricing fees | | | | 9 | | | | | | | | | | 7 | | | | | | | | | | 16 | | | | | | |
Fund accounting fees | | | | 31 | | | | | | | | | | 7 | | | | | | | | | | 9 | | | | | | |
Insurance | | | | 4 | | | | | | | �� | | | 1 | | | | | | | | | | 1 | | | | | | |
Audit fees | | | | 22 | | | | | | | | | | 26 | | | | | | | | | | 20 | | | | | | |
Interest expense | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Other expenses | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Gross Expenses. | | | | 1,292 | | | | | | | | | | 270 | | | | | | | | | | 313 | | | | | | |
| Expense subsidy (Note 3) | | | | — | | | | | | | | | | (109 | ) | | | | | | | | | (69 | ) | | | | | |
Net Expenses | | | | 1,292 | | | | | | | | | | 161 | | | | | | | | | | 244 | | | | | | |
Net Investment Income | | | | 11,202 | | | | | | | | | | 662 | | | | | | | | | | 1,134 | | | | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | (8,036 | ) | | | | | | | | | 419 | | | | | | | | | | 234 | | | | | | |
Foreign currency transactions | | | | (5 | ) | | | | | | | | | — | | | | | | | | | | (4 | ) | | | | | |
Forward foreign exchange contracts | | | | (136 | ) | | | | | | | | | — | | | | | | | | | | (53 | ) | | | | | |
Affiliated investments | | | | 4 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Futures contracts | | | | — | | | | | | | | | | (21 | ) | | | | | | | | | (49 | ) | | | | | |
Written option contracts | | | | — | | | | | | | | | | — | | | | | | | | | | 39 | | | | | | |
Swap contracts | | | | (345 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | (37,358 | ) | | | | | | | | | (2,143 | ) | | | | | | | | | (2,501 | ) | | | | | |
Translation of assets and liabilities in foreign currencies | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Forward foreign exchange contracts | | | | 348 | | | | | | | | | | — | | | | | | | | | | 25 | | | | | | |
Affiliated investments | | | | 4 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Futures contracts | | | | — | | | | | | | | | | (7 | ) | | | | | | | | | 87 | | | | | | |
Written option contracts | | | | — | | | | | | | | | | — | | | | | | | | | | (24 | ) | | | | | |
Swap contracts | | | | 631 | | | | | | | | | | — | | | | | | | | | | 54 | | | | | | |
Net Realized and Unrealized Gains (Losses) | | | | (44,893 | ) | | | | | | | | | (1,752 | ) | | | | | | | | | (2,192 | ) | | | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | (33,691 | ) | | | | | | | | $ | (1,090 | ) | | | | | | | | $ | (1,058 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
110 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 |
| | | | | | | | | |
| | $ | 1,677 | | | | | | | | | $ | 32,204 | | | | | | | | | $ | 6,401 | | | | | | | | | $ | 1,076 | | | | | | | | | | | | | | $ | 1,261 | |
| | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 17,035 | |
| | | 44 | | | | | | | | | | 113 | | | | | | | | | | 35 | | | | | | | | | | 10 | | | | | | | | | | | | | | | 94 | |
| | | 2 | | | | | | | | | | 26 | | | | | | | | | | — | | | | | | | | | | 13 | | | | | | | | | | | | | | | 36 | |
| | | — | | | | | | | | | | — | | | | | | | | | | (91 | ) | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | 1,723 | | | | | | | | | | 32,343 | | | | | | | | | | 6,345 | | | | | | | | | | 1,099 | | | | | | | | | | | | | | | 18,426 | |
| | | | | | | | | |
| | | 221 | | | | | | | | | | 2,326 | | | | | | | | | | 603 | | | | | | | | | | 162 | | | | | | | | | | | | | | | 3,408 | |
| | | 110 | | | | | | | | | | 775 | | | | | | | | | | 151 | | | | | | | | | | 30 | | | | | | | | | | | | | | | 1,023 | |
| | | 106 | | | | | | | | | | 241 | | | | | | | | | | 14 | | | | | | | | | | — | | | | | | | | | | | | | | | 187 | |
| | | — | | | | | | | | | | 80 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 20 | |
| | | 22 | | | | | | | | | | 69 | | | | | | | | | | 61 | | | | | | | | | | 11 | | | | | | | | | | | | | | | 45 | |
| | | 12 | | | | | | | | | | 80 | | | | | | | | | | 10 | | | | | | | | | | 12 | | | | | | | | | | | | | | | 43 | |
| | | 13 | | | | | | | | | | 68 | | | | | | | | | | 12 | | | | | | | | | | 19 | | | | | | | | | | | | | | | 40 | |
| | | 8 | | | | | | | | | | 51 | | | | | | | | | | 10 | | | | | | | | | | 2 | | | | | | | | | | | | | | | 72 | |
| | | 4 | | | | | | | | | | 27 | | | | | | | | | | 3 | | | | | | | | | | 2 | | | | | | | | | | | | | | | 35 | |
| | | 1 | | | | | | | | | | 8 | | | | | | | | | | 1 | | | | | | | | | | — | | | | | | | | | | | | | | | 8 | |
| | | 2 | | | | | | | | | | 22 | | | | | | | | | | 5 | | | | | | | | | | — | | | | | | | | | | | | | | | 16 | |
| | | 2 | | | | | | | | | | 15 | | | | | | | | | | 3 | | | | | | | | | | 1 | | | | | | | | | | | | | | | 15 | |
| | | 24 | | | | | | | | | | 10 | | | | | | | | | | 1 | | | | | | | | | | 7 | | | | | | | | | | | | | | | 2 | |
| | | 11 | | | | | | | | | | 74 | | | | | | | | | | 23 | | | | | | | | | | 6 | | | | | | | | | | | | | | | 78 | |
| | | 2 | | | | | | | | | | 9 | | | | | | | | | | 2 | | | | | | | | | | — | | | | | | | | | | | | | | | 15 | |
| | | 20 | | | | | | | | | | 24 | | | | | | | | | | 22 | | | | | | | | | | 23 | | | | | | | | | | | | | | | 20 | |
| | | 1 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 3 | |
| | | — | | | | | | | | | | — | | | | | | | | | | 1 | | | | | | | | | | 3 | | | | | | | | | | | | | | | — | |
| | | 559 | | | | | | | | | | 3,879 | | | | | | | | | | 922 | | | | | | | | | | 278 | | | | | | | | | | | | | | | 5,030 | |
| | | (43 | ) | | | | | | | | | (137 | ) | | | | | | | | | — | | | | | | | | | | (105 | ) | | | | | | | | | | | | | | (352 | ) |
| | | 516 | | | | | | | | | | 3,742 | | | | | | | | | | 922 | | | | | | | | | | 173 | | | | | | | | | | | | | | | 4,678 | |
| | | 1,207 | | | | | | | | | | 28,601 | | | | | | | | | | 5,423 | | | | | | | | | | 926 | | | | | | | | | | | | | | | 13,748 | |
| | | | | | | | | |
| | | 521 | | | | | | | | | | (11,953 | ) | | | | | | | | | (12,982 | ) | | | | | | | | | (419 | ) | | | | | | | | | | | | | | (28,166 | ) |
| | | (1,820 | ) | | | | | | | | | (601 | ) | | | | | | | | | (879 | ) | | | | | | | | | (16 | ) | | | | | | | | | | | | | | 15 | |
| | | 4,027 | | | | | | | | | | 2,729 | | | | | | | | | | (1,746 | ) | | | | | | | | | 64 | | | | | | | | | | | | | | | (1,485 | ) |
| | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | (107 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | 126 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | (6,673 | ) | | | | | | | | | 9,029 | | | | | | | | | | 253 | | | | | | | | | | 60 | | | | | | | | | | | | | | | — | |
| | | (5,421 | ) | | | | | | | | | (156,423 | ) | | | | | | | | | (17,975 | ) | | | | | | | | | (3,049 | ) | | | | | | | | | | | | | | (128,021 | ) |
| | | (11 | ) | | | | | | | | | (137 | ) | | | | | | | | | (150 | ) | | | | | | | | | — | | | | | | | | | | | | | | | (22 | ) |
| | | 28 | | | | | | | | | | 4,675 | | | | | | | | | | (77 | ) | | | | | | | | | 29 | | | | | | | | | | | | | | | 2,261 | |
| | | (134 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | (95 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | (88 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | 6,799 | | | | | | | | | | (51 | ) | | | | | | | | | (224 | ) | | | | | | | | | (60 | ) | | | | | | | | | | | | | | — | |
| | | (2,848 | ) | | | | | | | | | (152,732 | ) | | | | | | | | | (33,780 | ) | | | | | | | | | (3,391 | ) | | | | | | | | | | | | | | (155,418 | ) |
| | $ | (1,641 | ) | | | | | | | | $ | (124,131 | ) | | | | | | | | $ | (28,357 | ) | | | | | | | | $ | (2,465 | ) | | | | | | | | | | | | | $ | (141,670 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 111
| | |
Statements of Changes in Net Assets | | |
For the period ended April 30, 2020 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Cash Reserves
Money Market Fund | | | | | | Payden Limited
Maturity Fund | | |
| | | 2020 | | | | 2019 | | | | | | 2020 | | | | 2019 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 1,501 | | | | | | | | | $ | 5,701 | | | | | | | | | | | | | | $ | 8,739 | | | | | | | | | $ | 21,097 | | | | | | |
Net realized gains (losses) | | | | 11 | | | | | | | | | | 3 | | | | | | | | | | | | | | | (631 | ) | | | | | | | | | 824 | | | | | | |
Change in net unrealized appreciation/(depreciation) | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | (15,794 | ) | | | | | | | | | 2,618 | | | | | | |
Change in Net Assets Resulting from Operations. | | | | 1,512 | | | | | | | | | | 5,704 | | | | | | | | | | | | | | | (7,686 | ) | | | | | | | | | 24,539 | | | | | | |
| | | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | (1,536 | ) | | | | | | | | | (5,685 | ) | | | | | | | | | | | | | | (8,913 | ) | | | | | | | | | (21,404 | ) | | | | | |
Institutional Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Institutional Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Change in Net Assets from Distributions to Shareholders | | | | (1,536 | ) | | | | | | | | | (5,685 | ) | | | | | | | | | | | | | | (8,913 | ) | | | | | | | | | (21,404 | ) | | | | | |
| | | | | | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | 17,727,429 | | | | | | | | | | 30,628,042 | | | | | | | | | | | | | | | 567,031 | | | | | | | | | | 578,559 | | | | | | |
Institutional Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | 350 | | | | | | | | | | 1,306 | | | | | | | | | | | | | | | 8,749 | | | | | | | | | | 20,949 | | | | | | |
Institutional Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | (17,659,541 | ) | | | | | | | | | (30,684,406 | ) | | | | | | | | | | | | | | (466,007 | ) | | | | | | | | | (603,819 | ) | | | | | |
Institutional Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Change in Net Assets from Capital Transactions | | | | 68,238 | | | | | | | | | | (55,058 | ) | | | | | | | | | | | | | | 109,773 | | | | | | | | | | (4,311 | ) | | | | | |
Total Change in Net Assets | | | | 68,214 | | | | | | | | | | (55,039 | ) | | | | | | | | | | | | | | 93,174 | | | | | | | | | | (1,176 | ) | | | | | |
| | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | 274,957 | | | | | | | | | | 329,996 | | | | | | | | | | | | | | | 783,645 | | | | | | | | | | 784,821 | | | | | | |
End of period | | | $ | 343,171 | | | | | | | | | $ | 274,957 | | | | | | | | | | | | | | $ | 876,819 | | | | | | | | | $ | 783,645 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
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 | | | | 274,926 | | | | | | | | | | 329,984 | | | | | | | | | | | | | | | 82,556 | | | | | | | | | | 82,941 | | | | | | |
Shares sold | | | | 17,727,429 | | | | | | | | | | 30,628,042 | | | | | | | | | | | | | | | 59,951 | | | | | | | | | | 61,169 | | | | | | |
Shares issued in reinvestment of distributions | | | | 350 | | | | | | | | | | 1,306 | | | | | | | | | | | | | | | 928 | | | | | | | | | | 2,212 | | | | | | |
Shares redeemed | | | | (17,659,541 | ) | | | | | | | | | (30,684,406 | ) | | | | | | | | | | | | | | (49,468 | ) | | | | | | | | | (63,766 | ) | | | | | |
Change in shares outstanding | | | | 68,238 | | | | | | | | | | (55,058 | ) | | | | | | | | | | | | | | 11,411 | | | | | | | | | | (385 | ) | | | | | |
Outstanding shares at end of period | | | | 343,164 | | | | | | | | | | 274,926 | | | | | | | | | | | | | | | 93,967 | | | | | | | | | | 82,556 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional 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) | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 280,286 | | | | | | | | | | 401,043 | | | | | | |
Sale of investments (excluding government) | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 226,478 | | | | | | | | | | 384,994 | | | | | | |
Purchase of government securities | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 159,722 | | | | | | | | | | 149,584 | | | | | | |
Sale of government securities | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 133,118 | | | | | | | | | | 150,383 | | | | | | |
112 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden
Low Duration Fund | | | | | Payden
U.S. Government Fund | | | | | | Payden
GNMA Fund | | | | | Payden
Core Bond Fund | |
| 2020 | | | 2019 | | | | | 2020 | | | 2019 | | | | | | 2020 | | | 2019 | | | | | 2020 | | | 2019 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 15,598 | | | $ | 33,581 | | | | | $ | 433 | | | $ | 866 | | | | | | | $ | 1,626 | | | $ | 3,844 | | | | | $ | 13,536 | | | $ | 31,337 | |
| | 6,559 | | | | 6,428 | | | | | | 91 | | | | 16 | | | | | | | | 705 | | | | (215) | | | | | | 7,743 | | | | 14,277 | |
| | (26,638) | | | | 20,323 | | | | | | 803 | | | | 1,050 | | | | | | | | 2,022 | | | | 8,456 | | | | | | (15,965) | | | | 53,641 | |
| | (4,481) | | | | 60,332 | | | | | | 1,327 | | | | 1,932 | | | | | | | | 4,353 | | | | 12,085 | | | | | | 5,314 | | | | 99,255 | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (531) | | | | (896) | |
| | (15,685) | | | | (33,502) | | | | | | (532) | | | | (1,083) | | | | | | | | (2,024) | | | | (4,848) | | | | | | (8,172) | | | | (20,170) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (5,498) | | | | (9,684) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | (55) | |
| | — | | | | (300) | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | (1,228) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | (590) | |
| | (15,685) | | | | (33,802) | | | | | | (532) | | | | (1,083) | | | | | | | | (2,024) | | | | (4,848) | | | | | | (14,201) | | | | (32,623) | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 8,505 | | | | 14,905 | |
| | 311,049 | | | | 928,404 | | | | | | 4,252 | | | | 4,871 | | | | | | | | 16,032 | | | | 22,301 | | | | | | 44,607 | | | | 141,231 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 68,209 | | | | 21,714 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 528 | | | | 949 | |
| | 15,001 | | | | 31,948 | | | | | | 528 | | | | 1,079 | | | | | | | | 1,829 | | | | 4,407 | | | | | | 7,199 | | | | 19,155 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 5,498 | | | | 10,274 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (3,851) | | | | (8,710) | |
| | (415,598) | | | | (676,153) | | | | | | (2,635) | | | | (5,176) | | | | | | | | (29,287) | | | | (60,883) | | | | | | (202,738) | | | | (113,019) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (38,222) | | | | (24,861) | |
| | (89,548) | | | | 284,199 | | | | | | 2,145 | | | | 774 | | | | | | | | (11,426) | | | | (34,175) | | | | | | (110,265) | | | | 61,638 | |
| | (109,714) | | | | 310,729 | | | | | | 2,940 | | | | 1,623 | | | | | | | | (9,097) | | | | (26,938) | | | | | | (119,152) | | | | 128,270 | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1,523,037 | | | | 1,212,308 | | | | | | 39,301 | | | | 37,678 | | | | | | | | 132,455 | | | | 159,393 | | | | | | 1,058,597 | | | | 930,327 | |
| $ | 1,413,323 | | | $ | 1,523,037 | | | | | $ | 42,241 | | | $ | 39,301 | | | | | | | $ | 123,358 | | | $ | 132,455 | | | | | $ | 939,445 | | | $ | 1,058,597 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 3,585 | | | | 2,929 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 782 | | | | 1,404 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 49 | | | | 90 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (360) | | | | (838) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 471 | | | | 656 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 4,056 | | | | 3,585 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 150,787 | | | | 122,291 | | | | | | 3,798 | | | | 3,725 | | | | | | | | 14,058 | | | | 17,774 | | | | | | 63,832 | | | | 59,268 | |
| | 30,886 | | | | 92,867 | | | | | | 409 | | | | 472 | | | | | | | | 1,702 | | | | 2,412 | | | | | | 4,105 | | | | 13,533 | |
| | 1,491 | | | | 3,188 | | | | | | 51 | | | | 105 | | | | | | | | 193 | | | | 476 | | | | | | 662 | | | | 1,813 | |
| | (41,379) | | | | (67,559) | | | | | | (253) | | | | (504) | | | | | | | | (3,101) | | | | (6,604) | | | | | | (18,768) | | | | (10,782) | |
| | (9,002) | | | | 28,496 | | | | | | 207 | | | | 73 | | | | | | | | (1,206) | | | | (3,716) | | | | | | (14,001) | | | | 4,564 | |
| | 141,785 | | | | 150,787 | | | | | | 4,005 | | | | 3,798 | | | | | | | | 12,852 | | | | 14,058 | | | | | | 49,831 | | | | 63,832 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 29,745 | | | | 29,076 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 6,308 | | | | 2,060 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 506 | | | | 974 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (3,503) | | | | (2,365) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 3,311 | | | | 669 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 33,056 | | | | 29,745 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 252,553 | | | | 583,346 | | | | | | — | | | | 1,874 | | | | | | | | — | | | | 518 | | | | | | 167,032 | | | | 263,243 | |
| | 240,855 | | | | 314,877 | | | | | | 419 | | | | 738 | | | | | | | | 226 | | | | 42 | | | | | | 183,727 | | | | 289,966 | |
| | 1,343,881 | | | | 2,013,561 | | | | | | 11,029 | | | | 17,118 | | | | | | | | 14,129 | | | | 35,449 | | | | | | 493,647 | | | | 646,699 | |
| | 1,434,399 | | | | 1,987,024 | | | | | | 7,646 | | | | 17,620 | | | | | | | | 27,586 | | | | 67,024 | | | | | | 589,558 | | | | 598,239 | |
Semi-Annual Report 113
| | |
Statements of Changes in Net Assets continued | | |
For the period ended April 30, 2020 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Corporate
Bond Fund | | | | | | Payden Strategic
Income Fund | | |
| | | 2020 | | | | 2019 | | | | | | 2020 | | | | 2019 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 7,238 | | | | | $ | 13,637 | | | | | | | | | | | $ | 2,288 | | | | | $ | 5,990 | | | | | |
Net realized gains (losses) | | | (546) | | | | | | 2,162 | | | | | | | | | | | | 166 | | | | | | 2,293 | | | | | |
Change in net unrealized appreciation/(depreciation) | | | (9,748) | | | | | | 38,130 | | | | | | | | | | | | (9,012) | | | | | | 5,484 | | | | | |
Change in Net Assets Resulting from Operations. | | | (3,056) | | | | | | 53,929 | | | | | | | | | | | | (6,558) | | | | | | 13,767 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | (7,832) | | | | | | (13,755) | | | | | | | | | | | | (1,604) | | | | | | (4,006) | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | (766) | | | | | | (1,671) | | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | (297) | | | | | |
Sl Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | (124) | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (7,832) | | | | | | (13,755) | | | | | | | | | | | | (2,370) | | | | | | (6,098) | | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 104,777 | | | | | | 229,384 | | | | | | | | | | | | 4,183 | | | | | | 14,037 | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | 97 | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 7,336 | | | | | | 12,830 | | | | | | | | | | | | 1,563 | | | | | | 4,218 | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | 757 | | | | | | 1,775 | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | (109,638) | | | | | | (117,893) | | | | | | | | | | | | (33,130) | | | | | | (55,012) | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | (1,269) | | | | | | (13,045) | | | | | |
Change in Net Assets from Capital Transactions | | | 2,475 | | | | | | 124,321 | | | | | | | | | | | | (27,896) | | | | | | (47,930) | | | | | |
Total Change in Net Assets | | | (8,413) | | | | | | 164,495 | | | | | | | | | | | | (36,824) | | | | | | (40,261) | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 463,203 | | | | | | 298,708 | | | | | | | | | | | | 164,633 | | | | | | 204,894 | | | | | |
End of period | | $ | 454,790 | | | | | $ | 463,203 | | | | | | | | | | | $ | 127,809 | | | | | $ | 164,633 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | 39,474 | | | | | | 28,093 | | | | | | | | | | | | 11,322 | | | | | | 15,026 | | | | | |
Shares sold | | | 8,901 | | | | | | 20,757 | | | | | | | | | | | | 413 | | | | | | 1,413 | | | | | |
Shares issued in reinvestment of distributions | | | 628 | | | | | | 1,147 | | | | | | | | | | | | 156 | | | | | | 423 | | | | | |
Shares redeemed | | | (9,585) | | | | | | (10,523) | | | | | | | | | | | | (3,418) | | | | | | (5,540) | | | | | |
Change in shares outstanding. | | | (56) | | | | | | 11,381 | | | | | | | | | | | | (2,849) | | | | | | (3,704) | | | | | |
Outstanding shares at end of period | | | 39,418 | | | | | | 39,474 | | | | | | | | | | | | 8,473 | | | | | | 11,322 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | — | | | | | | — | | | | | | | | | | | | 4,811 | | | | | | 5,944 | | | | | |
Shares sold | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | 10 | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | — | | | | | | | | | | | | 76 | | | | | | 178 | | | | | |
Shares redeemed | | | — | | | | | | — | | | | | | | | | | | | (132) | | | | | | (1,321) | | | | | |
Change in shares outstanding. | | | — | | | | | | — | | | | | | | | | | | | (56) | | | | | | (1,133) | | | | | |
Outstanding shares at end of period | | | — | | | | | | — | | | | | | | | | | | | 4,755 | | | | | | 4,811 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | 145,727 | | | | | | 312,422 | | | | | | | | | | | | 31,948 | | | | | | 70,602 | | | | | |
Sale of investments (excluding government) | | | 139,061 | | | | | | 190,827 | | | | | | | | | | | | 42,237 | | | | | | 107,737 | | | | | |
Purchase of government securities. | | | — | | | | | | — | | | | | | | | | | | | 21,163 | | | | | | 56,173 | | | | | |
Sale of government securities | | | — | | | | | | — | | | | | | | | | | | | 35,974 | | | | | | 69,589 | | | | | |
114 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Absolute Return Bond Fund | | | | | Payden Floating Rate
Fund | | | | | | Payden High Income
Fund | | | | | Payden California Municipal
Social Impact Fund | |
| 2020 | | | 2019 | | | | | 2020 | | | 2019 | | | | | | 2020 | | | 2019 | | | | | 2020 | | | 2019 | |
| | | | | | | | | | |
| $ | 10,433 | | | $ | 14,225 | | | | | $ | 1,442 | | | $ | 4,788 | | | | | | | $ | 11,202 | | | $ | 24,244 | | | | | $ | 662 | | | $ | 1,459 | |
| | (4,010) | | | | 2,229 | | | | | | (584) | | | | (855) | | | | | | | | (8,518) | | | | (3,560) | | | | | | 398 | | | | 1,289 | |
| | (54,600) | | | | 5,151 | | | | | | (6,477) | | | | (82) | | | | | | | | (36,375) | | | | 23,218 | | | | | | (2,150) | | | | 2,439 | |
| | (48,177) | | | | 21,605 | | | | | | (5,619) | | | | 3,851 | | | | | | | | (33,691) | | | | 43,902 | | | | | | (1,090) | | | | 5,187 | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | (1,770) | | | | (3,909) | | | | | | (406) | | | | (1,188) | | | | | | | | (11,358) | | | | (24,421) | | | | | | (1,945) | | | | (1,545) | |
| | (9,410) | | | | (11,096) | | | | | | (1,056) | | | | (3,758) | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | — | | | | — | | | | | | — | | | | (1) | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | (11,180) | | | | (15,005) | | | | | | (1,462) | | | | (4,947) | | | | | | | | (11,358) | | | | (24,421) | | | | | | (1,945) | | | | (1,545) | |
| | 65,829 | | | | 30,773 | | | | | | 2,201 | | | | 5,870 | | | | | | | | 52,994 | | | | 83,758 | | | | | | 3,996 | | | | 4,444 | |
| | 169,043 | | | | 491,559 | | | | | | 980 | | | | 14,800 | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | | | | | | | | | |
| | 1,753 | | | | 3,852 | | | | | | 398 | | | | 1,155 | | | | | | | | 10,343 | | | | 22,354 | | | | | | 1,665 | | | | 1,351 | |
| | 9,145 | | | | 10,431 | | | | | | 845 | | | | 3,065 | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | | | | | | | | | |
| | (60,566) | | | | (16,803) | | | | | | (3,911) | | | | (35,823) | | | | | | | | (69,325) | | | | (135,126) | | | | | | (6,791) | | | | (4,711) | |
| | (67,236) | | | | (27,041) | | | | | | (4,027) | | | | (67,389) | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | 117,968 | | | | 492,771 | | | | | | (3,514) | | | | (78,322) | | | | | | | | (5,988) | | | | (29,014) | | | | | | (1,130) | | | | 1,084 | |
| | | | | | | | | | |
| | 58,611 | | | | 499,371 | | | | | | (10,595) | | | | (79,418) | | | | | | | | (51,037) | | | | (9,533) | | | | | | (4,165) | | | | 4,726 | |
| | 638,626 | | | | 139,255 | | | | | | 76,886 | | | | 156,304 | | | | | | | | 440,406 | | | | 449,939 | | | | | | 61,866 | | | | 57,140 | |
| $ | 697,237 | | | $ | 638,626 | | | | | $ | 66,291 | | | $ | 76,886 | | | | | | | $ | 389,369 | | | $ | 440,406 | | | | | $ | 57,701 | | | $ | 61,866 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 12,360 | | | | 10,581 | | | | | | 2,220 | | | | 5,183 | | | | | | | | 67,422 | | | | 71,958 | | | | | | 5,824 | | | | 5,723 | |
| | 7,158 | | | | 3,084 | | | | | | 238 | | | | 592 | | | | | | | | 8,621 | | | | 13,100 | | | | | | 380 | | | | 426 | |
| | 179 | | | | 387 | | | | | | 42 | | | | 117 | | | | | | | | 1,650 | | | | 3,506 | | | | | | 160 | | | | 131 | |
| | (6,092) | | | | (1,692) | | | | | | (433) | | | | (3,672) | | | | | | | | (11,176) | | | | (21,142) | | | | | | (655) | | | | (456) | |
| | 1,245 | | | | 1,779 | | | | | | (153) | | | | (2,963) | | | | | | | | (905) | | | | (4,536) | | | | | | (115) | | | | 101 | |
| | 13,605 | | | | 12,360 | | | | | | 2,067 | | | | 2,220 | | | | | | | | 66,517 | | | | 67,422 | | | | | | 5,709 | | | | 5,824 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 51,092 | | | | 3,446 | | | | | | 5,547 | | | | 10,549 | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | 16,748 | | | | 49,299 | | | | | | 100 | | | | 1,493 | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | 938 | | | | 1,042 | | | | | | 89 | | | | 311 | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | (7,344) | | | | (2,695) | | | | | | (426) | | | | (6,806) | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | 10,342 | | | | 47,646 | | | | | | (237) | | | | (5,002) | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | 61,434 | | | | 51,092 | | | | | | 5,310 | | | | 5,547 | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 288,125 | | | | 509,432 | | | | | | 20,312 | | | | 28,934 | | | | | | | | 276,082 | | | | 311,486 | | | | | | 55,409 | | | | 74,409 | |
| | 161,415 | | | | 175,166 | | | | | | 23,354 | | | | 106,023 | | | | | | | | 281,469 | | | | 349,198 | | | | | | 53,927 | | | | 74,781 | |
| | 70,745 | | | | 246,113 | | | | | | 300 | | | | 605 | | | | | | | | 5,800 | | | | 3,336 | | | | | | 987 | | | | 3,421 | |
| | 79,989 | | | | 137,854 | | | | | | — | | | | 717 | | | | | | | | — | | | | 2,021 | | | | | | 1,036 | | | | 3,565 | |
Semi-Annual Report 115
| | |
Statements of Changes in Net Assets continued | | |
For the period ended April 30, 2020 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Low
Duration Fund | | | | | | | | Payden Global Fixed
Income Fund | | | |
| | | 2020 | | | | | 2019 | | | | | | | | 2020 | | | | | 2019 | | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,134 | | | | | | | $ | 2,558 | | | | | | | | | | | $ | 1,207 | | | | | | | $ | 2,439 | | | | | |
Net realized gains (losses) | | | 167 | | | | | | | | (73) | | | | | | | | | | | | (3,926) | | | | | | | | 2,643 | | | | | |
Change in net unrealized appreciation/(depreciation) | | | (2,359) | | | | | | | | 1,610 | | | | | | | | | | | | 1,078 | | | | | | | | 6,679 | | | | | |
Change in Net Assets Resulting from Operations. | | | (1,058) | | | | | | | | 4,095 | | | | | | | | | | | | (1,641) | | | | | | | | 11,761 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | (1,136) | | | | | | | | (2,542) | | | | | | | | | | | | (2,991) | | | | | | | | (6,618) | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | — | | | | | | | | (24) | | | | | | | | | | | | — | | | | | | | | — | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (1,136) | | | | | | | | (2,566) | | | | | | | | | | | | (2,991) | | | | | | | | (6,618) | | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | 9,257 | | | | | | | | 11,634 | | | | | | | | | | | | 34,308 | | | | | | | | 23,553 | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | 1,129 | | | | | | | | 2,521 | | | | | | | | | | | | 2,956 | | | | | | | | 6,520 | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | (15,445) | | | | | | | | (18,393) | | | | | | | | | | | | (20,746) | | | | | | | | (25,832) | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Change in Net Assets from Capital Transactions | | | (5,059) | | | | | | | | (4,238) | | | | | | | | | | | | 16,518 | | | | | | | | 4,241 | | | | | |
Total Change in Net Assets | | | (7,253) | | | | | | | | (2,709) | | | | | | | | | | | | 11,886 | | | | | | | | 9,384 | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 91,028 | | | | | | | | 93,737 | | | | | | | | | | | | 138,387 | | | | | | | | 129,003 | | | | | |
End of period | | $ | 83,775 | | | | | | | $ | 91,028 | | | | | | | | | | | $ | 150,273 | | | | | | | $ | 138,387 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 9,069 | | | | | | | | 9,496 | | | | | | | | | | | | 14,973 | | | | | | | | 14,517 | | | | | |
Shares sold | | | 922 | | | | | | | | 1,166 | | | | | | | | | | | | 3,753 | | | | | | | | 2,607 | | | | | |
Shares issued in reinvestment of distributions | | | 114 | | | | | | | | 253 | | | | | | | | | | | | 325 | | | | | | | | 745 | | | | | |
Shares redeemed | | | (1,580) | | | | | | | | (1,846) | | | | | | | | | | | | (2,307) | | | | | | | | (2,896) | | | | | |
Change in shares outstanding | | | (544) | | | | | | | | (427) | | | | | | | | | | | | 1,771 | | | | | | | | 456 | | | | | |
Outstanding shares at end of period | | | 8,525 | | | | | | | | 9,069 | | | | | | | | | | | | 16,744 | | | | | | | | 14,973 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | | | 19,991 | | | | | | | | 35,415 | | | | | | | | | | | | 62,087 | | | | | | | | 79,017 | | | | | |
Sale of investments (excluding government) | | | 30,139 | | | | | | | | 39,366 | | | | | | | | | | | | 47,380 | | | | | | | | 83,594 | | | | | |
Purchase of government securities. | | | 48,870 | | | | | | | | 59,955 | | | | | | | | | | | | 27,692 | | | | | | | | 15,888 | | | | | |
Sale of government securities | | | 37,834 | | | | | | | | 65,851 | | | | | | | | | | | | 25,969 | | | | | | | | 7,299 | | | | | |
116 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Emerging Markets
Bond Fund | | | | | Payden Emerging
Markets Local Bond Fund | | | | | Payden Emerging Markets
Corporate Bond Fund | | | | | Payden Equity
Income Fund |
| 2020 | | 2019 | | | | | 2020 | | 2019 | | | | | 2020 | | 2019 | | | | | 2020 | | 2019 |
| | | | | | | | | | |
| $ | 28,601 | | | $ | 61,806 | | | | | | | $ | 5,423 | | | $ | 12,256 | | | | | | | $ | 926 | | | $ | 2,141 | | | | | | | $ | 13,748 | | | $ | 30,980 | |
| | (796) | | | | (27,198) | | | | | | | | (15,354) | | | | (9,099) | | | | | | | | (311) | | | | 96 | | | | | | | | (29,636) | | | | 42,383 | |
| | (151,936) | | | | 102,589 | | | | | | | | (18,426) | | | | 27,242 | | | | | | | | (3,080) | | | | 1,662 | | | | | | | | (125,782) | | | | 113,907 | |
| | (124,131) | | | | 137,197 | | | | | | | | (28,357) | | | | 30,399 | | | | | | | | (2,465) | | | | 3,899 | | | | | | | | (141,670) | | | | 187,270 | |
| | | | | | | | | | |
| | (1,638) | | | | (3,619) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (611) | | | | (388) | |
| | (9,807) | | | | (23,428) | | | | | | | | (5,433) | | | | (5,008) | | | | | | | | (83) | | | | (201) | | | | | | | | (20,111) | | | | (14,582) | |
| | (16,480) | | | | (34,617) | | | | | | | | — | | | | — | | | | | | | | (859) | | | | (1,936) | | | | | | | | (33,209) | | | | (21,989) | |
| | | | | | | | | | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | (7,295) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | (27,925) | | | | (61,664) | | | | | | | | (5,433) | | | | (12,303) | | | | | | | | (942) | | | | (2,137) | | | | | | | | (53,931) | | | | (36,959) | |
| | | | | | | | | | |
| | 11,773 | | | | 10,268 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 4,564 | | | | 7,320 | |
| | 55,730 | | | | 173,155 | | | | | | | | 6,912 | | | | 43,549 | | | | | | | | — | | | | 526 | | | | | | | | 82,427 | | | | 78,714 | |
| | 146,902 | | | | 306,044 | | | | | | | | — | | | | — | | | | | | | | 1,242 | | | | 900 | | | | | | | | 94,234 | | | | 74,819 | |
| | | | | | | | | | |
| | 1,613 | | | | 3,574 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 597 | | | | 381 | |
| | 8,189 | | | | 20,123 | | | | | | | | 4,413 | | | | 9,838 | | | | | | | | 83 | | | | 201 | | | | | | | | 19,225 | | | | 13,592 | |
| | 16,184 | | | | 34,514 | | | | | | | | — | | | | — | | | | | | | | 801 | | | | 1,758 | | | | | | | | 28,728 | | | | 18,966 | |
| | | | | | | | | | |
| | (17,864) | | | | (33,102) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (4,537) | | | | (6,998) | |
| | (181,346) | | | | (215,052) | | | | | | | | (54,744) | | | | (59,093) | | | | | | | | (1) | | | | (1,428) | | | | | | | | (111,242) | | | | (57,584) | |
| | (36,222) | | | | (595,391) | | | | | | | | — | | | | — | | | | | | | | (357) | | | | (8,634) | | | | | | | | (18,457) | | | | (76,443) | |
| | 4,959 | | | | (295,867) | | | | | | | | (43,419) | | | | (5,706) | | | | | | | | 1,768 | | | | (6,677) | | | | | | | | 95,539 | | | | 52,767 | |
| | (147,097) | | | | (220,334) | | | | | | | | (77,209) | | | | 12,390 | | | | | | | | (1,639) | | | | (4,915) | | | | | | | | (100,062) | | | | 203,078 | |
| | | | | | | | | | |
| | 1,058,610 | | | | 1,278,944 | | | | | | | | 216,368 | | | | 203,978 | | | | | | | | 40,506 | | | | 45,421 | | | | | | | | 1,395,910 | | | | 1,192,832 | |
| $ | 911,513 | | | $ | 1,058,610 | | | | | | | $ | 139,159 | | | $ | 216,368 | | | | | | | $ | 38,867 | | | $ | 40,506 | | | | | | | $ | 1,295,848 | | | $ | 1,395,910 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 4,937 | | | | 6,461 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 885 | | | | 839 | |
| | 887 | | | | 761 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 270 | | | | 429 | |
| | 124 | | | | 271 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 33 | | | | 24 | |
| | (1,399) | | | | (2,556) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (280) | | | | (407) | |
| | (388) | | | | (1,524) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 23 | | | | 46 | |
| | 4,549 | | | | 4,937 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 908 | | | | 885 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 30,158 | | | | 31,896 | | | | | | | | 33,265 | | | | 34,161 | | | | | | | | 368 | | | | 439 | | | | | | | | 31,449 | | | | 29,385 | |
| | 4,208 | | | | 13,131 | | | | | | | | 1,110 | | | | 6,944 | | | | | | | | — | | | | 55 | | | | | | | | 5,191 | | | | 4,667 | |
| | 626 | | | | 1,523 | | | | | | | | 725 | | | | 1,560 | | | | | | | | 9 | | | | 20 | | | | | | | | 1,079 | | | | 835 | |
| | (14,715) | | | | (16,392) | | | | | | | | (10,037) | | | | (9,400) | | | | | | | | — | | | | (146) | | | | | | | | (6,510) | | | | (3,438) | |
| | (9,881) | | | | (1,738) | | | | | | | | (8,202) | | | | (896) | | | | | | | | 9 | | | | (71) | | | | | | | | (240) | | | | 2,064 | |
| | 20,277 | | | | 30,158 | | | | | | | | 25,063 | | | | 33,265 | | | | | | | | 377 | | | | 368 | | | | | | | | 31,209 | | | | 31,449 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 42,924 | | | | 62,550 | | | | | | | | — | | | | — | | | | | | | | 3,680 | | | | 4,291 | | | | | | | | 44,568 | | | | 43,382 | |
| | 12,045 | | | | 23,988 | | | | | | | | — | | | | — | | | | | | | | 121 | | | | 92 | | | | | | | | 5,355 | | | | 4,450 | |
| | 1,257 | | | | 2,628 | | | | | | | | — | | | | — | | | | | | | | 83 | | | | 180 | | | | | | | | 1,618 | | | | 1,163 | |
| | (2,992) | | | | (46,242) | | | | | | | | — | | | | — | | | | | | | | (35) | | | | (883) | | | | | | | | (1,012) | | | | (4,427) | |
| | 10,310 | | | | (19,626) | | | | | | | | — | | | | — | | | | | | | | 169 | | | | (611) | | | | | | | | 5,961 | | | | 1,186 | |
| | 53,234 | | | | 42,924 | | | | | | | | — | | | | — | | | | | | | | 3,849 | | | | 3,680 | | | | | | | | 50,529 | | | | 44,568 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 384,593 | | | | 768,598 | | | | | | | | 46,587 | | | | 126,685 | | | | | | | | 18,876 | | | | 37,503 | | | | | | | | 365,761 | | | | 662,247 | |
| | 360,614 | | | | 802,994 | | | | | | | | 90,843 | | | | 127,466 | | | | | | | | 17,773 | | | | 41,833 | | | | | | | | 313,375 | | | | 620,968 | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 444 | | | | 215 | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 54 | | | | — | | | | | | | | — | | | | — | |
Semi-Annual Report 117
| | |
Notes to Financial Statements | | |
April 30, 2020 (Unaudited)
1. Organization and Related Matters
The Payden & Rygel Investment Group (the “Group” or “Paydenfunds”) is ano-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. The California Municipal Income Fund changed its name to the California Municipal Social Impact Fund. 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 asinstitutional-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 Payden 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 theover-the-counter (“OTC”) market are valued at the latest bid price. Investments in nonregistered 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 ofopen-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.
118 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 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 theex-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 October 31st. When a range of rates is disclosed, the Fund holds more than one position within the same tranche at varying rates.
Bank loans are subject to various restrictive covenants that protect the lender or investor. Loans with fewer or no restrictive covenants, “covenant light” loans, provide the issuer more flexibility and reduce investor protections in the event of a breach, and may cause the fund to experience more difficulty or delay in enforcing its rights. A significant portion of bank loans are “covenant light.”
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.
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 Social Impact 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 currency arise from changes in the value of assets and liabilities resulting from changes in the foreign exchange rates.
Semi-Annual Report 119
| | |
Notes to Financial Statementscontinued | | |
Repurchase Agreements
The 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 fortri-party agreements where an independent custodian takes possession. On a daily basis the Fund or thetri-party custodianmark-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 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.
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
120 Payden Mutual Funds
(“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps aremarked-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 acquired by the Fund, to reduce the volatility of the currency exposure associated with investment innon-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
Semi-Annual Report 121
| | |
Notes to Financial Statementscontinued | | |
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 subsequentlymarked-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 subsequentlymarked-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 arenon-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, 2020 (000s)
| | | | | | | | |
Underlying Risk | | Derivative
Assets ($) | | | Derivative
Liabilities ($) | |
Limited Maturity | | | | | | | | |
Foreign currency2 | | | 993 | | | | — | |
| | | | | | | | |
Low Duration | | | | | | | | |
Interest rate1. | | | 5,478 | | | | (2,865 | ) |
| | | | | | | | |
| | | | | | | | |
Underlying Risk | | Derivative
Assets ($) | | | Derivative
Liabilities ($) | |
Core Bond | | | | | | | | |
Credit1 | | | 107 | | | | — | |
Interest rate1 | | | 4,782 | | | | (2,249 | ) |
Foreign currency2,3 | | | 833 | | | | (99 | ) |
| | | | | | | | |
Total | | | 5,722 | | | | (2,348 | ) |
| | | | | | | | |
Corporate Bond | | | | | | | | |
Credit1 | | | — | | | | (15 | ) |
Interest rate1 | | | 1,948 | | | | (2,301 | ) |
| | | | | | | | |
Total | | | 1,948 | | | | (2,316 | ) |
| | | | | | | | |
Strategic Income | | | | | | | | |
Credit1 | | | 199 | | | | — | |
Interest rate1 | | | 408 | | | | (6 | ) |
Foreign currency2,3 | | | 152 | | | | (11 | ) |
| | | | | | | | |
Total | | | 759 | | | | (17 | ) |
| | | | | | | | |
Absolute Return Bond | | | | | | | | |
Interest rate1 | | | 1,490 | | | | (1 | ) |
Foreign currency2,3 | | | 1,081 | | | | (23 | ) |
| | | | | | | | |
Total | | | 2,571 | | | | (24 | ) |
| | | | | | | | |
High Income | | | | | | | | |
Interest Rate1 | | | 1,540 | | | | (68 | ) |
Foreign currency2,3 | | | 234 | | | | (5 | ) |
| | | | | | | | |
Total | | | 1,774 | | | | (73 | ) |
| | | | | | | | |
California Municipal Social Impact | | | | | | | | |
Interest rate1 | | | — | | | | (7 | ) |
| | | | | | | | |
Global Low Duration | | | | | | | | |
Interest rate1 | | | 489 | | | | (386 | ) |
Foreign currency3 | | | — | | | | (1 | ) |
| | | | | | | | |
Total | | | 489 | | | | (387 | ) |
| | | | | | | | |
Global Fixed Income | | | | | | | | |
Interest rate1 | | | 7,046 | | | | (266 | ) |
Foreign currency2,3 | | | 162 | | | | (1,170 | ) |
| | | | | | | | |
Total | | | 7,208 | | | | (1,436 | ) |
| | | | | | | | |
Emerging Markets Bond | | | | | | | | |
Credit1 | | | 1,555 | | | | (321 | ) |
Foreign currency2,3 | | | 6,443 | | | | (3,398 | ) |
| | | | | | | | |
Total | | | 7,998 | | | | (3,719 | ) |
| | | | | | | | |
Emerging Markets Local Bond | | | | | | | | |
Interest rate4 | | | 58 | | | | — | |
Foreign currency2,3 | | | 1,655 | | | | (1,770 | ) |
| | | | | | | | |
Total | | | 1,713 | | | | (1,770 | ) |
| | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | |
Credit1 | | | 5 | | | | (1 | ) |
Foreign currency2,3 | | | 34 | | | | (30 | ) |
| | | | | | | | |
Total | | | 39 | | | | (31 | ) |
| | | | | | | | |
Equity Income | | | | | | | | |
Foreign currency2,3 | | | 1,217 | | | | (89 | ) |
| | | | | | | | |
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. |
| 2 | Receivable for forward currency contracts. |
| 3 | Payable for forward currency contracts. |
| 4 | Unrealized gain on OTC swaps. |
122 Payden Mutual Funds
The Effect of Derivative Instruments on the Statements of Operations For the Period Ended April 30, 2020 (000s)
| | | | | | | | | | | | | | | | | | | | |
Amount of Net Realized Gain or (Loss) on Derivatives Recognized in Income | |
Underlying risk | | Futures1 | | | Forward
Currency
Contracts2 | | | Options3 | | | Swaps4 | | | Total | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | $ | 960 | | | | — | | | | — | | | $ | 960 | |
| | | | | | | | | | | | | | | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | $ | 285 | | | | — | | | | — | | | $ | 18 | | | | 303 | |
| | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (10 | ) | | | — | | | | — | | | | — | | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (35 | ) | | | — | | | | — | | | | — | | | | (35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (3,265 | ) | | | (3,265 | ) |
Interest rate | | | (2,940 | ) | | | — | | | $ | (284 | ) | | | — | | | | (3,224 | ) |
Foreign exchange | | | — | | | | (478 | ) | | | — | | | | — | | | | (478 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (2,940 | ) | | | (478 | ) | | | (284 | ) | | | (3,265 | ) | | | (6,967 | ) |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 854 | | | | 854 | |
Interest rate | | | (1,918 | ) | | | — | | | | — | | | | — | | | | (1,918 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (1,918 | ) | | | — | | | | — | | | | 854 | | | | (1,064 | ) |
| | | | | | | | | | | | | | | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (496 | ) | | | (496 | ) |
Interest rate | | | (354 | ) | | | — | | | | (45 | ) | | | — | | | | (399 | ) |
Foreign exchange | | | — | | | | (137 | ) | | | — | | | | — | | | | (137 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (354 | ) | | | (137 | ) | | | (45 | ) | | | (496 | ) | | | (1,032 | ) |
| | | | | | | | | | | | | | | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (2,950 | ) | | | (2,950 | ) |
Equity | | | — | | | | — | | | | 670 | | | | — | | | | 670 | |
Interest rate | | | 895 | | | | — | | | | — | | | | 3 | | | | 898 | |
Foreign exchange | | | — | | | | (260 | ) | | | — | | | | — | | | | (260 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 895 | | | | (260 | ) | | | 670 | | | | (2,947 | ) | | | (1,642 | ) |
| | | | | | | | | | | | | | | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (23 | ) | | | (23 | ) |
Interest rate | | | — | | | | — | | | | — | | | | (322 | ) | | | (322 | ) |
Foreign exchange | | | — | | | | (136 | ) | | | — | | | | — | | | | (136 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | (136 | ) | | | — | | | | (345 | ) | | | (481 | ) |
| | | | | | | | | | | | | | | | | | | | |
California Municipal Social Impact | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (21 | ) | | | — | | | | — | | | | — | | | | (21 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (49 | ) | | | — | | | | (26 | ) | | | — | | | | (75 | ) |
Foreign exchange | | | — | | | | (53 | ) | | | — | | | | — | | | | (53 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (49 | ) | | | (53 | ) | | | (26 | ) | | | — | | | | (128 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Amount of Net Realized Gain or (Loss) on Derivatives Recognized in Income | |
Underlying risk | | Futures1 | | | Forward
Currency
Contracts2 | | | Options3 | | | Swaps4 | | | Total | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | $ | (245 | ) | | $ | (245 | ) |
Interest rate | | $ | (107 | ) | | | — | | | $ | (36 | ) | | | (6,428 | ) | | | (6,571 | ) |
Foreign exchange | | | — | | | $ | 4,027 | | | | — | | | | — | | | | 4,027 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (107 | ) | | | 4,027 | | | | (36 | ) | | | (6,673 | ) | | | (2,789 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 7,864 | | | | 7,864 | |
Interest rate | | | — | | | | — | | | | — | | | | 1,165 | | | | 1,165 | |
Foreign exchange | | | — | | | | 2,729 | | | | — | | | | — | | | | 2,729 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 2,729 | | | | — | | | | 9,029 | | | | 11,758 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | — | | | | — | | | | — | | | | 253 | | | | 253 | |
Foreign exchange | | | — | | | | (1,746 | ) | | | — | | | | — | | | | (1,746 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | (1,746 | ) | | | — | | | | 253 | | | | (1,493 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 3 | | | | 3 | |
Interest rate | | | — | | | | — | | | | — | | | | 57 | | | | 57 | |
Foreign exchange | | | — | | | | 64 | | | | — | | | | — | | | | 64 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 64 | | | | — | | | | 60 | | | | 124 | |
| | | | | | | | | | | | | | | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | (1,485 | ) | | | — | | | | — | | | | (1,485 | ) |
| | | | | | | | | | | | | | | | | | | | |
| 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, 2020 (000s)
| | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Underlying risk | | Futures5 | | | Forward
Currency
Contracts6 | | | Options7 | | | Swaps8 | | | Total | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | $ | 1,497 | | | | — | | | | — | | | $ | 1,497 | |
| | | | | | | | | | | | | | | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | $ | 2,164 | | | | — | | | | — | | | $ | 886 | | | | 3,050 | |
| | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 6 | | | | — | | | | — | | | | — | | | | 6 | |
| | | | | | | | | | | | | | | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 107 | | | | 107 | |
Interest rate | | | 2,842 | | | | — | | | $ | 211 | | | | — | | | | 3,053 | |
Foreign exchange | | | — | | | | 1,387 | | | | — | | | | — | | | | 1,387 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 2,842 | | | | 1,387 | | | | 211 | | | | 107 | | | | 4,547 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (44 | ) | | | (44 | ) |
Interest rate | | | (440 | ) | | | — | | | | — | | | | — | | | | (440 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (440 | ) | | | — | | | | — | | | | (44 | ) | | | (484 | ) |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 123
| | |
Notes to Financial Statementscontinued | | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Underlying risk | | Futures5 | | | Forward
Currency
Contracts6 | | | Options7 | | | Swaps8 | | | Total | |
Strategic Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | $ | 199 | | | $ | 199 | |
Interest rate | | $ | 486 | | | | — | | | $ | 34 | | | | — | | | | 520 | |
Foreign exchange | | | — | | | $ | 275 | | | | — | | | | — | | | | 275 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 486 | | | | 275 | | | | 34 | | | | 199 | | | | 994 | |
| | | | | | | | | | | | | | | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 186 | | | | 186 | |
Equity | | | — | | | | — | | | | 49 | | | | — | | | | 49 | |
Interest rate | | | 864 | | | | — | | | | 18 | | | | 734 | | | | 1,616 | |
Foreign exchange | | | — | | | | 1,386 | | | | — | | | | — | | | | 1,386 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 864 | | | | 1,386 | | | | 67 | | | | 920 | | | | 3,237 | |
| | | | | | | | | | | | | | | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | — | | | | — | | | | — | | | | 631 | | | | 631 | |
Foreign exchange | | | — | | | | 348 | | | | — | | | | — | | | | 348 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 348 | | | | — | | | | 631 | | | | 979 | |
| | | | | | | | | | | | | | | | | | | | |
California Municipal Social Impact | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (7 | ) | | | — | | | | — | | | | — | | | | (7 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 87 | | | | — | | | | 29 | | | | 54 | | | | 170 | |
Foreign exchange | | | — | | | | 25 | | | | — | | | | — | | | | 25 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 87 | | | | 25 | | | | 29 | | | | 54 | | | | 195 | |
| | | | | | | | | | | | | | | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 16 | | | | 16 | |
Interest rate | | | (95 | ) | | | — | | | | 26 | | | | 6,783 | | | | 6,714 | |
Foreign exchange | | | — | | | | 28 | | | | — | | | | — | | | | 28 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (95 | ) | | | 28 | | | | 26 | | | | 6,799 | | | | 6,758 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 1,234 | | | | 1,234 | |
Interest rate | | | — | | | | — | | | | — | | | | (1,285 | ) | | | (1,285 | ) |
Foreign exchange | | | — | | | | 4,675 | | | | — | | | | — | | | | 4,675 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 4,675 | | | | — | | | | (51 | ) | | | 4,624 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | — | | | | — | | | | — | | | | (224 | ) | | | (224 | ) |
Foreign exchange | | | — | | | | (77 | ) | | | — | | | | — | | | | (77 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | (77 | ) | | | — | | | | (224 | ) | | | (301 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 4 | | | | 4 | |
Interest rate | | | — | | | | — | | | | — | | | | (64 | ) | | | (64 | ) |
Foreign exchange | | | — | | | | 29 | | | | — | | | | — | | | | 29 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 29 | | | | — | | | | (60 | ) | | | (31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | 2,261 | | | | — | | | | — | | | | 2,261 | |
| | | | | | | | | | | | | | | | | | | | |
| 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, 2020 the average notional amount of derivatives as a percent of average net assets were as follows:
| | | | | | | | |
| | | Foreign
currency | | Credit | | Interest
rate | | Equity |
Limited Maturity | | 5% | | 0% | | 0% | | 0% |
Low Duration | | 0% | | 0% | | 3% | | 0% |
Core Bond | | 2% | | 0% | | 0% | | 0% |
Strategic Income | | 4% | | 1% | | 0% | | 0% |
Absolute Return Bond | | 8% | | 1% | | 6% | | 0% |
High Income | | 2% | | 0% | | 1% | | 0% |
Global Low Duration | | 1% | | 0% | | 3% | | 0% |
Global Fixed Income | | 54% | | 0% | | 1093% | | 0% |
Emerging Markets Bond | | 10% | | 2% | | 0% | | 0% |
Emerging Markets Local Bond | | 25% | | 0% | | 3% | | 0% |
Emerging Markets Corporate Bond | | 3% | | 0% | | 27% | | 0% |
Equity Income | | 3% | | 0% | | 0% | | 0% |
Counterparty Credit Risk
A derivative contract may suffer amark-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 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 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 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.
124 Payden Mutual Funds
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 counterpartynon-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, 2020, the Funds’ derivative assets and liabilities (by type) on a gross basis are as follows (000s):
| | | | | | | | |
| | | Assets | | | Liabilities | |
Emerging Markets Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Centrally Cleared Swaps | | | — | | | $ | 126 | |
Forward Currency Contracts | | $ | 6,443 | | | | 3,398 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 6,443 | | | | 3,524 | |
| | | | | | | | |
| Derivatives not subject to a MNA | | | (1,957 | ) | | | (1,139 | ) |
| | | | | | | | |
| Total derivative assets and liabilities subject to a MNA | | $ | 4,486 | | | $ | 2,385 | |
| | | | | | | | |
| | |
| | | Assets | | | Liabilities | |
Emerging Markets Local Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Centrally Cleared Swaps | | | — | | | $ | 2 | |
Forward Currency Contracts | | $ | 1,655 | | | | 1,770 | |
OTC Swaps | | | 58 | | | | — | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,713 | | | | 1,772 | |
| | | | | | | | |
| Derivatives not subject to a MNA | | | (576 | ) | | | (250 | ) |
| | | | | | | | |
| Total derivative assets and liabilities subject to a MNA | | $ | 1,137 | | | $ | 1,522 | |
| | | | | | | | |
Semi-Annual Report 125
| | |
Notes to Financial Statementscontinued | | |
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, 2020 (000s):
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | | Derivatives
Available
for Offset1 | | | Non-Cash
Collateral
Received | | | Cash
Collateral
Received | | | Net Amount of
Derivative
Assets2 | |
BNP PARIBAS | | $ | 1,928 | | | $ | (942 | ) | | | — | | | | — | | | $ | 986 | |
HSBC Bank USA, N.A | | | 2,558 | | | | (536 | ) | | | — | | | | — | | | | 2,022 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 4,486 | | | $ | (1,478 | ) | | | — | | | | — | | | $ | 3,008 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Liabilities
Subject to MNA by
Counterparty | | | Derivatives
Available
for Offset1 | | | Non-Cash
Collateral
Pledged | | | Cash
Collateral
Pledged3 | | | Net Amount of
Derivative
Liabilities4 | |
Barclays Bank PLC | | $ | 907 | | | | — | | | | — | | | $ | (460 | ) | | $ | 447 | |
BNP PARIBAS | | | 942 | | | $ | (942 | ) | | | — | | | | — | | | | — | |
HSBC Bank USA, N.A | | | 536 | | | | (536 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 2,385 | | | $ | (1,478 | ) | | | — | | | $ | (460 | ) | | $ | 447 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | | Derivatives
Available
for Offset1 | | | Non-Cash
Collateral
Received | | | Cash
Collateral
Received | | | Net Amount of
Derivative
Assets2 | |
Barclays Bank PLC | | $ | 154 | | | $ | (69 | ) | | | — | | | | — | | | $ | 85 | |
BNP PARIBAS | | | 462 | | | | (304 | ) | | | — | | | | — | | | | 158 | |
HSBC Bank USA, N.A | | | 521 | | | | (521 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,137 | | | $ | (894 | ) | | | — | | | | — | | | $ | 243 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Liabilities
Subject to MNA by
Counterparty | | | Derivatives
Available
for Offset1 | | | Non-Cash
Collateral
Pledged | | | Cash
Collateral
Pledged3 | | | Net Amount of
Derivative
Liabilities4 | |
Barclays Bank PLC | | $ | 69 | | | $ | (69 | ) | | | — | | | | — | | | | — | |
BNP PARIBAS | | | 304 | | | | (304 | ) | | | — | | | | — | | | | — | |
HSBC Bank USA, N.A | | | 1,149 | | | | (521 | ) | | | — | | | $ | (628 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,522 | | | $ | (894 | ) | | | — | | | $ | (628 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| 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 | Excess of collateral pledged from an individual counterparty may not be shown for financial reporting purposes. |
| 4 | Net amount represents the net amount payable from the counterparty in the event of default. |
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.
126 Payden Mutual Funds
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 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 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 thenon-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 orre-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 theex-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 Social Impact 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, 2020, 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.
| | |
Notes to Financial Statementscontinued | | |
As of and during the period ended April 30, 2020, 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, 2019 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 Social Impact 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Value
October 31, 2019 | | Purchases | | Sales | | Dividends | | Value
April 30, 2020 | | Net Realized
Gain | | Net Change in
Unrealized Appreciation
(Depreciation) |
| | | | | | | |
Investments in Cash Reserves Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Limited Maturity | | | $ | 5,223,343 | | | | $ | 298,033,211 | | | | $ | 286,259,164 | | | | $ | 72,358 | | | | $ | 16,997,390 | | | | | — | | | | | — | |
Low Duration | | | | 6,475,496 | | | | | 315,111,400 | | | | | 301,956,870 | | | | | 57,964 | | | | | 19,630,026 | | | | | — | | | | | — | |
U.S. Government | | | | 203,634 | | | | | 12,878,072 | | | | | 12,262,748 | | | | | 8,797 | | | | | 818,958 | | | | | — | | | | | — | |
GNMA | | | | 673,188 | | | | | 31,261,580 | | | | | 29,748,681 | | | | | 13,685 | | | | | 2,186,087 | | | | | — | | | | | — | |
Core Bond | | | | 6,282,790 | | | | | 237,966,529 | | | | | 229,275,905 | | | | | 42,955 | | | | | 14,973,414 | | | | | — | | | | | — | |
Corporate Bond | | | | 11,130,485 | | | | | 111,163,824 | | | | | 116,519,468 | | | | | 44,766 | | | | | 5,774,841 | | | | | — | | | | | — | |
Strategic Income | | | | 1,548,218 | | | | | 40,703,903 | | | | | 39,986,837 | | | | | 12,032 | | | | | 2,265,284 | | | | | — | | | | | — | |
Absolute Return Bond | | | | 9,825,615 | | | | | 236,325,555 | | | | | 239,574,912 | | | | | 49,943 | | | | | 6,576,258 | | | | | — | | | | | — | |
Floating Rate | | | | 4,471,402 | | | | | 19,813,822 | | | | | 19,656,146 | | | | | 48,750 | | | | | 4,629,078 | | | | | — | | | | | — | |
High Income | | | | 28,403,427 | | | | | 145,540,533 | | | | | 147,973,467 | | | | | 93,651 | | | | | 25,970,493 | | | | | — | | | | | — | |
Global Low Duration | | | | 1,405,366 | | | | | 31,600,321 | | | | | 31,677,137 | | | | | 8,107 | | | | | 1,328,550 | | | | | — | | | | | — | |
Global Fixed Income | | | | 878,062 | | | | | 47,853,866 | | | | | 46,718,836 | | | | | 15,558 | | | | | 2,013,092 | | | | | — | | | | | — | |
Emerging Markets Bond. | | | | 22,852,478 | | | | | 300,639,309 | | | | | 301,655,666 | | | | | 112,502 | | | | | 21,836,121 | | | | | — | | | | | — | |
Emerging Markets Local | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bond | | | | 3,703,188 | | | | | 38,896,848 | | | | | 39,242,356 | | | | | 34,572 | | | | | 3,357,680 | | | | | — | | | | | — | |
Emerging Markets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | 3,603,691 | | | | | 7,934,696 | | | | | 9,554,503 | | | | | 10,303 | | | | | 1,983,884 | | | | | — | | | | | — | |
Equity Income | | | | 26,643,174 | | | | | 214,497,883 | | | | | 179,690,563 | | | | | 94,314 | | | | | 61,450,494 | | | | | — | | | | | — | |
| | | | | | | |
Investments in Floating Rate Fund — SI Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
High Income | | | $ | 2,043,871 | | | | | — | | | | $ | 2,052,129 | | | | | — | | | | | — | | | | $ | 4,129 | | | | $ | 4,129 | |
Global Fixed Income | | | | 1,452,352 | | | | | — | | | | | — | | | | $ | 28,592 | | | | $ | 1,318,853 | | | | | — | | | | | (133,499 | ) |
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. There were no custodian credits applicable to any fund during the period ended April 30, 2020.
128 Payden Mutual Funds
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 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.
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 2018 | | | FY 2019 | | | FY 2020 | |
Cash Reserves Money | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Market | | | 0.15% | | | | 0.15% | | | | 0.15% | | | | 0.15% | | | | 0.50% | | | | 0.25% | | | | n/a | | | $ | 459,206 | | | $ | 356,789 | | | $ | 200,748 | |
Limited Maturity | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | | 0.25% | | | | n/a | | | | 2,413,311 | | | | 2,419,489 | | | | 1,270,302 | |
Low Duration | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | | 0.43% | | | | n/a | | | | 1,233,072 | | | | 1,537,992 | | | | 675,077 | |
U.S. Government | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | | 0.43% | | | | n/a | | | | 156,901 | | | | 113,838 | | | | 61,503 | |
GNMA | | | 0.27% | | | | 0.27% | | | | 0.27% | | | | 0.27% | | | | 0.50% | | | | n/a | | | | n/a | | | | 359,812 | | | | 267,982 | | | | 135,767 | |
Core Bond | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | | 0.53% | | | | 0.42% | | | | 172,909 | | | | 377,482 | | | | 229,879 | |
Corporate Bond | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 1.00% | | | | 0.65% | | | | n/a | | | | 143,962 | | | | — | | | | — | |
Strategic Income | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | n/a | | | | 0.70% | | | | 0.55% | | | | 356,122 | | | | 372,006 | | | | 173,065 | |
Absolute Return Bond | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | n/a | | | | 0.70% | | | | 0.47% | | | | 233,184 | | | | 906,573 | | | | 777,427 | |
Floating Rate | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | n/a | | | | 0.75% | | | | 0.65% | | | | 267,525 | | | | 235,705 | | | | 104,385 | |
High Income | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.75% | | | | n/a | | | | n/a | | | | — | | | | — | | | | — | |
California Municipal | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Social Impact | | | 0.32% | | | | 0.32% | | | | 0.25% | | | | 0.25% | | | | 0.80% | | | | 0.53% | | | | n/a | | | | 86,089 | | | | 101,892 | | | | 109,249 | |
Global Low Duration | | | 0.30% | | | | 0.30% | | | | 0.30% | | | | 0.25% | | | | 0.70% | | | | 0.53% | | | | n/a | | | | 144,641 | | | | 144,077 | | | | 69,117 | |
Global Fixed Income | | | 0.30% | | | | 0.30% | | | | 0.30% | | | | 0.25% | | | | 0.70% | | | | n/a | | | | n/a | | | | 95,623 | | | | 95,259 | | | | 42,552 | |
Emerging Markets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bond | | | 0.45% | | | | 0.45% | | | | 0.45% | | | | 0.45% | | | | 1.25% | | | | n/a | | | | 0.69% | | | | 395,095 | | | | 219,014 | | | | 136,732 | |
Emerging Markets Local | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bond | | | 0.60% | | | | 0.60% | | | | 0.60% | | | | 0.60% | | | | 1.50% | | | | 0.99% | | | | n/a | | | | — | | | | — | | | | — | |
Emerging Markets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | 0.80% | | | | 0.80% | | | | 0.80% | | | | 0.80% | | | | n/a | | | | 0.95% | | | | 0.85% | | | | 193,589 | | | | 196,502 | | | | 105,258 | |
Equity Income | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.30% | | | | 0.80% | | | | n/a | | | | 0.65% | | | | 571,830 | | | | 680,157 | | | | 352,074 | |
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, 2021 (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
| | |
Notes to Financial Statementscontinued | | |
the year in which it is made to exceed the amount of the 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 rule12b-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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | Level 1-Quoted Prices | | | Level 2-Other
Significant
Observable Inputs | | | Level 3-Significant
Unobservable Inputs | | | | |
| | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Total | |
| | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | |
Cash Reserves Money Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed | | | — | | | | — | | | $ | 571 | | | | — | | | | — | | | | — | | | $ | 571 | |
Repurchase Agreement | | | — | | | | — | | | | 117,000 | | | | — | | | | — | | | | — | | | | 117,000 | |
U.S. Government | | | — | | | | — | | | | 66,145 | | | | — | | | | — | | | | — | | | | 66,145 | |
U.S. Treasury | | | — | | | | — | | | | 157,947 | | | | — | | | | — | | | | — | | | | 157,947 | |
Investment Company | | $ | 6,540 | | | | — | | | | — | | | | — | | | | — | | | | — | | | $ | 6,540 | |
| | | | | | | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 252,889 | | | | — | | | | — | | | | — | | | | 252,889 | |
Commercial Paper | | | — | | | | — | | | | 32,322 | | | | — | | | | — | | | | — | | | | 32,322 | |
Corporate Bond | | | — | | | | — | | | | 346,075 | | | | — | | | | — | | | | — | | | | 346,075 | |
Foreign Government | | | — | | | | — | | | | 12,555 | | | | — | | | | — | | | | — | | | | 12,555 | |
130 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | Level 1-Quoted Prices | | | Level 2-Other
Significant
Observable Inputs | | | Level 3-Significant
Unobservable Inputs | | | | |
| | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Total | |
| | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | |
Mortgage Backed | | | — | | | | — | | | | 99,136 | | | | — | | | | — | | | | — | | | | 99,136 | |
Municipal | | | — | | | | — | | | | 1,379 | | | | — | | | | — | | | | — | | | | 1,379 | |
U.S. Government | | | — | | | | — | | | | 112,625 | | | | — | | | | — | | | | — | | | | 112,625 | |
Investment Company | | | 16,997 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 16,997 | |
| | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 324,491 | | | | — | | | | — | | | | — | | | | 324,491 | |
Commercial Paper | | | — | | | | — | | | | 1,550 | | | | — | | | | — | | | | — | | | | 1,550 | |
Corporate Bond | | | — | | | | — | | | | 551,515 | | | | — | | | | — | | | | — | | | | 551,515 | |
Foreign Government | | | — | | | | — | | | | 7,925 | | | | — | | | | — | | | | — | | | | 7,925 | |
Mortgage Backed | | | — | | | | — | | | | 131,854 | | | | — | | | | — | | | | — | | | | 131,854 | |
U.S. Government | | | — | | | | — | | | | 378,132 | | | | — | | | | — | | | | — | | | | 378,132 | |
Investment Company | | | 19,630 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 19,630 | |
| | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 1,084 | | | | — | | | | — | | | | — | | | | 1,084 | |
Mortgage Backed | | | — | | | | — | | | | 39,741 | | | | — | | | | — | | | | — | | | | 39,741 | |
U.S. Government | | | — | | | | — | | | | 3,941 | | | | — | | | | — | | | | — | | | | 3,941 | |
Investment Company | | | 819 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 819 | |
| | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed | | | — | | | | — | | | | 163,962 | | | | — | | | | — | | | | — | | | | 163,962 | |
U.S. Government | | | — | | | | — | | | | 2,251 | | | | — | | | | — | | | | — | | | | 2,251 | |
Real Estate Investment Trust | | | 2,186 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,186 | |
| | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 69,525 | | | | — | | | | — | | | | — | | | | 69,525 | |
Bank Loans | | | — | | | | — | | | | 17,043 | | | | — | | | | — | | | | — | | | | 17,043 | |
Corporate Bond | | | — | | | | — | | | | 356,233 | | | | — | | | | — | | | | — | | | | 356,233 | |
Foreign Government | | | — | | | | — | | | | 28,893 | | | | — | | | | — | | | | — | | | | 28,893 | |
Mortgage Backed | | | — | | | | — | | | | 294,078 | | | | — | | | | — | | | | — | | | | 294,078 | |
Municipal | | | — | | | | — | | | | 15,855 | | | | — | | | | — | | | | — | | | | 15,855 | |
U.S. Government | | | — | | | | — | | | | 168,123 | | | | — | | | | — | | | | — | | | | 168,123 | |
Investment Company | | | 14,973 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 14,973 | |
| | |
Notes to Financial Statementscontinued | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | Level 1-Quoted Prices | | | Level2-Other
Significant
Observable Inputs | | | Level3-Significant
Unobservable Inputs | | | | |
| | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | $ | 440,131 | | | | — | | | | — | | | | — | | | $ | 440,131 | |
Foreign Government | | | — | | | | — | | | | 3,113 | | | | — | | | | — | | | | — | | | | 3,113 | |
Municipal | | | — | | | | — | | | | 8,202 | | | | — | | | | — | | | | — | | | | 8,202 | |
Investment Company | | $ | 5,775 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,775 | |
| | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 13,158 | | | | — | | | | — | | | | — | | | | 13,158 | |
Bank Loans | | | — | | | | — | | | | 3,259 | | | | — | | | | — | | | | — | | | | 3,259 | |
Corporate Bond | | | — | | | | — | | | | 63,667 | | | | — | | | | — | | | | — | | | | 63,667 | |
Foreign Government | | | — | | | | — | | | | 5,917 | | | | — | | | | — | | | | — | | | | 5,917 | |
Mortgage Backed | | | — | | | | — | | | | 21,828 | | | | — | | | | — | | | | — | | | | 21,828 | |
Municipal | | | — | | | | — | | | | 5,439 | | | | — | | | | — | | | | — | | | | 5,439 | |
U.S. Government | | | — | | | | — | | | | 12,227 | | | | — | | | | — | | | | — | | | | 12,227 | |
Preferred Stock | | | 96 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 96 | |
Investment Company | | | 2,265 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,265 | |
| | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 201,686 | | | | — | | | | — | | | | — | | | | 201,686 | |
Bank Loans | | | — | | | | — | | | | 17,749 | | | | — | | | | — | | | | — | | | | 17,749 | |
Corporate Bond | | | — | | | | — | | | | 185,180 | | | | — | | | | — | | | | — | | | | 185,180 | |
Foreign Government | | | — | | | | — | | | | 50,464 | | | | — | | | | — | | | | — | | | | 50,464 | |
Mortgage Backed | | | — | | | | — | | | | 188,006 | | | | — | | | | — | | | | — | | | | 188,006 | |
U.S. Government | | | — | | | | — | | | | 53,593 | | | | — | | | | — | | | | — | | | | 53,593 | |
Investment Company | | | 6,576 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,576 | |
| | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 1,010 | | | | — | | | | — | | | | — | | | | 1,010 | |
Bank Loans | | | — | | | | — | | | | 56,128 | | | | — | | | | — | | | | — | | | | 56,128 | |
Corporate Bond | | | — | | | | — | | | | 3,789 | | | | — | | | | — | | | | — | | | | 3,789 | |
Mortgage Backed | | | — | | | | — | | | | 2,974 | | | | — | | | | — | | | | — | | | | 2,974 | |
Investment Company | | | 4,629 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,629 | |
| | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 3,537 | | | | — | | | | — | | | | — | | | | 3,537 | |
Bank Loans | | | — | | | | — | | | | 24,707 | | | | — | | | | — | | | | — | | | | 24,707 | |
Corporate Bond | | | — | | | | — | | | | 335,387 | | | | — | | | | — | | | | — | | | | 335,387 | |
Mortgage Backed | | | — | | | | — | | | | 11,045 | | | | — | | | | — | | | | — | | | | 11,045 | |
Investment Company | | | 25,970 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 25,970 | |
| | | | | | | |
California Municipal Social Impact | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 3,558 | | | | — | | | | — | | | | — | | | | 3,558 | |
Municipal | | | — | | | | — | | | | 55,301 | | | | — | | | | — | | | | — | | | | 55,301 | |
132 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 Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 18,656 | | | | — | | | | — | | | | — | | | $ | 18,656 | |
Corporate Bond | | | — | | | | — | | | | 35,322 | | | | — | | | | — | | | | — | | | | 35,322 | |
Foreign Government | | | — | | | | — | | | | 3,412 | | | | — | | | | — | | | | — | | | | 3,412 | |
Mortgage Backed | | | — | | | | — | | | | 9,284 | | | | — | | | | — | | | | — | | | | 9,284 | |
U.S. Government | | | — | | | | — | | | | 15,171 | | | | — | | | | — | | | | — | | | | 15,171 | |
Preferred Stock | | $ | 508 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 508 | |
Investment Company | | | 1,329 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,329 | |
| | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 16,176 | | | | — | | | | — | | | | — | | | | 16,176 | |
Bank Loans | | | — | | | | — | | | | 785 | | | | — | | | | — | | | | — | | | | 785 | |
Corporate Bond | | | — | | | | — | | | | 49,449 | | | | — | | | | — | | | | — | | | | 49,449 | |
Foreign Government | | | — | | | | — | | | | 52,391 | | | | — | | | | — | | | | — | | | | 52,391 | |
Mortgage Backed | | | — | | | | — | | | | 23,933 | | | | — | | | | — | | | | — | | | | 23,933 | |
U.S. Government | | | — | | | | — | | | | 5,899 | | | | — | | | | — | | | | — | | | | 5,899 | |
Investment Company | | | 2,013 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,013 | |
Investments Valued at NAV1 | | | 1,319 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,319 | |
| | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 271,472 | | | | — | | | | — | | | | — | | | | 271,472 | |
Foreign Government | | | — | | | | — | | | | 601,432 | | | | — | | | | — | | | | — | | | | 601,432 | |
Investment Company | | | 21,836 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 21,836 | |
| | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 23,875 | | | | — | | | | — | | | | — | | | | 23,875 | |
Foreign Government | | | — | | | | — | | | | 107,324 | | | | — | | | | — | | | | — | | | | 107,324 | |
Investment Company | | | 3,358 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,358 | |
| | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 302 | | | | — | | | | — | | | | — | | | | 302 | |
Bank Loans | | | — | | | | — | | | | 890 | | | | — | | | | — | | | | — | | | | 890 | |
Corporate Bond | | | — | | | | — | | | | 31,881 | | | | — | | | | — | | | | — | | | | 31,881 | |
Foreign Government | | | — | | | | — | | | | 2,532 | | | | — | | | | — | | | | — | | | | 2,532 | |
Mortgage Backed | | | — | | | | — | | | | 1,291 | | | | — | | | | — | | | | — | | | | 1,291 | |
Investment Company | | | 1,984 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,984 | |
Semi-Annual Report 133
| | |
Notes to Financial Statementscontinued | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | Level1-Quoted Prices | | | Level 2-Other
Significant
Observable Inputs | | | Level3-Significant
Unobservable Inputs | | | | |
| | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | $ | 28,593 | | | | — | | | | — | | | | — | | | $ | 28,593 | |
Common Stock. | | $ | 1,087,847 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,087,847 | |
Master Limited Partnership | | | 19,852 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 19,852 | |
Preferred Stock | | | 14,178 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 14,178 | |
Real Estate Investment Trust | | | 112,192 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 112,192 | |
Investment Company | | | 61,450 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 61,450 | |
| 1 | As of April 30, 2020, 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. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Other Financial Instruments1 | |
| | | Level 1-Quoted Prices | | | Level2-Other
Significant
Observable Inputs | | | Level3-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 | | | — | | | | — | | | $ | 993 | | | | — | | | | — | | | | — | | | $ | 993 | |
| | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 4,853 | | | $ | (2,865 | ) | | | — | | | | — | | | | — | | | | — | | | | 1,988 | |
Swaps | | | — | | | | — | | | | 625 | | | | — | | | | — | | | | — | | | | 625 | |
| | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 833 | | | | $(99) | | | | — | | | | — | | | | 734 | |
Futures | | | 4,782 | | | | (2,249 | ) | | | — | | | | — | | | | — | | | | — | | | | 2,533 | |
Swaps | | | — | | | | — | | | | 107 | | | | — | | | | — | | | | — | | | | 107 | |
| | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 1,948 | | | | (2,301 | ) | | | — | | | | — | | | | — | | | | — | | | | (353 | ) |
Swaps | | | — | | | | — | | | | — | | | | (15 | ) | | | — | | | | — | | | | (15 | ) |
| | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 152 | | | | (11) | | | | — | | | | — | | | | 141 | |
Futures | | | 408 | | | | (6 | ) | | | — | | | | — | | | | — | | | | — | | | | 402 | |
Swaps | | | — | | | | — | | | | 199 | | | | — | | | | — | | | | — | | | | 199 | |
| | | | | | | |
Absolute Return | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 1,081 | | | | (23) | | | | — | | | | — | | | | 1,058 | |
Futures | | | 920 | | | | (1 | ) | | | — | | | | — | | | | — | | | | — | | | | 919 | |
Swaps | | | — | | | | — | | | | 570 | | | | — | | | | — | | | | — | | | | 570 | |
134 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Other Financial Instruments1 | |
| | | Level 1-Quoted Prices | | | Level2-Other
Significant
Observable Inputs | | | Level3-Significant
Unobservable Inputs | | | | |
| | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | $ | 234 | | | | $(5) | | | | — | | | | — | | | | $ 229 | |
Swaps | | | — | | | | — | | | | 1,540 | | | | (68 | ) | | | — | | | | — | | | | 1,472 | |
| | | | | | | |
California Municipal Social Impact Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | — | | | $ | | (7) | | | — | | | | — | | | | — | | | | — | | | | (7 | ) |
| | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | — | | | | (1 | ) | | | — | | | | — | | | | (1 | ) |
Futures | | $ | 451 | | | | (386 | ) | | | — | | | | — | | | | — | | | | — | | | | 65 | |
Swaps | | | — | | | | — | | | | 38 | | | | — | | | | — | | | | — | | | | 38 | |
| | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 162 | | | | (1,170 | ) | | | — | | | | — | | | | (1,008 | ) |
Futures | | | 298 | | | | (266 | ) | | | — | | | | — | | | | — | | | | — | | | | 32 | |
Swaps | | | — | | | | — | | | | 6,748 | | | | — | | | | — | | | | — | | | | 6,748 | |
| | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 6,443 | | | | (3,398 | ) | | | — | | | | — | | | | 3,045 | |
Swaps | | | — | | | | — | | | | 1,555 | | | | (321 | ) | | | — | | | | — | | | | 1,234 | |
| | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 1,655 | | | | (1,770 | ) | | | — | | | | — | | | | (115 | ) |
Swaps | | | — | | | | — | | | | 58 | | | | — | | | | — | | | | — | | | | 58 | |
| | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 34 | | | | (30 | ) | | | — | | | | — | | | | 4 | |
Swaps | | | — | | | | — | | | | 5 | | | | (1 | ) | | | — | | | | — | | | | 4 | |
| | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 1,217 | | | | (89 | ) | | | — | | | | — | | | | 1,128 | |
| 1 | Other financial instruments are swaps, futures contracts and forward currency contracts. Swaps, futures contracts and forward currency contracts are valued at the unrealized appreciation/depreciation on the instrument. |
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 inpre-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 135
| | |
Notes to Financial Statementscontinued | | |
At October 31, 2019, the following Funds had available for Federal income tax purposes unused capital losses as follows (000’s):
| | | | | | | | | | |
| | | | | Unlimited* | | | Total | |
| | Low Duration | | $ | 3,452 | | | $ | 3,452 | |
| | U.S. Government. | | | 7,575 | | | | 7,575 | |
| | GNMA | | | 38,652 | | | | 38,652 | |
| | Core Bond | | | 5,809 | | | | 5,809 | |
| | Strategic Income Fund. | | | 675 | | | | 675 | |
| | Absolute Return Bond. | | | 1,504 | | | | 1,504 | |
| | Floating Rate | | | 3,446 | | | | 3,446 | |
| | High Income. | | | 25,567 | | | | 25,567 | |
| | Global Low Duration | | | 477 | | | | 477 | |
| | Global Fixed Income | | | 621 | | | | 621 | |
| | Emerging Markets Bond | | | 18,853 | | | | 18,853 | |
| | Emerging Markets Local Bond | | | 20,666 | | | | 20,666 | |
| | Emerging Markets Corporate Bond | | | 202 | | | | 202 | |
* Post-enactment carryforward losses. | |
At April 30, 2020, 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. | | $ | 348,203 | | | | — | | | | — | | | | — | |
Limited Maturity | | | 888,651 | | | $ | 4,448 | | | $ | (18,121 | ) | | $ | (13,673 | ) |
Low Duration | | | 1,432,992 | | | | 18,940 | | | | (34,222 | ) | | | (15,282 | ) |
U.S. Government | | | 44,891 | | | | 1,220 | | | | (526 | ) | | | 694 | |
GNMA | | | 163,816 | | | | 5,747 | | | | (1,163 | ) | | | 4,584 | |
Core Bond | | | 944,544 | | | | 51,110 | | | | (28,608 | ) | | | 22,502 | |
Corporate Bond | | | 437,368 | | | | 30,497 | | | | (10,514 | ) | | | 19,983 | |
Strategic Income | | | 133,361 | | | | 2,620 | | | | (7,890 | ) | | | (5,270 | ) |
Absolute Return | | | 754,473 | | | | 7,264 | | | | (55,958 | ) | | | (48,694 | ) |
Floating Rate | | | 74,286 | | | | 23 | | | | (5,779 | ) | | | (5,756 | ) |
High Income | | | 425,929 | | | | 9,506 | | | | (33,087 | ) | | | (23,581 | ) |
California Municipal Social Impact | | | 58,709 | | | | 1,316 | | | | (1,173 | ) | | | 143 | |
Global Low Duration | | | 85,538 | | | | 1,135 | | | | (2,889 | ) | | | (1,754 | ) |
Global Fixed Income | | | 153,981 | | | | 11,417 | | | | (7,662 | ) | | | 3,755 | |
Emerging Markets Bond | | | 1,062,614 | | | | 21,682 | | | | (181,032 | ) | | | (159,350 | ) |
Emerging Markets Local Bond . | | | 160,517 | | | | 2,058 | | | | (28,405 | ) | | | (26,347 | ) |
Emerging Markets Corporate Bond | | | 41,704 | | | | 515 | | | | (3,185 | ) | | | (2,670 | ) |
Equity Income | | | 1,186,490 | | | | 208,432 | | | | (69,682 | ) | | | 138,750 | |
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.
136 Payden Mutual Funds
For the share outstanding for the periods ended April 30, 2020 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Cash Reserves Money Market Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
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 | | | | 0.02 | | | | 0.01 | | | | 0.01 | | | | 0.00 | (1) |
Net realized and unrealized gains (losses) | | | 0.00 | (1) | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | (1) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.01 | | | | 0.02 | | | | 0.01 | | | | 0.01 | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.01 | ) | | | (0.02 | ) | | | (0.01 | ) | | | (0.01 | ) | | | 0.00 | (1) |
From net realized gains. | | | (0.00 | )(1) | | | (0.00 | )(1) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.01 | ) | | | (0.02 | ) | | | (0.01 | ) | | | (0.01 | ) | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.55 | %(2) | | | 2.10 | % | | | 1.43 | % | | | 0.53 | % | | | 0.09 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 343,171 | | | $ | 274,957 | | | $ | 329,996 | | | $ | 447,563 | | | $ | 551,064 | |
Ratio of gross expense to average net assets | | | 0.38 | %(3) | | | 0.38 | % | | | 0.38 | % | | | 0.38 | % | | | 0.37 | % |
Ratio of net expense to average net assets | | | 0.25 | %(3) | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.24 | % |
Ratio of investment income less gross expenses to average net assets | | | 0.86 | %(3) | | | 1.94 | % | | | 1.26 | % | | | 0.40 | % | | | (0.04 | )% |
Ratio of net investment income to average net assets | | | 0.99 | %(3) | | | 2.07 | % | | | 1.39 | % | | | 0.52 | % | | | 0.10 | % |
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 | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 9.49 | | | $ | 9.46 | | | $ | 9.48 | | | $ | 9.46 | | | $ | 9.42 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.10 | | | | 0.25 | | | | 0.20 | | | | 0.12 | | | | 0.08 | |
Net realized and unrealized gains (losses) | | | (0.16 | ) | | | 0.03 | | | | (0.02 | ) | | | 0.02 | | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.06 | ) | | | 0.28 | | | | 0.18 | | | | 0.14 | | | | 0.12 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.10 | ) | | | (0.25 | ) | | | (0.20 | ) | | | (0.08 | ) | | | (0.07 | ) |
From net realized gains. | | | (0.00 | )(1) | | | (0.00 | )(1) | | | — | | | | — | | | | — | |
Return of capital. | | | — | | | | — | | | | — | | | | (0.04 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.10 | ) | | | (0.25 | ) | | | (0.20 | ) | | | (0.12 | ) | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.33 | | | $ | 9.49 | | | $ | 9.46 | | | $ | 9.48 | | | $ | 9.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.65 | )%(2) | | | 2.99 | % | | | 1.92 | % | | | 1.52 | % | | | 1.31 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 876,819 | | | $ | 783,645 | | | $ | 784,821 | | | $ | 707,930 | | | $ | 463,149 | |
Ratio of gross expense to average net assets | | | 0.55 | %(3) | | | 0.55 | % | | | 0.55 | % | | | 0.56 | % | | | 0.57 | % |
Ratio of net expense to average net assets | | | 0.25 | %(3) | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.26 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.75 | %(3) | | | 2.29 | % | | | 1.82 | % | | | 1.06 | % | | | 0.57 | % |
Ratio of net investment income to average net assets | | | 2.05 | %(3) | | | 2.59 | % | | | 2.12 | % | | | 1.37 | % | | | 0.88 | % |
Portfolio turnover rate | | | 46 | %(2) | | | 74 | % | | | 72 | % | | | 51 | % | | | 39 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on April 29, 1994.
| (1) | Amount is less than $0.005. |
Semi-Annual Report 137
| | |
Financial Highlightscontinued | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Low Duration Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.10 | | | $ | 9.91 | | | $ | 10.09 | | | $ | 10.10 | | | $ | 10.05 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | | | | 0.24 | | | | 0.22 | | | | 0.16 | | | | 0.12 | |
Net realized and unrealized gains (losses) | | | (0.13 | ) | | | 0.19 | | | | (0.18 | ) | | | (0.02 | ) | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.02 | ) | | | 0.43 | | | | 0.04 | | | | 0.14 | | | | 0.17 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.11 | ) | | | (0.24 | ) | | | (0.22 | ) | | | (0.12 | ) | | | (0.11 | ) |
Return of capital. | | | — | | | | (0.00 | )(1) | | | (0.00 | )(1) | | | (0.03 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.11 | ) | | | (0.24 | ) | | | (0.22 | ) | | | (0.15 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.97 | | | $ | 10.10 | | | $ | 9.91 | | | $ | 10.09 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.25 | )%(2) | | | 4.39 | % | | | 0.39 | % | | | 1.37 | % | | | 1.74 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 1,413,323 | | | $ | 1,523,037 | | | $ | 1,212,308 | | | $ | 1,061,436 | | | $ | 800,892 | |
Ratio of gross expense to average net assets | | | 0.52 | %(3) | | | 0.54 | % | | | 0.54 | % | | | 0.54 | % | | | 0.57 | % |
Ratio of net expense to average net assets | | | 0.43 | %(3) | | | 0.43 | % | | | 0.43 | % | | | 0.44 | % | | | 0.45 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.01 | %(3) | | | 2.27 | % | | | 2.06 | % | | | 1.44 | % | | | 1.13 | % |
Ratio of net investment income to average net assets | | | 2.10 | %(3) | | | 2.38 | % | | | 2.17 | % | | | 1.55 | % | | | 1.24 | % |
Portfolio turnover rate | | | 112 | %(2) | | | 166 | % | | | 85 | % | | | 118 | % | | | 41 | % |
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 | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.35 | | | $ | 10.11 | | | $ | 10.42 | | | $ | 10.61 | | | $ | 10.63 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income (1) | | | 0.11 | | | | 0.24 | | | | 0.15 | | | | 0.11 | | | | 0.10 | |
Net realized and unrealized gains (losses) | | | 0.23 | | | | 0.30 | | | | (0.24 | ) | | | (0.13 | ) | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.34 | | | | 0.54 | | | | (0.09 | ) | | | (0.02 | ) | | | 0.15 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.30 | ) | | | (0.22 | ) | | | (0.17 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.55 | | | $ | 10.35 | | | $ | 10.11 | | | $ | 10.42 | | | $ | 10.61 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 3.27 | %(2) | | | 5.36 | % | | | (0.86 | )% | | | (0.16 | )% | | | 1.46 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 42,241 | | | $ | 39,301 | | | $ | 37,678 | | | $ | 135,454 | | | $ | 137,581 | |
Ratio of gross expense to average net assets | | | 0.73 | %(3) | | | 0.73 | % | | | 0.62 | % | | | 0.56 | % | | | 0.58 | % |
Ratio of net expense to average net assets | | | 0.43 | %(3) | | | 0.43 | % | | | 0.41 | % | | | 0.45 | % | | | 0.45 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.84 | %(3) | | | 2.00 | % | | | 1.28 | % | | | 0.89 | % | | | 0.81 | % |
Ratio of net investment income to average net assets | | | 2.14 | %(3) | | | 2.30 | % | | | 1.49 | % | | | 1.00 | % | | | 0.94 | % |
Portfolio turnover rate | | | 20 | %(2) | | | 49 | % | | | 28 | % | | | 27 | % | | | 35 | % |
The Fund commenced operations on January 3, 1995.
| (1) | Based on average shares outstanding. |
138 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden GNMA Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 9.42 | | | $ | 8.97 | | | $ | 9.49 | | | $ | 9.80 | | | $ | 9.79 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.10 | | | | 0.20 | | | | 0.16 | | | | 0.14 | | | | 0.15 | |
Net realized and unrealized gains (losses) | | | 0.23 | | | | 0.56 | | | | (0.38 | ) | | | (0.15 | ) | | | 0.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.33 | | | | 0.76 | | | | (0.22 | ) | | | (0.01 | ) | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.31 | ) | | | (0.30 | ) | | | (0.30 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.60 | | | $ | 9.42 | | | $ | 8.97 | | | $ | 9.49 | | | $ | 9.80 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 3.53 | %(1) | | | 8.63 | % | | | (2.34 | )% | | | (0.12 | )% | | | 3.26 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 123,358 | | | $ | 132,455 | | | $ | 159,393 | | | $ | 235,225 | | | $ | 272,657 | |
Ratio of gross expense to average net assets | | | 0.71 | %(2) | | | 0.69 | % | | | 0.68 | % | | | 0.69 | % | | | 0.69 | % |
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 | | | 2.34 | %(2) | | | 2.51 | % | | | 1.74 | % | | | 1.27 | % | | | 1.16 | % |
Ratio of net investment income to average net assets | | | 2.55 | %(2) | | | 2.70 | % | | | 1.93 | % | | | 1.46 | % | | | 1.35 | % |
Portfolio turnover rate | | | 8 | %(1) | | | 18 | % | | | 20 | % | | | 17 | % | | | 12 | % |
The Fund commenced operations on August 27, 1999. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund - Adviser Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.87 | | | $ | 10.17 | | | $ | 10.70 | | | $ | 10.83 | | | $ | 10.62 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.13 | (3) | | | 0.30 | (3) | | | 0.28 | (3) | | | 0.27 | (3) | | | 0.25 | (3) |
Net realized and unrealized gains (losses) | | | (0.08 | ) | | | 0.72 | | | | (0.50 | ) | | | 0.00 | (4) | | | 0.25 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.05 | | | | 1.02 | | | | (0.22 | ) | | | 0.27 | | | | 0.50 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.30 | ) | | | (0.31 | ) | | | (0.32 | ) | | | (0.28 | ) |
From net realized gains. | | | — | | | | — | | | | — | | | | (0.08 | ) | | | (0.01 | ) |
Return of capital. | | | — | | | | (0.02 | ) | | | (0.00 | )(4) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.14 | ) | | | (0.32 | ) | | | (0.31 | ) | | | (0.40 | ) | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.78 | | | $ | 10.87 | | | $ | 10.17 | | | $ | 10.70 | | | $ | 10.83 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.45 | %(1) | | | 10.13 | % | | | (2.12 | )% | | | 2.60 | % | | | 4.83 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 43,738 | | | $ | 38,979 | | | $ | 29,799 | | | $ | 25,993 | | | $ | 25,801 | |
Ratio of gross expense to average net assets | | | 0.79 | %(2) | | | 0.78 | % | | | 0.78 | % | | | 0.78 | % | | | 0.79 | % |
Ratio of net expense to average net assets | | | 0.78 | %(2) | | | 0.78 | % | | | 0.78 | % | | | 0.78 | % | | | 0.79 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.41 | %(2) | | | 2.83 | % | | | 2.71 | % | | | 2.55 | % | | | 2.32 | % |
Ratio of net investment income to average net assets | | | 2.42 | %(2) | | | 2.83 | % | | | 2.71 | % | | | 2.55 | % | | | 2.32 | % |
Portfolio turnover rate | | | 65 | %(1) | | | 86 | % | | | 67 | % | | | 87 | % | | | 57 | % |
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 139
| | |
Financial Highlightscontinued | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund - Investor Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.90 | | | $ | 10.20 | | | $ | 10.73 | | | $ | 10.85 | | | $ | 10.64 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | (1) | | | 0.33 | (1) | | | 0.31 | (1) | | | 0.30 | (1) | | | 0.28 | (1) |
Net realized and unrealized gains (losses) | | | (0.08 | ) | | | 0.71 | | | | (0.51 | ) | | | 0.00 | (2) | | | 0.25 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.06 | | | | 1.04 | | | | (0.20 | ) | | | 0.30 | | | | 0.53 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.32 | ) | | | (0.33 | ) | | | (0.34 | ) | | | (0.31 | ) |
From net realized gains. | | | — | | | | — | | | | — | | | | (0.08 | ) | | | (0.01 | ) |
Return of capital. | | | — | | | | (0.02 | ) | | | (0.00 | )(2) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.34 | ) | | | (0.33 | ) | | | (0.42 | ) | | | (0.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.81 | | | $ | 10.90 | | | $ | 10.20 | | | $ | 10.73 | | | $ | 10.85 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.57 | %(3) | | | 10.36 | % | | | (1.88 | )% | | | 2.94 | % | | | 5.07 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 538,658 | | | $ | 695,683 | | | $ | 604,289 | | | $ | 719,847 | | | $ | 735,916 | |
Ratio of gross expense to average net assets | | | 0.53 | %(4) | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % | | | 0.54 | % |
Ratio of net expense to average net assets | | | 0.53 | %(4) | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % | | | 0.54 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.66 | %(4) | | | 3.10 | % | | | 2.95 | % | | | 2.80 | % | | | 2.57 | % |
Ratio of net investment income to average net assets | | | 2.67 | %(4) | | | 3.10 | % | | | 2.95 | % | | | 2.80 | % | | | 2.57 | % |
Portfolio turnover rate | | | 65 | %(3) | | | 86 | % | | | 67 | % | | | 87 | % | | | 57 | % |
The Fund commenced operations on December 31, 1993. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund —
SI Class | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | | | | | |
Net asset value — beginning of period | | $ | 10.89 | | | $ | 10.19 | | | $ | 10.66 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | (1) | | | 0.34 | (1) | | | 0.25 | (1) | | | | | | | | |
Net realized and unrealized gains (losses) | | | (0.08 | ) | | | 0.71 | | | | (0.43 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.07 | | | | 1.05 | | | | (0.18 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.33 | ) | | | (0.29 | ) | | | | | | | | |
Return of capital. | | | — | | | | (0.02 | ) | | | (0.00 | )(2) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.16 | ) | | | (0.35 | ) | | | (0.29 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.80 | | | $ | 10.89 | | | $ | 10.19 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.63 | %(3) | | | 10.49 | % | | | (1.75 | )%(3) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 357,049 | | | $ | 323,935 | | | $ | 296,239 | | | | | | | | | |
Ratio of gross expense to average net assets | | | 0.53 | %(4) | | | 0.54 | % | | | 0.53 | %(4) | | | | | | | | |
Ratio of net expense to average net assets | | | 0.42 | %(4) | | | 0.42 | % | | | 0.42 | %(4) | | | | | | | | |
Ratio of investment income less gross expenses to average net assets | | | 2.66 | %(4) | | | 3.10 | % | | | 3.03 | %(4) | | | | | | | | |
Ratio of net investment income to average net assets | | | 2.78 | %(4) | | | 3.21 | % | | | 3.14 | %(4) | | | | | | | | |
Portfolio turnover rate | | | 65 | %(3) | | | 86 | % | | | 67 | % | | | | | | | | |
The Class commenced operations on January 22, 2018.
| (1) | Based on average shares outstanding. |
| (2) | Amount is less than $0.005. |
140 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Corporate Bond Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 11.73 | | | $ | 10.63 | | | $ | 11.38 | | | $ | 11.37 | | | $ | 10.97 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.19 | | | | 0.38 | | | | 0.39 | | | | 0.38 | | | | 0.34 | |
Net realized and unrealized gains (losses) | | | (0.18 | ) | | | 1.10 | | | | (0.68 | ) | | | 0.25 | | | | 0.53 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.01 | | | | 1.48 | | | | (0.29 | ) | | | 0.63 | | | | 0.87 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.19 | ) | | | (0.38 | ) | | | (0.39 | ) | | | (0.38 | ) | | | (0.34 | ) |
From net realized gains. | | | (0.01 | ) | | | — | | | | (0.07 | ) | | | (0.24 | ) | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.20 | ) | | | (0.38 | ) | | | (0.46 | ) | | | (0.62 | ) | | | (0.47 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 11.54 | | | $ | 11.73 | | | $ | 10.63 | | | $ | 11.38 | | | $ | 11.37 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.00 | %(1) | | | 14.20 | % | | | (2.61 | )% | | | 5.83 | % | | | 8.18 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 454,790 | | | $ | 463,203 | | | $ | 298,708 | | | $ | 207,305 | | | $ | 140,468 | |
Ratio of gross expense to average net assets | | | 0.65 | %(2) | | | 0.65 | % | | | 0.72 | % | | | 0.70 | % | | | 0.74 | % |
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 | | | 3.03 | %(2) | | | 3.43 | % | | | 3.52 | % | | | 3.32 | % | | | 3.04 | % |
Ratio of net investment income to average net assets | | | 3.02 | %(2) | | | 3.43 | % | | | 3.59 | % | | | 3.37 | % | | | 3.13 | % |
Portfolio turnover rate | | | 30 | %(1) | | | 49 | % | | | 85 | % | | | 93 | % | | | 145 | % |
The Fund commenced operations on March 12, 2009. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Strategic Income
Fund —Investor Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.21 | | | $ | 9.77 | | | $ | 10.11 | | | $ | 10.12 | | | $ | 9.96 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.33 | | | | 0.31 | | | | 0.28 | | | | 0.22 | |
Net realized and unrealized gains (losses) | | | (0.55 | ) | | | 0.45 | | | | (0.34 | ) | | | 0.02 | | | | 0.16 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.40 | ) | | | 0.78 | | | | (0.03 | ) | | | 0.30 | | | | 0.38 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.32 | ) | | | (0.31 | ) | | | (0.30 | ) | | | (0.22 | ) |
From net realized gains. | | | — | | | | — | | | | — | | | | (0.01 | ) | | | — | |
Return of capital. | | | — | | | | (0.02 | ) | | | (0.00 | )(3) | | | (0.00 | )(3) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.34 | ) | | | (0.31 | ) | | | (0.31 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.66 | | | $ | 10.21 | | | $ | 9.77 | | | $ | 10.11 | | | $ | 10.12 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (3.94 | )%(1) | | | 8.09 | % | | | (0.33 | )% | | | 3.09 | % | | | 3.90 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 81,873 | | | $ | 115,545 | | | $ | 146,823 | | | $ | 135,024 | | | $ | 150,106 | |
Ratio of gross expense to average net assets | | | 0.88 | %(2) | | | 0.87 | % | | | 0.85 | % | | | 0.86 | % | | | 0.88 | % |
Ratio of net expense to average net assets | | | 0.70 | %(2) | | | 0.70 | % | | | 0.72 | % | | | 0.77 | % | | | 0.80 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.72 | %(2) | | | 3.14 | % | | | 2.90 | % | | | 2.60 | % | | | 2.14 | % |
Ratio of net investment income to average net assets | | | 2.90 | %(2) | | | 3.30 | % | | | 3.04 | % | | | 2.70 | % | | | 2.22 | % |
Portfolio turnover rate | | | 36 | %(1) | | | 72 | % | | | 66 | % | | | 78 | % | | | 52 | % |
The Fund commenced operations on May 8, 2014.
(1) Not annualized.
(2) Annualized.
(3) Amount is less than $0.005.
Semi-Annual Report 141
| | |
Financial Highlightscontinued | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Strategic Income
Fund — SI Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.20 | | | $ | 9.77 | | | $ | 10.11 | | | $ | 10.12 | | | $ | 9.96 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.35 | | | | 0.32 | | | | 0.27 | | | | 0.25 | |
Net realized and unrealized gains (losses) | | | (0.53 | ) | | | 0.43 | | | | (0.34 | ) | | | 0.04 | | | | 0.15 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.38 | ) | | | 0.78 | | | | (0.02 | ) | | | 0.31 | | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.33 | ) | | | (0.32 | ) | | | (0.31 | ) | | | (0.24 | ) |
From net realized gains. | | | — | | | | — | | | | — | | | | (0.01 | ) | | | — | |
Return of capital. | | | — | | | | (0.02 | ) | | | (0.00 | )(1) | | | (0.00 | )(1) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.16 | ) | | | (0.35 | ) | | | (0.32 | ) | | | (0.32 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.66 | | | $ | 10.20 | | | $ | 9.77 | | | $ | 10.11 | | | $ | 10.12 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (3.77 | )%(2) | | | 8.14 | % | | | (0.20 | )% | | | 3.21 | % | | | 4.03 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 45,936 | | | $ | 49,088 | | | $ | 58,071 | | | $ | 90,619 | | | $ | 30,764 | |
Ratio of gross expense to average net assets | | | 0.88 | %(3) | | | 0.87 | % | | | 0.85 | % | | | 0.85 | % | | | 0.89 | % |
Ratio of net expense to average net assets | | | 0.55 | %(3) | | | 0.55 | % | | | 0.59 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.73 | %(3) | | | 3.13 | % | | | 2.86 | % | | | 2.59 | % | | | 2.15 | % |
Ratio of net investment income to average net assets | | | 3.06 | %(3) | | | 3.45 | % | | | 3.11 | % | | | 2.79 | % | | | 2.39 | % |
Portfolio turnover rate | | | 36 | %(2) | | | 72 | % | | | 66 | % | | | 78 | % | | | 52 | % |
The Fund commenced operations on May 8, 2014. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Absolute Return
Bond Fund — Investor Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.06 | | | $ | 9.93 | | | $ | 10.09 | | | $ | 9.99 | | | $ | 9.92 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.32 | | | | 0.28 | | | | 0.25 | | | | 0.27 | |
Net realized and unrealized gains (losses) | | | (0.76 | ) | | | 0.16 | | | | (0.14 | ) | | | 0.09 | | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.62 | ) | | | 0.48 | | | | 0.14 | | | | 0.34 | | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.35 | ) | | | (0.30 | ) | | | (0.24 | ) | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.29 | | | $ | 10.06 | | | $ | 9.93 | | | $ | 10.09 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (6.22 | )%(2) | | | 4.93 | % | | | 1.40 | % | | | 3.42 | % | | | 3.32 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 126,343 | | | $ | 124,347 | | | $ | 105,026 | | | $ | 86,883 | | | $ | 63,996 | |
Ratio of gross expense to average net assets | | | 0.74 | %(3) | | | 0.75 | % | | | 0.84 | % | | | 0.89 | % | | | 0.97 | % |
Ratio of net expense to average net assets | | | 0.70 | %(3) | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.83 | %(3) | | | 3.21 | % | | | 2.63 | % | | | 2.27 | % | | | 2.45 | % |
Ratio of net investment income to average net assets | | | 2.87 | %(3) | | | 3.26 | % | | | 2.77 | % | | | 2.46 | % | | | 2.73 | % |
Portfolio turnover rate | | | 39 | %(2) | | | 82 | % | | | 145 | % | | | 112 | % | | | 47 | % |
The Fund commenced operations on November 6, 2014.
(1) Amount is less than $0.005.
(2) Not annualized.
(3) Annualized.
142 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Absolute Return
Bond Fund — SI Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.07 | | | $ | 9.93 | | | $ | 10.09 | | | $ | 10.00 | | | $ | 9.93 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.37 | | | | 0.26 | | | | 0.25 | | | | 0.33 | |
Net realized and unrealized gains (losses) | | | (0.77 | ) | | | 0.15 | | | | (0.11 | ) | | | 0.09 | | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.62 | ) | | | 0.52 | | | | 0.15 | | | | 0.34 | | | | 0.34 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.38 | ) | | | (0.31 | ) | | | (0.25 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.29 | | | $ | 10.07 | | | $ | 9.93 | | | $ | 10.09 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (6.20 | )%(1) | | | 5.30 | % | | | 1.55 | % | | | 3.47 | % | | | 3.47 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 570,894 | | | $ | 514,279 | | | $ | 34,229 | | | $ | 17,050 | | | $ | 13,055 | |
Ratio of gross expense to average net assets | | | 0.74 | %(2) | | | 0.74 | % | | | 0.84 | % | | | 0.90 | % | | | 0.99 | % |
Ratio of net expense to average net assets | | | 0.47 | %(2) | | | 0.47 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.84 | %(2) | | | 3.13 | % | | | 2.67 | % | | | 2.27 | % | | | 2.43 | % |
Ratio of net investment income to average net assets | | | 3.11 | %(2) | | | 3.40 | % | | | 2.96 | % | | | 2.61 | % | | | 2.86 | % |
Portfolio turnover rate | | | 39 | %(1) | | | 82 | % | | | 145 | % | | | 112 | % | | | 47 | % |
The Fund commenced operations on November 6, 2014. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Floating Rate
Fund — Investor Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 9.89 | | | $ | 9.93 | | | $ | 10.00 | | | $ | 9.99 | | | $ | 9.89 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.19 | | | | 0.48 | | | | 0.39 | | | | 0.34 | | | | 0.34 | |
Net realized and unrealized gains (losses) | | | (0.91 | ) | | | (0.06 | ) | | | (0.08 | ) | | | 0.01 | | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.72 | ) | | | 0.42 | | | | 0.31 | | | | 0.35 | | | | 0.44 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.19 | ) | | | (0.46 | ) | | | (0.38 | ) | | | (0.34 | ) | | | (0.34 | ) |
Return of capital. | | | — | | | | (0.00 | )(3) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.19 | ) | | | (0.46 | ) | | | (0.38 | ) | | | (0.34 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 8.98 | | | $ | 9.89 | | | $ | 9.93 | | | $ | 10.00 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (7.37 | )%(1) | | | 4.33 | % | | | 3.15 | % | | | 3.51 | % | | | 4.59 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 18,571 | | | $ | 21,962 | | | $ | 51,467 | | | $ | 63,804 | | | $ | 64,649 | |
Ratio of gross expense to average net assets | | | 0.96 | %(2) | | | 0.89 | % | | | 0.85 | % | | | 0.83 | % | | | 0.85 | % |
Ratio of net expense to average net assets | | | 0.75 | %(2) | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
Ratio of investment income less gross expenses to average net assets | | | 3.68 | %(2) | | | 4.22 | % | | | 3.65 | % | | | 3.25 | % | | | 3.38 | % |
Ratio of net investment income to average net assets | | | 3.90 | %(2) | | | 4.36 | % | | | 3.75 | % | | | 3.34 | %3.47% | | | | |
Portfolio turnover rate | | | 30 | %(1) | | | 29 | % | | | 91 | % | | | 107 | % | | | 41 | % |
The Fund commenced operations on November 11, 2013. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized.
(2) Annualized.
(3) Amount is less than $0.005.
Semi-Annual Report 143
| | |
Financial Highlightscontinued | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Floating Rate
Fund — SI Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 9.90 | | | $ | 9.94 | | | $ | 10.01 | | | $ | 10.00 | | | $ | 9.90 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.19 | | | | 0.44 | | | | 0.39 | | | | 0.35 | | | | 0.35 | |
Net realized and unrealized gains (losses) | | | (0.91 | ) | | | (0.01 | ) | | | (0.07 | ) | | | 0.01 | | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.72 | ) | | | 0.43 | | | | 0.32 | | | | 0.36 | | | | 0.45 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.19 | ) | | | (0.47 | ) | | | (0.39 | ) | | | (0.35 | ) | | | (0.35 | ) |
Return of capital. | | | — | | | | (0.00 | )(1) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.19 | ) | | | (0.47 | ) | | | (0.39 | ) | | | (0.35 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 8.99 | | | $ | 9.90 | | | $ | 9.94 | | | $ | 10.01 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (7.32 | )%(2) | | | 4.48 | % | | | 3.25 | % | | | 3.73 | % | | | 4.58 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 47,720 | | | $ | 54,924 | | | $ | 104,837 | | | $ | 128,586 | | | $ | 122,809 | |
Ratio of gross expense to average net assets | | | 0.97 | %(3) | | | 0.89 | % | | | 0.85 | % | | | 0.83 | % | | | 0.85 | % |
Ratio of net expense to average net assets | | | 0.65 | %(3) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 3.68 | %(3) | | | 4.23 | % | | | 3.66 | % | | | 3.25 | % | | | 3.38 | % |
Ratio of net investment income to average net assets | | | 3.99 | %(3) | | | 4.48 | % | | | 3.86 | % | | | 3.43 | % | | | 3.58 | % |
Portfolio turnover rate | | | 30 | %(2) | | | 29 | % | | | 91 | % | | | 107 | % | | | 41 | % |
The Fund commenced operations on November 11, 2013. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden High Income Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 6.53 | | | $ | 6.25 | | | $ | 6.59 | | | $ | 6.46 | | | $ | 6.40 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.35 | | | | 0.35 | | | | 0.34 | | | | 0.33 | |
Net realized and unrealized gains (losses) | | | (0.68 | ) | | | 0.28 | | | | (0.34 | ) | | | 0.14 | | | | 0.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.54 | ) | | | 0.63 | | | | 0.01 | | | | 0.48 | | | | 0.39 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.33 | ) |
From net realized gains. | | | — | | | | — | | | | — | | | | (0.00 | )(1) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.14 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 5.85 | | | $ | 6.53 | | | $ | 6.25 | | | $ | 6.59 | | | $ | 6.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (7.97 | )%(2) | | | 10.37 | % | | | 0.16 | % | | | 7.60 | % | | | 6.33 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 389,369 | | | $ | 440,406 | | | $ | 449,939 | | | $ | 533,635 | | | $ | 587,215 | |
Ratio of gross expense to average net assets | | | 0.60 | %(3) | | | 0.62 | % | | | 0.62 | % | | | 0.65 | % | | | 0.66 | % |
Ratio of net expense to average net assets | | | 0.60 | %(3) | | | 0.62 | % | | | 0.62 | % | | | 0.65 | % | | | 0.66 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.24 | %(3) | | | 5.41 | % | | | 5.36 | % | | | 5.14 | % | | | 5.16 | % |
Ratio of net investment income to average net assets | | | 5.24 | %(3) | | | 5.41 | % | | | 5.36 | % | | | 5.14 | % | | | 5.16 | % |
Portfolio turnover rate | | | 69 | %(2) | | | 74 | % | | | 62 | % | | | 67 | % | | | 44 | % |
The Fund commenced operations on December 30, 1997. | | | | | | | | | | | | | | | | | | | | |
(1) Amount is less than $0.005.
(2) Not annualized.
(3) Annualized.
144 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden California Municipal Social Impact Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.62 | | | $ | 9.98 | | | $ | 10.28 | | | $ | 10.41 | | | $ | 10.39 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.34 | | | | 0.26 | | | | 0.22 | | | | 0.19 | | | | 0.19 | |
Net realized and unrealized gains (losses) | | | (0.29 | ) | | | 0.65 | | | | (0.26 | ) | | | 0.03 | | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.05 | | | | 0.91 | | | | (0.04 | ) | | | 0.22 | | | | 0.33 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.34 | ) | | | (0.26 | ) | | | (0.22 | ) | | | (0.19 | ) | | | (0.19 | ) |
From net realized gains. | | | (0.22 | ) | | | (0.01 | ) | | | (0.04 | ) | | | (0.16 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.56 | ) | | | (0.27 | ) | | | (0.26 | ) | | | (0.35 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.11 | | | $ | 10.62 | | | $ | 9.98 | | | $ | 10.28 | | | $ | 10.41 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.71 | )%(1) | | | 9.22 | % | | | (0.39 | )% | | | 2.28 | % | | | 3.22 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 57,701 | | | $ | 61,866 | | | $ | 57,140 | | | $ | 57,645 | | | $ | 55,808 | |
Ratio of gross expense to average net assets | | | 0.89 | %(2) | | | 0.70 | % | | | 0.68 | % | | | 0.70 | % | | | 0.71 | % |
Ratio of net expense to average net assets | | | 0.53 | %(2) | | | 0.53 | % | | | 0.53 | % | | | 0.54 | % | | | 0.55 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.81 | %(2) | | | 2.29 | % | | | 2.05 | % | | | 1.72 | % | | | 1.62 | % |
Ratio of net investment income to average net assets | | | 2.17 | %(2) | | | 2.46 | % | | | 2.20 | % | | | 1.89 | % | | | 1.78 | % |
Portfolio turnover rate | | | 93 | %(1) | | | 132 | % | | | 161 | % | | | 157 | % | | | 57 | % |
The Fund commenced operations on December 17, 1998. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Global Low Duration Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.04 | | | $ | 9.87 | | | $ | 10.06 | | | $ | 10.05 | | | $ | 10.01 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.13 | | | | 0.28 | | | | 0.23 | | | | 0.17 | | | | 0.11 | |
Net realized and unrealized gains (losses) | | | (0.22 | ) | | | 0.17 | | | | (0.19 | ) | | | (0.00 | )(3) | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.09 | ) | | | 0.45 | | | | 0.04 | | | | 0.17 | | | | 0.16 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | (0.28 | ) | | | (0.23 | ) | | | (0.08 | ) | | | (0.09 | ) |
Return of capital. | | | — | | | | (0.00 | )(3) | | | (0.00 | )(3) | | | (0.08 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.12 | ) | | | (0.28 | ) | | | (0.23 | ) | | | (0.16 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.83 | | | $ | 10.04 | | | $ | 9.87 | | | $ | 10.06 | | | $ | 10.05 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.88 | )%(1) | | | 4.61 | % | | | 0.42 | % | | | 1.66 | % | | | 1.61 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 83,775 | | | $ | 91,028 | | | $ | 93,737 | | | $ | 113,405 | | | $ | 135,217 | |
Ratio of gross expense to average net assets | | | 0.68 | %(2) | | | 0.69 | % | | | 0.67 | % | | | 0.66 | % | | | 0.66 | % |
Ratio of net expense to average net assets | | | 0.53 | %(2) | | | 0.53 | % | | | 0.53 | % | | | 0.54 | % | | | 0.55 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.32 | %(2) | | | 2.63 | % | | | 2.13 | % | | | 1.49 | % | | | 1.02 | % |
Ratio of net investment income to average net assets | | | 2.47 | %(2) | | | 2.78 | % | | | 2.28 | % | | | 1.61 | % | | | 1.14 | % |
Portfolio turnover rate | | | 78 | %(1) | | | 107 | % | | | 55 | % | | | 108 | % | | | 41 | % |
The Fund commenced operations on September 18, 1996. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized.
(2) Annualized.
(3) Amount is less than $0.005.
Semi-Annual Report 145
| | |
Financial Highlightscontinued | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Fixed Income Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 9.24 | | | $ | 8.89 | | | $ | 9.11 | | | $ | 9.04 | | | $ | 8.87 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | | | | 0.19 | | | | 0.16 | | | | 0.14 | | | | 0.13 | |
Net realized and unrealized gains (losses) | | | (0.19 | ) | | | 0.63 | | | | (0.19 | ) | | | 0.08 | | | | 0.27 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.08 | ) | | | 0.82 | | | | (0.03 | ) | | | 0.22 | | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.19 | ) | | | (0.47 | ) | | | (0.19 | ) | | | (0.15 | ) | | | (0.11 | ) |
From net realized gains. | | | — | | | | — | | | | — | | | | — | | | | (0.10 | ) |
Return of capital. | | | — | | | | — | | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.19 | ) | | | (0.47 | ) | | | (0.19 | ) | | | (0.15 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 8.97 | | | $ | 9.24 | | | $ | 8.89 | | | $ | 9.11 | | | $ | 9.04 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.78 | )%(1) | | | 9.56 | % | | | (0.39 | )% | | | 2.48 | % | | | 4.68 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 150,273 | | | $ | 138,387 | | | $ | 129,003 | | | $ | 124,647 | | | $ | 111,109 | |
Ratio of gross expense to average net assets | | | 0.76 | %(2) | | | 0.78 | % | | | 0.76 | % | | | 0.78 | % | | | 0.80 | % |
Ratio of net expense to average net assets | | | 0.70 | %(2) | | | 0.70 | % | | | 0.69 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.58 | %(2) | | | 1.81 | % | | | 1.70 | % | | | 1.48 | % | | | 1.39 | % |
Ratio of net investment income to average net assets | | | 1.64 | %(2) | | | 1.88 | % | | | 1.78 | % | | | 1.60 | % | | | 1.55 | % |
Portfolio turnover rate | | | 49 | %(1) | | | 67 | % | | | 49 | % | | | 58 | % | | | 76 | % |
The Fund commenced operations on September 1, 1992. | | | | | | | | | | | | | | | | | |
| |
| | | Payden Emerging Markets Bond Fund - Adviser Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 13.59 | | | $ | 12.69 | | | $ | 14.22 | | | $ | 13.96 | | | $ | 13.10 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.35 | (3) | | | 0.73 | | | | 0.72 | | | | 0.75 | | | | 0.66 | |
Net realized and unrealized gains (losses) | | | (1.90 | ) | | | 0.90 | | | | (1.53 | ) | | | 0.26 | | | | 0.92 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.55 | ) | | | 1.63 | | | | (0.81 | ) | | | 1.01 | | | | 1.58 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.34 | ) | | | (0.73 | ) | | | (0.66 | ) | | | (0.72 | ) | | | (0.72 | ) |
Return of capital. | | | — | | | | — | | | | (0.06 | ) | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.34 | ) | | | (0.73 | ) | | | (0.72 | ) | | | (0.75 | ) | | | (0.72 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 11.70 | | | $ | 13.59 | | | $ | 12.69 | | | $ | 14.22 | | | $ | 13.96 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (11.63 | )%(1) | | | 13.14 | % | | | (5.86 | )% | | | 7.50 | % | | | 12.46 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 53,211 | | | $ | 67,090 | | | $ | 82,007 | | | $ | 131,677 | | | $ | 76,182 | |
Ratio of gross expense to average net assets | | | 0.98 | %(2) | | | 0.97 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
Ratio of net expense to average net assets | | | 0.98 | %(2) | | | 0.97 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.27 | %(2) | | | 5.40 | % | | | 5.31 | % | | | 5.36 | % | | | 5.08 | % |
Ratio of net investment income to average net assets | | | 5.27 | %(2) | | | 5.40 | % | | | 5.31 | % | | | 5.36 | % | | | 5.08 | % |
Portfolio turnover rate | | | 36 | %(1) | | | 73 | % | | | 63 | % | | | 48 | % | | | 46 | % |
The Class commenced operations on November 2, 2009. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized.
(2) Annualized.
(3) Based on average shares outstanding.
146 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Bond Fund - Investor Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 13.58 | | | $ | 12.68 | | | $ | 14.21 | | | $ | 13.95 | | | $ | 13.08 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.36 | (1) | | | 0.75 | | | | 0.77 | | | | 0.77 | | | | 0.73 | |
Net realized and unrealized gains (losses) | | | (1.90 | ) | | | 0.91 | | | | (1.54 | ) | | | 0.27 | | | | 0.89 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.54 | ) | | | 1.66 | | | | (0.77 | ) | | | 1.04 | | | | 1.62 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.35 | ) | | | (0.76 | ) | | | (0.70 | ) | | | (0.75 | ) | | | (0.75 | ) |
Return of capital. | | | — | | | | — | | | | (0.06 | ) | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.35 | ) | | | (0.76 | ) | | | (0.76 | ) | | | (0.78 | ) | | | (0.75 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 11.69 | | | $ | 13.58 | | | $ | 12.68 | | | $ | 14.21 | | | $ | 13.95 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (11.53 | )%(2) | | | 13.45 | % | | | (5.64 | )% | | | 7.76 | % | | | 12.75 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 237,008 | | | $ | 409,458 | | | $ | 404,580 | | | $ | 538,525 | | | $ | 478,082 | |
Ratio of gross expense to average net assets | | | 0.73 | %(3) | | | 0.72 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
Ratio of net expense to average net assets | | | 0.73 | %(3) | | | 0.72 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.51 | %(3) | | | 5.65 | % | | | 5.56 | % | | | 5.60 | % | | | 5.45 | % |
Ratio of net investment income to average net assets | | | 5.51 | %(3) | | | 5.65 | % | | | 5.56 | % | | | 5.60 | % | | | 5.45 | % |
Portfolio turnover rate | | | 36 | %(2) | | | 73 | % | | | 63 | % | | | 48 | % | | | 46 | % |
The Fund commenced operations on December 17, 1998. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Emerging Markets Bond Fund - SI Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 13.56 | | | $ | 12.67 | | | $ | 14.19 | | | $ | 13.93 | | | $ | 13.07 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.36 | (1) | | | 0.81 | | | | 0.77 | | | | 0.78 | | | | 0.74 | |
Net realized and unrealized gains (losses) | | | (1.96 | ) | | | 0.85 | | | | (1.52 | ) | | | 0.27 | | | | 0.88 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.60 | ) | | | 1.66 | | | | (0.75 | ) | | | 1.05 | | | | 1.62 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.29 | ) | | | (0.77 | ) | | | (0.71 | ) | | | (0.75 | ) | | | (0.76 | ) |
Return of capital. | | | — | | | | — | | | | (0.06 | ) | | | (0.04 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.29 | ) | | | (0.77 | ) | | | (0.77 | ) | | | (0.79 | ) | | | (0.76 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 11.67 | | | $ | 13.56 | | | $ | 12.67 | | | $ | 14.19 | | | $ | 13.93 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (11.51 | )%(2) | | | 13.41 | % | | | (5.51 | )% | | | 7.83 | % | | | 12.76 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 621,294 | | | $ | 582,062 | | | $ | 792,357 | | | $ | 693,577 | | | $ | 604,978 | |
Ratio of gross expense to average net assets | | | 0.74 | %(3) | | | 0.73 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
Ratio of net expense to average net assets | | | 0.69 | %(3) | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.53 | %(3) | | | 5.68 | % | | | 5.61 | % | | | 5.59 | % | | | 5.46 | % |
Ratio of net investment income to average net assets | | | 5.58 | %(3) | | | 5.72 | % | | | 5.67 | % | | | 5.65 | % | | | 5.52 | % |
Portfolio turnover rate | | | 36 | %(2) | | | 73 | % | | | 63 | % | | | 48 | % | | | 46 | % |
The Class commenced operations on April 9, 2012. | | | | | | | | | | | | | | | | | | | | |
(1) Based on average shares outstanding.
(2) Not annualized.
(3) Annualized.
Semi-Annual Report 147
| | |
Financial Highlightscontinued | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Local Bond Fund | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 6.50 | | | $ | 5.97 | | | $ | 6.90 | | | $ | 6.95 | | | $ | 6.66 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.34 | | | | 0.37 | | | | 0.42 | | | | 0.43 | | | | 0.37 | |
Net realized and unrealized gains (losses) | | | (1.12 | ) | | | 0.52 | | | | (0.93 | ) | | | (0.05 | ) | | | 0.28 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.78 | ) | | | 0.89 | | | | (0.51 | ) | | | 0.38 | | | | 0.65 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.15 | ) | | | (0.08 | ) | | | (0.40 | ) | | | — | |
Return of capital. | | | — | | | | (0.21 | ) | | | (0.34 | ) | | | (0.03 | ) | | | (0.36 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.17 | ) | | | (0.36 | ) | | | (0.42 | ) | | | (0.43 | ) | | | (0.36 | ) |
| | | | | | | | | | | | | | | | | | | | |
Proceeds from redemption fees | | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 5.55 | | | $ | 6.50 | | | $ | 5.97 | | | $ | 6.90 | | | $ | 6.95 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (12.20 | )%(1) | | | 15.34 | % | | | (7.98 | )% | | | 5.63 | % | | | 10.11 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 139,159 | | | $ | 216,368 | | | $ | 203,978 | | | $ | 180,942 | | | $ | 156,240 | |
Ratio of gross expense to average net assets | | | 0.92 | %(2) | | | 0.91 | % | | | 0.84 | % | | | 1.08 | % | | | 0.96 | % |
Ratio of net expense to average net assets | | | 0.92 | %(2) | | | 0.91 | % | | | 0.92 | % | | | 0.98 | % | | | 0.98 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.40 | %(2) | | | 5.71 | % | | | 6.25 | % | | | 6.14 | % | | | 5.46 | % |
Ratio of net investment income to average net assets | | | 5.40 | %(2) | | | 5.71 | % | | | 6.17 | % | | | 6.25 | % | | | 5.44 | % |
Portfolio turnover rate | | | 25 | %(1) | | | 62 | % | | | 69 | % | | | 61 | % | | | 68 | % |
| | | | | |
| The Fund commenced operations on November 2, 2011. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Corporate Bond Fund -Investor Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 9.99 | | | $ | 9.59 | | | $ | 10.33 | | | $ | 10.09 | | | $ | 9.62 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.22 | (3) | | | 0.48 | (3) | | | 0.49 | (3) | | | 0.46 | (3) | | | 0.41 | (3) |
Net realized and unrealized gains (losses) | | | (0.81 | ) | | | 0.41 | | | | (0.72 | ) | | | 0.24 | | | | 0.47 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.59 | ) | | | 0.89 | | | | (0.23 | ) | | | 0.70 | | | | 0.88 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.49 | ) | | | (0.46 | ) | | | (0.46 | ) | | | (0.41 | ) |
From net realized gains. | | | — | | | | — | | | | (0.03 | ) | | | — | | | | — | |
Return of capital. | | | — | | | | — | | | | (0.02 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.22 | ) | | | (0.49 | ) | | | (0.51 | ) | | | (0.46 | ) | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.18 | | | $ | 9.99 | | | $ | 9.59 | | | $ | 10.33 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (5.98 | )%(1) | | | 9.46 | % | | | (2.26 | )% | | | 7.12 | % | | | 9.35 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 3,462 | | | $ | 3,681 | | | $ | 4,208 | | | $ | 4,051 | | | $ | 3,655 | |
Ratio of gross expense to average net assets | | | 1.38 | %(2) | | | 1.32 | % | | | 1.30 | % | | | 1.33 | % | | | 1.33 | % |
Ratio of net expense to average net assets | | | 0.95 | %(2) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % |
Ratio of investment income less gross expenses to average net assets | | | 4.06 | %(2) | | | 4.55 | % | | | 4.49 | % | | | 4.14 | % | | | 3.77 | % |
Ratio of net investment income to average net assets | | | 4.49 | %(2) | | | 4.92 | % | | | 4.84 | % | | | 4.52 | % | | | 4.15 | % |
Portfolio turnover rate | | | 46 | %(1) | | | 94 | % | | | 79 | % | | | 63 | % | | | 74 | % |
The Fund commenced operations on November 11, 2013. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized. (2) Annualized. (3) Based on average shares outstanding. | | | | | | | | | | | | | | | | | | | | |
148 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Corporate Bond Fund -SI Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.01 | | | $ | 9.60 | | | $ | 10.34 | | | $ | 10.10 | | | $ | 9.63 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.22 | (1) | | | 0.49 | (1) | | | 0.49 | (1) | | | 0.47 | (1) | | | 0.42 | (1) |
Net realized and unrealized gains (losses) | | | (0.80 | ) | | | 0.42 | | | | (0.71 | ) | | | 0.24 | | | | 0.47 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.58 | ) | | | 0.91 | | | | (0.22 | ) | | | 0.71 | | | | 0.89 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.50 | ) | | | (0.47 | ) | | | (0.47 | ) | | | (0.42 | ) |
From net realized gains. | | | — | | | | — | | | | (0.03 | ) | | | — | | | | — | |
Return of capital. | | | — | | | | — | | | | (0.02 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.23 | ) | | | (0.50 | ) | | | (0.52 | ) | | | (0.47 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.20 | | | $ | 10.01 | | | $ | 9.60 | | | $ | 10.34 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (5.92 | )%(2) | | | 9.67 | % | | | (2.16 | )% | | | 7.22 | % | | | 9.44 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 35,405 | | | $ | 36,825 | | | $ | 41,213 | | | $ | 36,576 | | | $ | 35,450 | |
Ratio of gross expense to average net assets | | | 1.38 | %(3) | | | 1.32 | % | | | 1.31 | % | | | 1.33 | % | | | 1.35 | % |
Ratio of net expense to average net assets | | | 0.85 | %(3) | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % |
Ratio of investment income less gross expenses to average net assets | | | 4.06 | %(3) | | | 4.54 | % | | | 4.49 | % | | | 4.13 | % | | | 3.80 | % |
Ratio of net investment income to average net assets | | | 4.59 | %(3) | | | 5.01 | % | | | 4.95 | % | | | 4.61 | % | | | 4.29 | % |
Portfolio turnover rate | | | 46 | %(2) | | | 94 | % | | | 79 | % | | | 63 | % | | | 74 | % |
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 | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 18.13 | | | $ | 16.19 | | | $ | 16.68 | | | $ | 14.69 | | | $ | 13.98 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.69 | | | | 0.36 | | | | 0.33 | | | | 0.32 | | | | 0.36 | |
Net realized and unrealized gains (losses) | | | (1.94 | ) | | | 2.02 | | | | 0.30 | | | | 2.08 | | | | 0.76 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.25 | ) | | | 2.38 | | | | 0.63 | | | | 2.40 | | | | 1.12 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.67 | ) | | | (0.33 | ) | | | (0.30 | ) | | | (0.33 | ) | | | (0.41 | ) |
From net realized gains. | | | (0.55 | ) | | | (0.11 | ) | | | (0.82 | ) | | | (0.08 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (1.22 | ) | | | (0.44 | ) | | | (1.12 | ) | | | (0.41 | ) | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 15.66 | | | $ | 18.13 | | | $ | 16.19 | | | $ | 16.68 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (10.36 | )%(1) | | | 15.05 | % | | | 3.69 | % | | | 16.59 | % | | | 8.06 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 14,224 | | | $ | 16,039 | | | $ | 13,580 | | | $ | 14,529 | | | $ | 8,313 | |
Ratio of gross expense to average net assets | | | 0.98 | %(2) | | | 0.99 | % | | | 0.99 | % | | | 1.05 | % | | | 1.02 | % |
Ratio of net expense to average net assets | | | 0.98 | %(2) | | | 0.99 | % | | | 0.99 | % | | | 1.05 | % | | | 1.05 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.72 | %(2) | | | 2.11 | % | | | 1.95 | % | | | 2.18 | % | | | 2.70 | % |
Ratio of net investment income to average net assets | | | 1.72 | %(2) | | | 2.11 | % | | | 1.95 | % | | | 2.15 | % | | | 2.67 | % |
Portfolio turnover rate | | | 23 | %(1) | | | 49 | % | | | 42 | % | | | 60 | % | | | 25 | % |
The Class commenced operations on December 1, 2011. | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 149
| | |
Financial Highlightscontinued | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Equity Income Fund - Investor Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 18.15 | | | $ | 16.20 | | | $ | 16.69 | | | $ | 14.69 | | | $ | 13.97 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.72 | | | | 0.40 | | | | 0.38 | | | | 0.39 | | | | 0.38 | |
Net realized and unrealized gains (losses) | | | (1.96 | ) | | | 2.03 | | | | 0.29 | | | | 2.06 | | | | 0.78 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.24 | ) | | | 2.43 | | | | 0.67 | | | | 2.45 | | | | 1.16 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.69 | ) | | | (0.37 | ) | | | (0.34 | ) | | | (0.37 | ) | | | (0.44 | ) |
From net realized gains. | | | (0.55 | ) | | | (0.11 | ) | | | (0.82 | ) | | | (0.08 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (1.24 | ) | | | (0.48 | ) | | | (1.16 | ) | | | (0.45 | ) | | | (0.44 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 15.67 | | | $ | 18.15 | | | $ | 16.20 | | | $ | 16.69 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (10.30 | )%(1) | | | 15.39 | % | | | 3.92 | % | | | 16.91 | % | | | 8.37 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 489,146 | | | $ | 570,662 | | | $ | 476,071 | | | $ | 564,547 | | | $ | 479,460 | |
Ratio of gross expense to average net assets | | | 0.73 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.80 | % | | | 0.77 | % |
Ratio of net expense to average net assets | | | 0.73 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.80 | % | | | 0.80 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.98 | %(2) | | | 2.36 | % | | | 2.20 | % | | | 2.48 | % | | | 2.91 | % |
Ratio of net investment income to average net assets | | | 1.98 | %(2) | | | 2.36 | % | | | 2.20 | % | | | 2.45 | % | | | 2.88 | % |
Portfolio turnover rate | | | 23 | %(1) | | | 49 | % | | | 42 | % | | | 60 | % | | | 25 | % |
The Fund commenced operations on November 1, 1996. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized. (2) Annualized. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Equity Income Fund — SI Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 18.16 | | | $ | 16.21 | | | $ | 16.70 | | | $ | 14.69 | | | $ | 13.97 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.71 | | | | 0.41 | | | | 0.39 | | | | 0.42 | | | | 0.42 | |
Net realized and unrealized gains (losses) | | | (1.95 | ) | | | 2.03 | | | | 0.29 | | | | 2.06 | | | | 0.75 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.24 | ) | | | 2.44 | | | | 0.68 | | | | 2.48 | | | | 1.17 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.69 | ) | | | (0.38 | ) | | | (0.35 | ) | | | (0.39 | ) | | | (0.45 | ) |
From net realized gains. | | | (0.55 | ) | | | (0.11 | ) | | | (0.82 | ) | | | (0.08 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (1.24 | ) | | | (0.49 | ) | | | (1.17 | ) | | | (0.47 | ) | | | (0.45 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 15.68 | | | $ | 18.16 | | | $ | 16.21 | | | $ | 16.70 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (10.26 | )%(1) | | | 15.47 | % | | | 4.01 | % | | | 17.13 | % | | | 8.50 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 792,478 | | | $ | 809,209 | | | $ | 703,181 | | | $ | 385,988 | | | $ | 314,900 | |
Ratio of gross expense to average net assets | | | 0.73 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.80 | % | | | 0.77 | % |
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 | | | 1.96 | %(2) | | | 2.36 | % | | | 2.19 | % | | | 2.48 | % | | | 3.01 | % |
Ratio of net investment income to average net assets | | | 2.05 | %(2) | | | 2.45 | % | | | 2.29 | % | | | 2.59 | % | | | 3.13 | % |
Portfolio turnover rate | | | 23 | %(1) | | | 49 | % | | | 42 | % | | | 60 | % | | | 25 | % |
The Class commenced operations on August 1, 2014. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized. (2) Annualized. | | | | | | | | | | | | | | | | | | | | |
150 Payden Mutual Funds
| | |
Fund Expenses (Unaudited) | | |
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 thesix-month period ended April 30, 2020. It uses each Fund’s actual return and expense ratio for the period (182/366 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 | | | Value | | | 6-Month | | | Expense | | | Expenses | |
| | | November 1, 2019 | | | April 30, 2020 | | | Return | | | Ratio | | | Paid | |
Cash Reserves Money Market | | $ | 1,000.00 | | | $ | 1,005.50 | | | | 0.55 | % | | | 0.25 | % | | $ | 1.25 | |
Limited Maturity | | | 1,000.00 | | | | 993.50 | | | | (0.65 | )% | | | 0.25 | % | | | 1.24 | |
Low Duration | | | 1,000.00 | | | | 997.50 | | | | (0.25 | )% | | | 0.43 | % | | | 2.14 | |
U.S. Government | | | 1,000.00 | | | | 1,032.70 | | | | 3.27 | % | | | 0.43 | % | | | 2.17 | |
GNMA | | | 1,000.00 | | | | 1,035.30 | | | | 3.53 | % | | | 0.50 | % | | | 2.53 | |
Core Bond Adviser Class | | | 1,000.00 | | | | 1,004.50 | | | | 0.45 | % | | | 0.78 | % | | | 3.89 | |
Core Bond Investor Class | | | 1,000.00 | | | | 1,005.70 | | | | 0.57 | % | | | 0.53 | % | | | 2.64 | |
Core Bond SI Class. | | | 1,000.00 | | | | 1,006.30 | | | | 0.63 | % | | | 0.42 | % | | | 2.10 | |
Corporate Bond. | | | 1,000.00 | | | | 1,000.00 | | | | 0.00 | % | | | 0.65 | % | | | 3.23 | |
Strategic Income Investor Class | | | 1,000.00 | | | | 960.60 | | | | (3.94 | )% | | | 0.70 | % | | | 3.41 | |
Strategic Income SI Class. | | | 1,000.00 | | | | 962.30 | | | | (3.77 | )% | | | 0.55 | % | | | 2.68 | |
Absolute Return Bond Investor Class | | | 1,000.00 | | | | 937.80 | | | | (6.22 | )% | | | 0.70 | % | | | 3.37 | |
Absolute Return Bond SI Class | | | 1,000.00 | | | | 938.00 | | | | (6.20 | )% | | | 0.47 | % | | | 2.26 | |
Floating Rate Bond Investor Class | | | 1,000.00 | | | | 926.30 | | | | (7.37 | )% | | | 0.70 | % | | | 3.35 | |
Floating Rate Bond SI Class | | | 1,000.00 | | | | 926.80 | | | | (7.32 | )% | | | 0.65 | % | | | 3.11 | |
High Income | | | 1,000.00 | | | | 920.30 | | | | (7.97 | )% | | | 0.75 | % | | | 3.58 | |
California Municipal Social Impact | | | 1,000.00 | | | | 982.90 | | | | (1.71 | )% | | | 0.53 | % | | | 2.61 | |
Global Low Duration | | | 1,000.00 | | | | 991.20 | | | | (0.88 | )% | | | 0.53 | % | | | 2.62 | |
Global Fixed Income | | | 1,000.00 | | | | 992.20 | | | | (0.78 | )% | | | 0.70 | % | | | 3.47 | |
Emerging Markets Bond Adviser Class | | | 1,000.00 | | | | 883.70 | | | | (11.63 | )% | | | 0.98 | % | | | 4.59 | |
Emerging Markets Bond Investor Class | | | 1,000.00 | | | | 884.70 | | | | (11.53 | )% | | | 0.73 | % | | | 3.42 | |
Emerging Markets Bond SI Class | | | 1,000.00 | | | | 884.90 | | | | (11.51 | )% | | | 0.69 | % | | | 3.23 | |
Emerging Markets Local Bond | | | 1,000.00 | | | | 878.00 | | | | (12.20 | )% | | | 0.92 | % | | | 4.30 | |
Emerging Markets Corporate Bond Investor Class | | | 1,000.00 | | | | 940.20 | | | | (5.98 | )% | | | 0.95 | % | | | 4.58 | |
Emerging Markets Corporate Bond SI Class | | | 1,000.00 | | | | 940.80 | | | | (5.92 | )% | | | 0.85 | % | | | 4.10 | |
Equity Income Adviser Class | | | 1,000.00 | | | | 896.40 | | | | (10.36 | )% | | | 0.98 | % | | | 4.62 | |
Equity Income Investor Class | | | 1,000.00 | | | | 897.00 | | | | (10.30 | )% | | | 0.73 | % | | | 3.44 | |
Equity Income SI Class | | | 1,000.00 | | | | 897.40 | | | | (10.26 | )% | | | 0.65 | % | | | 3.07 | |
| | |
Fund Expenses (Unaudited) continued | | |
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 (182/366 days) for thesix-month period ended April 30, 2020 to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000.
| | | | | | | | | | | | | | | | | | | | |
| | | Value | | | Value | | | 6-Month | | | Expense | | | Expenses | |
| | | November 1, 2019 | | | April 30, 2020 | | | Return | | | Ratio | | | Paid | |
Cash Reserves Money Market | | $ | 1,000.00 | | | $ | 1,023.62 | | | | 2.36 | % | | | 0.25 | % | | $ | 1.26 | |
Limited Maturity | | | 1,000.00 | | | | 1,023.62 | | | | 2.36 | % | | | 0.25 | % | | | 1.26 | |
Low Duration | | | 1,000.00 | | | | 1,022.73 | | | | 2.27 | % | | | 0.43 | % | | | 2.16 | |
U.S. Government | | | 1,000.00 | | | | 1,022.73 | | | | 2.27 | % | | | 0.43 | % | | | 2.16 | |
GNMA | | | 1,000.00 | | | | 1,022.38 | | | | 2.24 | % | | | 0.50 | % | | | 2.51 | |
Core Bond Adviser Class | | | 1,000.00 | | | | 1,020.98 | | | | 2.10 | % | | | 0.78 | % | | | 3.92 | |
Core Bond Investor Class | | | 1,000.00 | | | | 1,022.23 | | | | 2.22 | % | | | 0.53 | % | | | 2.66 | |
Core Bond SI Class. | | | 1,000.00 | | | | 1,022.77 | | | | 2.28 | % | | | 0.42 | % | | | 2.11 | |
Corporate Bond. | | | 1,000.00 | | | | 1,021.63 | | | | 2.16 | % | | | 0.65 | % | | | 3.27 | |
Strategic Income Investor Class | | | 1,000.00 | | | | 1,021.38 | | | | 2.14 | % | | | 0.70 | % | | | 3.52 | |
Strategic Income SI Class. | | | 1,000.00 | | | | 1,022.13 | | | | 2.21 | % | | | 0.55 | % | | | 2.77 | |
Absolute Return Bond Investor Class | | | 1,000.00 | | | | 1,021.38 | | | | 2.14 | % | | | 0.70 | % | | | 3.52 | |
Absolute Return Bond SI Class | | | 1,000.00 | | | | 1,022.53 | | | | 2.25 | % | | | 0.47 | % | | | 2.36 | |
Floating Rate Bond Investor Class | | | 1,000.00 | | | | 1,021.38 | | | | 2.14 | % | | | 0.70 | % | | | 3.52 | |
Floating Rate Bond SI Class | | | 1,000.00 | | | | 1,021.63 | | | | 2.16 | % | | | 0.65 | % | | | 3.27 | |
High Income | | | 1,000.00 | | | | 1,021.13 | | | | 2.11 | % | | | 0.75 | % | | | 3.77 | |
California Municipal Social Impact | | | 1,000.00 | | | | 1,022.23 | | | | 2.22 | % | | | 0.53 | % | | | 2.66 | |
Global Low Duration | | | 1,000.00 | | | | 1,022.23 | | | | 2.22 | % | | | 0.53 | % | | | 2.66 | |
Global Fixed Income | | | 1,000.00 | | | | 1,021.38 | | | | 2.14 | % | | | 0.70 | % | | | 3.52 | |
Emerging Markets Bond Adviser Class | | | 1,000.00 | | | | 1,019.99 | | | | 2.00 | % | | | 0.98 | % | | | 4.92 | |
Emerging Markets Bond Investor Class | | | 1,000.00 | | | | 1,021.23 | | | | 2.12 | % | | | 0.73 | % | | | 3.67 | |
Emerging Markets Bond SI Class | | | 1,000.00 | | | | 1,021.43 | | | | 2.14 | % | | | 0.69 | % | | | 3.47 | |
Emerging Markets Local Bond | | | 1,000.00 | | | | 1,020.29 | | | | 2.03 | % | | | 0.92 | % | | | 4.62 | |
Emerging Markets Corporate Bond Investor Class | | | 1,000.00 | | | | 1,020.14 | | | | 2.01 | % | | | 0.95 | % | | | 4.77 | |
Emerging Markets Corporate Bond SI Class | | | 1,000.00 | | | | 1,020.64 | | | | 2.06 | % | | | 0.85 | % | | | 4.27 | |
Equity Income Adviser Class | | | 1,000.00 | | | | 1,019.99 | | | | 2.00 | % | | | 0.98 | % | | | 4.92 | |
Equity Income Investor Class | | | 1,000.00 | | | | 1,021.23 | | | | 2.12 | % | | | 0.73 | % | | | 3.67 | |
Equity Income SI Class | | | 1,000.00 | | | | 1,021.63 | | | | 2.16 | % | | | 0.65 | % | | | 3.27 | |
152 Payden Mutual Funds
| | |
Trustees and Officers (Unaudited) | | |
| | | | | | | | | | | | | | |
| 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) | | | | | | | | | | | | | | |
Stephanie Bell-Rose | | 62 | | | | Independent Trustee | | 2020 | | 19 | | Senior Managing Director, TIAA | | Director, Bed, Bath &Beyond, Inc. |
W. D. Hilton, Jr. | | 73 | | | | Independent Trustee | | 1993 | | 19 | | President and CEO, Trust Service, Inc.; Executive Director, NGC Bodily Injury Trust; and Managing Trustee, Fuller-Austin Trust | | |
Thomas V. | | 75 | | | | Independent Trustee | | 1993 | | 19 | | Vice Chair, | | |
McKernan, Jr. | | | | | | | | | | | | Automobile Club of Southern California, Director, First American Financial | | |
Rosemarie T. Nassif | | 78 | | | | Independent Trustee | | 2008 | | 19 | | Executive Director, Center for Catholic Education, Loyola Marymount University, President Emerita, Holy Names University | | |
Andrew J. Policano | | 70 | | | | Independent Trustee | | 2008 | | 19 | | Former Dean, The Paul Merage School of Business, University of California, Irvine | | |
Dennis C. Poulsen | | 77 | | | | Independent Trustee | | 1992 | | 19 | | Chairman of the Advisory Board, Rose Hills Company | | |
Stender E. Sweeney | | 81 | | | | Independent Trustee | | 1992 | | 19 | | Private Investor | | Director, Avis Budget Group, Inc. |
Joan A. Payden | | 88 | | | | Interested Trustee | | 1992 | | 19 | | President and CEO, Payden & Rygel | | |
Michael E. Salvay | | 58 | | | | Interested Trustee | | 2009 | | 19 | | Managing Director, Payden & Rygel | | |
James P. Sarni | | 59 | | | | Interested Trustee | | 2017 | | 19 | | Managing Director, Payden & Rygel | | |
Officers (2) | | | | | | | | | | | | | | |
Joan A. Payden | | | | | | Chairman and CEO | | 1992 | | | | President and CEO, Payden & Rygel | | |
Brian W. Matthews | | | | | | Vice President and CFO | | 2003 | | | | Managing Director and CFO, Payden & Rygel | | |
Yot Chattrabhuti | | | | | | Vice President | | 1997 | | | | Director, Payden & Rygel | | |
Bradley F. Hersh | | | | | | Vice President and Treasurer | | 1998 | | | | Director and Treasurer, Payden & Rygel | | |
Edward S. Garlock | | | | | | Secretary | | 1997 | | | | Managing Director and General Counsel, Payden & Rygel | | |
Sandi Brents | | | | | | Vice President and CCO | | 2016 | | | | Vice President and 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 153
(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 FormN-Q. FormsN-Q are available on the SEC’s web site at http://www.sec.gov or the Fund’s FormsN-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 calling1-800SEC-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 800572-9336 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 — SI Class (PYCSX) Payden Core Bond Fund — Investor Class (PYCBX) Payden Core Bond Fund — Adviser Class (PYCWX) 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 Social Impact 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
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 FormN-Q. FormsN-Q are available on the SEC’s web site at http://www.sec.gov or the Fund’s FormsN-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 calling1-800SEC-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 800572-9336 to request a free copy of the proxy voting guidelines.
Semi-Annual Report
| | |
Management Discussion & Analysis | | |
For the six months ended April 30, 2020 For thesix-month period ended April 30, 2020, thePayden/Kravitz Cash Balance Plan Fund, SI Class (PKBIX)returned-9.14%, theAdviser Class (PKCBX)returned-9.25%, theRetirement Class (PKCRX)returned-9.39% and theInstitutional Class (PKCIX)returned-9.02%. The Fund’s benchmark, the30-year U.S. Treasury Bond Yield from December 31st, returned 1.27%. The last quarter of 2019 saw a fairly benign market, with modest returns across most fixed income asset classes. As yield spreads had tightened meaningfully over the course of 2019, we took the opportunity to reduce exposure to higher beta subsectors, specifically high yield bonds and loans, in order to have an elevated liquidity profile entering 2020. In January and February 2020, we saw robust new issuance across asset classes and participated in many securitized product offerings, increasing our securitized allocation to around 55%. As theCovid-19 crisis began to take shape, we reduced exposure to assets that we felt would be meaningfully affected by an economic slowdown due to the virus. As such, we exited airline exposure, trimmed hotel and leisure exposure, and exited exposure to companies reliant on the global supply chain ahead of major drawdowns in those industries. Despite the caution we took, the Fund experienced the largest drawdown in its history, as liquidity was extremely challenged across asset classes. The liquiditylock-up forced investors, most specifically levered investors facing large margin calls, to sell assets at extremely punitive levels in order to raise cash, which generated substantive price markdowns as these prints echoed through the system. The United States Federal Reserve then stepped in to foster liquidity within markets, causing asset prices to rebound rapidly. With the proceeds from sellspre-liquidity freeze and the existing liquidity in the Fund coming into the crisis, we have deployed capital into preferred asset classes at opportunistic levels in order to maximize the Fund’s recovery from the current drawdown. The Fund employs futures, options, swaps and forward currency contracts to manage sensitivity to undesired risk exposures as well as efficient investment purposes. Derivatives contributed 0.08% to Fund returns over the period.
1 Payden Mutual Funds
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Portfolio Highlights & Investments
The Fund seeks a return equal to the yield on the30-year U.S. Treasury Bond by primarily investing in debt instruments and income producing securities of U.S. and foreign issuers with no limit on maturity and may also invest in equity securities.
| | | | |
Portfolio Composition -percent of investments | |
Mortgage Backed | | | 37 | % |
Asset Backed | | | 25 | % |
Corporate Bond | | | 17 | % |
U.S. Treasury | | | 8 | % |
Foreign Government | | | 7 | %�� |
Other | | | 6 | % |
Schedule of Investments -April 30, 2020 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (25%) | | | | |
400,000 | | Atlas Senior Loan Fund Ltd. 144A, (3 mo. LIBOR USD + 1.300%), 2.48%, 1/16/30 (a)(b) | | $ | 399 | |
370,000 | | Barings CLO Ltd.2016-II 144A, (3 mo. LIBOR USD + 3.250%), 4.39%, 7/20/28 (a)(b) | | | 321 | |
600,000 | | BDS2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 3.47%, 2/16/37 (a)(b) | | | 484 | |
1,050,000 | | Blackrock European CLO III DAC 144A, (3 mo. EURIBOR + 0.850%), 0.85%, 4/15/30 EUR (a)(b)(c) | | | 1,120 | |
250,000 | | Blackrock European CLO IV DAC 144A, (3 mo. EURIBOR + 1.300%), 1.30%, 7/15/30 EUR (a)(b)(c) | | | 256 | |
350,000 | | Blackrock European CLO IV DAC 144A, (3 mo. EURIBOR + 2.650%), 2.65%, 7/15/30 EUR (a)(b)(c) | | | 306 | |
500,000 | | BlueMountain CLO2015-2 Ltd. 144A, (3 mo. LIBOR USD + 2.750%), 3.89%, 7/18/27 (a)(b) | | | 404 | |
850,000 | | BlueMountain Fuji U.S. CLO I Ltd., (3 mo. LIBOR USD + 1.700%), 2.84%, 7/20/29 (a)(d) | | | 792 | |
350,000 | | Bristol Park CLO Ltd. 144A, (3 mo. LIBOR USD + 7.000%), 8.22%, 4/15/29 (a)(b) | | | 254 | |
850,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 9/15/35 (a)(b) | | | 778 | |
700,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 2.41%, 9/15/35 (a)(b) | | | 579 | |
550,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.100%), 2.91%, 9/15/35 (a)(b) | | | 417 | |
500,000 | | BSPRT2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 3.56%, 9/15/35 (a)(b) | | | 331 | |
976,916 | | Carlyle Global Market Strategies Euro CLO2015-2 DAC 144A, (3 mo. EURIBOR + 0.730%), 0.73%, 9/21/29 EUR (a)(b)(c) | | | 1,050 | |
500,000 | | Carlyle Global Market Strategies Euro CLO2015-2 DAC 144A, (3 mo. EURIBOR + 2.700%), 2.70%, 9/21/29 EUR (a)(b)(c) | | | 457 | |
800,000 | | CARS-DB4 LP 144A, 4.17%, 2/15/50 (b) | | | 737 | |
200,000 | | CARS-DB4 LP 144A, 4.52%, 2/15/50 (b) | | | 177 | |
300,000 | | CARS-DB4 LP 144A, 4.95%, 2/15/50 (b) | | | 254 | |
1,000,000 | | Cedar Funding VI CLO Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 2.74%, 10/20/28 (a)(b) | | | 939 | |
300,000 | | CIFC Funding2013-III-R Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.92%, 4/24/31 (a)(b) | | | 236 | |
350,000 | | Columbia Cent CLO 27 Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 2.59%, 10/25/28 (a)(b) | | | 330 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
637,737 | | CoreVest American Finance2018-2 Trust 144A, 4.03%, 11/15/52 (b) | | $ | 661 | |
936,783 | | Countrywide Asset-Backed Certificates, 4.57%, 10/25/46 (e) | | | 918 | |
497,500 | | Domino’s Pizza Master Issuer LLC 144A, 3.67%, 10/25/49 (b) | | | 488 | |
888,750 | | Driven Brands Funding LLC 144A, 4.64%, 4/20/49 (b) | | | 871 | |
1,100,000 | | Dryden 36 Senior Loan Fund 144A, (3 mo. LIBOR USD + 1.750%), 2.97%, 4/15/29 (a)(b) | | | 1,064 | |
1,300,000 | | Dryden 39 Euro CLO 2015 BV 144A, (3 mo. EURIBOR + 0.870%), 0.87%, 10/15/31 EUR (a)(b)(c) | | | 1,394 | |
113,949 | | GE-WMC Asset-Backed Pass-Through Certificates Series2005-2, (1 mo. LIBOR USD + 0.500%), 0.99%, 12/25/35 (a) | | | 111 | |
400,000 | | GPMT2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 2/22/36 (a)(b) | | | 385 | |
500,000 | | GPMT2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 2.41%, 2/22/36 (a)(b) | | | 451 | |
800,000 | | Greystone Commercial Real Estate Notes2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 2.36%, 9/15/28 (a)(b) | | | 754 | |
350,000 | | Greystone Commercial Real Estate Notes2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.150%), 2.96%, 9/15/28 (a)(b) | | | 322 | |
500,000 | | Greystone Commercial Real Estate Notes2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.650%), 3.46%, 9/15/28 (a)(b) | | | 443 | |
600,000 | | Greystone CRE Notes2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.400%), 3.21%, 9/15/37 (a)(b) | | | 500 | |
600,000 | | Greystone CRE Notes2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 3.56%, 9/15/37 (a)(b) | | | 478 | |
1,500,000 | | Greywolf CLO IV Ltd. 144A, (3 mo. LIBOR USD + 1.950%), 3.08%, 4/17/30 (a)(b) | | | 1,414 | |
500,000 | | Halcyon Loan Advisors Funding2015-2 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 2.64%, 7/25/27 (a)(b) | | | 476 | |
750,000 | | Hunt CRE2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.350%), 3.16%, 8/15/28 (a)(b) | | | 648 | |
377,338 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 2.09%, 4/21/25 (a)(b) | | | 374 | |
3 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
350,000 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 2.59%, 4/21/25 (a)(b) | | $ | 339 | |
400,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.350%), 2.10%, 6/15/36 (a)(b) | | | 371 | |
250,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 2.35%, 6/15/36 (a)(b) | | | 226 | |
250,000 | | KREF2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 2.000%), 2.75%, 6/15/36 (a)(b) | | | 216 | |
91,894 | | L.A. Arena Funding LLC 144A, 7.66%, 12/15/26 (b) | | | 90 | |
1,000,000 | | LCM XX LP 144A, (3 mo. LIBOR USD + 1.040%), 2.18%, 10/20/27 (a)(b) | | | 987 | |
500,000 | | LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 2.31%, 5/15/36 (a)(b) | | | 439 | |
250,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.99%, 4/19/30 (a)(b) | | | 210 | |
1,000,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.96%, 6/15/28 (a)(b) | | | 933 | |
250,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 2.36%, 6/15/28 (a)(b) | | | 212 | |
1,373,071 | | NP SPE II LLC 144A, 2.86%, 11/19/49 (b) | | | 1,387 | |
700,000 | | OZLM XII Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 2.36%, 4/30/27 (a)(b) | | | 676 | |
950,000 | | Palmer Square CLO2015-1 Ltd. 144A, (3 mo. LIBOR USD + 3.150%), 4.85%, 5/21/29 (a)(b) | | | 787 | |
400,000 | | Palmer Square Loan Funding2020-1 Ltd. 144A, (3 mo. LIBOR USD + 4.850%), 6.53%, 2/20/28 (a)(b)(f) | | | 257 | |
274,313 | | Planet Fitness Master Issuer LLC 144A, 3.86%, 12/05/49 (b) | | | 195 | |
325,050 | | Planet Fitness Master Issuer LLC 144A, 4.26%, 9/05/48 (b) | | | 313 | |
1,250,000 | | Regatta VII Funding Ltd. 144A, (3 mo. LIBOR USD + 1.060%), 2.18%, 12/20/28 (a)(b) | | | 1,227 | |
979,861 | | Shackleton 2015-VIII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.920%), 2.06%, 10/20/27 (a)(b) | | | 962 | |
1,234,375 | | Taco Bell Funding LLC 144A, 4.32%, 11/25/48 (b) | | | 1,266 | |
309,391 | | THL Credit Wind River2015-2 CLO Ltd. 144A, (3 mo. LIBOR USD + 0.870%), 2.09%, 10/15/27 (a)(b) | | | 304 | |
200,000 | | TPG Real Estate Finance2018-FL2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.300%), 3.05%, 11/15/37 (a)(b) | | | 158 | |
893,081 | | Venture XVII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.880%), 2.10%, 4/15/27 (a)(b) | | | 871 | |
800,000 | | Westlake Automobile Receivables Trust2018-3 144A, 4.00%, 10/16/23 (b) | | | 801 | |
1,300,000 | | Westlake Automobile Receivables Trust2019-3 144A, 2.72%, 11/15/24 (b) | | | 1,225 | |
1,150,000 | | Westlake Automobile Receivables Trust2020-1 144A, 2.80%, 6/16/25 (b) | | | 1,080 | |
544,500 | | Wingstop Funding2018-1 LLC 144A, 4.97%, 12/05/48 (b) | | | 555 | |
Total Asset Backed (Cost - $41,831) | | | 38,460 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
| |
Bank Loans(g) (5%) | | | | |
548,625 | | 1011778 BC ULC Term Loan B 1L, (LIBOR USD1-Month + 0.018%), 2.15%, 11/19/26 | | $ | 518 | |
598,289 | | Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD3-Month + 0.018%), 3.20%, 6/01/24 | | | 584 | |
541,659 | | Change Healthcare Holdings LLC Term Loan B 1L, (LIBOR USD3-Month + 0.025%), 3.50%, 3/01/24 | | | 523 | |
1,270,750 | | Charter Communications Operating LLC Term Loan B2 1L, (LIBOR USD1-Month + 0.018%), 2.74%, 2/01/27 | | | 1,226 | |
250,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 0.026%), 2.63%, 1/31/27 EUR (c) | | | 259 | |
200,000 | | Froneri U.S. Inc. Term Loan 2L, (LIBOR USD1-Month + 0.058%), 5.75%, 1/31/28 | | | 191 | |
279,300 | | Grifols SA Term Loan B 1L, (1 mo. EURIBOR + 0.023%), 2.25%, 11/15/27 EUR | | | 302 | |
674,725 | | HCA Inc. Term Loan B13 1L, (LIBOR USD1-Month + 0.018%), 2.15%, 3/18/26 | | | 661 | |
674,673 | | KFC Holding Co. Term Loan B 1L, (LIBOR USD1-Month + 0.018%), 2.47%, 4/03/25 | | | 649 | |
696,447 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD1-Month + 0.035%), 3.90%, 2/05/27 | | | 604 | |
550,000 | | T-Mobile USA Inc. Term Loan B 1L, 4.94%, 4/01/27 | | | 547 | |
690,000 | | WMG Acquisition Corp. Term Loan F 1L, (LIBOR USD1-Month + 0.021%), 2.53%, 11/01/23 | | | 673 | |
679,650 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD1-Month + 0.018%), 2.15%, 5/30/25 | | | 628 | |
Total Bank Loans (Cost - $7,626) | | | 7,365 | |
| |
Corporate Bond (17%) | | | | |
750,000 | | ADCB Finance Cayman Ltd. 144A, 4.00%, 3/29/23 (b) | | | 773 | |
575,000 | | Alcoa Nederland Holding BV 144A, 6.75%, 9/30/24 (b) | | | 573 | |
500,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 476 | |
450,000 | | Ashland Services BV 144A, 2.00%, 1/30/28 EUR (b)(c) | | | 464 | |
350,000 | | AT&T Inc., 0.25%, 3/04/26 EUR (c) | | | 370 | |
500,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (b) | | | 487 | |
400,000 | | Banco Bradesco SA 144A, 3.20%, 1/27/25 (b) | | | 383 | |
245,000 | | Banco de Credito del Peru 144A, 2.70%, 1/11/25 (b) | | | 240 | |
400,000 | | Banco de Sabadell SA, 1.75%, 5/10/24 EUR (c)(d) | | | 404 | |
388,000 | | Banco Internacional del Peru SAA Interbank 144A, 3.25%, 10/04/26 (b) | | | 373 | |
500,000 | | Barclays PLC, (3 mo. LIBOR USD + 1.400%), 4.61%, 2/15/23 (a) | | | 520 | |
500,000 | | Becton Dickinson Euro Finance Sarl, 0.63%, 6/04/23 EUR (c) | | | 538 | |
500,000 | | CaixaBank SA, 1.75%, 10/24/23 EUR (c)(d) | | | 550 | |
Semi-Annual Report 4
Portfolio Highlights & Investments continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
250,000 | | Catalent Pharma Solutions Inc. 144A, 2.38%, 3/01/28 EUR (b)(c) | | $ | 256 | |
305,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 327 | |
250,000 | | Centene Corp. 144A, 3.38%, 2/15/30 (b) | | | 253 | |
120,000 | | Centene Corp., 4.75%, 5/15/22 | | | 122 | |
500,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.50%, 2/01/24 | | | 543 | |
225,000 | | Cheniere Energy Partners LP 144A, 4.50%, 10/01/29 (b) | | | 209 | |
250,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (a) | | | 221 | |
310,000 | | Covanta Holding Corp., 5.88%, 3/01/24 | | | 307 | |
250,000 | | Diamond Sports Group LLC/Diamond Sports Finance Co. 144A, 5.38%, 8/15/26 (b) | | | 191 | |
200,000 | | Diamond Sports Group LLC/Diamond Sports Finance Co. 144A, 6.63%, 8/15/27 (b) | | | 110 | |
182,000 | | Encompass Health Corp., 5.75%, 11/01/24 | | | 184 | |
500,000 | | Enel Finance International NV 144A, 4.63%, 9/14/25 (b) | | | 547 | |
670,000 | | EQM Midstream Partners LP, 4.75%, 7/15/23 | | | 636 | |
250,000 | | Equinix Inc., 2.88%, 3/15/24 EUR (c) | | | 279 | |
100,000 | | Fidelity National Information Services Inc., 0.75%, 5/21/23 EUR (c) | | | 110 | |
100,000 | | Fidelity National Information Services Inc., 2.60%, 5/21/25 GBP (c) | | | 130 | |
350,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 320 | |
200,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 181 | |
350,000 | | Ford Motor Credit Co. LLC, 3.35%, 11/01/22 | | | 318 | |
400,000 | | Ford Motor Credit Co. LLC, 4.27%, 1/09/27 | | | 342 | |
600,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 573 | |
350,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (b) | | | 287 | |
500,000 | | General Motors Financial Co. Inc., 3.55%, 7/08/22 | | | 484 | |
600,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (b) | | | 385 | |
315,000 | | Goodyear Tire & Rubber Co., 5.13%, 11/15/23 | | | 297 | |
300,000 | | Grifols SA 144A, 1.63%, 2/15/25 EUR (b)(c) | | | 322 | |
500,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 472 | |
200,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27 | | | 191 | |
200,000 | | IHO Verwaltungs GmbH 144A, 6.00%, 5/15/27 (b) | | | 173 | |
350,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.23%, 11/15/21 (b) | | | 353 | |
300,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.71%, 11/15/23 (b) | | | 307 | |
335,000 | | Iron Mountain Inc., 5.75%, 8/15/24 | | | 331 | |
400,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b) | | | 387 | |
500,000 | | Itau Unibanco Holding SA 144A, 3.25%, 1/24/25 (b) | | | 487 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
400,000 | | Lloyds Banking Group PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.000%), 2.44%, 2/05/26 (a) | | $ | 400 | |
300,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.753%), 0.64%, 7/26/24 EUR (a)(c) | | | 326 | |
200,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.990%), 2.19%, 4/28/26 (a) | | | 203 | |
310,000 | | MPT Operating Partnership LP/MPT Finance Corp., 5.50%, 5/01/24 | | | 309 | |
300,000 | | Muthoot Finance Ltd. 144A, 4.40%, 9/02/23 (b) | | | 259 | |
700,000 | | Owl Rock Capital Corp., 4.00%, 3/30/25 | | | 639 | |
200,000 | | Petroleos Mexicanos, 3.50%, 1/30/23 | | | 178 | |
200,000 | | Petroleos Mexicanos, 3.75%, 2/21/24 EUR (c)(d) | | | 188 | |
400,000 | | Petroleos Mexicanos 144A, 6.49%, 1/23/27 (b) | | | 327 | |
430,000 | | Plains All American Pipeline LP/PAA Finance Corp., 5.00%, 2/01/21 | | | 421 | |
250,000 | | Prosus NV 144A, 3.68%, 1/21/30 (b) | | | 251 | |
450,000 | | Q-Park Holding I BV 144A, 2.00%, 3/01/27 EUR (b)(c) | | | 450 | |
750,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 785 | |
320,000 | | SBA Communications Corp., 4.00%, 10/01/22 | | | 324 | |
900,000 | | SBA Tower Trust 144A, 2.84%, 1/15/25 (b) | | | 924 | |
200,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (b) | | | 148 | |
300,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (b) | | | 230 | |
450,000 | | SM Energy Co., 5.00%, 1/15/24 | | | 145 | |
260,000 | | SM Energy Co., 6.13%, 11/15/22 | | | 106 | |
157,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 158 | |
250,000 | | Standard Industries Inc. 144A, 2.25%, 11/21/26 EUR (b)(c) | | | 236 | |
200,000 | | Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23 | | | 195 | |
550,000 | | Teva Pharmaceutical Finance Netherlands II BV, 3.25%, 4/15/22 EUR (c) | | | 594 | |
920,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 900 | |
275,000 | | Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (b) | | | 277 | |
500,000 | | Worldline SA, 0.25%, 9/18/24 EUR (c)(d) | | | 525 | |
Total Corporate Bond (Cost - $28,248) | | | 26,284 | |
| |
Foreign Government (7%) | | | | |
155,000 | | Dominican Republic International Bond 144A, 5.88%, 4/18/24 (b) | | | 151 | |
833,333 | | Dominican Republic International Bond 144A, 7.50%, 5/06/21 (b) | | | 831 | |
350,000 | | Egypt Government International Bond 144A, 6.13%, 1/31/22 (b) | | | 349 | |
300,000 | | El Salvador Government International Bond, 7.75%, 1/24/23 (d) | | | 261 | |
457,000 | | Fondo MIVIVIENDA SA, 3.50%, 1/31/23 (d) | | | 460 | |
1,020,000 | | Georgia Government International Bond, 6.88%, 4/12/21 (d) | | | 1,028 | |
631,000 | | Guatemala Government Bond 144A, 5.75%, 6/06/22 (b) | | | 651 | |
5 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
300,000 | | Guatemala Government Bond, 5.75%, 6/06/22 (d) | | $ | 309 | |
500,000 | | Honduras Government International Bond 144A, 7.50%, 3/15/24 (b) | | | 485 | |
650,000 | | Honduras Government International Bond 144A, 8.75%, 12/16/20 (b) | | | 647 | |
300,000 | | Indonesia Government International Bond, 0.90%, 2/14/27 EUR (c) | | | 295 | |
500,000 | | Kazakhstan Government International Bond 144A, 1.55%, 11/09/23 EUR (b)(c) | | | 539 | |
390,000 | | Mongolia Government International Bond 144A, 5.63%, 5/01/23 (b) | | | 349 | |
510,000 | | Mongolia Government International Bond 144A, 10.88%, 4/06/21 (b) | | | 504 | |
500,000 | | Nigeria Government International Bond 144A, 6.38%, 7/12/23 (b) | | | 432 | |
600,000 | | Nigeria Government International Bond, 6.75%, 1/28/21 (d) | | | 570 | |
250,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 3.40%, 3/29/22 (b) | | | 253 | |
400,000 | | Republic of Belarus International Bond 144A, 6.88%, 2/28/23 (b) | | | 393 | |
450,000 | | Senegal Government International Bond 144A, 6.25%, 7/30/24 (b) | | | 420 | |
308,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 300 | |
860,000 | | Sri Lanka Government International Bond 144A, 6.25%, 10/04/20 (b) | | | 770 | |
450,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/22 (b) | | | 431 | |
300,000 | | Ukraine Government International Bond, 7.75%, 9/01/23 (d) | | | 286 | |
Total Foreign Government (Cost - $11,504) | | | 10,714 | |
| |
Mortgage Backed (37%) | | | | |
280,273 | | Alternative Loan Trust 2006-31CB, 6.00%, 11/25/36 | | | 222 | |
146,231 | | Alternative Loan Trust 2006-31CB, 6.00%, 11/25/36 | | | 116 | |
282,439 | | Alternative Loan Trust2006-J5, 6.50%, 9/25/36 | | | 221 | |
1,953,144 | | Alternative Loan Trust 2007-12T1, 6.00%, 6/25/37 | | | 1,375 | |
942,312 | | Alternative Loan Trust2007-5CB, 6.00%, 4/25/37 | | | 730 | |
571,087 | | Alternative Loan Trust2007-5CB, 6.00%, 4/25/37 | | | 442 | |
190,884 | | Alternative Loan Trust2007-5CB, 6.00%, 4/25/37 | | | 148 | |
1,158,320 | | American Home Mortgage Assets Trust2007-2, (1 mo. LIBOR USD + 0.125%), 0.61%, 3/25/47 (a) | | | 854 | |
199,681 | | AREIT 2018-CRE2 Trust 144A, (1 mo. LIBOR USD + 1.400%), 2.19%, 11/14/35 (a)(b) | | | 173 | |
316,166 | | Banc of America Funding2005-H Trust, 3.89%, 11/20/35 (e) | | | 260 | |
8,150,959 | | BANK 2018-BNK13, 0.66%, 8/15/61 (e) | | | 243 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
300,000 | | BDS2018-FL2 144A, (1 mo. LIBOR USD + 1.400%), 2.15%, 8/15/35 (a)(b) | | $ | 263 | |
16,259,597 | | Benchmark2018-B4 Mortgage Trust, 0.69%, 7/15/51 (e) | | | 502 | |
382,160 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 1.800%), 2.61%, 10/15/36 (a)(b) | | | 366 | |
621,010 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 2.000%), 2.81%, 10/15/36 (a)(b) | | | 589 | |
764,320 | | BX Commercial Mortgage Trust2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 3.11%, 10/15/36 (a)(b) | | | 715 | |
300,000 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 2.000%), 2.81%, 12/15/36 (a)(b) | | | 285 | |
913,543 | | CGDBB Commercial Mortgage Trust 2017-BIOC 144A, (1 mo. LIBOR USD + 2.150%), 2.96%, 7/15/32 (a)(b) | | | 809 | |
443,130 | | Chase Mortgage Finance Trust Series2007-S3, 6.00%, 5/25/37 | | | 310 | |
428,761 | | Chase Mortgage Finance Trust Series2007-S3, 6.00%, 5/25/37 | | | 300 | |
547,637 | | CHC Commercial Mortgage Trust2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 3.16%, 6/15/34 (a)(b) | | | 406 | |
348,496 | | CHC Commercial Mortgage Trust2019-CHC 144A, (1 mo. LIBOR USD + 2.608%), 3.42%, 6/15/34 (a)(b) | | | 241 | |
98,876 | | CHL Mortgage Pass-Through Trust2005-18, 5.50%, 10/25/35 | | | 78 | |
641,704 | | CHL Mortgage Pass-Through Trust 2006-HYB1, 3.49%, 3/20/36 (e) | | | 572 | |
452,766 | | CHL Mortgage Pass-Through Trust 2007-HYB2, 3.43%, 2/25/47 (e) | | | 383 | |
300,000 | | Citigroup Commercial Mortgage Trust 2019-SST2 144A, (1 mo. LIBOR USD + 1.300%), 2.11%, 12/15/36 (a)(b) | | | 286 | |
400,000 | | Citigroup Commercial Mortgage Trust 2019-SST2 144A, (1 mo. LIBOR USD + 1.600%), 2.41%, 12/15/36 (a)(b) | | | 378 | |
1,953,566 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.64%, 11/25/39 (a)(b) | | | 1,644 | |
563,543 | | Connecticut Avenue Securities Trust2019-R01 144A, (1 mo. LIBOR USD + 2.450%), 2.94%, 7/25/31 (a)(b) | | | 508 | |
500,000 | | Connecticut Avenue Securities Trust2019-R01 144A, (1 mo. LIBOR USD + 4.350%), 4.84%, 7/25/31 (a)(b) | | | 280 | |
1,000,000 | | Connecticut Avenue Securities Trust2019-R02 144A, (1 mo. LIBOR USD + 4.150%), 4.64%, 8/25/31 (a)(b) | | | 685 | |
Semi-Annual Report 6
Portfolio Highlights & Investmentscontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
550,000 | | Connecticut Avenue Securities Trust2019-R03 144A, (1 mo. LIBOR USD + 4.100%), 4.59%, 9/25/31 (a)(b) | | $ | 372 | |
250,000 | | Connecticut Avenue Securities Trust2019-R07 144A, (1 mo. LIBOR USD + 2.100%), 2.59%, 10/25/39 (a)(b) | | | 220 | |
300,000 | | Connecticut Avenue Securities Trust2019-R07 144A, (1 mo. LIBOR USD + 3.400%), 3.89%, 10/25/39 (a)(b) | | | 161 | |
200,000 | | Connecticut Avenue Securities Trust2020-R02 144A, (1 mo. LIBOR USD + 2.000%), 2.49%, 1/25/40 (a)(b) | | | 145 | |
350,000 | | Connecticut Avenue Securities Trust2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.49%, 1/25/40 (a)(b) | | | 158 | |
950,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.150%), 2.96%, 5/15/36 (a)(b) | | | 890 | |
750,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 3.46%, 5/15/36 (a)(b) | | | 701 | |
750,000 | | CSMC Trust 2017-MOON 144A, 3.30%, 7/10/34 (b)(e) | | | 697 | |
949,279 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%), 4.74%, 1/25/29 (a) | | | 942 | |
425,225 | | First Horizon Alternative Mortgage Securities Trust2006-AA5, 3.69%, 9/25/36 (e) | | | 366 | |
800,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 9/25/49 (a)(b) | | | 688 | |
600,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 3.000%), 3.49%, 9/25/49 (a)(b) | | | 372 | |
250,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 7.500%), 7.99%, 9/25/49 (a)(b) | | | 90 | |
200,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.34%, 2/25/50 (a)(b) | | | 152 | |
450,000 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.39%, 1/25/50 (a)(b) | | | 300 | |
300,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 7.600%), 8.09%, 3/25/50 (a)(b) | | | 100 | |
900,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.79%, 10/25/48 (a)(b) | | | 772 | |
600,000 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.14%, 1/25/49 (a)(b) | | | 540 | |
1,545,198 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 2.450%), 2.94%, 3/25/49 (a)(b) | | | 1,357 | |
358,611 | | Freddie Mac STACR Trust 2019-DNA3 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 7/25/49 (a)(b) | | | 311 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
200,000 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 2.700%), 3.19%, 10/25/49 (a)(b) | | $ | 115 | |
200,000 | | Freddie Mac STACR Trust 2019-FTR3 144A, (1 mo. LIBOR USD + 4.800%), 5.75%, 9/25/47 (a)(b) | | | 56 | |
200,000 | | Freddie Mac STACR Trust 2019-FTR4 144A, (1 mo. LIBOR USD + 5.000%), 5.49%, 11/25/47 (a)(b) | | | 57 | |
459,084 | | Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 2.350%), 2.84%, 2/25/49 (a)(b) | | | 423 | |
628,216 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.54%, 4/25/49 (a)(b) | | | 571 | |
500,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.89%, 2/25/49 (a)(b) | | | 444 | |
675,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.250%), 2.74%, 2/25/49 (a)(b) | | | 458 | |
450,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.500%), 9.99%, 2/25/49 (a)(b) | | | 177 | |
950,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.800%), 2.29%, 7/25/30 (a) | | | 829 | |
941,840 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%), 2.79%, 9/25/30 (a) | | | 839 | |
700,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (b)(e) | | | 538 | |
70,891 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (b)(e) | | | 71 | |
1,250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 5.09%, 12/25/42 (a) | | | 935 | |
466,803 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.700%), 5.19%, 3/25/28 (a) | | | 468 | |
298,670 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 9.000%), 9.49%, 3/25/29 (a) | | | 225 | |
740,986 | | GSMPS Mortgage Loan Trust2005-RP2 144A, (1 mo. LIBOR USD + 0.350%), 0.84%, 3/25/35 (a)(b) | | | 648 | |
239,011 | | HarborView Mortgage Loan Trust2004-10, 3.87%, 1/19/35 (e) | | | 226 | |
50,096 | | HomeBanc Mortgage Trust2004-1, (1 mo. LIBOR USD + 0.860%), 1.35%, 8/25/29 (a) | | | 46 | |
153,600 | | IndyMac INDX Mortgage Loan Trust 2005-AR13, 3.69%, 8/25/35 (e) | | | 133 | |
450,000 | | InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 3.100%), 3.91%, 1/15/33 (a)(b) | | | 379 | |
7 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,400,000 | | JP Morgan Chase Commercial Mortgage Securities Trust 2018-BCON 144A, 3.88%, 1/05/31 (b)(e) | | $ | 1,330 | |
430,000 | | JP Morgan Chase Commercial Mortgage Securities Trust2018-PHH 144A, (1 mo. LIBOR USD + 1.160%), 1.97%, 6/15/35 (a)(b) | | | 376 | |
82,262 | | JP Morgan Mortgage Trust2006-S2, 6.00%, 7/25/36 | | | 63 | |
415,333 | | JP Morgan Mortgage Trust2007-S2, 6.00%, 6/25/37 | | | 270 | |
141,205 | | JP Morgan Mortgage Trust 2014-IVR3 144A, 3.00%, 9/25/44 (b)(e) | | | 143 | |
1,685,613 | | JP Morgan Mortgage Trust2017-5 144A, 3.15%, 10/26/48 (b)(e) | | | 1,708 | |
570,000 | | Madison Avenue Trust 2013-650M 144A, 4.17%, 10/12/32 (b)(e) | | | 571 | |
73,763 | | Merrill Lynch Mortgage Investors Trust Series MLCC2006-1, 3.58%, 2/25/36 (e) | | | 68 | |
3,964,333 | | Morgan Stanley Capital I Trust2018-H3, 0.99%, 7/15/51 (e) | | | 197 | |
550,000 | | Morgan Stanley Capital I Trust 2019-MEAD 144A, 3.18%, 11/10/36 (b) | | | 424 | |
409,345 | | Morgan Stanley Mortgage Loan Trust 2004-11AR, 3.12%, 1/25/35 (e) | | | 372 | |
300,000 | | Multifamily Connecticut Avenue Securities Trust2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.74%, 10/15/49 (a)(b) | | | 232 | |
725,763 | | New Residential Mortgage Loan Trust2014-3 144A, 5.60%, 11/25/54 (b)(e) | | | 759 | |
900,000 | | Palisades Center Trust 2016-PLSD 144A, 3.36%, 4/13/33 (b) | | | 818 | |
450,000 | | PFP2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 2.21%, 4/14/36 (a)(b) | | | 419 | |
29,590 | | Prime Mortgage Trust2005-4, 5.00%, 10/25/35 | | | 29 | |
886,105 | | RALI Series2005-QA7 Trust, 4.36%, 7/25/35 (e) | | | 766 | |
932,308 | | RALI Series 2005-QS14 Trust, 6.00%, 9/25/35 | | | 860 | |
99,597 | | RALI Series2006-QS4 Trust, 6.00%, 4/25/36 | | | 92 | |
440,099 | | RALI Series2007-QS1 Trust, 6.00%, 1/25/37 | | | 395 | |
862,085 | | RALI Series2007-QS2 Trust, 6.25%, 1/25/37 | | | 759 | |
349,297 | | Residential Asset Securitization Trust2006-A8, 6.00%, 8/25/36 | | | 251 | |
500,000 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 2.100%), 2.59%, 9/25/48 (a)(b) | | | 434 | |
1,521,254 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.14%, 4/25/43 (a)(b) | | | 1,438 | |
1,400,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.24%, 4/25/43 (a)(b) | | | 1,016 | |
981,233 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 12.24%, 4/25/43 (a)(b) | | | 492 | |
510,600 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.74%, 2/25/47 (a)(b) | | | 489 | |
1,900,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.89%, 2/25/47 (a)(b) | | | 1,427 | |
700,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.99%, 2/25/47 (a)(b) | | | 321 | |
188,941 | | Structured Adjustable Rate Mortgage Loan Trust, 3.83%, 12/25/35 (e) | | | 118 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
572,525 | | Structured Asset Mortgage Investments II Trust2003-AR4, (1 mo. LIBOR USD + 0.700%), 1.42%, 1/19/34 (a) | | $ | 530 | |
736,524 | | Structured Asset Mortgage Investments II Trust2005-AR4, (1 mo. LIBOR USD + 0.310%), 0.80%, 12/25/35 (a) | | | 651 | |
229,010 | | Structured Asset Mortgage Investments II Trust2006-AR3, 3.04%, 5/25/36 (e) | | | 125 | |
2,327,139 | | Structured Asset Mortgage Investments II Trust2006-AR7, (1 mo. LIBOR USD + 0.210%), 0.70%, 8/25/36 (a) | | | 1,946 | |
1,148 | | Structured Asset Mortgage Investments Trust2003-CL1, 2.65%, 7/25/32 (e) | | | 1 | |
107,541 | | Vendee Mortgage Trust2011-2, 3.75%, 12/15/33 | | | 1 | |
919,737 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust, (1 mo. LIBOR USD + 0.320%), 0.81%, 8/25/45 (a) | | | 885 | |
755,146 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust, 3.72%, 9/25/36 (e) | | | 667 | |
225,157 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust, 3.33%, 10/25/36 (e) | | | 192 | |
383,475 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust, 3.69%, 10/25/36 (e) | | | 348 | |
370,621 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust, (Cost of Funds for the 11th District of San Francisco + 1.250%), 2.24%, 1/25/47 (a) | | | 324 | |
101,339 | | WaMu Mortgage Pass-Through Certificates Series2006-AR4 Trust, (12 mo. Federal Reserve Cumulative Average US + 0.940%), 2.91%, 5/25/46 (a) | | | 91 | |
341,769 | | WaMu Mortgage Pass-Through Certificates Series2007-HY1 Trust, 3.65%, 2/25/37 (e) | | | 289 | |
1,382,237 | | WaMu Mortgage Pass-Through Certificates Series2007-HY1 Trust, 3.81%, 2/25/37 (e) | | | 1,238 | |
362,627 | | WaMu Mortgage Pass-Through Certificates Series2007-HY2 Trust, 3.63%, 9/25/36 (e) | | | 306 | |
604,638 | | WaMu Mortgage Pass-Through Certificates Series2007-HY7 Trust, 3.61%, 7/25/37 (e) | | | 493 | |
400,000 | | Wells Fargo Commercial Mortgage Trust2017-SMP 144A, (1 mo. LIBOR USD + 1.650%), 2.46%, 12/15/34 (a)(b) | | | 325 | |
10,700,547 | | Wells Fargo Commercial Mortgage Trust2018-C46, 1.11%, 8/15/51 (e) | | | 510 | |
Total Mortgage Backed (Cost - $67,237) | | | 56,915 | |
| |
U.S. Treasury (8%) | | | | |
8,000,000 | | U.S. Cash Management Bill, 0.12%, 7/28/20 (f) | | | 7,998 | |
3,200,000 | | U.S. Cash Management Bill, 0.22%, 6/09/20 (f) | | | 3,200 | |
200,000 | | U.S. Treasury Note, 2.50%, 6/30/20 (h)(i) | | | 201 | |
251,000 | | U.S. Treasury Note, 2.63%, 8/31/20 (h)(i) | | | 253 | |
Total U.S. Treasury (Cost - $11,647) | | | 11,652 | |
Semi-Annual Report 8
Portfolio Highlights & Investmentscontinued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Investment Company (1%) | | | | |
1,947,004 | | Payden Cash Reserves Money Market Fund * (Cost - $ 1,947) | | $ | 1,947 | |
| |
Total Investments (Cost - $ 170,040) (100%) | | | 153,337 | |
Other Assets, net of Liabilities (0%) | | | 217 | |
| |
Net Assets (100%) | | $ | 153,554 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. |
| (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) | 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. |
| (e) | 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. |
| (f) | Yield to maturity at time of purchase. |
| (g) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2020. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (h) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (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 (000s) | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(000s) |
Assets: | | | | | | | | | | | | | | | | | | | |
EUR 2,778 | | | | USD 3,035 | | | | Citibank, N.A. | | | | | 06/23/2020 | | | | $ | 13 | |
EUR 567 | | | | USD 615 | | | | Citibank, N.A. | | | | | 06/23/2020 | | | | | 7 | |
GBP 52 | | | | USD 61 | | | | HSBC Bank USA, N.A. | | | | | 06/23/2020 | | | | | 5 | |
USD 15,608 | | | | EUR 13,804 | | | | Citibank, N.A. | | | | | 06/23/2020 | | | | | 464 | |
USD 312 | | | | EUR 280 | | | | Citibank, N.A. | | | | | 06/23/2020 | | | | | 4 | |
USD 199 | | | | GBP 155 | | | | HSBC Bank USA, N.A. | | | | | 06/23/2020 | | | | | 4 | |
| | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation | | | | | | | | | | | | | | | $ | 497 | |
| | | | | | | | | | | | | | | | | | | |
9 Payden Mutual Funds
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(000s) |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
AUD3-Year Bond Future | | 255 | | | | | | Jun-20 | | | | $ | 19,471 | | | | $ | 81 | | | | $ | 81 | |
U.S. Treasury2-Year Note Future | | 89 | | | | | | Jun-20 | | | | | 19,618 | | | | | 306 | | | | | 306 | |
U.S. Treasury5-Year Note Future | | 90 | | | | | | Jun-20 | | | | | 11,294 | | | | | 381 | | | | | 381 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 768 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | 37 | | | | | | Jun-20 | | | | | (5,512 | ) | | | | 11 | | | | | 11 | |
Euro-Bund Future | | 4 | | | | | | Jun-20 | | | | | (765 | ) | | | | 2 | | | | | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 13 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | $ | 781 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | Notional
Amount
(000s) | | Value
(000s) | | Upfront
payments/
receipts
(000s) | | Unrealized
Appreciation
(000s) |
| 3-Year Interest Rate Swap, Receive Fixed 1.5535% Semi-Annually, Pay Variable 1.94625% (CDOR03 Index) Semi-Annually | | | | 08/30/2022 | | | | | CAD 3,546 | | | | $ | 44 | | | | $ | — | | | | $ | 44 | |
| 3-Year Interest Rate Swap, Receive Fixed 1.558% Semi-Annually, Pay Variable 1.94625% (CDOR03 Index) Semi-Annually | | | | 08/30/2022 | | | | | CAD 3,546 | | | | | 44 | | | | | — | | | | | 44 | |
| 3-Year Interest Rate Swap, Receive Fixed 1.575% Semi-Annually, Pay Variable 1.945% (CDOR03 Index) Semi-Annually | | | | 08/30/2022 | | | | | CAD 3,113 | | | | | 40 | | | | | — | | | | | 40 | |
| 3-Year Interest Rate Swap, Receive Fixed 1.8905% Semi-Annually, Pay Variable 1.97% (CDOR03 Index) Semi-Annually | | | | 12/02/2022 | | | | | CAD 1,715 | | | | | 39 | | | | | — | | | | | 39 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 167 | | | | $ | — | | | | $ | 167 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 10
| | |
Statement of Assets & Liabilities | | |
April 30, 2020 (unaudited)
Numbers in 000s
| | | | | | | | |
ASSETS: | | | | | | | | |
Investments, at value * | | | | $ | 151,390 | | | |
Affiliated investments, at value ** | | | | | 1,947 | | | |
Foreign cash *** | | | | | 146 | | | |
Cash | | | | | 13 | | | |
Cash pledged for financial futures contracts | | | | | 22 | | | |
Receivable for: | | | | | | | | |
Interest and dividends | | | | | 704 | | | |
Futures | | | | | 11 | | | |
Forward currency contracts | | | | | 497 | | | |
Other assets | | | | | 43 | | | |
Total Assets | | | | | 154,773 | | | |
LIABILITIES: | | | | | | | | |
Payable for: | | | | | | | | |
Investments purchased | | | | | 547 | | | |
Fund shares redeemed | | | | | 408 | | | |
Futures | | | | | 29 | | | |
Variation margin on centrally cleared swaps | | | | | 1 | | | |
Accrued expenses: | | | | | | | | |
Investment advisory fees (Note 3) | | | | | 79 | | | |
Administration fees (Note 3) | | | | | 19 | | | |
Distribution fees (Note 3) | | | | | 36 | | | |
Trustee fees and expenses | | | | | 5 | | | |
Other liabilities | | | | | 95 | | | |
Total Liabilities | | | | | 1,219 | | | |
NET ASSETS | | | | $ | 153,554 | | | |
| | | |
NET ASSETS: | | | | | | | | |
Paid in capital | | | | $ | 174,573 | | | |
Total distributable earnings | | | | | (21,019 | ) | | |
| | | | | | | | |
NET ASSETS | | | | $ | 153,554 | | | |
NET ASSET VALUE — offering and redemption price per share in whole dollars | | | | | | | | |
Institutional Class | | | | | | | | |
Net Assets | | | | $ | 6,165 | | | |
Shares Outstanding | | | | | 644 | | | |
Net Asset Value Per Share | | | | $ | 9.57 | | | |
| | | |
SI Class | | | | | | | | |
Net Assets | | | | $ | 96,593 | | | |
Shares Outstanding | | | | | 10,190 | | | |
Net Asset Value Per Share | | | | $ | 9.48 | | | |
| | | |
Adviser Class | | | | | | | | |
Net Assets | | | | $ | 15,752 | | | |
Shares Outstanding | | | | | 1,703 | | | |
Net Asset Value Per Share | | | | $ | 9.25 | | | |
| | | |
Retirement Class | | | | | | | | |
Net Assets | | | | $ | 35,044 | | | |
Shares Outstanding | | | | | 3,990 | | | |
Net Asset Value Per Share | | | | $ | 8.78 | | | |
| | | | | | | | |
* Investments, at cost | | | | $ | 168,093 | | | |
** Affiliated investments, at cost | | | | | 1,947 | | | |
*** Foreign cash, at cost | | | | | 145 | | | |
| | | | | | | | |
11 Payden Mutual Funds
Period ended April 30, 2020 (unaudited)
Numbers in 000s
| | | | | | | | |
INVESTMENT INCOME: | | | | | | | | |
Interest income (Note 2) | | | | $ | 3,974 | | | |
Dividend income | | | | | 60 | | | |
Dividend income from affiliated investment (Note 2) | | | | | 20 | | | |
Investment Income | | | | | 4,054 | | | |
EXPENSES: | | | | | | | | |
Investment advisory fees (Note 3) | | | | | 999 | | | |
Administration fees (Note 3) | | | | | 136 | | | |
Shareholder servicing fees. | | | | | 8 | | | |
Distribution fees (Note 3) | | | | | 113 | | | |
Custodian fees | | | | | 18 | | | |
Transfer agent fees | | | | | 23 | | | |
Registration and filing fees | | | | | 31 | | | |
Trustee fees and expenses | | | | | 10 | | | |
Printing and mailing costs | | | | | 16 | | | |
Loan commitment fees | | | | | 1 | | | |
Legal fees | | | | | 2 | | | |
Publication expense | | | | | 4 | | | |
Pricing fees | | | | | 33 | | | |
Fund accounting fees | | | | | 36 | | | |
Insurance | | | | | 11 | | | |
Audit fees | | | | | 23 | | | |
Gross Expenses | | | | | 1,464 | | | |
Expense subsidy (Note 3) | | | | | (225 | ) | | |
Net Expenses | | | | | 1,239 | | | |
Net Investment Income | | | | | 2,815 | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | |
Investments | | | | | (1,875 | ) | | |
Foreign currency transactions | | | | | (86 | ) | | |
Forward foreign exchange contracts | | | | | (302 | ) | | |
Futures contracts | | | | | 111 | | | |
Written option contracts | | | | | 83 | | | |
Swap contracts | | | | | (940 | ) | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | |
Investments | | | | | (18,807 | ) | | |
Forward foreign exchange contracts | | | | | 744 | | | |
Futures contracts | | | | | 860 | | | |
Written option contracts | | | | | (52 | ) | | |
Swap contracts | | | | | 283 | | | |
Net Realized and Unrealized Losses | | | | | (19,981 | ) | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | | $ | (17,166 | ) | | |
| | | | | | | | |
Semi-Annual Report 12
| | |
Statement of Change in Net Assets | | |
For the period ended April 30, 2020 (Unaudited) and the year ended October 31, 2019
Numbers in 000s
| | | | | | | | | | | | | | |
| | | | | |
| | | | | 2020 | | | | | 2019 | | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | |
Net investment income | | | | $ | 2,815 | | | | | $ | 5,732 | | | |
Net realized gain (loss) on investments | | | | | (3,009 | ) | | | | | 2,372 | | | |
Change in net unrealized appreciation (depreciation) | | | | | (16,972 | ) | | | | | 1,430 | | | |
Change in Net Assets Resulting from Operations | | | | | (17,166 | ) | | | | | 9,534 | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | |
Institutional Class | | | | | (220 | ) | | | | | (219 | ) | | |
SI Class | | | | | (4,067 | ) | | | | | (3,904 | ) | | |
Adviser Class | | | | | (596 | ) | | | | | (793 | ) | | |
Retirement Class | | | | | (1,248 | ) | | | | | (1,260 | ) | | |
Change in Net Assets from Distributions to Shareholders | | | | | (6,131 | ) | | | | | (6,176 | ) | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | |
Institutional Class | | | | | — | | | | | | 263 | | | |
SI Class | | | | | 7,058 | | | | | | 27,540 | | | |
Adviser Class | | | | | 1,264 | | | | | | 6,104 | | | |
Retirement Class | | | | | 3,621 | | | | | | 6,235 | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | |
Institutional Class | | | | | 219 | | | | | | 220 | | | |
SI Class | | | | | 4,055 | | | | | | 3,880 | | | |
Adviser Class | | | | | 596 | | | | | | 789 | | | |
Retirement Class | | | | | 1,248 | | | | | | 1,260 | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | |
Institutional Class | | | | | (59 | ) | | | | | (743 | ) | | |
SI Class | | | | | (29,088 | ) | | | | | (26,631 | ) | | |
Adviser Class | | | | | (6,381 | ) | | | | | (18,127 | ) | | |
Retirement Class | | | | | (815 | ) | | | | | (11,636 | ) | | |
Change in Net Assets from Capital Transactions | | | | | (18,282 | ) | | | | | (10,846 | ) | | |
Total Change in Net Assets | | | | | (41,579 | ) | | | | | (7,488 | ) | | |
NET ASSETS: | | | | | | | | | | | | | | |
Beginning of period | | | | | 195,133 | | | | | | 202,621 | | | |
End of period | | | | $ | 153,554 | | | | | $ | 195,133 | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | |
Institutional Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 629 | | | | | | 651 | | | |
Shares sold | | | | | — | | | | | | 25 | | | |
Shares issued in reinvestment of distributions | | | | | 20 | | | | | | 22 | | | |
Shares redeemed | | | | | (5 | ) | | | | | (69 | ) | | |
Change in shares outstanding | | | | | 15 | | | | | | (22 | ) | | |
Outstanding shares at end of period | | | | | 644 | | | | | | 629 | | | |
SI Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 12,067 | | | | | | 11,610 | | | |
Shares sold | | | | | 693 | | | | | | 2,607 | | | |
Shares issued in reinvestment of distributions | | | | | 387 | | | | | | 381 | | | |
Shares redeemed. | | | | | (2,957 | ) | | | | | (2,531 | ) | | |
Change in shares outstanding. | | | | | (1,877 | ) | | | | | 457 | | | |
Outstanding shares at end of period | | | | | 10,190 | | | | | | 12,067 | | | |
Adviser Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 2,145 | | | | | | 3,242 | | | |
Shares sold | | | | | 129 | | | | | | 588 | | | |
Shares issued in reinvestment of distributions | | | | | 58 | | | | | | 79 | | | |
Shares redeemed | | | | | (629 | ) | | | | | (1,764 | ) | | |
Change in shares outstanding | | | | | (442 | ) | | | | | (1,097 | ) | | |
Outstanding shares at end of period | | | | | 1,703 | | | | | | 2,145 | | | |
Retirement Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 3,558 | | | | | | 3,971 | | | |
Shares sold | | | | | 389 | | | | | | 632 | | | |
Shares issued in reinvestment of distributions | | | | | 128 | | | | | | 133 | | | |
Shares redeemed | | | | | (85 | ) | | | | | (1,178 | ) | | |
Change in shares outstanding | | | | | 432 | | | | | | (413 | ) | | |
Outstanding shares at end of period | | | | | 3,990 | | | | | | 3,558 | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | | $ | 63,217 | | | | | $ | 116,784 | | | |
Sale of investments (excluding government) | | | | | 83,098 | | | | | | 131,092 | | | |
Purchase of government securities | | | | | 3,650 | | | | | | 40,781 | | | |
Sale of government securities | | | | | 8,546 | | | | | | 34,893 | | | |
13 Payden Mutual Funds
| | |
Notes to Financial Statements | | |
April 30, 2020 (Unaudited)
1. Organization and Related Matters
The Payden & Rygel Investment Group (the “Group”) is ano-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 asinstitutional-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 theover-the-counter (“OTC”) market are valued at the latest bid price. Investments in nonregistered 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 ofopen-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.
Semi-Annual Report 14
| | |
Notes to Financial StatementsContinued | | |
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 theex-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 October 31st. When a range of rates is disclosed, the Fund holds more than one position within the same tranche at varying rates.
Bank loans are subject to various restrictive covenants that protect the lender or investor. Loans with fewer or no restrictive covenants, “covenant light” loans, provide the issuer more
flexibility and reduce investor protections in the event of a breach, and may cause the fund to experience more difficulty or delay in enforcing its rights. A significant portion of bank loans are “covenant light.”
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.
15 Payden Mutual Funds
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.
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 aremarked-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.
Semi-Annual Report 16
| | |
Notes to Financial StatementsContinued | | |
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.
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 innon-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 subsequentlymarked-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 subsequentlymarked-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 arenon-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, 2020 (000s)
| | | | | | | | | | |
Underlying Risk | | Derivative
Assets | | Derivative
Liabilities |
Interest rate1 | | | $ | 948 | | | | | — | |
Foreign currency2 | | | | 497 | | | | | — | |
| | | | | | | | | | |
Total | | | $ | 1,445 | | | | | — | |
| | | | | | | | | | |
| 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 | Receivable for forward currency contracts. |
17 Payden Mutual Funds
The Effect of Derivative Instruments on the Statement of Operations For the Period Ended April 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | |
Amount of Net Realized Gain (Loss) on Derivatives Recognized in Income
(000s) |
Underlying risk | | Futures1 | | Forward
Currency
Contracts2 | | Options3 | | Swaps4 | | Total |
Credit | | | | — | | | | | — | | | | | — | | | | $ | (955 | ) | | | $ | (955 | ) |
Equity | | | | — | | | | | — | | | | $ | 169 | | | | | — | | | | | 169 | |
Foreign exchange | | | | — | | | | $ | (302 | ) | | | | — | | | | | — | | | | | (302 | ) |
Interest rate | | | $ | 111 | | | | | — | | | | | — | | | | | 15 | | | | | 126 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 111 | | | | $ | (302 | ) | | | $ | 169 | | | | $ | (940 | ) | | | $ | (962 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income (000s) |
Underlying risk | | Futures5 | | Forward
Foreign
Exchange
Contracts6 | | Options7 | | Swaps8 | | Total |
Credit | | | | — | | | | | — | | | | | — | | | | $ | 62 | | | | $ | 62 | |
Equity | | | | — | | | | | — | | | | $ | 15 | | | | | — | | | | | 15 | |
Foreign exchange | | | | — | | | | $ | 744 | | | | | 6 | | | | | — | | | | | 750 | |
Interest rate | | | $ | 860 | | | | | — | | | | | — | | | | | 221 | | | | | 1,081 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 860 | | | | $ | 744 | | | | $ | 21 | | | | $ | 283 | | | | $ | 1,908 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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, 2020, the average notional amount of derivatives as a percent of average net assets were as follows:
| | | | | | |
Foreign currency | | Credit | | Interest rate | | Equity |
8% | | 1% | | 6% | | 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 to OTC
Semi-Annual Report 18
| | |
Notes to Financial Statementscontinued | | |
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 counterpartynon-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.
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 thenon-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 orre-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell orre-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 theex-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
19 Payden Mutual Funds
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, 2020, 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, 2020, 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, 2020 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.
| | | | | | | | |
Value October 31, 2019 | | Purchases | | Sales | | Dividends | | Value April 30, 2020 |
| $1,748,507 | | $57,308,347 | | $57,109,850 | | $19,950 | | $1,947,004 |
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, 2020.
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.
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, 2021 (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 $1,027,347 ($413,006 for 2018, $388,987 for 2019 and $225,354 for 2020) 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%.
Semi-Annual Report 20
| | |
Notes to Financial Statementscontinued | | |
The Fund has adopted a plan pursuant to SEC rule12b-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 or 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.
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 | |
| | | | | | |
| | | | | | | | | Level2-Other | | | | | | | | | | |
| | | | | | | | | Significant | | | Level3-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 | | | — | | | | — | | | | $38,460 | | | | — | | | | — | | | | — | | | | $38,460 | |
Bank Loans | | | — | | | | — | | | | 7,365 | | | | — | | | | — | | | | — | | | | 7,365 | |
Corporate Bond | | | — | | | | — | | | | 26,284 | | | | — | | | | — | | | | — | | | | 26,284 | |
Foreign Government | | | — | | | | — | | | | 10,714 | | | | — | | | | — | | | | — | | | | 10,714 | |
Mortgage Backed. | | | — | | | | — | | | | 56,915 | | | | — | | | | — | | | | — | | | | 56,915 | |
U.S. Treasury | | | — | | | | — | | | | 11,652 | | | | — | | | | — | | | | — | | | | 11,652 | |
Investment Company | | | $1,947 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,947 | |
21 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Other Financial Instruments1 | |
| | | | | | |
| | | | | | | | | Level2-Other | | | | | | | | | | |
| | | | | | | | | Significant | | | Level3-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) | |
Forward currency contracts | | | — | | | | — | | | | $497 | | | | — | | | | — | | | | — | | | | $497 | |
Futures | | | $781 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 781 | |
Swaps. | | | — | | | | — | | | | 167 | | | | — | | | | — | | | | — | | | | 167 | |
| 1 | Other financial instruments are swaps, futures contracts and forward currency contracts. Swaps, futures contracts and forward currency contracts are valued at the unrealized appreciation/depreciation on the instrument. |
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 inpre-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, 2019, the Fund had available for Federal income tax purposes unused capital losses as follows (000’s):
| | | | | | | | | | | | |
Expires
2019 | | | | | Unlimited* | | | | | Total |
$492 | | | | | | $5,103 | | | | | | $5,103 |
| * | Post-enactment carryforward losses. |
At April 30, 2020, 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
Depreciation
on Investments |
$169,616 | | $2,355 | | $(17,188) | | $(14,833) |
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 each of the period ended April 30, 2020 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Institutional Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.87 | | | $ | 10.64 | | | $ | 10.69 | | | $ | 10.55 | | | $ | 10.33 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.18 | (1) | | | 0.36 | (1) | | | 0.30 | (1) | | | 0.25 | | | | 0.15 | |
Net realized and unrealized gains (losses) | | | (1.13 | ) | | | 0.21 | | | | (0.08 | ) | | | 0.07 | | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.95 | ) | | | 0.57 | | | | 0.22 | | | | 0.32 | | | | 0.22 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.35 | ) | | | (0.34 | ) | | | (0.27 | ) | | | (0.18 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.57 | | | $ | 10.87 | | | $ | 10.64 | | | $ | 10.69 | | | $ | 10.55 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (9.02 | )%(2) | | | 5.53 | % | | | 2.06 | % | | | 3.09 | % | | | 2.13 | %(2) |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 6,165 | | | $ | 6,833 | | | $ | 6,930 | | | $ | 17,780 | | | $ | 10,259 | |
Ratio of gross expense to average net assets | | | 1.49 | %(3) | | | 1.44 | % | | | 1.42 | % | | | 1.41 | % | | | 1.43 | %(3) |
Ratio of net expense to average net assets | | | 0.95 | %(3) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | %(3) |
Ratio of investment income less gross expenses to average net assets | | | 2.98 | %(3) | | | 2.88 | % | | | 2.37 | % | | | 2.10 | % | | | 2.90 | %(3) |
Ratio of net investment income to average net assets | | | 3.52 | %(3) | | | 3.36 | % | | | 2.84 | % | | | 2.55 | % | | | 3.38 | %(3) |
Portfolio turnover rate | | | 38 | %(2) | | | 84 | % | | | 130 | % | | | 116 | % | | | 55 | %(2) |
The Class commenced operations on June 1, 2016. | | | | | | | | | | | | | | | | | | | | |
| | | SI Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.78 | | | $ | 10.58 | | | $ | 10.65 | | | $ | 10.54 | | | $ | 10.48 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.16 | (1) | | | 0.32 | (1) | | | 0.27 | (1) | | | 0.23 | | | | 0.25 | |
Net realized and unrealized gains (losses) | | | (1.11 | ) | | | 0.21 | | | | (0.08 | ) | | | 0.06 | | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.95 | ) | | | 0.53 | | | | 0.19 | | | | 0.29 | | | | 0.26 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.35 | ) | | | (0.33 | ) | | | (0.26 | ) | | | (0.18 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.48 | | | $ | 10.78 | | | $ | 10.58 | | | $ | 10.65 | | | $ | 10.54 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (9.14 | )%(2) | | | 5.22 | % | | | 1.82 | % | | | 2.76 | % | | | 2.58 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 96,593 | | | $ | 130,036 | | | $ | 122,782 | | | $ | 122,500 | | | $ | 111,517 | |
Ratio of gross expense to average net assets | | | 1.49 | %(3) | | | 1.44 | % | | | 1.42 | % | | | 1.42 | % | | | 1.43 | % |
Ratio of net expense to average net assets | | | 1.25 | %(3) | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.98 | %(3) | | | 2.87 | % | | | 2.41 | % | | | 2.09 | % | | | 2.23 | % |
Ratio of net investment income to average net assets | | | 3.21 | %(3) | | | 3.06 | % | | | 2.58 | % | | | 2.25 | % | | | 2.42 | % |
Portfolio turnover rate | | | 38 | %(2) | | | 84 | % | | | 130 | % | | | 116 | % | | | 55 | % |
The Fund commenced operations on September 22, 2008.
| (1) | Based on average shares outstanding. |
23 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Adviser Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.53 | | | $ | 10.36 | | | $ | 10.46 | | | $ | 10.37 | | | $ | 10.34 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | (1) | | | 0.29 | (1) | | | 0.24 | (1) | | | 0.22 | | | | 0.25 | |
Net realized and unrealized gains (losses) | | | (1.09 | ) | | | 0.20 | | | | (0.08 | ) | | | 0.04 | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.94 | ) | | | 0.49 | | | | 0.16 | | | | 0.26 | | | | 0.23 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.34 | ) | | | (0.32 | ) | | | (0.26 | ) | | | (0.17 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.25 | | | $ | 10.53 | | | $ | 10.36 | | | $ | 10.46 | | | $ | 10.37 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (9.25 | )%(2) | | | 4.94 | % | | | 1.53 | % | | | 2.56 | % | | | 2.28 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 15,752 | | | $ | 22,587 | | | $ | 33,571 | | | $ | 48,190 | | | $ | 53,687 | |
Ratio of gross expense to average net assets | | | 1.74 | %(3) | | | 1.69 | % | | | 1.67 | % | | | 1.67 | % | | | 1.68 | % |
Ratio of net expense to average net assets | | | 1.50 | %(3) | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.71 | %(3) | | | 2.63 | % | | | 2.13 | % | | | 1.84 | % | | | 1.98 | % |
Ratio of net investment income to average net assets | | | 2.95 | %(3) | | | 2.81 | % | | | 2.30 | % | | | 2.00 | % | | | 2.17 | % |
Portfolio turnover rate | | | 38 | %(2) | | | 84 | % | | | 130 | % | | | 116 | % | | | 55 | % |
The Fund commenced operations on September 22, 2008.
| | | | | | | | | | | | | | | | | | | | |
| | | Retirement Class | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net asset value — beginning of period | | $ | 10.03 | | | $ | 9.91 | | | $ | 10.04 | | | $ | 9.98 | | | $ | 9.98 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.13 | (1) | | | 0.25 | (1) | | | 0.21 | (1) | | | 0.18 | | | | 0.20 | |
Net realized and unrealized gains (losses) | | | (1.04 | ) | | | 0.20 | | | | (0.09 | ) | | | 0.05 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.91 | ) | | | 0.45 | | | | 0.12 | | | | 0.23 | | | | 0.20 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.34 | ) | | | (0.33 | ) | | | (0.25 | ) | | | (0.17 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 8.78 | | | $ | 10.03 | | | $ | 9.91 | | | $ | 10.04 | | | $ | 9.98 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (9.39 | )%(2) | | | 4.68 | % | | | 1.24 | % | | | 2.33 | % | | | 2.03 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 35,044 | | | $ | 35,677 | | | $ | 39,338 | | | $ | 39,083 | | | $ | 35,772 | |
Ratio of gross expense to average net assets | | | 1.99 | %(3) | | | 1.94 | % | | | 1.92 | % | | | 1.91 | % | | | 1.93 | % |
Ratio of net expense to average net assets | | | 1.75 | %(3) | | | 1.75 | % | | | 1.75 | % | | | 1.75 | % | | | 1.75 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.48 | %(3) | | | 2.38 | % | | | 1.91 | % | | | 1.59 | % | | | 1.74 | % |
Ratio of net investment income to average net assets | | | 2.72 | %(3) | | | 2.57 | % | | | 2.08 | % | | | 1.75 | % | | | 1.92 | % |
Portfolio turnover rate | | | 38 | %(2) | | | 84 | % | | | 130 | % | | | 116 | % | | | 55 | % |
The Class commenced operations on April 6, 2009.
| (1) | Based on average shares outstanding. |
24
| | |
Fund Expenses (Unaudited) | | |
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, 2020. It uses the Fund’s actual return and expense ratio for the period (182/366 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 (182/366 days) for thesix-month period ended April 30, 2020 to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value
October 1, 2019 | | Value
April 30, 2020 | | 6-Month
Return | | Annual
Expense Ratio | | Expenses
Paid During
the Period |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 909.80 | | | | | (9.02 | )% | | | | 0.95 | % | | | $ | 4.51 | |
Hypothetical | | | | 1,000.00 | | | | | 1,020.14 | | | | | 2.01 | % | | | | 0.95 | % | | | | 4.77 | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 908.60 | | | | | (9.14 | )% | | | | 1.25 | % | | | $ | 5.93 | |
Hypothetical | | | | 1,000.00 | | | | | 1,018.65 | | | | | 1.86 | % | | | | 1.25 | % | | | | 6.27 | |
Adviser Class | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 907.50 | | | | | (9.25 | )% | | | | 1.50 | % | | | $ | 7.11 | |
Hypothetical | | | | 1,000.00 | | | | | 1,017.40 | | | | | 1.74 | % | | | | 1.50 | % | | | | 7.52 | |
Retirement Class | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 906.10 | | | | | (9.39 | )% | | | | 1.75 | % | | | $ | 8.29 | |
Hypothetical | | | | 1,000.00 | | | | | 1,016.16 | | | | | 1.62 | % | | | | 1.75 | % | | | | 8.77 | |
25 Payden Mutual Funds
| | |
Trustees and Officers (Unaudited) | | |
| | | | | | | | | | | | |
| 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) | | | | | | | | | | | | |
Stephanie Bell-Rose | | 62 | | Independent Trustee | | 2020 | | 19 | | Senior Managing Director, TIAA | | Director, Bed, Bath
& Beyond, Inc. |
W. D. Hilton, Jr. | | 73 | | 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. | | 75 | | Independent Trustee | | 1993 | | 19 | | Vice Chair, Automobile Club of Southern California, Director, First American Financial | | |
Rosemarie T. Nassif | | 78 | | Independent Trustee | | 2008 | | 19 | | Executive Director, Center for Catholic Education, Loyola Marymount University, President Emerita, Holy Names University | | |
Andrew J. Policano | | 70 | | Independent Trustee | | 2008 | | 19 | | Former Dean, The Paul Merage School of Business, University of California, Irvine | | |
Dennis C. Poulsen | | 77 | | Independent Trustee | | 1992 | | 19 | | Chairman of the Advisory Board, Rose Hills Company | | |
Stender E. Sweeney | | 81 | | Independent Trustee | | 1992 | | 19 | | Private Investor | | Director, Avis
Budget Group, Inc. |
Joan A. Payden | | 88 | | Interested Trustee | | 1992 | | 19 | | President and CEO, Payden & Rygel | | |
Michael E. Salvay | | 58 | | Interested Trustee | | 2009 | | 19 | | Managing Director, Payden & Rygel | | |
James P. Sarni | | 59 | | Interested Trustee | | 2017 | | 19 | | Managing Director, Payden & Rygel | | |
Officers (2) | | | | | | | | | | | | |
Joan A. Payden | | | | Chairman and CEO | | 1992 | | | | President and CEO, Payden & Rygel | | |
Brian W. Matthews | | | | Vice President and CFO | | 2003 | | | | Managing Director and CFO, Payden & Rygel | | |
Yot Chattrabhuti | | | | Vice President | | 1997 | | | | Director, Payden & Rygel | | |
Bradley F. Hersh | | | | Vice President and Treasurer | | 1998 | | | | Director and Treasurer, Payden & Rygel | | |
Edward S. Garlock | | | | Secretary | | 1997 | | | | Managing Director and General Counsel, Payden & Rygel | | |
Sandi Brents | | | | Vice President and CCO | | 2016 | | | | Vice President and 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. |
Annual Report 26
(THIS PAGE INTENTIONALLY LEFT BLANK)
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 forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
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 Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-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 Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the period covered by this report 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 forClosed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
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 A. Payden |
| | Joan A. Payden, Chairman and CEO |
| | (principal executive officer) |
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 A. Payden |
| | Joan A. Payden, Chairman and CEO |
| | (principal executive officer) |
| | |
| |
By (Signature and Title)* | | /s/ Brian W. Matthews |
| | Brian W. Matthews, Vice President and Chief Financial Officer |
| | (principal financial officer) |
* Print the name and title of each signing officer under his or her signature.
