UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-06625
The Payden & Rygel Investment Group
(Exact name of registrant as specified in charter)
333 South Grand Avenue
Los Angeles, CA 90071
(Address of principal executive offices) (Zip code)
Edward S. Garlock, Esq.
Secretary
333 South Grand Avenue
Los Angeles, CA 90071
(Name and address of agent for service)
Registrant’s telephone number, including area code: 213-625-1900
Date of fiscal year end: October 31
Date of reporting period: April 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
| | (a) | Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). |
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
During the six months ended April 30, 2021, the economy moved from Covid-19 pandemic related lockdowns to the beginning of the reopening. The Federal Reserve Board remained supportive of financial markets, maintaining its zero interest rate policy and continuing its asset purchase program at $120 billion per month. US Treasury bill yield declined while yields on US Treasury notes with maturities 2 years and longer moved higher and the yield curve steepened as future interest rate hikes were priced into market. The rebound in economic activity followed unprecedented declines earlier in the year. Uncertainty around the path of reopening remains and the Federal Reserve Board remains committed to its continued easing policy in the near term, which should limit increases in short-term interest rates. Credit premiums across all fixed income sectors continued to compress over the period, driving excess returns over US Treasury securities.
The Payden Cash Reserves Money Market Fund (PBHXX) continued to provide stable daily liquidity. For the six months ended April 30, 2021, the Fund returned 0.01%, compared to a return of 0.01% for the Lipper Government Money Market Average. Money market rates remain low as the Federal Reserve Board intends to keep the target range at 0-0.25% for the foreseeable future. Supply and demand imbalances keep ultra short interest rates at historic lows.
The Payden Limited Maturity Fund (PYLMX) returned 0.70% for the six months ended April 30, 2021, compared to a return of 0.05% for its benchmark, the ICE BofA US 3-Month Treasury Bill Index. Total return and income from allocations to corporate securities and securitized products were the largest contributors to outperformance. The Fund invests in interest rate futures and forward currency contracts for hedging and investment purposes. The use of these derivatives impacted performance by 0.00%.
The Payden Low Duration Fund (PYSBX) returned 1.03% for the six months ended April 30, 2021, compared to a return of 0.09% for its benchmark, the ICE BofA 1-3 Year US Treasury Index. The Fund’s allocation to all credit sectors contributed positively to relative performance with securitized products as the largest contributor. Duration detracted slightly. The Fund invests in futures, swaps and forward currency contracts for hedging and investment purposes. The use of these derivatives impacted performance by 0.05%.
The Payden Global Low Duration Fund (PYGSX) returned 1.33% for the six months ended April 30, 2021, compared to a return of 0.27% for its benchmark, the ICE BofA 1-3 Year US Corporate & Government Index. The Fund’s allocation to all credit sectors contributed positively to relative performance with securitized products as the largest contributor. Duration detracted slightly. The Fund invests in futures, swaps, options and forward currency contracts for hedging and investment purposes. The use of these derivatives impacted performance by -0.02%.
Intermediate Duration Strategies
The Payden U.S. Government Fund (PYUSX) returned 0.27% for the six months ended April 30, 2021, compared to its benchmark, the ICE BofA 1-5 Year US Treasury Index, which returned -0.22%. U.S interest rates rose sharply with longer term maturities rising faster than shorter maturities resulting in the yield curve steepening. The 5 -year Treasury moved up 1⁄2 % with shorter term maturities unchanged over the period. The Fund primarily invested in short average life agency mortgage backed securities (MBS). Agency mortgage backed securities outperformed US Treasuries over the period, due in part to the Federal Reserve’s mortgage purchase program. The Fund is currently positioned conservatively compared to the benchmark as we expect further tension between inflation concerns and unchanged Federal Reserve Board policy. The yield curve is likely to continue to steepen with 5- year US Treasury rates moving towards 1.0% and longer maturity 10- year Treasures moving towards 2%.
The Fund periodically uses interest rate derivatives to hedge risks associated with the interest rates, yield curve, and basis risk of mortgages to US Treasuries. Over the past six months the primary use of derivative was the employment of Euro dollar futures to hedge the steepening of the yield curve. The hedging strategy produced a modest 0.08% to overall fund performance.
The Payden GNMA Fund (PYGNX) returned 0.03%, for the six months ended April 30, 2021 while it’s benchmark, the ICE BofA US GNMA Mortgage Backed Securities Index returned -0.05%. Over the past six months the U.S. economy gained momentum as vaccinations became increasingly available and the economy opened off depressed levels from the pandemic shut down in March 2020. The increase in economic activity caused alarm amongst investors concerned with inflation risks in the face of: A resolute Federal Reserve maintaining a zero-rate interest policy well out into the future, no talk of tapering the Federal Reserve’s large asset purchase program and a new administration promoting extremely large fiscal spending programs. The 10-year U.S Treasury nearly doubled in
Semi-Annual Report 1
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Management Discussion & Analysis continued | | |
yield over the period moving from 0.875% to 1.63%. Despite sharply rising rates the GNMA market performed well for two reasons: strong demand for GNMA securities from both the Federal Reserve and banks and a decline in prepayment risk due to the increase in mortgage rates. The Fund was successful in purchasing pools that have characteristics leading to less prepayment risk which led to higher yields and better performance versus the index. Over the next six to twelve months we are managing the fund conservatively as we expect a continuation of the tension between the marketplace’s inflation concern and unchanged Fed policy. We expect a further steepening of the yield curve with longer maturity Treasures moving towards 2%. The Fund periodically uses derivatives to hedge exposure to interest rate, yield curve and volatility risks. Over the past six-month period the use of derivatives had a 0.01% impact on fund performance.
The Payden Core Bond Fund, Investor Class (PYCBX) returned -0.11% for the six months ended April 30, 2021, compared to -1.52% for its benchmark, the Bloomberg Barclays US Aggregate Bond Index. The Fund’s Adviser Class (PYCWX) returned - 0.23% and the SI Class (PYCSX) returned -0.05% for the same period. Total returns across fixed income were broadly negative due to bond yields shifting materially higher. Compressed yield spread premium across non-US Treasury sectors helped offset a portion of the negative price moves. However, relative to its benchmark, the Fund outperformed due to meaningful allocations to investment grade and sub-investment grade corporate bonds, emerging market debt and securitized bonds. Additionally, the Fund’s underweight to duration contributed to relative performance. Going forward, the Fund remains underweight duration and overweight a diversified mix of credit sectors. 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 period, forward contracts for currency management detracted 0.16% from performance and interest rate futures used to hedge interest rate risk added 0.36% to performance.
The Payden Corporate Bond Fund (PYACX) returned 0.40% for the six months ended April 30, 2021, compared to a return of -0.47% for its benchmark, the Bloomberg Barclays US Corporate Bond Index. The Fund’s insurance and REIT exposure put in a strong recovery after lagging the broad market in the prior period, meaningfully contributing to outperformance. The Fund’s overweight exposure in the automotive sector was another strong contributor to performance as automotive credit fundamentals improved and investor fear over a consumer pullback in the sector abated. The food and beverage and pharmaceutical sectors also supported performance as the sectors were better insulated from the pandemic. The Fund’s taxable municipal allocation put in a sharp recovery as municipal fundamentals were supported by the US federal government and robust investor demand for the asset class. The Fund used US Treasury futures as a means of hedging and active duration management, which added 0.07% to performance. The Fund also used HY CDX, taking long and short exposure during the period. The Fund had bought protection on HY CDX (short risk) early in 2020 as a tail hedge against a market-sell off which was closed early during the period. Later as credit fundamentals looked to stabilize and improve, the Fund sold protection on HY CDX (long risk) as an efficient way to gain exposure to broad market high yield beta. Overall credit derivatives detracted -0.02% from performance.
The Payden Strategic Income Fund, Investor Class (PYSGX) returned 3.23% for the six months ended April 30, 2021, while its benchmark, the Bloomberg Barclays US Aggregate Bond Index, returned -1.52%. The Fund’s SI Class (PYSIX) returned 3.40% 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 bonds and emerging markets. Bond yields shifted materially higher over the period, challenging total returns across the bond market. Despite higher bond yields, credit sectors outperformed US Treasuries due to the compression of the incremental credit spread premium offered. Relative to the benchmark, the Fund’s defensive duration posture added incrementally to performance, as did meaningful allocations to credit sectors. Investment-Grade, high yield, emerging market debt and securitized bonds all contributed to performance. Additionally, we added modestly to these sectors 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, 2021, forward contracts for currency management detracted 0.25% from performance and interest rate futures used to hedge interest rate risk added 0.02% to performance.
For the six months ended April 30, 2021, the Payden Absolute Return Bond Fund, Investor Class (PYARX) returned 2.79%, compared to a return of 0.02% for its benchmark, the Bloomberg Barclays US Treasury Bill 1-Month Index. The Fund’s SI Class (PYAIX) returned 2.90%. Going into year-end, the strategy was optimistic given strong market technicals and recovering
2 Payden Mutual Funds
fundamentals as global growth expectations improved and promising news on Covid-19 vaccines. In the new year, inflation expectations in the U.S. came to the forefront of investor concern as the economic growth trajectory was positive, yet the Federal Reserve Board continued to maintain its commitment to “lower for longer” rates. Fiscal policy also remained accommodative with a $1.9T stimulus package passed in early March. Considering the positive view on growth coupled with dovish fiscal and monetary policy, the strategy reduced interest rate duration throughout the period, from a height of just above 2 mid-2020, down to 1 early in 2021. Furthermore, the strategy added across several emerging markets’ names given macroeconomic tailwinds and value proposition, particularly in BB-rated sovereigns. The strategy maintained its preference for securitized product given the attractive valuations and structural protection relative to corporate credit. Notably, the strategy increased exposure modestly in select areas of commercial real estate mortgage-backed securities which were well positioned to recover as economic activity picks up. These additions have been positive contributors to performance for the trailing 6-month period as credit risk premia for all asset classes the Fund invests in declined. 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 0.00% to the Fund over the trailing period.
High Yield Strategy
High-yield bonds returned 6.59% during the six months ended April 30, 2021 as measured by the ICE BofA BB/B US Cash Pay High Yield Constrained Index. The market exhibited strength during the period amid news and implementation of the vaccine rollout in the U.S. Reopening sectors such as energy, transportation, and leisure led the charge, whereas sectors that held in better during the pandemic such as telecom and technology lagged. As for ratings, CCCs materially outperformed, returning more than 18% during the period.
The Payden High Income, Investor Class (PYHRX) returned 8.34% for the six months ended April 30, 2021. The Fund’s benchmark, the ICE BofA BB-B US Cash Pay High Yield Constrained Index, returned 6.59% for the same period. Security selection in the energy sector was the biggest contributor to relative outperformance as the portfolio’s bonds outperformed the benchmark’s energy bonds by more than 5%. Positions in credit risk transfer securities added as the recovery, particularly in home prices, accelerated. Positioning in higher quality companies within aerospace and defense detracted as did some of the high-quality utility issuers in the portfolio.
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. Losses associated with forward euro and Canadian dollar contracts of -0.07% were offset by currency-driven outperformance by their respectively denominated bonds.
Loan Strategy
The leveraged loan market finished the six months ending April 30, 2021 with a positive return of 3.26% per the Credit Suisse Institutional Leveraged Loan BB Index. Loans benefitted from improved economic growth and favorable capital markets conditions as the post-shutdown recovery continued. The asset class also benefitted from increased demand for floating rate exposure as market participants increased their expectations for higher rates.
For the six months ended April 30, 2021 the Payden Floating Rate Fund, Investor Class (PYFRX) returned 5.47% and the SI Class (PYFIX) returned 5.64%. The Fund’s benchmark, the Credit Suisse Institutional Leveraged Loan BB Index, returned 3.26% for the same period. The portfolio’s top performing loan was Flynn Restaurant Group, which benefitted from strong demand for quick serve food during the pandemic. The portfolio also benefitted from selective positions in credit risk transfer securities, which rallied during the period following a liquidity-driven sell-off at the beginning of the pandemic. Most holdings delivered a positive return during the period. Several loans posted negative returns after they were added at the end of the period and modestly detracted from performance as a result of transaction costs.
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. The Fund also held forward currency contracts to hedge foreign exchange exposure. Losses associated with forward currency contracts were -0.02% and were offset by currency-driven out performance by the Canadian dollar denominated bond.
Semi-Annual Report 3
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Management Discussion & Analysis continued | | |
Municipal Strategy
For the six months ended April 30, 2021, the Payden California Municipal Social Impact Fund (PYCRX) returned 2.07%. The Fund’s benchmarks, the Bloomberg Barclays California Intermediate Index and the Bloomberg Barclays 7-Year Municipal Index, returned 1.02% and 1.60%, respectively, for the period. The Fund’s outperformance relative to its benchmarks was due to multiple factors. Yield curve placement was a positive contributor to performance as municipal interest rates increased in 5-10 year maturities where the Fund’s benchmark is concentrated, yet declined in the longer dated maturities where the Fund has a material allocation. Sector allocation also contributed to performance as various sectors that are overweighted in the Fund relative to the index, including healthcare, ports, and lease revenue bonds, outperformed in light of the reopening economy. In the current environment as yields reach near all-time lows and the compensation for buying lower rated credits has decreased, the Fund is moving up in quality and 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. Given that municipal to US Treasury yield ratios — a harbinger of relative value — have reached historically low levels across the entire yield curve, we continue to look for opportunities in taxable municipals and have also increased our allocation to US Treasuries, which provide a liquidity source without sacrificing yield. The Fund invests in futures contracts for hedging purposes. The use of interest rate futures impacted performance by 0.03% on a gross basis.
Global Bond Strategy
The Payden Global Fixed Income Fund (PYGFX) returned 0.16% for the six months ended April 30, 2021, compared to a return of -1.35% for its benchmark, the Bloomberg Barclays Global Aggregate Index (US Dollar hedged). Over this period, investors’ appetite was buoyed by global data suggesting a slowdown in the rate of coronavirus infections amidst one of the largest vaccine rollouts in history. Signs of a global economic rebound supported by continued global fiscal support and central bank stimulus led market participants to revise their inflation forecasts up, with measures of inflation expectations reaching levels last seen in 2013. Against this backdrop, government bond yields increased whilst risk assets were generally supported.
The fund benefited from its allocations to spreads sectors. The fund held overweight exposures to sub-investment grade corporate debt and securitized products, which were the main drivers of relative performance over the period. The Fund’s exposure to emerging markets hard currency debt was modestly increased in 2021, adding exposures to corporates as well as to sub-investment grade quasi/ sovereign debt. The allocation to hard currency emerging market debt positively contributed to performance. The Fund reduced its allocation to developed market investment-grade corporate debt towards the end of the first quarter, as valuations reached tights levels and risk adjusted potential returns for the asset class appeared less compelling. The Fund’s interest rate duration stance was broadly neutral relative to the benchmark throughout the period. Relative country and curve trades were favored. Notable trades during the period included a long position to 10-year German bunds as well as an overweight in the 10-year part of the Italian sovereign curve held against Germany. Overall, active duration management slightly detracted from performance. In currency space, the Fund held long exposures to developed cyclical currencies funded out of lower yielding currencies as well as long exposures to a select basket of emerging market currencies held against the US dollar. Overall, active currency management added to relative performance. The Fund also utilized government bond future contracts and plain vanilla interest rate swaps for duration hedging and active position taking. The Fund also used foreign exchange forward contracts for portfolio management and hedging purposes. During the period, derivatives instruments contributed 0.85% to total return.
Emerging Market Bond Strategies
For the six months ended April 30, 2021, emerging markets (EM) fixed income performance maintained its positive momentum, with strong returns across the asset class. Despite lingering concerns around the COVID-19 pandemic and new rounds of outbreaks remaining an issue in some jurisdictions, risk markets were heartened by high levels of vaccine effectiveness, which is helping countries with fast vaccination deployment to resume near-normal levels of economic activity and charting the path forward for the rest of the investment universe. In the beginning months of the year, the asset class navigated the quick upward move in US Treasury yields and real rates reasonably well, with sovereign and corporate yield spreads remaining supported. EM currencies broadly appreciated against the US dollar during the period, though country dispersion was pronounced and volatility was elevated; currencies in CEEMEA and Latin America mostly outperformed Asian currencies, helping local markets perform well overall despite negative returns from interest rates. Although select EM central banks hiked their main policy rate in response to higher inflation driven by base effects and commodity prices, the majority have remained on hold, given negative output gaps and a still-nascent growth recovery.
4 Payden Mutual Funds
The Payden Emerging Markets Bond Fund, Investor Class (PYEMX) returned 5.59%, the Fund’s Adviser Class (PYEWX) returned 5.45%, and the Fund’s SI Class (PYEIX) returned 5.61% for the six months ended April 30, 2021. The Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, returned 3.26% for the same period. Within USD-pay sovereigns, overweight positioning in Angola, Sri Lanka, Ukraine, and El Salvador added, as did underweight exposures in Peru, Saudi Arabia, and Panama. Against this, underweight exposures in Turkey, Zambia, and Iraq detracted. Among quasi-sovereigns, overweight positioning in Mexico and Tunisia, an underweight allocation to China, and off-index provincial debt exposure in Argentina contributed positively. Off-benchmark allocations to corporates performed in line with the benchmark, while local currency denominated debt modestly detracted from 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 detracted -0.46% from the Fund’s total return.
The Payden Emerging Markets Local Bond (PYELX) returned 4.68% for the six months ended April 30, 2021. The Fund’s benchmark, the J.P. Morgan GBI-EM Global Diversified Index returned 4.17% for the same period. Relative to the benchmark, the Fund benefitted from overweight rates positioning in Indonesia, South Africa, and Uruguay, as well as underweight exposures in Turkey and Poland. Additionally, off-index allocations to Egypt, Ukraine, and Kazakhstan added. Against this, overweight rates positioning in Peru and Russia modestly detracted. Overall, currency positioning added during the period. Overweight positions in the Mexican peso, Czech koruna, Polish zloty, and Russian ruble benefitted relative performance. An underweight stance in the South African rand and Romanian leu detracted, as did overweight exposure to the Colombian peso. 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 added 0.49% to the Fund’s total return.
The Payden Emerging Market Corporate Bond Fund, Investor Class (PYCEX) returned 5.08%, and the Fund’s SI Class (PYCIX) returned 5.22% for the six months ended April 30, 2021. The Fund’s benchmark, the J.P. Morgan CEMBI Broad Diversified Index, returned 3.95% for the period. The Fund’s selection of emerging market corporates was the primary contributor, while off-index positions in USD-pay sovereigns, quasi-sovereigns, and developed market corporates also benefitted relative performance. Within emerging market corporates, selection of financial and real estate credits in Mexico, oil and gas in Chile, consumer goods in Brazil, financials in Kuwait, and oil and gas in Saudi Arabia benefitted relative performance. Additionally, underweight allocations to financial credits in Singapore, TMT in China, and financials in South Korea added. An overweight to TMT in South Africa detracted, as did underweight exposure to oil and gas credits in both Argentina and Ghana. 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 -0.03% from the Fund’s total return.
Equity Strategy
The U.S. equity market rallied sharply for the six months ended April 30, 2021, as the vaccination rollouts and additional government aid drove equity prices to record levels. With the Biden Administration announcing more than $4 trillion in fiscal aid and the Federal Reserve Board maintaining its expansionary policies, the economic and corporate earnings recovery accelerated with growth expectations revised significantly higher. Despite the strength of the rally during the period, volatility remained elevated due to increased retail investor presence, rising inflationary concerns, and apprehension over higher taxes. Cyclical parts of the market such as energy, financials, value stocks, and small-cap stocks led markets higher, while the utilities and consumer staples sectors were the market laggards.
The Payden Equity Income Fund, Investor Class (PYVLX) which is comprised of large-cap value stocks, returned 27.11% for the six months ended April 30, 2021, the Fund’s Advisor Class (PYVAX) returned 26.88% and the Fund’s SI Class (PYVSX) returned 27.14%. The Fund’s benchmark, the Russell 1000 Value Index, returned 36.28% for the same period. From a performance attribution perspective, security selection was the main detractor from relative performance, which was largely driven by the Fund avoiding the so-called “low-quality” companies (dividend cutters, lowest credit ratings) such as those in the aerospace, airline, department stores, and leisure industries. Strong individual performers in the Fund were financial services companies Goldman Sachs and Morgan Stanley. The Fund utilized currency forward contracts to hedge its non-US dollar exposure during this period, which detracted 0.02% from performance.
Semi-Annual Report 5
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Portfolio Highlights & Investments | | |
Abbreviations
AGM - Assured Guaranty Municipal Corporation
AMT - Alternative Minimum Tax
ARM - Adjustable Rate Mortgage
ARS - Argentine Peso
AUD - Australian Dollar
BAM - Build America Mutual
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLO - Collateralized Loan Obligation
CLP - Chilean Peso
CNH - Offshore China Renminbi
CNY - China Renminbi
COP - Colombian Peso
CZK - Czech Koruna
DKK - Danish Krone
DOP - Dominican Peso
EGP - Egyptian Pound
EUR - Euro
EURIBOR - Euro Interbank Offered Rate
FDIC - Federal Deposit Insurance Corporation
FFCB - Federal Farm Credit Banks Funding 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)
FHR - Freddie Mac REMICS
FN - Fannie Mae Pool
FNCL - Fannie Mae or Freddie Mac
FNMA - Federal National Mortgage Association (Fannie Mae)
FNR - Fannie Mae REMICS
FR - Freddie Mac Pool
G2 - Ginnie Mae II pool
G2SF - Ginnie Mae
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
KZT - Kazakhstani Tenge
LIBOR - London Interbank Offered Rate
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
PEN - Peruvian Sol
PHP - Philippine Peso
PLN - Polish Zloty
REMIC - Real Estate Mortgage Investment Conduit
RON - New Romanian Leu
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
STACR - Structured Agency Credit Risk
TBA - To-Be-Announced
THB - Thai Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
UAH - Ukrainian Hryvnia
USD - US Dollar
UYU - Uruguayan Peso
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 | | | 51% | |
| | Repurchase Agreement | | | 31% | |
| | U.S. Government Agency | | | 15% | |
| | Investment Company | | | 3% | |
| | | | | | |
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Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal or
Shares | | Security Description | | Value (000) | |
U.S. Government Agency (15%) | | | | |
300,000 | | FFCB Funding Corp., (1 mo. LIBOR USD + 0.000%), 0.12%, 7/16/21 (a) | | $ | 300 | |
5,000,000 | | FFCB Funding Corp., (1 mo. LIBOR USD + 0.010%), 0.13%, 10/20/21 (b) | | | 5,000 | |
2,700,000 | | FFCB Funding Corp., 1.63%, 9/17/21 | | | 2,716 | |
1,000,000 | | FFCB Funding Corp., 2.80%, 12/17/21 | | | 1,017 | |
5,000,000 | | FHLB, (1 mo. LIBOR USD + 0.000%), 0.04%, 5/03/21 (b) | | | 5,000 | |
2,500,000 | | FHLB, 1.63%, 12/20/21 | | | 2,525 | |
1,955,000 | | FHLB, 2.88%, 12/10/21 | | | 1,988 | |
25,000,000 | | FHLMC Discount Note, 0.01%, 6/25/21 (c) | | | 25,000 | |
5,000,000 | | FHLMC Discount Note, 0.04%, 10/06/21 (c) | | | 4,999 | |
3,000,000 | | FNMA, (U.S. Secured Overnight Financing Rate + 0.220%), 0.23%, 5/09/22 (b) | | | 3,006 | |
Total U.S. Government Agency (Cost—$51,551) | | | 51,551 | |
| |
U.S. Treasury (51%) | | | | |
17,500,000 | | U.S. Cash Management Bill, 0.04%, 5/04/21 (c) | | | 17,500 | |
8,000,000 | | U.S. Cash Management Bill, 0.05%, 7/13/21 (c) | | | 7,999 | |
20,000,000 | | U.S. Treasury Bill, 0.01%, 6/10/21 (c) | | | 20,000 | |
18,000,000 | | U.S. Treasury Bill, 0.02%, 5/06/21 (c) | | | 18,000 | |
20,000,000 | | U.S. Treasury Bill, 0.02%, 7/22/21 (c) | | | 19,999 | |
22,000,000 | | U.S. Treasury Bill, 0.04%, 10/28/21 (c) | | | 21,996 | |
10,000,000 | | U.S. Treasury Bill, 0.04%, 10/14/21 (c) | | | 9,998 | |
12,400,000 | | U.S. Treasury Bill, 0.08%, 10/07/21 (c) | | | 12,395 | |
5,000,000 | | U.S. Treasury Bill, 0.08%, 5/25/21 (c) | | | 5,000 | |
5,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.034%), 0.05%, 4/30/23 (b)(c) | | | 5,000 | |
5,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.055%), 0.07%, 7/31/22 (b)(c) | | | 5,000 | |
5,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.114%), 0.13%, 4/30/22 (b)(c) | | | 5,004 | |
15,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.154%), 0.17%, 1/31/22 (b)(c) | | | 15,015 | |
15,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.300%), 0.32%, 10/31/21 (b)(c) | | | 15,023 | |
Total U.S. Treasury (Cost - $177,929) | | | 177,929 | |
| |
Investment Company (3%) | | | | |
9,658,622 | | Dreyfus Treasury Obligations Cash Management Fund (Cost—$9,659) | | | 9,659 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value (000) | |
Repurchase Agreement (31%) | | | | |
50,000,000 | | Bank of Montreal Tri Party, 0.01% 5/03/21 (d) | | $ | 50,000 | |
20,000,000 | | CIBC World Markets Tri Party, 0.01% 5/05/21 (e) | | | 20,000 | |
20,000,000 | | Citigroup Tri Party, 0.01% 5/06/21 (f) | | | 20,000 | |
20,000,000 | | Goldman Sachs Tri Party, 0.01% 5/04/21 (g) | | | 20,000 | |
Total Repurchase Agreement (Cost—$110,000) | | | 110,000 | |
| |
Total Investments (Cost—$349,139) (100%) | | | 349,139 | |
Other Assets, net of Liabilities (0%) | | | 260 | |
Net Assets (100%) | | $ | 349,399 | |
| | | | |
| (a) | 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. |
| (b) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (c) | Yield to maturity at time of purchase. |
| (d) | The repurchase agreement dated 04/30/2021 is collateralized by the following securities: |
| Bank | of Montreal Tri Party |
| | | | | | |
2,939 | | FMAC, maturity from Mar 35-Jul 47, yielding from 4.50%-7.25% | | $ | — | |
15,000 | | FNMA, maturity dated Nov 25, yielding 0.50% | | | 15 | |
1,631 | | GNMA, maturity dated Mar 71, yielding 2.70% | | | 2 | |
52,306,900 | | U.S. Treasury Securities, maturity from May 21-Nov 40, yielding from 0.00%-6.25% | | | 50,983 | |
| | | | | | |
| | | | $ | 51,000 | |
| | | | | | |
|
(e) The repurchase agreement dated 04/28/2021 is collateralized by the following securities: | |
CIBC World Markets Tri Party | |
15,809,700 | | U.S. Treasury Securities, maturity from Sep 21-May 48, yielding from 0.00%-4.63% | | $ | 20,400 | |
| | | | | | |
|
(f) The repurchase agreement dated 04/29/2021 is collateralized by the following securities: | |
Citigroup Tri Party | |
20,389,200 | | U.S. Treasury Securities, maturity from Sep 22-Feb 41, yielding from 0.13%-2.13% | | $ | 20,400 | |
| | | | | | |
|
(g) The repurchase agreement dated 04/27/2021 is collateralized by the following securities: | |
Goldman Sachs Tri Party | |
664,504 | | FNMA, maturity dated Nov 49, yielding 3.00% | | $ | 488 | |
48,618,904 | | GNMA, maturity from Aug 23-May 56, yielding from 1.96%-5.50% | | | 19,912 | |
| | | | | | |
| | | | $ | 20,400 | |
| | | | | | |
Semi-Annual Report 7
Payden Cash Reserves Money Market Fund continued
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 | | | $110,000 | |
Non-cash Collateral | | | (70,000) | |
| | | | |
Net Amount | | | $40,000 | |
| | | | |
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 | | | 46% | |
| | Asset Backed | | | 25% | |
| | Commercial Paper | | | 11% | |
| | U.S. Treasury | | | 10% | |
| | Mortgage Backed | | | 7% | |
| | Other | | | 1% | |
| | | | | | | | | | | |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| Asset Backed (26%) | | | | |
| 3,380,532 | | AEP Texas Restoration Funding 2019-1 LLC, 2.06%, 2/01/27 | | $ | 3,484 | |
| 1,417,861 | | Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%), 1.02%, 7/25/27 (a)(b) | | | 1,419 | |
| 6,100,000 | | American Credit Acceptance Receivables Trust 2021-2 144A, 0.37%, 10/15/24 (b) | | | 6,100 | |
| 3,800,000 | | American Credit Acceptance Receivables Trust 2021-2 144A, 0.68%, 5/13/25 (b) | | | 3,801 | |
| 4,387,030 | | Americredit Automobile Receivables Trust 2018-3, 3.38%, 7/18/23 | | | 4,425 | |
| 2,141,098 | | AmeriCredit Automobile Receivables Trust 2020-1, 1.10%, 3/20/23 | | | 2,144 | |
| 1,484,993 | | AmeriCredit Automobile Receivables Trust 2020-2, 0.60%, 12/18/23 | | | 1,487 | |
| 13,550,000 | | AmeriCredit Automobile Receivables Trust 2021-1, 0.28%, 6/18/24 | | | 13,551 | |
| 1,000,000 | | Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.26%, 5/15/37 (a)(b) | | | 1,002 | |
| 1,811,309 | | Atrium XII 144A, (3 mo. LIBOR USD + 0.830%), 1.01%, 4/22/27 (a)(b) | | | 1,811 | |
| 2,094,838 | | Bank of The West Auto Trust 2019-1 144A, 2.43%, 4/15/24 (b) | | | 2,123 | |
| 1,800,000 | | Bank of The West Auto Trust 2019-1 144A, 2.51%, 10/15/24 (b) | | | 1,859 | |
| 4,951,433 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR USD + 0.800%), 0.99%, 1/20/28 (a)(b) | | | 4,954 | |
| 1,610,000 | | BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.27%, 2/16/37 (a)(b) | | | 1,616 | |
| 7,400,000 | | Benefit Street Partners CLO II Ltd. 144A, (3 mo. LIBOR USD + 0.870%), 1.05%, 7/15/29 (a)(b) | | | 7,400 | |
| 938,668 | | BlueMountain CLO 2013-1 Ltd. 144A, (3 mo. LIBOR USD + 1.230%), 1.42%, 1/20/29 (a)(b) | | | 941 | |
| 1,379,197 | | BlueMountain CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 0.930%), 1.12%, 7/18/27 (a)(b) | | | 1,380 | |
| 1,588,039 | | BMW Canada Auto Trust 2020-1A 144A, 1.96%, 9/20/22 CAD (b)(c) | | | 1,298 | |
| 6,128,126 | | BMW Canada Auto Trust 2021-1A 144A, 0.33%, 7/20/23 CAD (b)(c) | | | 4,984 | |
| 5,125,000 | | BMW Canada Auto Trust 2021-1A 144A, 0.50%, 7/20/24 CAD (b)(c) | | | 4,148 | |
| 4,650,000 | | BMW Vehicle Lease Trust 2021-1, 0.20%, 3/27/23 | | | 4,650 | |
| 1,263,340 | | BMW Vehicle Owner Trust 2020-A, 0.39%, 2/27/23 | | | 1,264 | |
| 5,250,000 | | Bristol Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.990%), 1.17%, 4/15/29 (a)(b) | | | 5,251 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | | |
| 3,760,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 1.41%, 9/15/35 (a)(b) | | $ | 3,762 | |
| 1,619,662 | | Canadian Pacer Auto Receivables Trust 2020-1 144A, 1.77%, 11/21/22 (b) | | | 1,626 | |
| 3,832,110 | | CarMax Auto Owner Trust 2018-4, 3.36%, 9/15/23 | | | 3,900 | |
| 2,006,185 | | CarMax Auto Owner Trust 2020-3, 0.49%, 6/15/23 | | | 2,008 | |
| 5,710,623 | | CarMax Auto Owner Trust 2020-4, 0.31%, 1/16/24 | | | 5,713 | |
| 6,150,000 | | CarMax Auto Owner Trust 2021-2, 0.27%, 6/17/24 | | | 6,151 | |
| 5,504,272 | | CCG Receivables Trust 2020-1 144A, 0.54%, 12/14/27 (b) | | | 5,517 | |
| 6,550,000 | | CCG Receivables Trust 2021-1 144A, 0.30%, 6/14/27 (b) | | | 6,549 | |
| 8,750,000 | | CHCP 2021-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.050%), 1.17%, 2/15/38 (a)(b) | | | 8,781 | |
| 2,030,967 | | Chesapeake Funding II 2020-1A LLC 144A, 0.87%, 8/16/32 (b) | | | 2,043 | |
| 9,997,400 | | Chesapeake Funding II 2021-1A LLC 144A, (1 mo. LIBOR USD + 0.230%), 0.34%, 4/15/33 (a)(b) | | | 10,003 | |
| 3,000,000 | | CLNC 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.250%), 1.37%, 8/20/35 (a)(b) | | | 3,010 | |
| 10,000,000 | | CNH Capital Canada Receivables Trust 2021-1A 144A, 0.39%, 3/15/24 CAD (b)(c) | | | 8,137 | |
| 577,788 | | CNH Equipment Trust 2020-A, 1.08%, 7/17/23 | | | 579 | |
| 641,799 | | Commonbond Student Loan Trust 2017-A-GS 144A, (1 mo. LIBOR USD + 0.850%), 0.96%, 5/25/41 (a)(b) | | | 642 | |
| 1,231,250 | | DB Master Finance 2019-1A LLC 144A, 3.79%, 5/20/49 (b) | | | 1,258 | |
| 5,400,000 | | Dell Equipment Finance Trust 2020-2 144A, 0.47%, 10/24/22 (b) | | | 5,409 | |
| 5,450,000 | | Dell Equipment Finance Trust 2021-1 144A, 0.33%, 5/22/26 (b) | | | 5,453 | |
| 17,600,000 | | DLLAA 2021-1 LLC 144A, 0.36%, 5/17/24 (b) | | | 17,599 | |
| 550,234 | | Drive Auto Receivables Trust 2017-1, 3.84%, 3/15/23 | | | 554 | |
| 1,300,664 | | Drive Auto Receivables Trust 2020-2, 0.85%, 7/17/23 | | | 1,302 | |
| 9,430,000 | | Drive Auto Receivables Trust 2021-1, 0.36%, 12/15/23 | | | 9,434 | |
Semi-Annual Report 9
Payden Limited Maturity Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
12,900,000 | | Dryden 36 Senior Loan Fund 144A, (3 mo. LIBOR USD + 1.020%), 1.20%, 4/15/29 (a)(b) | | $ | 12,918 | |
5,000,000 | | Dryden 86 CLO Ltd. 144A, (3 mo. LIBOR USD + 2.800%), 2.99%, 7/17/30 (a)(b) | | | 5,012 | |
1,003,594 | | Enterprise Fleet Financing 2018-2 LLC 144A, 3.14%, 2/20/24 (b) | | | 1,007 | |
1,746,614 | | Enterprise Fleet Financing 2020-1 LLC 144A, 1.78%, 12/22/25 (b) | | | 1,771 | |
10,800,000 | | Enterprise Fleet Financing 2020-2 LLC 144A, 0.61%, 7/20/26 (b) | | | 10,830 | |
5,250,000 | | Enterprise Fleet Funding 2021-1 LLC 144A, 0.44%, 12/21/26 (b) | | | 5,251 | |
7,639,846 | | Exeter Automobile Receivables Trust 2021-1, 0.30%, 6/15/23 | | | 7,641 | |
3,400,000 | | Flatiron CLO 17 Ltd. 144A, (3 mo. LIBOR USD + 0.980%), 1.18%, 5/15/30 (a)(b) | | | 3,395 | |
233,393 | | Ford Auto Securitization Trust 2018-B, 2.53%, 8/15/22 CAD (c)(d) | | | 190 | |
3,277,956 | | Ford Auto Securitization Trust 2020-AA 144A, 0.52%, 8/15/22 CAD (b)(c) | | | 2,668 | |
3,550,000 | | Ford Auto Securitization Trust 2020-AA 144A, 0.89%, 8/15/24 CAD (b)(c) | | | 2,896 | |
653,021 | | Ford Credit Auto Lease Trust 2020-A, 1.80%, 7/15/22 | | | 654 | |
2,364,505 | | Ford Credit Auto Lease Trust 2020-B, 0.50%, 12/15/22 | | | 2,367 | |
611,465 | | Foursight Capital Automobile Receivables Trust 2020-1 144A, 1.97%, 9/15/23 (b) | | | 614 | |
7,700,000 | | Galaxy XXIII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.870%), 1.05%, 4/24/29 (a)(b) | | | 7,700 | |
2,382,971 | | Galaxy XXIX CLO Ltd. 144A, (3 mo. LIBOR USD + 0.790%), 0.98%, 11/15/26 (a)(b) | | | 2,382 | |
2,040,000 | | GM Financial Automobile Leasing Trust 2020-2, 0.80%, 7/20/23 | | | 2,053 | |
4,317,475 | | GM Financial Consumer Automobile Receivables Trust 2020-3, 0.35%, 7/17/23 | | | 4,320 | |
2,740,000 | | GM Financial Consumer Automobile Receivables Trust 2021-2, 0.27%, 6/17/24 | | | 2,741 | |
2,661,672 | | GMF Canada Leasing Trust 2020-1A 144A, 0.56%, 7/20/22 CAD (b)(c) | | | 2,166 | |
2,770,000 | | GMF Canada Leasing Trust 2020-1A 144A, 0.91%, 7/20/23 CAD (b)(c) | | | 2,260 | |
6,900,000 | | GMF Canada Leasing Trust 2021-1A 144A, 0.42%, 2/21/23 CAD (b)(c) | | | 5,615 | |
5,600,000 | | GMF Canada Leasing Trust 2021-1A 144A, 0.64%, 3/20/24 CAD (b)(c) | | | 4,557 | |
4,500,000 | | GreatAmerica Leasing Receivables Funding LLC Series 2021-1 144A, 0.27%, 6/15/23 (b) | | | 4,515 | |
5,580,000 | | Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.180%), 1.29%, 9/15/37 (a)(b) | | | 5,600 | |
9,000,000 | | Gulf Stream Meridian 2 Ltd. 144A, (3 mo. LIBOR USD + 1.400%), 1.58%, 10/15/29 (a)(b) | | | 9,012 | |
1,701,534 | | Honda Auto Receivables 2020-2 Owner Trust, 0.74%, 11/15/22 | | | 1,704 | |
89,655 | | HPEFS Equipment Trust 2019-1 144A, 2.19%, 9/20/29 (b) | | | 90 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
4,100,000 | | HPEFS Equipment Trust 2021-1 144A, 0.27%, 3/20/31 (b) | | $ | 4,111 | |
5,531,567 | | Hyundai Auto Lease Securitization Trust 2020-B 144A, 0.36%, 1/17/23 (b) | | | 5,535 | |
2,161,828 | | Invitation Homes 2018-SFR1 Trust 144A, (1 mo. LIBOR USD + 0.700%), 0.82%, 3/17/37 (a)(b) | | | 2,167 | |
747,205 | | John Deere Owner Trust 2020-B, 0.41%, 3/15/23 | | | 748 | |
4,500,000 | | John Deere Owner Trust 2021-A, 0.20%, 12/15/23 | | | 4,497 | |
3,139,714 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.22%, 6/15/36 (a)(b) | | | 3,151 | |
4,305,527 | | Kubota Credit Owner Trust 2020-2 144A, 0.41%, 6/15/23 (b) | | | 4,309 | |
2,880,000 | | Kubota Credit Owner Trust 2021-1 144A, 0.31%, 4/15/24 (b) | | | 2,880 | |
3,849,627 | | LCM XX LP 144A, (3 mo. LIBOR USD + 1.040%), 1.23%, 10/20/27 (a)(b) | | | 3,851 | |
8,450,000 | | LCM XXIV Ltd. 144A, (3 mo. LIBOR USD + 0.980%), 1.17%, 3/20/30 (a)(b) | | | 8,450 | |
2,240,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 1.14%, 4/19/30 (a)(b) | | | 2,240 | |
15,000,000 | | Madison Park Funding XVII Ltd. 144A, (3 mo. LIBOR USD + 1.000%), 1.19%, 7/21/30 (a)(b) | | | 15,001 | |
6,751,465 | | Magnetite VII Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 0.98%, 1/15/28 (a)(b) | | | 6,759 | |
1,160,319 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.27%, 6/15/28 (a)(b) | | | 1,162 | |
901,297 | | Mercedes-Benz Auto Lease Trust 2020-A, 1.82%, 3/15/22 | | | 903 | |
3,065,967 | | Mercedes-Benz Auto Lease Trust 2020-B, 0.31%, 2/15/23 | | | 3,067 | |
1,153,825 | | MMAF Equipment Finance LLC 2017-B 144A, 2.21%, 10/17/22 (b) | | | 1,156 | |
708,103 | | MMAF Equipment Finance LLC 2018-A 144A, 3.20%, 9/12/22 (b) | | | 712 | |
1,818,750 | | MMAF Equipment Finance LLC 2020-A 144A, 0.74%, 4/09/24 (b) | | | 1,827 | |
2,750,000 | | MMAF Equipment Finance LLC 2020-B 144A, 0.38%, 8/14/23 (b) | | | 2,753 | |
5,500,000 | | MMAF Equipment Finance LLC 2021-A 144A, 0.30%, 4/15/24 (b) | | | 5,500 | |
268,658 | | Navient Private Education Refi Loan Trust 2020-B 144A, 1.80%, 1/15/69 (b) | | | 269 | |
930,540 | | Navient Private Education Refi Loan Trust 2020-G 144A, 1.17%, 9/16/69 (b) | | | 935 | |
6,841,151 | | Navient Private Education Refi Loan Trust 2020-HA 144A, 1.31%, 1/15/69 (b) | | | 6,898 | |
2,502,690 | | Navient Private Education Refi Loan Trust 2021-A 144A, 0.84%, 5/15/69 (b) | | | 2,504 | |
5,894,186 | | Navient Student Loan Trust 2019-7 144A, (1 mo. LIBOR USD + 0.500%), 0.61%, 1/25/68 (a)(b) | | | 5,909 | |
10 Payden Mutual Funds
| | | | | | |
Principal or
Shares | | Security Description | | Value (000) | |
2,830,000 | | Navistar Financial Dealer Note Master Trust 2020-1 144A, (1 mo. LIBOR USD + 0.950%), 1.06%, 7/25/25 (a)(b) | | $ | 2,851 | |
15,400,000 | | Neuberger Berman Loan Advisers CLO 25 Ltd. 144A, (3 mo. LIBOR USD + 0.930%), 1.12%, 10/18/29 (a)(b) | | | 15,400 | |
2,714,541 | | Nissan Auto Lease Trust 2019-B, 2.27%, 7/15/22 | | | 2,730 | |
2,995,244 | | Nissan Auto Lease Trust 2020-A, 1.80%, 5/16/22 | | | 3,002 | |
5,420,000 | | Oaktree CLO 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 2.18%, 7/15/29 (a)(b) | | | 5,431 | |
1,500,000 | | Octagon Investment Partners 46 Ltd. 144A, (3 mo. LIBOR USD + 3.000%), 3.18%, 7/15/33 (a)(b) | | | 1,505 | |
376,905 | | Octagon Investment Partners XXIII Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 1.03%, 7/15/27 (a)(b) | | | 376 | |
3,915,061 | | Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 0.98%, 2/20/28 (a)(b) | | | 3,901 | |
9,361,204 | | Regatta Funding LP 2013-2A 144A, (3 mo. LIBOR USD + 0.850%), 1.03%, 1/15/29 (a)(b) | | | 9,361 | |
1,816,516 | | Santander Consumer Auto Receivables Trust 2020-B 144A, 0.38%, 2/15/23 (b) | | | 1,817 | |
610,593 | | Santander Drive Auto Receivables Trust 2017-3, 3.20%, 11/15/23 | | | 618 | |
1,210,676 | | Santander Drive Auto Receivables Trust 2020-2, 0.62%, 5/15/23 | | | 1,211 | |
5,000,000 | | Santander Drive Auto Receivables Trust 2020-2, 0.96%, 11/15/24 | | | 5,023 | |
3,337,549 | | Santander Drive Auto Receivables Trust 2020-3, 0.46%, 9/15/23 | | | 3,340 | |
7,400,000 | | Santander Drive Auto Receivables Trust 2021-1, 0.29%, 11/15/23 | | | 7,400 | |
814,032 | | Santander Retail Auto Lease Trust 2019-B 144A, 2.29%, 4/20/22 (b) | | | 815 | |
3,186,416 | | Santander Retail Auto Lease Trust 2020-B 144A, 0.42%, 11/20/23 (b) | | | 3,191 | |
6,025,000 | | Santander Retail Auto Lease Trust 2021-A 144A, 0.32%, 2/20/24 (b) | | | 6,026 | |
1,287,669 | | SMB Private Education Loan Trust 2020-A 144A, (1 mo. LIBOR USD + 0.300%), 0.41%, 3/15/27 (a)(b) | | | 1,288 | |
499,791 | | SoFi Consumer Loan Program 2020-1 Trust 144A, 2.02%, 1/25/29 (b) | | | 504 | |
213,859 | | SoFi Professional Loan Program 2019-C LLC 144A, 2.13%, 11/16/48 (b) | | | 214 | |
627,789 | | SoFi Professional Loan Program 2020-A Trust 144A, 2.06%, 5/15/46 (b) | | | 631 | |
3,370,000 | | STWD 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.19%, 7/15/38 (a)(b) | | | 3,375 | |
4,200,000 | | STWD 2021-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.200%), 1.31%, 4/18/38 (a)(b) | | | 4,218 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value (000) | |
2,740,000 | | Synchrony Card Funding 2019-A2 LLC, 2.34%, 6/15/25 | | $ | 2,807 | |
6,350,000 | | Tesla Auto Lease Trust 2021-A 144A, 0.36%, 3/20/25 (b) | | | 6,357 | |
853,319 | | Towd Point Mortgage Trust 2017-5 144A, (1 mo. LIBOR USD + 0.600%), 0.71%, 2/25/57 (a)(b) | | | 855 | |
1,787,414 | | Toyota Auto Receivables 2020-C Owner Trust, 0.36%, 2/15/23 | | | 1,789 | |
5,650,000 | | Toyota Lease Owner Trust 2021-A 144A, 0.27%, 9/20/23 (b) | | | 5,651 | |
4,310,000 | | Trillium Credit Card Trust II 2020-1A 144A, (1 mo. LIBOR USD + 0.370%), 0.48%, 12/26/24 (a)(b) | | | 4,319 | |
4,040,000 | | TRTX 2019-FL3 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 1.57%, 10/15/34 (a)(b) | | | 4,054 | |
3,330,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%), 1.07%, 4/15/29 (a)(b) | | | 3,331 | |
1,264,060 | | Volvo Financial Equipment LLC Series 2019-1 144A, 3.00%, 3/15/23 (b) | | | 1,278 | |
203,437 | | Westlake Automobile Receivables Trust 2018-1 144A, 3.41%, 5/15/23 (b) | | | 204 | |
4,141,739 | | Westlake Automobile Receivables Trust 2020-2 144A, 0.93%, 2/15/24 (b) | | | 4,154 | |
11,235,432 | | Westlake Automobile Receivables Trust 2020-3 144A, 0.56%, 5/15/24 (b) | | | 11,255 | |
7,000,000 | | Westlake Automobile Receivables Trust 2021-1 144A, 0.39%, 10/15/24 (b) | | | 7,004 | |
7,247,112 | | Wheels SPV 2 2018-1A LLC 144A, 3.24%, 4/20/27 (b) | | | 7,309 | |
2,753,438 | | Wheels SPV 2 2019-1A LLC 144A, 2.30%, 5/22/28 (b) | | | 2,775 | |
2,180,000 | | Wheels SPV 2 2020-1A LLC 144A, 0.51%, 8/20/29 (b) | | | 2,183 | |
9,200,000 | | Wheels SPV 2 2021-1A LLC 144A, (1 mo. LIBOR USD + 0.280%), 0.56%, 8/20/29 (a)(b) | | | 9,200 | |
8,449,488 | | World Omni Auto Receivables Trust 2019-B, 2.59%, 7/15/24 | | | 8,569 | |
2,106,085 | | World Omni Auto Receivables Trust 2020-A, 1.02%, 6/15/23 | | | 2,111 | |
4,058,816 | | World Omni Auto Receivables Trust 2020-C, 0.35%, 12/15/23 | | | 4,061 | |
4,174,812 | | World Omni Automobile Lease Securitization Trust 2020-B, 0.32%, 9/15/23 | | | 4,177 | |
3,277,065 | | World Omni Select Auto Trust 2020-A, 0.47%, 6/17/24 | | | 3,281 | |
Total Asset Backed (Cost—$578,243) | | | 580,697 | |
| |
Commercial Paper(e) (11%) | | | | |
12,000,000 | | Ameren Illinois Co., 0.19%, 5/17/21 | | | 11,999 | |
8,000,000 | | American Honda Finance Corp., 0.21%, 7/07/21 | | | 7,997 | |
2,000,000 | | American Honda Finance Corp., 0.22%, 6/21/21 | | | 1,999 | |
10,000,000 | | Amphenol Corp., 0.16%, 5/14/21 | | | 9,999 | |
5,000,000 | | Amphenol Corp., 0.18%, 5/24/21 | | | 4,999 | |
10,000,000 | | Bell Canada Inc., 0.16%, 5/18/21 | | | 9,999 | |
11,500,000 | | Caisse des Depots et Consignations, 0.18%, 1/18/22 | | | 11,485 | |
Semi-Annual Report 11
Payden Limited Maturity Fund continued
| | | | | | |
Principal or
Shares | | Security Description | | Value (000) | |
5,000,000 | | CenterPoint Energy Inc., 0.19%, 5/06/21 | | $ | 5,000 | |
15,000,000 | | Enel Finance America, LLC, 0.15%, 5/19/21 | | | 14,999 | |
5,200,000 | | Fidelity National Information Services Inc., 0.23%, 5/07/21 | | | 5,200 | |
12,000,000 | | Fidelity National Information Services Inc., 0.23%, 5/19/21 | | | 11,999 | |
7,000,000 | | Glencore Funding LLC, 0.19%, 5/05/21 | | | 7,000 | |
8,000,000 | | Glencore Funding LLC, 0.24%, 5/10/21 | | | 8,000 | |
10,000,000 | | Glencore Funding LLC, 0.31%, 6/24/21 | | | 9,995 | |
15,000,000 | | Kreditanstalt Fuer Wiederaufbau (KFW), 0.20%, 2/08/22 | | | 14,979 | |
3,000,000 | | Louisville Gas and Electric Co., 0.16%, 5/07/21 | | | 3,000 | |
4,500,000 | | Louisville Gas and Electric Co., 0.17%, 5/03/21 | | | 4,500 | |
16,250,000 | | LVMH Moet Hennessy Louis Vuitton SE, 0.17%, 8/05/21 | | | 16,245 | |
12,000,000 | | Marsh & Mclennan Co. Inc., 0.16%, 5/03/21 | | | 12,000 | |
10,000,000 | | National Rural Utilities Cooperative Finance Corp., 0.16%, 5/07/21 | | | 10,000 | |
9,000,000 | | NextEra Energy Capital Holdings, Inc., 0.16%, 5/21/21 | | | 8,999 | |
9,000,000 | | Sempra Global, 0.13%, 5/04/21 | | | 9,000 | |
6,000,000 | | Sempra Global, 0.14%, 5/06/21 | | | 6,000 | |
10,000,000 | | Sempra Global, 0.15%, 5/05/21 | | | 10,000 | |
15,000,000 | | UnitedHealth Group Inc., 0.14%, 6/01/21 | | | 14,998 | |
12,000,000 | | WEC Energy Group, Inc, 0.16%, 5/04/21 | | | 12,000 | |
Total Commercial Paper (Cost—$242,387) | | | 242,391 | |
| |
Corporate Bond (46%) | | | | |
| |
Financial (24%) | | | | |
3,660,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.95%, 2/01/22 | | | 3,738 | |
2,500,000 | | AIG Global Funding 144A, 1.90%, 10/06/21 (b) | | | 2,518 | |
870,000 | | AIG Global Funding 144A, 2.30%, 7/01/22 (b) | | | 890 | |
2,400,000 | | Ally Financial Inc., 1.45%, 10/02/23 | | | 2,439 | |
3,000,000 | | Ameriprise Financial Inc., 3.00%, 3/22/22 | | | 3,073 | |
3,750,000 | | ANZ New Zealand Int’l Ltd. 144A, 2.88%, 1/25/22 (b) | | | 3,822 | |
1,065,000 | | Aviation Capital Group LLC 144A, (3 mo. LIBOR USD + 0.670%), 0.86%, 7/30/21 (a)(b) | | | 1,064 | |
3,620,000 | | Aviation Capital Group LLC 144A, (3 mo. LIBOR USD + 0.950%), 1.14%, 6/01/21 (a)(b) | | | 3,620 | |
3,400,000 | | Banco Bilbao Vizcaya Argentaria SA, 0.88%, 9/18/23 | | | 3,414 | |
1,655,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (b) | | | 1,693 | |
8,950,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.690%), 0.70%, 4/22/25 (a) | | | 8,979 | |
6,265,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.740%), 0.81%, 10/24/24 (a) | | | 6,280 | |
2,127,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.790%), 0.98%, 3/05/24 (a) | | | 2,146 | |
9,250,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.790%), 3.00%, 12/20/23 (a) | | | 9,618 | |
1,530,000 | | Bank of Montreal, (3 mo. LIBOR USD + 0.790%), 0.98%, 8/27/21 (a) | | | 1,534 | |
5,340,000 | | Bank of Nova Scotia, (U.S. Secured Overnight Financing Rate + 0.550%), 0.56%, 9/15/23 (a) | | | 5,368 | |
3,635,000 | | Barclays Bank PLC, 1.70%, 5/12/22 | | | 3,685 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value (000) | |
2,895,000 | | Barclays PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.800%), 1.01%, 12/10/24 (a) | | $ | 2,901 | |
9,300,000 | | BBVA USA, 2.88%, 6/29/22 | | | 9,551 | |
4,000,000 | | BBVA USA, 3.50%, 6/11/21 | | | 4,002 | |
3,315,000 | | BNZ International Funding Ltd. 144A, 2.10%, 9/14/21 (b) | | | 3,338 | |
1,150,000 | | BPCE SA 144A, 4.00%, 9/12/23 (b) | | | 1,239 | |
5,000,000 | | Canadian Imperial Bank of Commerce, (3 mo. LIBOR USD + 0.010%), 0.19%, 1/14/22 (a) | | | 5,002 | |
4,470,000 | | Canadian Imperial Bank of Commerce, (U.S. Secured Overnight Financing Rate + 0.400%), 0.41%, 12/14/23 (a) | | | 4,472 | |
2,265,000 | | Canadian Imperial Bank of Commerce, (U.S. Secured Overnight Financing Rate + 0.800%), 0.81%, 3/17/23 (a) | | | 2,285 | |
10,000,000 | | Canadian Imperial Bank of Commerce, 2.30%, 7/11/22 CAD (c) | | | 8,319 | |
2,065,000 | | Capital One Financial Corp., (3 mo. LIBOR USD + 0.950%), 1.14%, 3/09/22 (a) | | | 2,078 | |
5,000,000 | | Capital One Financial Corp., 3.05%, 3/09/22 | | | 5,106 | |
11,875,000 | | Capital One Financial Corp., 3.20%, 1/30/23 | | | 12,438 | |
3,000,000 | | Central Nippon Expressway Co. Ltd., (3 mo. LIBOR USD + 0.850%), 1.03%, 9/14/21 (a)(d) | | | 3,007 | |
1,965,000 | | CIT Group Inc., 5.00%, 8/15/22 | | | 2,072 | |
7,610,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.669%), 0.68%, 5/01/25 (a) | | | 7,621 | |
7,070,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.686%), 0.78%, 10/30/24 (a) | | | 7,076 | |
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 | | | 4,359 | |
19,000,000 | | Credit Agricole SA 144A, 3.38%, 1/10/22 (b) | | | 19,398 | |
5,005,000 | | Credit Suisse AG, (U.S. Secured Overnight | | | | |
| | Financing Rate + 0.450%), 0.46%, 2/04/22 (a) | | | 5,003 | |
2,765,000 | | Credit Suisse AG, 2.10%, 11/12/21 | | | 2,791 | |
1,135,000 | | Credit Suisse AG, 2.80%, 4/08/22 | | | 1,161 | |
2,400,000 | | Deutsche Pfandbriefbank AG, 2.50%, 5/31/22 (d) | | | 2,454 | |
1,740,000 | | Element Fleet Management Corp. 144A, 1.60%, 4/06/24 (b) | | | 1,761 | |
1,291,000 | | First Abu Dhabi Bank PJSC, 1.38%, 2/19/23 GBP (c)(d) | | | 1,806 | |
3,450,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 3,569 | |
9,930,000 | | Goldman Sachs Group Inc., 0.48%, 1/27/23 | | | 9,937 | |
9,060,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.580%), 0.59%, 3/08/24 (a) | | | 9,072 | |
4,345,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.538%), 0.63%, 11/17/23 (a) | | | 4,351 | |
9,785,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.572%), 0.67%, 3/08/24 (a) | | | 9,801 | |
2,654,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 0.750%), 0.93%, 2/23/23 (a) | | | 2,675 | |
4,300,000 | | Goldman Sachs Group Inc., 5.75%, 1/24/22 | | | 4,470 | |
12 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,827,000 | | Huntington Bancshares Inc., 2.30%, 1/14/22 | | $ | 1,850 | |
2,550,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A, 5.25%, 5/15/27 (b) | | | 2,604 | |
6,420,000 | | Inter-American Investment Corp., (3 mo. LIBOR USD + 0.090%), 0.28%, 10/12/21 (a)(d) | | | 6,422 | |
2,050,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b) | | | 2,096 | |
3,710,000 | | Jackson National Life Global Funding 144A, (U.S. Secured Overnight Financing Rate +0.600%), 0.61%, 1/06/23 (a)(b) | | | 3,727 | |
8,215,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.580%), 0.59%, 3/16/24 (a) | | | 8,244 | |
2,621,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 0.730%), 0.90%, 4/23/24 (a) | | | 2,641 | |
5,000,000 | | Lloyds Bank PLC, 2.13%, 7/24/22 (d) | | | 5,115 | |
17,000,000 | | Lloyds Bank PLC, 3.38%, 11/15/21 (d) | | | 17,290 | |
3,700,000 | | Lloyds Banking Group PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.100%), 1.33%, 6/15/23 (a) | | | 3,735 | |
6,365,000 | | Macquarie Bank Ltd. 144A, 0.44%, 12/16/22 (b) | | | 6,372 | |
3,290,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 1.21%, 11/28/23 (a)(b) | | | 3,323 | |
6,885,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.350%), 1.54%, 3/27/24 (a)(b) | | | 7,002 | |
15,000,000 | | Manulife Bank of Canada, 2.08%, 5/26/22 CAD (c) | | | 12,414 | |
5,120,000 | | Met Tower Global Funding 144A, 0.55%, 7/13/22 (b) | | | 5,137 | |
5,500,000 | | Metropolitan Life Global Funding I 144A, (U.S. Secured Overnight Financing Rate + 0.350%), 0.36%, 9/08/22 (a)(b)(f) | | | 5,519 | |
955,000 | | Mitsubishi UFJ Financial Group Inc., (3 mo. LIBOR USD + 0.700%), 0.88%, 3/07/22 (a) | | | 960 | |
4,000,000 | | Mitsubishi UFJ Financial Group Inc., 3.54%, 7/26/21 | | | 4,031 | |
5,500,000 | | Mitsubishi UFJ Financial Group Inc., 3.76%, 7/26/23 | | | 5,890 | |
3,960,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.610%), 0.79%, 9/08/24 (a) | | | 3,975 | |
3,800,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.840%), 1.02%, 7/16/23 (a) | | | 3,825 | |
6,700,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.940%), 1.13%, 2/28/22 (a) | | | 6,745 | |
5,745,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.455%), 0.53%, 1/25/24 (a) | | | 5,743 | |
3,395,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.466%), 0.56%, 11/10/23 (a) | | | 3,400 | |
3,910,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.700%), 0.71%, 1/20/23 (a) | | | 3,921 | |
3,810,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.616%), 0.73%, 4/05/24 (a) | | | 3,820 | |
1,785,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.745%), 0.86%, 10/21/25 (a) | | | 1,784 | |
2,000,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.400%), 1.58%, 10/24/23 (a) | | | 2,033 | |
4,000,000 | | Morgan Stanley, 2.63%, 11/17/21 | | | 4,051 | |
1,715,000 | | NASDAQ Inc., 0.45%, 12/21/22 | | | 1,716 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
5,000,000 | | National Australia Bank Ltd. 144A, (3 mo. LIBOR USD + 0.410%), 0.59%, 12/13/22 (a)(b) | | $ | 5,024 | |
1,000,000 | | National Australia Bank Ltd. 144A, (3 mo. LIBOR USD + 0.710%), 0.89%, 11/04/21 (a)(b) | | | 1,003 | |
2,785,000 | | National Bank of Canada, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.770%), 0.90%, 8/15/23 (a) | | | 2,802 | |
20,000,000 | | National Bank of Canada, 1.96%, 6/30/22 CAD (c) | | | 16,560 | |
3,145,000 | | Natwest Group PLC, (3 mo. LIBOR USD + 1.470%), 1.66%, 5/15/23 (a) | | | 3,179 | |
10,800,000 | | Natwest Group PLC, (3 mo. LIBOR USD + 1.480%), 3.50%, 5/15/23 (a) | | | 11,129 | |
5,025,000 | | New York Life Global Funding 144A, (3 mo. LIBOR USD + 0.280%), 0.47%, 1/10/23 (a)(b) | | | 5,044 | |
6,300,000 | | OneMain Finance Corp., 6.13%, 3/15/24 | | | 6,812 | |
1,700,000 | | PayPal Holdings Inc., 2.20%, 9/26/22 | | | 1,742 | |
3,780,000 | | PNC Bank NA, (3 mo. LIBOR USD + 0.325%), 0.50%, 2/24/23 (a) | | | 3,788 | |
4,080,000 | | PNC Bank NA, (3 mo. LIBOR USD + 0.430%), 0.62%, 12/09/22 (a) | | | 4,089 | |
2,805,000 | | PNC Bank NA, (3 mo. LIBOR USD + 0.323%), 1.74%, 2/24/23 (a) | | | 2,838 | |
2,785,000 | | Protective Life Global Funding 144A, 0.50%, 4/12/23 (b) | | | 2,789 | |
3,340,000 | | Public Storage, (U.S. Secured Overnight Financing Rate + 0.470%), 0.48%, 4/23/24 (a) | | | 3,344 | |
4,515,000 | | Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (b) | | | 4,628 | |
2,300,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 2,360 | |
3,700,000 | | Santander UK PLC, (3 mo. LIBOR USD +0.660%), 0.85%, 11/15/21 (a) | | | 3,712 | |
4,502,000 | | Santander UK PLC 144A, 1.63%, 2/12/23 (b) | | | 4,604 | |
1,833,000 | | Santander UK PLC, 2.10%, 1/13/23 | | | 1,886 | |
2,350,000 | | Simon Property Group LP, 2.75%, 6/01/23 | | | 2,444 | |
4,240,000 | | Skandinaviska Enskilda Banken AB 144A, 0.55%, 9/01/23 (b) | | | 4,244 | |
2,500,000 | | SL Green Operating Partnership LP, (3 mo. LIBOR USD + 0.980%), 1.17%, 8/16/21 (a) | | | 2,500 | |
241,000 | | SLM Corp., 5.13%, 4/05/22 | | | 247 | |
3,000,000 | | Stadshypotek AB 144A, 2.50%, 4/05/22 (b) | | | 3,063 | |
690,000 | | State Street Corp., (U.S. Secured Overnight Financing Rate + 2.690%), 2.83%, 3/30/23 (a) | | | 706 | |
2,000,000 | | Sumitomo Mitsui Financial Group Inc., (3 mo. LIBOR USD + 1.140%), 1.33%, 10/19/21 (a)(f) | | | 2,010 | |
2,330,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 0.80%, 9/12/23 (b) | | | 2,342 | |
1,940,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 1,988 | |
2,064,000 | | Synchrony Financial, 3.75%, 8/15/21 | | | 2,072 | |
910,000 | | Synovus Bank, (U.S. Secured Overnight Financing Rate + 0.945%), 2.29%, 2/10/23 (a) | | | 919 | |
2,015,000 | | Toronto-Dominion Bank, (U.S. Secured Overnight Financing Rate + 0.450%), 0.46%, 9/28/23 (a) | | | 2,024 | |
6,000,000 | | Toronto-Dominion Bank 144A, 2.10%, 7/15/22 (b) | | | 6,137 | |
Semi-Annual Report 13
Payden Limited Maturity Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,575,000 | | Truist Bank, (U.S. Secured Overnight Financing Rate + 0.730%), 0.74%, 3/09/23 (a) | | $ | 1,589 | |
2,000,000 | | Truist Financial Corp., 3.05%, 6/20/22 | | | 2,059 | |
2,725,000 | | UBS AG 144A, 1.75%, 4/21/22 (b) | | | 2,761 | |
5,000,000 | | UniCredit Bank AG, 1.88%, 7/05/22 (d) | | | 5,089 | |
8,000,000 | | Wells Fargo & Co., 2.09%, 4/25/22 CAD (c) | | | 6,606 | |
3,750,000 | | Wells Fargo Bank NA, (3 mo. LIBOR USD + 0.510%), 0.69%, 10/22/21 (a) | | | 3,758 | |
4,000,000 | | Wells Fargo Bank NA, 3.63%, 10/22/21 | | | 4,052 | |
3,370,000 | | Westpac Banking Corp., (3 mo. LIBOR USD + 0.390%), 0.58%, 1/13/23 (a) | | | 3,389 | |
2,565,000 | | Westpac Banking Corp., 2.80%, 1/11/22 | | | 2,611 | |
| | | | | | |
| | | | | 524,585 | |
| | | | | | |
Industrial (16%) | | | | |
3,170,000 | | 7-Eleven Inc. 144A, 0.63%, 2/10/23 (b) | | | 3,174 | |
4,205,000 | | 7-Eleven Inc. 144A, 0.80%, 2/10/24 (b) | | | 4,201 | |
1,810,000 | | AbbVie Inc., (3 mo. LIBOR USD + 0.460%), 0.64%, 11/19/21 (a) | | | 1,813 | |
3,735,000 | | AbbVie Inc., 2.15%, 11/19/21 | | | 3,772 | |
9,223,000 | | AbbVie Inc., 2.85%, 5/14/23 | | | 9,658 | |
4,266,000 | | Aetna Inc., 2.75%, 11/15/22 | | | 4,390 | |
4,423,000 | | Aetna Inc., 2.80%, 6/15/23 | | | 4,621 | |
4,973,000 | | America Movil SAB de CV, 3.13%, 7/16/22 | | | 5,123 | |
7,805,000 | | American Honda Finance Corp., (3 mo. LIBOR USD + 0.150%), 0.33%, 2/22/23 (a) | | | 7,801 | |
6,380,000 | | American Honda Finance Corp., (3 mo. LIBOR USD + 0.280%), 0.47%, 1/12/24 (a) | | | 6,383 | |
3,195,000 | | AT&T Inc., (U.S. Secured Overnight Financing Rate + 0.640%), 0.65%, 3/25/24 (a) | | | 3,200 | |
1,510,000 | | Ball Corp., 5.25%, 7/01/25 | | | 1,711 | |
1,700,000 | | Bayer U.S. Finance II LLC, (3 mo. LIBOR USD + 0.630%), 0.83%, 6/25/21 (a)(d) | | | 1,701 | |
1,240,000 | | Bayer U.S. Finance II LLC 144A, (3 mo. LIBOR USD + 0.630%), 0.83%, 6/25/21 (a)(b) | | | 1,240 | |
10,425,000 | | Becton Dickinson and Co., 2.89%, 6/06/22 | | | 10,693 | |
1,165,000 | | Berry Global Inc. 144A, 0.95%, 2/15/24 (b) | | | 1,163 | |
3,385,000 | | BMW U.S. Capital LLC 144A, (U.S. Secured Overnight Financing Rate + 0.530%), 0.54%, 4/01/24 (a)(b) | | | 3,405 | |
1,750,000 | | BMW U.S. Capital LLC 144A, (3 mo. LIBOR USD + 0.500%), 0.70%, 8/13/21 (a)(b) | | | 1,753 | |
5,800,000 | | Boeing Co., 1.43%, 2/04/24 | | | 5,819 | |
2,580,000 | | Bristol-Myers Squibb Co., 0.54%, 11/13/23 | | | 2,583 | |
9,250,000 | | Broadcom Corp./Broadcom Cayman Finance Ltd., 3.63%, 1/15/24 | | | 9,910 | |
1,430,000 | | Caterpillar Financial Services Corp., (3 mo. LIBOR USD + 0.220%), 0.41%, 1/06/22 (a) | | | 1,432 | |
4,635,000 | | Caterpillar Financial Services Corp., (3 mo. LIBOR USD + 0.735%), 0.93%, 5/13/22 (a) | | | 4,665 | |
1,255,000 | | CNH Industrial Capital LLC, 1.95%, 7/02/23 | | | 1,291 | |
12,000,000 | | Daimler Canada Finance Inc., 3.30%, 8/16/22 CAD (c) | | | 10,088 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,880,000 | | Daimler Finance North America LLC 144A, (3 mo. LIBOR USD + 0.880%), 1.06%, 2/22/22 (a)(b) | | $ | 2,900 | |
2,192,000 | | Daimler Finance North America LLC 144A, (3 mo. LIBOR USD + 0.900%), 1.09%, 2/15/22 (a)(b) | | | 2,205 | |
4,500,000 | | Daimler Finance North America LLC 144A, 2.20%, 10/30/21 (b) | | | 4,542 | |
5,501,000 | | Daimler Finance North America LLC 144A, 3.35%, 2/22/23 (b) | | | 5,768 | |
3,815,000 | | Fidelity National Information Services Inc., 0.38%, 3/01/23 | | | 3,810 | |
5,600,000 | | Fidelity National Information Services Inc., 0.75%, 5/21/23 EUR (c) | | | 6,850 | |
890,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.270%), 1.46%, 3/28/22 (a) | | | 889 | |
1,460,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 1,490 | |
1,340,000 | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25 | | | 1,465 | |
5,000,000 | | Fox Corp., 3.67%, 1/25/22 | | | 5,121 | |
3,745,000 | | General Motors Financial Co. Inc., 1.05%, 3/08/24 | | | 3,754 | |
2,014,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.310%), 1.51%, 6/30/22 (a) | | | 2,036 | |
1,275,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%), 1.74%, 1/14/22 (a) | | | 1,286 | |
5,500,000 | | General Motors Financial Co. Inc., 4.20%, 11/06/21 | | | 5,606 | |
1,025,000 | | Gilead Sciences Inc., (3 mo. LIBOR USD + 0.520%), 0.71%, 9/29/23 (a) | | | 1,026 | |
3,020,000 | | Gilead Sciences Inc., 0.75%, 9/29/23 | | | 3,026 | |
3,180,000 | | GlaxoSmithKline Capital PLC, 0.53%, 10/01/23 | | | 3,183 | |
1,860,000 | | Hewlett Packard Enterprise Co., (3 mo. LIBOR USD + 0.720%), 0.91%, 10/05/21 (a) | | | 1,860 | |
5,100,000 | | Honda Canada Finance Inc., 1.82%, 12/07/21 CAD (c) | | | 4,185 | |
1,155,000 | | Honeywell International Inc., (3 mo. LIBOR USD + 0.230%), 0.41%, 8/19/22 (a) | | | 1,156 | |
5,605,000 | | Honeywell International Inc., 0.48%, 8/19/22 | | | 5,610 | |
5,000,000 | | Hyundai Capital America 144A, 0.80%, 4/03/23 (b) | | | 5,000 | |
8,340,000 | | Hyundai Capital America 144A, 0.80%, 1/08/24 (b) | | | 8,298 | |
2,170,000 | | Hyundai Capital America 144A, 1.15%, 11/10/22 (b) | | | 2,182 | |
2,805,000 | | Hyundai Capital America 144A, 1.25%, 9/18/23 (b) | | | 2,830 | |
4,840,000 | | Illumina Inc., 0.55%, 3/23/23 | | | 4,842 | |
1,020,000 | | Infor Inc. 144A, 1.45%, 7/15/23 (b) | | | 1,034 | |
5,000,000 | | John Deere Canada Funding Inc., 2.05%, 5/13/22 CAD (c) | | | 4,135 | |
2,235,000 | | John Deere Capital Corp., 0.55%, 7/05/22 | | | 2,243 | |
4,755,000 | | Keurig Dr Pepper Inc., 0.75%, 3/15/24 | | | 4,759 | |
840,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 852 | |
6,015,000 | | LYB International Finance III LLC, (3 mo. LIBOR USD + 1.000%), 1.20%, 10/01/23 (a) | | | 6,029 | |
14 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,000,000 | | McDonald’s Corp., (3 mo. LIBOR USD + 0.430%), 0.61%, 10/28/21 (a) | | $ | 3,006 | |
7,425,000 | | Microchip Technology Inc. 144A, 0.97%, 2/15/24 (b) | | | 7,418 | |
5,100,000 | | Mondelez International Inc., 0.63%, 7/01/22 | | | 5,118 | |
6,880,000 | | Nissan Motor Acceptance Corp. 144A, (3 mo. LIBOR USD + 0.640%), 0.83%, 3/08/24 (a)(b) | | | 6,887 | |
11,235,000 | | NTT Finance Corp. 144A, 0.37%, 3/03/23 (b) | | | 11,246 | |
975,000 | | Nutrition & Biosciences Inc. 144A, 0.70%, 9/15/22 (b) | | | 977 | |
4,025,000 | | Otis Worldwide Corp., (3 mo. LIBOR USD + 0.450%), 0.64%, 4/05/23 (a) | | | 4,024 | |
3,400,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.38%, 2/01/22 (b) | | | 3,459 | |
4,910,000 | | PTC Inc. 144A, 3.63%, 2/15/25 (b) | | | 5,047 | |
1,105,000 | | Roper Technologies Inc., 0.45%, 8/15/22 | | | 1,107 | |
2,910,000 | | Royalty Pharma PLC 144A, 0.75%, 9/02/23 (b) | | | 2,910 | |
1,270,000 | | Ryder System Inc., 2.80%, 3/01/22 | | | 1,292 | |
1,039,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 1,065 | |
6,200,000 | | Ryder System Inc., 3.40%, 3/01/23 | | | 6,520 | |
5,855,000 | | Siemens Financieringsmaatschappij NV 144A, 0.40%, 3/11/23 (b) | | | 5,869 | |
960,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (b) | | | 968 | |
1,885,000 | | Southwest Airlines Co., 4.75%, 5/04/23 | | | 2,039 | |
102,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 103 | |
450,000 | | Starbucks Corp., 1.30%, 5/07/22 | | | 455 | |
1,845,000 | | Stryker Corp., 0.60%, 12/01/23 | | | 1,846 | |
11,100,000 | | TELUS Corp., 2.35%, 3/28/22 CAD (c) | | | 9,162 | |
465,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 490 | |
5,000,000 | | Toyota Credit Canada Inc., 2.35%, 7/18/22 CAD (c) | | | 4,158 | |
2,225,000 | | Verizon Communications Inc., (U.S. Secured Overnight Financing Rate + 0.500%), 0.51%, 3/22/24 (a) | | | 2,235 | |
10,015,000 | | Verizon Communications Inc., (3 mo. LIBOR USD + 1.000%), 1.19%, 3/16/22 (a) | | | 10,093 | |
6,280,000 | | Viatris Inc. 144A, 1.13%, 6/22/22 (b) | | | 6,322 | |
3,555,000 | | Volkswagen Group of America Finance LLC 144A, 0.75%, 11/23/22 (b) | | | 3,568 | |
2,270,000 | | Volkswagen Group of America Finance LLC 144A, 0.88%, 11/22/23 (b) | | | 2,281 | |
1,750,000 | | Volkswagen Group of America Finance LLC 144A, (3 mo. LIBOR USD + 0.860%), 1.05%, 9/24/21 (a)(b) | | | 1,756 | |
995,000 | | Volkswagen Group of America Finance LLC 144A, 2.50%, 9/24/21 (b) | | | 1,004 | |
4,425,000 | | Volkswagen Group of America Finance LLC 144A, 2.90%, 5/13/22 (b) | | | 4,537 | |
5,500,000 | | Volkswagen Group of America Finance LLC 144A, 3.13%, 5/12/23 (b) | | | 5,776 | |
8,000,000 | | VW Credit Canada Inc., 3.70%, 11/14/22 CAD (c) | | | 6,800 | |
5,470,000 | | Yum! Brands Inc. 144A, 7.75%, 4/01/25 (b) | | | 5,983 | |
| | | | | | |
| | | | | 357,083 | |
| | | | | | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Utility (6%) | | | | |
4,705,000 | | Alexander Funding Trust 144A, 1.84%, 11/15/23 (b) | | $ | 4,772 | |
1,160,000 | | American Electric Power Co. Inc., 0.75%, 11/01/23 | | | 1,161 | |
2,500,000 | | Atmos Energy Corp., 0.63%, 3/09/23 | | | 2,503 | |
4,044,000 | | CenterPoint Energy Inc., 3.60%, 11/01/21 | | | 4,110 | |
2,150,000 | | CenterPoint Energy Resources Corp., 0.70%, 3/02/23 | | | 2,152 | |
8,340,000 | | CenterPoint Energy Resources Corp., 3.55%, 4/01/23 | | | 8,814 | |
2,675,000 | | Chevron Corp., (3 mo. LIBOR USD + 0.900%), 1.10%, 5/11/23 (a) | | | 2,721 | |
4,025,000 | | Chevron USA Inc., (3 mo. LIBOR USD + 0.110%), 0.31%, 8/12/22 (a) | | | 4,028 | |
4,115,000 | | Chevron USA Inc., (3 mo. LIBOR USD + 0.200%), 0.40%, 8/11/23 (a) | | | 4,126 | |
2,845,000 | | Diamondback Energy Inc., 0.90%, 3/24/23 | | | 2,846 | |
2,065,000 | | Dominion Energy Inc., (3 mo. LIBOR USD + 0.530%), 0.71%, 9/15/23 (a) | | | 2,067 | |
6,180,000 | | DTE Energy Co., 0.55%, 11/01/22 | | | 6,190 | |
2,670,000 | | Duke Energy Progress LLC, (3 mo. LIBOR USD + 0.180%), 0.37%, 2/18/22 (a) | | | 2,670 | |
7,400,000 | | Enbridge Inc., (U.S. Secured Overnight Financing Rate + 0.400%), 0.41%, 2/17/23 (a) | | | 7,411 | |
2,000,000 | | Energy Transfer LP, 3.60%, 2/01/23 | | | 2,081 | |
4,230,000 | | Energy Transfer LP, 4.25%, 3/15/23 | | | 4,452 | |
2,280,000 | | Entergy Louisiana LLC, 0.62%, 11/17/23 | | | 2,283 | |
5,355,000 | | Florida Power & Light Co., (3 mo. LIBOR USD + 0.380%), 0.56%, 7/28/23 (a) | | | 5,355 | |
8,140,000 | | Georgia Power Co., 2.10%, 7/30/23 | | | 8,419 | |
1,390,000 | | Gray Oak Pipeline LLC 144A, 2.00%, 9/15/23 (b) | | | 1,418 | |
1,325,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 1.46%, 1/15/23 (a) | | | 1,346 | |
18,780,000 | | NextEra Energy Capital Holdings Inc., (3 mo. LIBOR USD + 0.270%), 0.45%, 2/22/23 (a) | | | 18,783 | |
9,895,000 | | ONE Gas Inc., (3 mo. LIBOR USD + 0.610%), 0.79%, 3/11/23 (a) | | | 9,898 | |
3,090,000 | | Pacific Gas and Electric Co., (3 mo. LIBOR USD + 1.375%), 1.57%, 11/15/21 (a) | | | 3,100 | |
3,580,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 3,583 | |
4,350,000 | | Phillips 66, 0.90%, 2/15/24 | | | 4,356 | |
1,590,000 | | Pioneer Natural Resources Co., 0.75%, 1/15/24 | | | 1,591 | |
1,540,000 | | Southern Natural Gas Co. LLC 144A, 0.63%, 4/28/23 (b) | | | 1,541 | |
16,308,000 | | TransCanada PipeLines Ltd., 3.65%, 11/15/21 CAD (c) | | | 13,488 | |
5,445,000 | | Valero Energy Corp., (3 mo. LIBOR USD | | | | |
| | + 1.150%), 1.33%, 9/15/23 (a) | | | 5,459 | |
4,597,000 | | Williams Cos. Inc., 4.00%, 11/15/21 | | | 4,643 | |
| | | | | | |
| | | | | 147,367 | |
| | | | | | |
Total Corporate Bond (Cost - $1,023,019) | | | 1,029,035 | |
| | | | | | |
Foreign Government (1%) | | | | |
8,100,000 | | Instituto de Credito Oficial 144A, (3 mo. LIBOR USD + 0.150%), 0.33%, 12/15/21 (a)(b) | | | 8,095 | |
Semi-Annual Report 15
Payden Limited Maturity Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
5,000,000 | | Nederlandse Waterschapsbank NV 144A, (3 mo. LIBOR USD + 0.070%), 0.25%, 12/15/21 (a)(b) | | $ | 5,003 | |
371,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 371 | |
| | | | | | |
Total Foreign Government (Cost - $13,474) | | | 13,469 | |
| | | | | | |
Mortgage Backed (7%) | | | | |
4,350,000 | | BPCRE 2021-FL1 Ltd. 144A, (1 mo. LIBOR USD + 0.850%), 0.96%, 2/15/37 (a)(b) | | | 4,358 | |
2,840,344 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 0.920%), 1.04%, 10/15/36 (a)(b) | | | 2,846 | |
1,007,957 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%), 1.72%, 12/15/36 (a)(b) | | | 1,010 | |
5,850,000 | | BXMT 2020-FL2 Ltd. 144A, (1 mo. LIBOR USD + 0.900%), 1.02%, 2/15/38 (a)(b) | | | 5,851 | |
2,500,000 | | BXMT 2020-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.27%, 2/15/38 (a)(b) | | | 2,497 | |
5,368,150 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.17%, 6/15/34 (a)(b) | | | 5,242 | |
95,585 | | COMM 2014-CCRE15 Mortgage Trust, 2.93%, 2/10/47 | | | 96 | |
3,620,000 | | COMM 2019-WCM Mortgage Trust 144A, (1 mo. LIBOR USD + 0.900%), 1.02%, 10/15/34 (a)(b) | | | 3,625 | |
3,332,980 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 11/25/39 (a)(b) | | | 3,319 | |
157,745 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 0.750%), 0.86%, 1/25/40 (a)(b) | | | 158 | |
3,550,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 1.230%), 1.35%, 5/15/36 (a)(b) | | | 3,565 | |
7,862,652 | | FHLMC Multifamily Structured Pass-Through Certificates, (1 mo. LIBOR USD + 0.220%), 0.33%, 3/25/25 (a) | | | 7,872 | |
666,683 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 0.750%), 0.86%, 2/25/50 (a)(b) | | | 667 | |
840,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 2/25/50 (a)(b) | | | 849 | |
1,202,780 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.300%), 1.31%, 10/25/50 (a)(b) | | | 1,205 | |
3,752,356 | | Freddie Mac STACR REMIC Trust 2020-DNA6 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.900%), 0.91%, 12/25/50 (a)(b) | | | 3,756 | |
2,249,214 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.01%, 1/25/50 (a)(b) | | | 2,264 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,596,262 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 1.100%), 1.21%, 3/25/50 (a)(b) | | $ | 2,597 | |
81,801 | | Freddie Mac STACR REMIC Trust 2020-HQA4 144A, (1 mo. LIBOR USD + 1.300%), 1.41%, 9/25/50 (a)(b) | | | 82 | |
7,100,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.650%), 0.66%, 1/25/51 (a)(b) | | | 7,103 | |
7,300,000 | | Freddie Mac STACR REMIC Trust 2021-DNA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.750%), 0.76%, 10/25/33 (a)(b) | | | 7,312 | |
15,600,000 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.700%), 0.71%, 8/25/33 (a)(b) | | | 15,608 | |
1,144,886 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 1.950%), 2.06%, 10/25/49 (a)(b) | | | 1,152 | |
1,846,656 | | Freddie Mac STACR Trust 2019-FTR2 144A, (1 mo. LIBOR USD + 0.950%), 1.06%, 11/25/48 (a)(b) | | | 1,847 | |
7,979,756 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.51%, 2/25/49 (a)(b) | | | 7,986 | |
11,840,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.800%), 0.81%, 8/25/33 (a)(b) | | | 11,862 | |
347,490 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.750%), 0.86%, 3/25/30 (a) | | | 348 | |
6,269,535 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.100%), 1.11%, 11/25/50 (a)(b) | | | 6,274 | |
154,572 | | Gosforth Funding 2017-1 PLC 144A, (3 mo. LIBOR USD + 0.470%), 0.66%, 12/19/59 (a)(b) | | | 155 | |
2,950,000 | | JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP 144A, (1 mo. LIBOR USD + 1.160%), 1.28%, 7/15/36 (a)(b) | | | 2,950 | |
4,050,000 | | LoanCore 2021-CRE4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 0.800%), 0.91%, 7/15/35 (a)(b) | | | 4,053 | |
2,590,000 | | MF1 2020-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 7/15/35 (a)(b) | | | 2,625 | |
9,000,000 | | Mortgage Repurchase Agreement Financing Trust 2021-1 144A, (1 mo. LIBOR USD + 0.500%), 0.61%, 3/10/22 (a)(b) | | | 9,000 | |
1,783,355 | | New Residential Mortgage Loan Trust 2017-5A 144A, (1 mo. LIBOR USD + 1.500%), 1.61%, 6/25/57 (a)(b) | | | 1,815 | |
6,950,000 | | ONE 2021-PARK Mortgage Trust 144A, (1 mo. LIBOR USD + 0.700%), 0.82%, 3/15/36 (a)(b) | | | 6,948 | |
16 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,700,000 | | PFP 2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 1.54%, 4/14/36 (a)(b) | | $ | 1,704 | |
2,031,694 | | PFP 2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.050%), 1.17%, 4/14/37 (a)(b) | | | 2,033 | |
1,780,000 | | PFP 2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 1.57%, 4/14/37 (a)(b) | | | 1,781 | |
1,486,999 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%), 0.86%, 8/20/56 GBP (a)(b)(c) | | | 2,059 | |
16,463 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 0.750%), 0.86%, 9/25/48 (a)(b) | | | 16 | |
2,502,245 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 1.76%, 4/25/43 (a)(b) | | | 2,507 | |
4,474,951 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.36%, 2/25/47 (a)(b) | | | 4,484 | |
5,200,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.51%, 2/25/47 (a)(b) | | | 5,297 | |
| | | | | | |
Total Mortgage Backed (Cost - $158,569) | | | 158,778 | |
| | | | | | |
Municipal (0%) | | | | |
570,000 | | California Earthquake Authority, 1.23%, 7/01/21 | | | 571 | |
1,375,000 | | State of California, 0.89%, 4/01/47 (g) | | | 1,379 | |
| | | | | | |
Total Municipal (Cost - $1,946) | | | 1,950 | |
| | | | | | |
U.S. Treasury (10%) | | | | |
25,000,000 | | U.S. Cash Management Bill, 0.01%, 8/17/21 (e) | | | 24,999 | |
9,800,000 | | U.S. Cash Management Bill, 0.08%, 5/04/21 (e) | | | 9,800 | |
50,000,000 | | U.S. Treasury Bill, 0.04%, 5/25/21 (e) | | | 50,000 | |
25,000,000 | | U.S. Treasury Bill, 0.04%, 10/21/21 (e) | | | 24,998 | |
3,000,000 | | U.S. Treasury Bill, 0.09%, 6/01/21 (e) | | | 3,000 | |
9,000,000 | | U.S. Treasury Bill, 0.09%, 6/15/21 (e) | | | 9,000 | |
15,000,000 | | U.S. Treasury Bill, 0.09%, 7/15/21 (e) | | | 15,000 | |
5,000,000 | | U.S. Treasury Bill, 0.11%, 12/30/21 (e) | | | 4,999 | |
35,000,000 | | U.S. Treasury Bill, 0.12%, 8/12/21 (e) | | | 34,999 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
3,000,000 | | U.S. Treasury Bill, 0.12%, 11/04/21 (e) | | $ | 3,000 | |
10,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.049%), 0.06%, 1/31/23 (a) | | | 10,006 | |
30,000,000 | | U.S. Treasury Note, 1.75%, 7/31/21 | | | 30,126 | |
10,000,000 | | U.S. Treasury Note, 2.13%, 5/31/21 (h) | | | 10,016 | |
Total U.S. Treasury (Cost - $229,792) | | | 229,943 | |
Investment Company (1%) | | | | |
2,552,260 | | Payden Cash Reserves Money Market Fund * | | | 2,552 | |
758,342 | | Payden Floating Rate Fund, SI Class * | | | 7,500 | |
Total Investment Company (Cost - $10,052) | | | 10,052 | |
Total Investments (Cost - $2,257,482) (102%) | | | 2,266,315 | |
| |
Liabilities in excess of Other Assets (-2%) | | | (49,197 | ) |
| |
Net Assets (100%) | | $ | 2,217,118 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (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) | Yield to maturity at time of purchase. |
| (f) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $306 and the total market value of the collateral held by the Fund is $314. Amounts in 000s. |
| (g) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (h) | 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: | | | | | | | | | | | | |
CAD 2,793 | | USD 2,228 | | HSBC Bank USA, N.A. | | | 06/22/2021 | | | $ | 45 | |
USD 3,888 | | GBP 2,803 | | HSBC Bank USA, N.A. | | | 06/22/2021 | | | | 17 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 62 | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
USD 6,849 | | EUR 5,741 | | Citibank, N.A. | | | 06/22/2021 | | | $ | (61 | ) |
USD 135,639 | | CAD 169,341 | | HSBC Bank USA, N.A. | | | 06/22/2021 | | | | (2,148 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,209 | ) |
| | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | $ | (2,147 | ) |
| | | | | | | | | | | | |
Semi-Annual Report 17
Payden Limited Maturity Fund continued
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Depreciation
(000s) | |
Short Contracts: | | | | | | | | | | | | | | | | | | |
U.S. Treasury 5-Year Note Future | | 340 | | | Jun-21 | | | $ | (42,139 | ) | | $ | (6 | ) | | | $(6) | |
| | | | | | | | | | | | | | | | | | |
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 | | $ | 306 | |
Non-cash Collateral2 | | | (306 | ) |
| | | | |
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, 2021, 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.
18 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 a maximum average portfolio maturity not to exceed three years
| | | | |
| Portfolio Composition - percent of investments | |
Corporate | | | 34 | % |
U.S. Treasury | | | 24 | % |
Asset Backed | | | 23 | % |
Mortgage Backed | | | 17 | % |
Other | | | 2 | % |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (23%) | | | | |
1,181,551 | | Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%), 1.02%, 7/25/27 (a)(b) | | $ | 1,182 | |
5,800,000 | | AMSR 2020-SFR5 Trust 144A, 1.38%, 11/17/37 (b) | | | 5,780 | |
6,415,147 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 0.930%), 1.12%, 7/18/27 (a)(b) | | | 6,420 | |
10,540,000 | | Ballyrock CLO 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 1.700%), 1.89%, 7/20/30 (a)(b) | | | 10,554 | |
1,784,300 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR USD + 0.800%), 0.99%, 1/20/28 (a)(b) | | | 1,785 | |
3,220,000 | | BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.27%, 2/16/37 (a)(b) | | | 3,231 | |
6,371,778 | | BlueMountain CLO 2013-1 Ltd. 144A, (3 mo. LIBOR USD + 1.230%), 1.42%, 1/20/29 (a)(b) | | | 6,388 | |
11,900,000 | | BMW Canada Auto Trust 2021-1A 144A, 0.50%, 7/20/24 CAD (b)(c) | | | 9,632 | |
10,840,000 | | Bristol Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.990%), 1.17%, 4/15/29 (a)(b) | | | 10,841 | |
5,020,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 1.41%, 9/15/35 (a)(b) | | | 5,023 | |
3,740,000 | | CarMax Auto Owner Trust 2020-1, 1.89%, 12/16/24 | | | 3,827 | |
1,393,022 | | CARS-DB4 LP 144A, 2.69%, 2/15/50 (b) | | | 1,455 | |
5,880,000 | | CIFC Funding 2015-II Ltd. 144A, (3 mo. LIBOR USD + 1.010%), 1.19%, 4/15/30 (a)(b) | | | 5,884 | |
11,040,000 | | CIFC Funding 2020-I Ltd. 144A, (3 mo. LIBOR USD + 1.700%), 1.88%, 7/15/32 (a)(b) | | | 11,055 | |
5,970,000 | | CLNC 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.250%), 1.37%, 8/20/35 (a)(b) | | | 5,991 | |
4,147,793 | | CNH Equipment Trust 2019-A, 3.01%, 4/15/24 | | | 4,224 | |
2,900,000 | | DataBank Issuer 144A, 2.06%, 2/27/51 (b) | | | 2,904 | |
5,820,000 | | Dell Equipment Finance Trust 2020-2 144A, 0.57%, 10/23/23 (b) | | | 5,841 | |
1,305,000 | | Drive Auto Receivables Trust 2019-4, 2.51%, 11/17/25 | | | 1,329 | |
4,890,000 | | Drive Auto Receivables Trust 2020-1, 2.08%, 7/15/24 | | | 4,937 | |
3,620,000 | | Drive Auto Receivables Trust 2020-1, 2.36%, 3/16/26 | | | 3,696 | |
1,670,000 | | Drive Auto Receivables Trust 2020-2, 1.42%, 3/17/25 | | | 1,687 | |
2,516,363 | | Enterprise Fleet Financing 2019-2 LLC 144A, 2.29%, 2/20/25 (b) | | | 2,558 | |
11,225,170 | | FirstKey Homes 2020-SFR2 Trust 144A, 1.27%, 10/19/37 (b) | | | 11,196 | |
4,340,000 | | Ford Credit Auto Lease Trust 2020-A, 2.05%, 6/15/23 | | | 4,417 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
8,690,000 | | Ford Credit Floorplan Master Owner Trust A 2020-1, 0.70%, 9/15/25 | | $ | 8,735 | |
1,660,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.03%, 4/16/25 | | | 1,710 | |
1,290,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.18%, 5/16/25 | | | 1,330 | |
3,720,000 | | GMF Canada Leasing Trust 2020-1A 144A, 0.91%, 7/20/23 CAD (b)(c) | | | 3,036 | |
7,700,000 | | GMF Canada Leasing Trust 2020-1A 144A, 1.05%, 11/20/25 CAD (b)(c) | | | 6,294 | |
6,120,000 | | GMF Floorplan Owner Revolving Trust 2020-1 144A, 0.68%, 8/15/25 (b) | | | 6,153 | |
4,392,170 | | GreatAmerica Leasing Receivables Funding LLC Series 2019-1 144A, 3.05%, 9/15/22 (b) | | | 4,442 | |
3,800,000 | | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 144A, 1.76%, 8/15/23 (b) | | | 3,860 | |
4,750,000 | | GreatAmerica Leasing Receivables Funding LLC Series 2021-1 144A, 0.34%, 8/15/24 (b) | | | 4,740 | |
7,810,000 | | Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.180%), 1.29%, 9/15/37 (a)(b) | | | 7,837 | |
3,800,000 | | HPEFS Equipment Trust 2020-2A 144A, 0.69%, 7/22/30 (b) | | | 3,813 | |
3,666,459 | | Invitation Homes 2018-SFR1 Trust 144A, (1 mo. LIBOR USD + 0.700%), 0.82%, 3/17/37 (a)(b) | | | 3,674 | |
4,411,561 | | John Deere Owner Trust 2019-A, 2.91%, 7/17/23 | | | 4,470 | |
4,260,000 | | John Deere Owner Trust 2020-B, 0.51%, 11/15/24 | | | 4,272 | |
4,189,355 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.22%, 6/15/36 (a)(b) | | | 4,204 | |
3,930,000 | | Kubota Credit Owner Trust 2020-1 144A, 1.96%, 3/15/24 (b) | | | 4,019 | |
102,029 | | L.A. Arena Funding 0-1 LLC 144A, 7.66%, 12/15/26 (b) | | | 102 | |
3,228,163 | | LCM XX LP 144A, (3 mo. LIBOR USD + 1.040%), 1.23%, 10/20/27 (a)(b) | | | 3,230 | |
15,200,000 | | Madison Park Funding XXV Ltd. 144A, (3 mo. LIBOR USD + 0.970%), 1.06%, 4/25/29 (a)(b) | | | 15,200 | |
6,290,000 | | MMAF Equipment Finance LLC 2020-A 144A, 0.97%, 4/09/27 (b) | | | 6,345 | |
4,290,900 | | Navient Private Education Refi Loan Trust 2020-HA 144A, 1.31%, 1/15/69 (b) | | | 4,326 | |
8,686,420 | | Oak Street Investment Grade Net Lease Fund Series 2020-1A 144A, 1.85%, 11/20/50 (b) | | | 8,791 | |
Semi-Annual Report 19
Payden Low Duration Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
8,440,000 | | Oaktree CLO 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 2.18%, 7/15/29 (a)(b) | | $ | 8,458 | |
15,550,000 | | Octagon Investment Partners 32 Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 1.13%, 7/15/29 (a)(b) | | | 15,550 | |
799,626 | | OZLM XIII Ltd. 144A, (3 mo. LIBOR USD + 1.080%), 1.27%, 7/30/27 (a)(b) | | | 800 | |
12,600,000 | | Palmer Square CLO 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 2.19%, 4/20/29 (a)(b) | | | 12,625 | |
8,340,099 | | Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 0.98%, 2/20/28 (a)(b) | | | 8,311 | |
5,500,000 | | PFS Financing Corp. 144A, 0.71%, 4/15/26 (b) | | | 5,498 | |
2,100,000 | | PFS Financing Corp. 144A, 0.93%, 8/15/24 (b) | | | 2,112 | |
3,050,000 | | PFS Financing Corp. 144A, 0.97%, 2/15/26 (b) | | | 3,071 | |
6,230,000 | | PFS Financing Corp. 144A, 1.21%, 6/15/24 (b) | | | 6,286 | |
7,861,593 | | Regatta Funding LP 2013-2A 144A, (3 mo. LIBOR USD + 0.850%), 1.03%, 1/15/29 (a)(b) | | | 7,862 | |
4,410,000 | | Stack Infrastructure Issuer 2020-1A LLC 144A, 1.89%, 8/25/45 (b) | | | 4,410 | |
2,400,000 | | Stack Infrastructure Issuer 2021-1A LLC 144A, 1.88%, 3/26/46 (b) | | | 2,404 | |
5,880,000 | | STWD 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.19%, 7/15/38 (a)(b) | | | 5,889 | |
3,822,025 | | Taco Bell Funding 2018-1A LLC 144A, 4.32%, 11/25/48 (b) | | | 3,847 | |
5,700,000 | | Textainer Marine Containers VII Ltd. 144A, 2.23%, 4/20/46 (b) | | | 5,750 | |
1,000,000 | | Trillium Credit Card Trust II 2020-1A 144A, 2.33%, 12/26/24 (b) | | | 1,012 | |
7,960,000 | | TRTX 2019-FL3 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 1.57%, 10/15/34 (a)(b) | | | 7,988 | |
6,550,000 | | Vantage Data Centers 2020-1A LLC 144A, 1.65%, 9/15/45 (b) | | | 6,535 | |
2,860,000 | | VB-S1 Issuer 2020-1A LLC 144A, 3.03%, 6/15/50 (b) | | | 3,019 | |
8,707,920 | | Verizon Owner Trust 2019-A, 2.93%, 9/20/23 | | | 8,819 | |
4,506,372 | | Volvo Financial Equipment LLC Series 2019-1 144A, 3.00%, 3/15/23 (b) | | | 4,557 | |
1,323,000 | | Westlake Automobile Receivables Trust 2018-3 144A, 4.00%, 10/16/23 (b) | | | 1,354 | |
3,700,000 | | Westlake Automobile Receivables Trust 2020-1 144A, 2.80%, 6/16/25 (b) | | | 3,834 | |
3,780,000 | | Westlake Automobile Receivables Trust 2020-2 144A, 1.32%, 7/15/25 (b) | | | 3,819 | |
4,500,000 | | Wingstop Funding 2020-1A LLC 144A, 2.84%, 12/05/50 (b) | | | 4,594 | |
Total Asset Backed (Cost - $377,976) | | | 380,824 | |
Commercial Paper(d) (1%) | | | | |
4,000,000 | | San Diego Gas & Electric Co., 0.14%, 5/05/21 | | | 4,000 | |
12,000,000 | | Vectren Utility Holdings, Inc., 0.13%, 5/03/21 | | | 12,000 | |
Total Commercial Paper (Cost - $16,000) | | | 16,000 | |
Corporate Bond (35%) | | | | |
Financial (18%) | | | | |
1,100,000 | | Air Lease Corp., 2.25%, 1/15/23 | | | 1,129 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
765,000 | | Air Lease Corp., 2.75%, 1/15/23 | | $ | 790 | |
4,360,000 | | Akelius Residential Property AB, 1.13%, 3/14/24 EUR (c)(e) | | | 5,398 | |
2,240,000 | | Ally Financial Inc., 1.45%, 10/02/23 | | | 2,277 | |
1,890,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 2,051 | |
5,865,000 | | American Tower Corp., 0.60%, 1/15/24 | | | 5,865 | |
2,455,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 2,501 | |
3,070,000 | | Athene Global Funding 144A, 1.20%, 10/13/23 (b) | | | 3,101 | |
3,495,000 | | Athene Global Funding 144A, 2.80%, 5/26/23 (b) | | | 3,643 | |
2,420,000 | | Aviation Capital Group LLC 144A, 3.88%, 5/01/23 (b) | | | 2,531 | |
1,980,000 | | Aviation Capital Group LLC 144A, 4.38%, 1/30/24 (b) | | | 2,110 | |
4,600,000 | | Banco Bilbao Vizcaya Argentaria SA, 0.88%, 9/18/23 | | | 4,619 | |
3,000,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (b) | | | 3,069 | |
7,845,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.740%), 0.81%, 10/24/24 (a) | | | 7,863 | |
6,680,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.690%), 0.98%, 4/22/25 (a) | | | 6,700 | |
4,600,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.930%), 2.82%, 7/21/23 (a) | | | 4,732 | |
4,920,000 | | Banque Federative du Credit Mutuel SA 144A, 0.65%, 2/27/24 (b) | | | 4,924 | |
3,610,000 | | Barclays PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.800%), 1.01%, 12/10/24 (a) | | | 3,617 | |
2,795,000 | | BMW U.S. Capital LLC 144A, 0.80%, 4/01/24 (b) | | | 2,809 | |
3,791,000 | | BPCE SA 144A, 5.70%, 10/22/23 (b) | | | 4,225 | |
1,430,000 | | Brighthouse Financial Global Funding 144A, 1.00%, 4/12/24 (b) | | | 1,433 | |
4,000,000 | | Capital One Financial Corp., 0.80%, 6/12/24 EUR (c) | | | 4,918 | |
2,030,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (a) | | | 2,130 | |
3,300,000 | | CIT Group Inc., 5.00%, 8/15/22 | | | 3,480 | |
7,835,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.686%), 0.78%, 10/30/24 (a) | | | 7,841 | |
2,470,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.669%), 0.98%, 5/01/25 (a) | | | 2,479 | |
1,475,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 1.667%), 1.68%, 5/15/24 (a) | | | 1,509 | |
4,750,000 | | Credit Suisse Group AG 144A, 3.57%, 1/09/23 (b) | | | 4,839 | |
2,840,000 | | DBS Group Holdings Ltd. 144A, 2.85%, 4/16/22 (b)(f) | | | 2,907 | |
1,470,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 1,509 | |
4,420,000 | | Equinix Inc., 2.63%, 11/18/24 | | | 4,662 | |
3,850,000 | | FCA Bank SpA, 0.50%, 9/18/23 EUR (c)(e) | | | 4,682 | |
3,794,000 | | Fifth Third Bancorp, 3.65%, 1/25/24 | | | 4,090 | |
1,935,000 | | First Republic Bank, (U.S. Secured Overnight Financing Rate + 0.620%), 1.91%, 2/12/24 (a) | | | 1,983 | |
4,500,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 4,656 | |
20 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,980,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (b) | | $ | 4,115 | |
2,355,000 | | General Motors Financial Co. Inc., 3.15%, 6/30/22 | | | 2,419 | |
1,785,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (b) | | | 1,784 | |
5,410,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.538%), 0.63%, 11/17/23 (a) | | | 5,418 | |
8,155,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.572%), 0.67%, 3/08/24 (a) | | | 8,168 | |
3,600,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.609%), 0.86%, 2/12/26 (a) | | | 3,571 | |
1,198,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 0.821%), 2.88%, 10/31/22 (a) | | | 1,212 | |
4,095,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 1.053%), 2.91%, 6/05/23 (a) | | | 4,203 | |
1,645,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,790 | |
2,750,000 | | Hyundai Capital America 144A, 1.15%, 11/10/22 (b) | | | 2,765 | |
2,050,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 2,151 | |
1,255,000 | | Intercontinental Exchange Inc., 0.70%, 6/15/23 | | | 1,262 | |
3,260,000 | | Intesa Sanpaolo SpA 144A, 3.13%, 7/14/22 (b) | | | 3,348 | |
655,000 | | iStar Inc., 4.75%, 10/01/24 | | | 684 | |
3,935,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b) | | | 4,023 | |
3,510,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.420%), 0.56%, 2/16/25 (a) | | | 3,491 | |
7,930,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.580%), 0.70%, 3/16/24 (a) | | | 7,959 | |
5,005,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 1.21%, 11/28/23 (a)(b) | | | 5,055 | |
5,200,000 | | Mizuho Financial Group Inc., (U.S. Secured Overnight Financing Rate + 0.872%), 0.85%, 9/08/24 (a) | | | 5,216 | |
6,920,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.455%), 0.53%, 1/25/24 (a) | | | 6,918 | |
4,300,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.466%), 0.56%, 11/10/23 (a) | | | 4,306 | |
3,360,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.616%), 0.73%, 4/05/24 (a) | | | 3,369 | |
2,230,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.745%), 0.86%, 10/21/25 (a) | | | 2,229 | |
3,435,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.152%), 2.72%, 7/22/25 (a) | | | 3,629 | |
2,825,000 | | National Bank of Canada, 2.10%, 2/01/23 | | | 2,906 | |
7,770,000 | | Nationwide Building Society 144A, 0.55%, 1/22/24 (b) | | | 7,750 | |
5,420,000 | | Natwest Group PLC, (3 mo. LIBOR USD + 1.470%), 1.66%, 5/15/23 (a) | | | 5,478 | |
2,200,000 | | NIBC Bank NV, 3.13%, 11/15/23 GBP (c)(e) | | | 3,200 | |
2,160,000 | | Owl Rock Capital Corp., 4.25%, 1/15/26 | | | 2,325 | |
1,520,000 | | Owl Rock Technology Finance Corp. 144A, 3.75%, 6/17/26 (b) | | | 1,592 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,995,000 | | Reliance Standard Life Global Funding II 144A, 2.15%, 1/21/23 (b) | | $ | 2,050 | |
5,400,000 | | Reliance Standard Life Global Funding II 144A, 3.85%, 9/19/23 (b) | | | 5,796 | |
2,050,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 2,103 | |
3,800,000 | | SBA Tower Trust 144A, 1.63%, 11/15/26 (b) | | | 3,808 | |
2,850,000 | | SBA Tower Trust 144A, 1.88%, 1/15/26 (b) | | | 2,900 | |
1,195,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (b) | | | 1,207 | |
1,136,000 | | SLM Corp., 5.13%, 4/05/22 | | | 1,165 | |
4,000,000 | | Stellantis NV, 5.25%, 4/15/23 | | | 4,341 | |
8,105,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 0.85%, 3/25/24 (b) | | | 8,128 | |
515,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 528 | |
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) | | | 1,519 | |
2,940,000 | | UBS Group AG 144A, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.830%), 1.01%, 7/30/24 (a)(b) | | | 2,960 | |
2,500,000 | | UBS Group AG 144A, (3 mo. LIBOR USD + 0.954%), 2.86%, 8/15/23 (a)(b) | | | 2,573 | |
2,330,000 | | UBS Group AG 144A, 3.49%, 5/23/23 (b) | | | 2,404 | |
1,000,000 | | UniCredit SpA 144A, 6.57%, 1/14/22 (b) | | | 1,039 | |
3,075,000 | | Ventas Realty LP, 2.65%, 1/15/25 | | | 3,244 | |
5,640,000 | | Volkswagen Group of America Finance LLC 144A, 0.88%, 11/22/23 (b) | | | 5,668 | |
| | | | | 292,131 | |
Industrial (12%) | | | | |
335,000 | | 3M Co., 2.65%, 4/15/25 | | | 358 | |
5,580,000 | | 7-Eleven Inc. 144A, 0.80%, 2/10/24 (b) | | | 5,574 | |
5,000,000 | | AbbVie Inc., 2.30%, 11/21/22 | | | 5,147 | |
7,400,000 | | AbbVie Inc., 2.60%, 11/21/24 | | | 7,840 | |
5,400,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 2/15/23 (b) | | | 5,559 | |
5,470,000 | | AT&T Inc., 0.90%, 3/25/24 | | | 5,483 | |
3,650,000 | | Becton Dickinson Euro Finance Sarl, 0.63%, 6/04/23 EUR (c) | | | 4,454 | |
3,950,000 | | Bell Canada, 0.75%, 3/17/24 | | | 3,947 | |
1,425,000 | | Berry Global Inc. 144A, 0.95%, 2/15/24 (b) | | | 1,423 | |
7,060,000 | | Boeing Co., 1.43%, 2/04/24 | | | 7,083 | |
2,055,000 | | Cigna Corp., 0.61%, 3/15/24 | | | 2,054 | |
2,455,000 | | CNH Industrial Capital LLC, 1.95%, 7/02/23 | | | 2,525 | |
3,990,000 | | Daimler Finance North America LLC 144A, 0.75%, 3/01/24 (b) | | | 3,981 | |
2,147,000 | | Daimler Finance North America LLC 144A, 3.35%, 2/22/23 (b) | | | 2,251 | |
8,000,000 | | Daimler Finance North America LLC 144A, 3.70%, 5/04/23 (b) | | | 8,476 | |
730,000 | | Elanco Animal Health Inc., 4.91%, 8/27/21 | | | 738 | |
1,345,000 | | Element Fleet Management Corp. 144A, 1.60%, 4/06/24 (b) | | | 1,361 | |
1,985,000 | | Fidelity National Information Services Inc., 0.60%, 3/01/24 | | | 1,982 | |
4,700,000 | | Fidelity National Information Services Inc., 0.75%, 5/21/23 EUR (c) | | | 5,749 | |
Semi-Annual Report 21
Payden Low Duration Fund continued
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
2,665,000 | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25 | | $ | 2,915 | |
3,000,000 | | General Motors Financial Co. Inc., 1.05%, 3/08/24 | | | 3,007 | |
1,845,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.310%), 1.51%, 6/30/22 (a) | | | 1,865 | |
2,520,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%), 1.74%, 1/14/22 (a) | | | 2,541 | |
8,300,000 | | Glencore Funding LLC 144A, 4.63%, 4/29/24 (b) | | | 9,176 | |
3,290,000 | | Graphic Packaging International LLC 144A, 0.82%, 4/15/24 (b) | | | 3,276 | |
1,000,000 | | HCA Inc., 4.75%, 5/01/23 | | | 1,078 | |
3,760,000 | | Hyundai Capital America 144A, 1.25%, 9/18/23 (b) | | | 3,794 | |
1,660,000 | | Infor Inc. 144A, 1.45%, 7/15/23 (b) | | | 1,683 | |
2,320,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 2,353 | |
675,000 | | McDonald’s Corp., 3.30%, 7/01/25 | | | 736 | |
6,075,000 | | Microchip Technology Inc. 144A, 0.97%, 2/15/24 (b) | | | 6,070 | |
3,185,000 | | Microchip Technology Inc. 144A, 2.67%, 9/01/23 (b) | | | 3,324 | |
7,200,000 | | Mylan Inc. 144A, 3.13%, 1/15/23 (b) | | | 7,492 | |
6,545,000 | | Nissan Motor Acceptance Corp. 144A, 1.05%, 3/08/24 (b) | | | 6,547 | |
1,000,000 | | Nordstrom Inc. 144A, 2.30%, 4/08/24 (b) | | | 1,004 | |
3,575,000 | | NTT Finance Corp. 144A, 0.58%, 3/01/24 (b) | | | 3,572 | |
1,315,000 | | Nutrition & Biosciences Inc. 144A, 0.70%, 9/15/22 (b) | | | 1,318 | |
4,140,000 | | NXP BV/NXP Funding LLC 144A, 4.63%, 6/01/23 (b) | | | 4,472 | |
3,155,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (b) | | | 3,351 | |
7,450,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 4.25%, 1/17/23 (b) | | | 7,908 | |
4,460,000 | | Royalty Pharma PLC 144A, 0.75%, 9/02/23 (b) | | | 4,461 | |
1,657,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 1,698 | |
5,740,000 | | Ryder System Inc., 3.40%, 3/01/23 | | | 6,036 | |
1,550,000 | | Sirius XM Radio Inc. 144A, 3.88%, 8/01/22 (b) | | | 1,560 | |
1,050,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21 (b) | | | 1,052 | |
1,595,000 | | SMBC Aviation Capital Finance DAC 144A, 3.00%, 7/15/22 (b) | | | 1,634 | |
1,415,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (b) | | | 1,426 | |
2,860,000 | | Southwest Airlines Co., 4.75%, 5/04/23 | | | 3,094 | |
582,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 587 | |
1,150,000 | | Stryker Corp., 0.60%, 12/01/23 | | | 1,151 | |
930,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 931 | |
3,800,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | | | 3,767 | |
1,100,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4/15/24 | | | 1,162 | |
800,000 | | Teva Pharmaceutical Finance Netherlands III BV, 7.13%, 1/31/25 | | | 874 | |
865,000 | | T-Mobile USA Inc., 2.25%, 2/15/26 | | | 872 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
855,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | $ | 901 | |
2,015,000 | | Verizon Communications Inc., 0.75%, 3/22/24 | | | 2,023 | |
3,000,000 | | Viatris Inc. 144A, 1.13%, 6/22/22 (b) | | | 3,020 | |
1,560,000 | | Volkswagen Group of America Finance LLC 144A, 2.70%, 9/26/22 (b) | | | 1,609 | |
7,175,000 | | Volkswagen Group of America Finance LLC 144A, 2.90%, 5/13/22 (b) | | | 7,357 | |
1,340,000 | | Westinghouse Air Brake Technologies Corp., 3.20%, 6/15/25 | | | 1,431 | |
| | | | | 200,113 | |
Utility (5%) | | | | |
3,725,000 | | Aker BP ASA 144A, 2.88%, 1/15/26 (b) | | | 3,873 | |
5,835,000 | | Alexander Funding Trust 144A, 1.84%, 11/15/23 (b)(f) | | | 5,919 | |
2,000,000 | | CenterPoint Energy Resources Corp., 0.70%, 3/02/23 | | | 2,001 | |
2,145,000 | | Diamondback Energy Inc., 0.90%, 3/24/23 | | | 2,146 | |
7,700,000 | | Enel Finance International NV 144A, 2.88%, 5/25/22 (b) | | | 7,888 | |
1,435,000 | | Energy Transfer LP, 3.60%, 2/01/23 | | | 1,493 | |
3,930,000 | | Energy Transfer LP, 4.25%, 3/15/23 | | | 4,137 | |
1,865,000 | | Gray Oak Pipeline LLC 144A, 2.00%, 9/15/23 (b) | | | 1,903 | |
2,255,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 1.46%, 1/15/23 (a) | | | 2,290 | |
3,870,000 | | NextEra Energy Capital Holdings Inc., 0.65%, 3/01/23 | | | 3,883 | |
1,815,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (b) | | | 1,926 | |
7,985,000 | | ONE Gas Inc., 1.10%, 3/11/24 | | | 7,990 | |
3,835,000 | | Pacific Gas and Electric Co., (3 mo. LIBOR USD + 1.375%), 1.57%, 11/15/21 (a) | | | 3,848 | |
4,980,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 4,985 | |
3,925,000 | | Phillips 66, 0.90%, 2/15/24 | | | 3,930 | |
1,920,000 | | Pioneer Natural Resources Co., 0.75%, 1/15/24 | | | 1,921 | |
2,120,000 | | Saudi Arabian Oil Co. 144A, 1.25%, 11/24/23 (b) | | | 2,148 | |
614,286 | | Southern California Edison Co., 1.85%, 2/01/22 | | | 615 | |
7,710,000 | | Southern Co., 0.60%, 2/26/24 | | | 7,699 | |
8,160,000 | | Southern Co. Gas Capital Corp., 2.45%, 10/01/23 | | | 8,502 | |
4,000,000 | | Valero Energy Corp., 2.70%, 4/15/23 | | | 4,160 | |
3,800,000 | | Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (b) | | | 3,945 | |
| | | | | 87,202 | |
Total Corporate Bond (Cost - $572,823) | | | 579,446 | |
Foreign Government (0%) | | | | |
1,960,000 | | Abu Dhabi Government International Bond 144A, 2.50%, 10/11/22 (b) | | | 2,021 | |
2,120,000 | | Fondo MIVIVIENDA SA 144A, 3.50%, 1/31/23 (b) | | | 2,181 | |
646,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 646 | |
Total Foreign Government (Cost - $4,716) | | | 4,848 | |
22 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Mortgage Backed (17%) | | | | |
129,424,053 | | Benchmark 2018-B6 Mortgage Trust, 0.59%, 10/10/51 (g) | | $ | 2,896 | |
2,821,534 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 0.920%), 1.04%, 10/15/36 (a)(b) | | | 2,828 | |
2,840,344 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.080%), 1.20%, 10/15/36 (a)(b) | | | 2,845 | |
1,626,703 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%), 1.72%, 12/15/36 (a)(b) | | | 1,629 | |
2,150,000 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 0.930%), 1.04%, 10/15/37 (a)(b) | | | 2,155 | |
6,480,000 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 1.130%), 1.24%, 10/15/37 (a)(b) | | | 6,490 | |
7,050,000 | | BXMT 2021-FL4 Ltd. 144A, (1 mo. LIBOR USD + 1.050%), 1.17%, 5/15/38 (a)(b) | | | 7,065 | |
22,453,996 | | Cantor Commercial Real Estate Lending 2019-CF1, 1.30%, 5/15/52 (g) | | | 1,577 | |
9,016,504 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.17%, 6/15/34 (a)(b) | | | 8,805 | |
44,698,392 | | Citigroup Commercial Mortgage Trust 2018-C6, 0.95%, 11/10/51 (g) | | | 2,298 | |
20,583,822 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 0.900%), 1.01%, 11/15/37 (a)(b) | | | 20,708 | |
5,740,000 | | COMM 2019-WCM Mortgage Trust 144A, (1 mo. LIBOR USD + 0.900%), 1.02%, 10/15/34 (a)(b) | | | 5,749 | |
6,462,316 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 11/25/39 (a)(b) | | | 6,434 | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.36%, 11/25/39 (a)(b) | | | 4,267 | |
5,014,110 | | Connecticut Avenue Securities Trust 2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 9/25/39 (a)(b) | | | 5,038 | |
2,276,195 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 10/25/39 (a)(b) | | | 2,291 | |
1,316,479 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 1/25/40 (a)(b) | | | 1,326 | |
900,000 | | Connecticut Avenue Securities Trust 2020-SBT1 144A, (1 mo. LIBOR USD + 3.650%), 3.76%, 2/25/40 (a)(b) | | | 932 | |
2,860,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 1.230%), 1.35%, 5/15/36 (a)(b) | | | 2,872 | |
1,654,018 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 2.31%, 8/25/30 (a) | | | 1,675 | |
4,359,426 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.250%), 2.36%, 7/25/30 (a) | | | 4,408 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
6,724,550 | | FN AS7638 15YR, 2.50%, 7/01/31 | | $ | 7,029 | |
8,334,655 | | FN BM5108 15YR, 3.00%, 2/01/33 | | | 8,785 | |
22,726,236 | | FR SB0084 15YR, 3.00%, 2/01/32 | | | 24,085 | |
13,457,930 | | FR SB0373 15YR, 3.00%, 7/01/33 | | | 14,270 | |
4,872,906 | | FR ZS7279 15YR, 2.50%, 1/01/29 | | | 5,098 | |
4,584,894 | | FR ZS8617 15YR, 2.50%, 8/01/31 | | | 4,793 | |
12,831,265 | | Freddie Mac, 1.00%, 4/15/54 | | | 13,025 | |
16,650,000 | | Freddie Mac Multifamily Structured Pass-Through Certificates, 2.95%, 7/25/24 | | | 17,741 | |
3,031,942 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 9/25/49 (a)(b) | | | 3,054 | |
3,522,544 | | Freddie Mac STACR REMIC Trust 2019-HQA4 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 11/25/49 (a)(b) | | | 3,531 | |
1,858,039 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 1.700%), 1.81%, 1/25/50 (a)(b) | | | 1,867 | |
1,020,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 2/25/50 (a)(b) | | | 1,031 | |
3,484,578 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.01%, 1/25/50 (a)(b) | | | 3,507 | |
1,170,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 3.100%), 3.21%, 3/25/50 (a)(b) | | | 1,197 | |
4,900,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.650%), 0.66%, 1/25/51 (a)(b) | | | 4,902 | |
13,900,000 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.700%), 0.71%, 8/25/33 (a)(b) | | | 13,907 | |
2,259,159 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 1.950%), 2.06%, 10/25/49 (a)(b) | | | 2,273 | |
10,533,278 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.51%, 2/25/49 (a)(b) | | | 10,542 | |
1,450,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 4.71%, 12/25/42 (a) | | | 1,487 | |
1,114,191 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.36%, 10/25/29 (a) | | | 1,234 | |
5,000,000 | | JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP 144A, (1 mo. LIBOR USD + 1.160%), 1.28%, 7/15/36 (a)(b) | | | 5,000 | |
1,135,589 | | JP Morgan Mortgage Trust 2017-5 144A, 3.00%, 10/26/48 (b)(g) | | | 1,144 | |
1,070,000 | | MF1 2020-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.850%), 2.96%, 7/15/35 (a)(b) | | | 1,090 | |
3,400,000 | | Morgan Stanley Capital I Trust 2017-CLS 144A, (1 mo. LIBOR USD + 0.700%), 0.82%, 11/15/34 (a)(b) | | | 3,403 | |
Semi-Annual Report 23
Payden Low Duration Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,231,066 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 1.700%), 1.81%, 10/15/49 (a)(b) | | $ | 1,232 | |
1,395,517 | | New Residential Mortgage Loan Trust 2017-1 144A, 4.00%, 2/25/57 (b)(g) | | | 1,493 | |
3,226,145 | | New Residential Mortgage Loan Trust 2017-3 144A, 4.00%, 4/25/57 (b)(g) | | | 3,442 | |
3,016,793 | | New Residential Mortgage Loan Trust 2017-4 144A, 4.00%, 5/25/57 (b)(g) | | | 3,229 | |
8,450,000 | | ONE 2021-PARK Mortgage Trust 144A, (1 mo. LIBOR USD + 0.700%), 0.82%, 3/15/36 (a)(b) | | | 8,448 | |
3,956,081 | | PFP 2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.050%), 1.17%, 4/14/37 (a)(b) | | | 3,960 | |
3,510,000 | | PFP 2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 1.57%, 4/14/37 (a)(b) | | | 3,512 | |
6,896,385 | | Provident Funding Mortgage Trust 2020-F1 144A, 2.00%, 1/25/36 (b)(g) | | | 7,058 | |
4,848,627 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 1.76%, 4/25/43 (a)(b) | | | 4,858 | |
2,750,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 3.86%, 4/25/43 (a)(b) | | | 2,826 | |
650,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%),
10.61%, 2/25/47 (a)(b) | | | 740 | |
Total Mortgage Backed (Cost - $288,573) | | | 289,081 | |
Municipal (0%) | | | | |
1,415,000 | | California Earthquake Authority, 1.33%, 7/01/22 | | | | |
| | (Cost - $1,415) | | | 1,431 | |
U.S. Treasury (25%) | | | | |
54,540,000 | | U.S. Treasury Bill, 0.06%, 3/24/22 (d) | | | 54,520 | |
5,005,000 | | U.S. Treasury Bill, 0.10%, 11/04/21 (d)(h) | | | 5,004 | |
101,395,000 | | U.S. Treasury Note, 0.13%, 1/31/23 | | | 101,371 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
4,450,000 | | U.S. Treasury Note, 0.13%, 2/28/23 | | $ | 4,449 | |
91,135,000 | | U.S. Treasury Note, 0.13%, 3/31/23 | | | 91,092 | |
17,355,000 | | U.S. Treasury Note, 0.13%, 4/30/23 | | | 17,343 | |
121,440,000 | | U.S. Treasury Note, 0.13%, 1/15/24 | | | 120,937 | |
12,955,000 | | U.S. Treasury Note, 0.38%, 4/15/24 | | | 12,972 | |
1,191,000 | | U.S. Treasury Note, 2.75%, 5/31/23 (h)(i) | | | 1,255 | |
Total U.S. Treasury (Cost - $409,183) | | | 408,943 | |
Investment Company (0%) | | | | |
4,214,748 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $4,215) | | | 4,215 | |
Total Investments (Cost - $1,674,901) (101%) | | | 1,684,788 | |
Liabilities in excess of Other Assets (-1%) | | | (9,675) | |
Net Assets (100%) | | $ | 1,675,113 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (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) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $966 and the total market value of the collateral held by the Fund is $991. Amounts in 000s. |
| (g) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (h) | All or a portion of the security is pledged to cover futures contract margin requirements. |
| (i) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | |
CAD 16 | | USD 13 | | HSBC Bank USA, N.A. | | | 06/22/2021 | | | $ | — | |
EUR 44 | | USD 53 | | Citibank, N.A. | | | 06/22/2021 | | | | 1 | |
USD 3,256 | | GBP 2,347 | | HSBC Bank USA, N.A. | | | 06/22/2021 | | | | 14 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15 | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
USD 25,179 | | EUR 21,105 | | Citibank, N.A. | | | 06/22/2021 | | | | (223 | ) |
USD 18,691 | | CAD 23,339 | | HSBC Bank USA, N.A. | | | 06/22/2021 | | | | (299 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (522 | ) |
| | | | | | | | | | | | |
Net Unrealized Appreciation/(Depreciation) | | | | | | | | | | $ | (507 | ) |
| | | | | | | | | | | | |
24 Payden Mutual Funds
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | | Expiration Date | | | Notional Amount (000s) | | | Current Value (000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | |
90 Day Eurodollar Future | | | 369 | | | | Sep-23 | | | $ | 91,424 | | | $ | (8 | ) | | $ | (8) | |
U.S. Treasury 2-Year Note Future | | | 1,641 | | | | Jun-21 | | | | 362,264 | | | | (211 | ) | | | (211) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (219) | |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | |
90 Day Eurodollar Future | | | 369 | | | | Sep-25 | | | | (90,423 | ) | | | 83 | | | | 83 | |
U.S. Treasury 10-Year Note Future | | | 477 | | | | Jun-21 | | | | (62,979 | ) | | | 844 | | | | 844 | |
U.S. Treasury 5-Year Note Future | | | 270 | | | | Jun-21 | | | | (33,463 | ) | | | 88 | | | | 88 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 1,015 | |
| | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | $ | 796 | |
| | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Depreciation
(000s) | |
2-Year SOFR Swap, Receive Fixed 0.03% Annually, Pay Variable 0.01% (SOFRRATE) Annually | | | 08/20/2022 | | | $ | 10,000 | | | $ | (3 | ) | | $ | — | | | $ | (3 | ) |
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 | | $ | 966 | |
Non-cash Collateral2 | | | (966 | ) |
| | | | |
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, 2021, 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 25
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 | | | 90 | % |
U.S. Treasury | | | 5 | % |
Asset Backed | | | 3 | % |
FDIC Guaranteed | | | 1 | % |
Investment Company | | | 1 | % |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
Asset Backed (3%) | | | | |
996,905 | | Fannie Mae Grantor Trust 2017-T1, 2.90%, 6/25/27
(Cost - $1,010) | | $ | 1,083 | |
FDIC Guaranteed (1%) | | | | |
208,482 | | FDIC Guaranteed Notes Trust 2010-S1 144A, 3.25%, 4/25/38 (a) | | | 210 | |
Mortgage Backed (90%) | | | | |
995,703 | | Fannie Mae-Aces, 0.96%, 2/25/31 | | | 975 | |
944,594 | | FG C91912 20YR, 3.00%, 2/01/37 | | | 999 | |
43,050 | | FH 2B0709 ARM, (12 mo. LIBOR USD + 1.750%), 2.51%, 8/01/42 (b) | | | 45 | |
121,237 | | FH 2B0972 ARM, (12 mo. LIBOR USD + 1.770%), 2.21%, 11/01/42 (b) | | | 128 | |
586,891 | | FH 2B4763 ARM, (12 mo. LIBOR USD + 1.620%), 2.16%, 10/01/45 (b) | | | 612 | |
103,179 | | FH 849486 ARM, (12 mo. LIBOR USD + 1.874%), 2.86%, 8/01/41 (b) | | | 110 | |
427,797 | | FH 849506 ARM, (12 mo. LIBOR USD + 1.610%), 2.89%, 11/01/44 (b) | | | 447 | |
833,510 | | FHLMC Multifamily Structured Pass-Through Certificates, (1 mo. LIBOR USD + 0.360%), 0.47%, 7/25/24 (b) | | | 834 | |
1,000,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 0.70%, 4/25/29 (c) | | | 975 | |
916,373 | | FHLMC Multifamily Structured Pass-Through Certificates, 1.16%, 5/25/50 (c) | | | 924 | |
268,481 | | FN 890434 15YR, 3.00%, 7/01/27 | | | 285 | |
528,618 | | FN AH3394 30YR, 4.00%, 1/01/41 | | | 583 | |
117,209 | | FN AI4019 ARM, (12 mo. LIBOR USD + 1.750%), 2.69%, 7/01/41 (b) | | | 124 | |
917,100 | | FN AL2095 15YR, 3.00%, 6/01/27 | | | 972 | |
595,328 | | FN AL2221 15YR, 3.00%, 7/01/27 | | | 631 | |
127,634 | | FN AL5596 ARM, (12 mo. LIBOR USD + 1.552%), 1.93%, 2/01/44 (b) | | | 133 | |
139,043 | | FN AL5790 ARM, (12 mo. LIBOR USD + 1.566%), 2.07%, 10/01/44 (b) | | | 145 | |
159,990 | | FN AL5967 ARM, (12 mo. LIBOR USD + 1.576%), 2.07%, 11/01/44 (b) | | | 167 | |
513,181 | | FN AL7648 ARM, (12 mo. LIBOR USD + 1.585%), 2.64%, 10/01/45 (b) | | | 538 | |
389,384 | | FN AP4746 15YR, 3.00%, 8/01/27 | | | 413 | |
829,226 | | FN AS1745 15YR, 3.00%, 2/01/29 | | | 880 | |
710,903 | | FN AS4186 15YR, 2.50%, 1/01/30 | | | 748 | |
335,582 | | FN AS6443 15YR, 3.00%, 12/01/30 | | | 359 | |
670,762 | | FN AS8013 15YR, 2.50%, 9/01/31 | | | 708 | |
77,037 | | FN AU6974 ARM, (12 mo. LIBOR USD + 1.580%), 2.03%, 11/01/43 (b) | | | 81 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
| | | | |
226,162 | | FN AU8673 ARM, (12 mo. LIBOR USD + 1.530%), 1.91%, 2/01/44 (b) | | $ | 236 | |
624,727 | | FN AZ2886 ARM, (12 mo. LIBOR USD + 1.600%), 2.63%, 9/01/45 (b) | | | 656 | |
561,757 | | FN AZ4380 ARM, (12 mo. LIBOR USD + 1.590%), 2.37%, 8/01/45 (b) | | | 586 | |
652,715 | | FN BD2473 ARM, (12 mo. LIBOR USD + 1.620%), 2.45%, 1/01/47 (b) | | | 680 | |
443,899 | | FN BE7522 15YR, 2.50%, 2/01/32 | | | 464 | |
950,550 | | FN BM3938 15YR, 3.50%, 4/01/33 | | | 1,039 | |
738,913 | | FN BM4153 15YR, 3.00%, 6/01/33 | | | 785 | |
570,299 | | FN BO3231 ARM, (12 mo. LIBOR USD + 1.620%), 2.70%, 10/01/49 (b) | | | 599 | |
818,761 | | FN BP6814 ARM, (12 mo. LIBOR USD +1.610%), 2.28%, 5/01/50 (b) | | | 853 | |
745,459 | | FN CA4462 15YR, 3.00%, 11/01/34 | | | 795 | |
976,472 | | FN FM5537 15YR, 2.00%, 1/01/36 | | | 1,009 | |
716,312 | | FN MA2868 15YR, 2.50%, 1/01/32 | | | 752 | |
130,743 | | FNR 2002-10-FA, (1 mo. LIBOR USD + 0.750%), 0.86%, 2/25/32 (b) | | | 133 | |
921,869 | | FRESB 2020-SB78 Mortgage Trust, 0.82%, 6/25/40 (c) | | | 926 | |
958,260 | | FRESB 2020-SB79 Mortgage Trust, 0.80%, 7/25/40 (c) | | | 955 | |
997,947 | | FRESB 2021-SB83 Mortgage Trust, 0.63%, 1/25/26 (c) | | | 993 | |
604,135 | | G2 778200, 4.00%, 2/20/32 | | | 659 | |
404,926 | | G2 778203, 4.75%, 2/20/32 | | | 451 | |
981,390 | | G2 AD0857, 3.75%, 9/20/33 | | | 1,073 | |
322,289 | | G2 AY5132, 3.25%, 7/20/37 | | | 347 | |
659,118 | | G2 AY5138, 3.25%, 12/20/37 | | | 709 | |
624,404 | | GN 728153, 5.50%, 10/15/29 | | | 707 | |
313,276 | | GN 737791 30YR, 4.50%, 12/15/40 | | | 356 | |
3,564,680 | | GNR 2014-79 ST, 2.11%, 7/20/29 (c) | | | 41 | |
Total Mortgage Backed (Cost - $28,578) | | | 28,620 | |
U.S. Treasury (5%) | | | | |
1,600,000 | | U.S. Treasury Bill, 0.00%, 5/20/21 (d)
(Cost - $1,600) | | | 1,600 | |
Investment Company (0%) | | | | |
142,642 | | Payden Cash Reserves Money Market Fund *
(Cost - $143) | | | 143 | |
Total Investments (Cost - $31,540) (99%) | | | 31,656 | |
Other Assets, net of Liabilities (1%) | | | 307 | |
Net Assets (100%) | | | $31,963 | |
26 Payden Mutual Funds
| (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, 2021. |
| (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) | Yield to maturity at time of purchase. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | | | | | | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value (000s) | | | Unrealized
Appreciation
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
90 Day Eurodollar | | | 16 | | | | | | | | | | Sep-23 | | | $ | 3,964 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
90 Day Eurodollar | | | 16 | | | | | | | | | | Sep-25 | | | | (3,921 | ) | | | 3 | | | | 3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | | | $ | 3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 27
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 | | | 96 | % |
U.S. Treasury | | | 3 | % |
Investment Company | | | 1 | % |
Schedule of Investments—April 30, 2021 (Unaudited)
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
Mortgage Backed (136%) | | | | |
803,642 | | Fannie Mae-Aces, (1 mo. LIBOR USD + 0.590%), 0.70%, 9/25/23 (a) | | $ | 807 | |
499,207 | | FH 2B4763 ARM, (12 mo. LIBOR USD + 1.620%), 2.16%, 10/01/45 (a) | | | 521 | |
710,588 | | FHLMC Multifamily Structured Pass-Through Certificates, (1 mo. LIBOR USD + 0.220%), 0.33%, 3/25/25 (a) | | | 711 | |
1,215,233 | | FHLMC Multifamily Structured Pass-Through Certificates, (1 mo. LIBOR USD + 0.500%), 0.61%, 1/25/23 (a) | | | 1,214 | |
1,390,718 | | FHLMC Multifamily Structured Pass-Through Certificates, (1 mo. LIBOR USD + 0.700%), 0.81%, 9/25/22 (a) | | | 1,393 | |
711,491 | | FHR 3047 FV, (1 mo. LIBOR USD + 0.300%), 0.41%, 1/15/35 (a) | | | 712 | |
316,410 | | FN BM2007 30YR, 4.00%, 9/01/48 | | | 340 | |
113,210 | | FNR 2007-110 FA, (1 mo. LIBOR USD + 0.620%), 0.73%, 12/25/37 (a) | | | 115 | |
282,869 | | FNR 2010-86 FE, (1 mo. LIBOR USD + 0.450%), 0.56%, 8/25/25 (a) | | | 283 | |
288,517 | | G2 3711 30YR, 5.50%, 5/20/35 | | | 339 | |
382,775 | | G2 3747 30YR, 5.00%, 8/20/35 | | | 438 | |
231,233 | | G2 3772 30YR, 5.00%, 10/20/35 | | | 265 | |
423,299 | | G2 3785 30YR, 5.00%, 11/20/35 | | | 484 | |
484,843 | | G2 4802 30YR, 5.00%, 9/20/40 | | | 558 | |
1,597,288 | | G2 4853 30YR, 4.00%, 11/20/40 | | | 1,773 | |
253,549 | | G2 4978 30YR, 4.50%, 3/20/41 | | | 284 | |
540,537 | | G2 5055 30YR, 4.50%, 5/20/41 | | | 606 | |
638,785 | | G2 5083 30YR, 5.00%, 6/20/41 | | | 735 | |
856,505 | | G2 5115 30YR, 4.50%, 7/20/41 | | | 962 | |
1,294,268 | | G2 5139 30YR, 4.00%, 8/20/41 | | | 1,437 | |
286,813 | | G2 5140 30YR, 4.50%, 8/20/41 | | | 322 | |
752,505 | | G2 5233 30YR, 4.00%, 11/20/41 | | | 837 | |
1,648,473 | | G2 5258 30YR, 3.50%, 12/20/41 | | | 1,798 | |
1,030,831 | | G2 5332 30YR, 4.00%, 3/20/42 | | | 1,153 | |
497,087 | | G2 770239 30YR, 4.00%, 2/20/42 | | | 548 | |
1,093,375 | | G2 785289 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.32%, 12/20/47 (a) | | | 1,142 | |
138,533 | | G2 80013 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.13%, 11/20/26 (a) | | | 140 | |
310,087 | | G2 80029 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/27 (a) | | | 319 | |
325,258 | | G2 80044 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 2/20/27 (a) | | | 334 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
| | | | | | |
480,506 | | G2 80052 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 3/20/27 (a) | | $ | 493 | |
338,570 | | G2 80059 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.88%, 4/20/27 (a) | | | 350 | |
13,098 | | G2 8006 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 7/20/22 (a) | | | 13 | |
814,073 | | G2 80074 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.88%, 5/20/27 (a) | | | 843 | |
1,395,234 | | G2 80152 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/28 (a) | | | 1,438 | |
358,900 | | G2 80154 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/28 (a) | | | 370 | |
574,414 | | G2 80169 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 2/20/28 (a) | | | 592 | |
847,943 | | G2 80184 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.88%, 4/20/28 (a) | | | 881 | |
45,596 | | G2 80311 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 8/20/29 (a) | | | 47 | |
863,712 | | G2 80319 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 9/20/29 (a) | | | 898 | |
57,301 | | G2 8041 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 8/20/22 (a) | | | 58 | |
52,628 | | G2 80424 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 7/20/30 (a) | | | 53 | |
113,293 | | G2 80428 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 7/20/30 (a) | | | 119 | |
239,167 | | G2 80541 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 9/20/31 (a) | | | 249 | |
28 Payden Mutual Funds
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
185,909 | | G2 80569 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/32 (a) | | $ | 193 | |
46,254 | | G2 80579 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 2/20/32 (a) | | | 48 | |
693,035 | | G2 80637 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 9/20/32 (a) | | | 724 | |
1,422,473 | | G2 80795 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.13%, 12/20/33 (a) | | | 1,463 | |
553,153 | | G2 80826 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 2/20/34 (a) | | | 577 | |
866,583 | | G2 80835 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 2/20/34 (a) | | | 889 | |
122,874 | | G2 80837 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 2/20/34 (a) | | | 128 | |
143,440 | | G2 81018 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 8/20/34 (a) | | | 150 | |
7,775 | | G2 81044 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 8/20/34 (a) | | | 8 | |
12,444 | | G2 8121 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/23 (a) | | | 13 | |
472,274 | | G2 81214 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/35 (a) | | | 485 | |
199,036 | | G2 81220 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/35 (a) | | | 204 | |
172,524 | | G2 81278 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 3/20/35 (a) | | | 180 | |
803,673 | | G2 81282 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 3/20/35 (a) | | | 839 | |
786,694 | | G2 82074 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.88%, 5/20/38 (a) | | | 828 | |
617,569 | | G2 82107 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 7/20/38 (a) | | | 648 | |
109,641 | | G2 82151 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 9/20/38 (a) | | | 110 | |
20,532 | | G2 8228 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 7/20/23 (a) | | | 21 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
1,094,809 | | G2 82457 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/40 (a) | | $ | 1,144 | |
612,950 | | G2 82463 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/40 (a) | | | 641 | |
478,391 | | G2 82737 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 2/20/41 (a) | | | 500 | |
155,068 | | G2 83031 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.75%, 1/20/42 (a) | | | 158 | |
54,367 | | G2 8358 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 1/20/24 (a) | | | 55 | |
253,216 | | G2 8547 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.13%, 11/20/24 (a) | | | 260 | |
37,715 | | G2 8595 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 3.00%, 2/20/25 (a) | | | 39 | |
2,925 | | G2 8855 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.13%, 10/20/21 (a) | | | 3 | |
148,250 | | G2 8968 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.25%, 9/20/26 (a) | | | 152 | |
506,657 | | G2 8991 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.13%, 10/20/26 (a) | | | 522 | |
1,150,537 | | G2 AY5132, 3.25%, 7/20/37 | | | 1,238 | |
1,318,950 | | G2 AY5138, 3.25%, 12/20/37 | | | 1,419 | |
278,848 | | G2 MA0312, 3.50%, 8/20/42 | | | 293 | |
386,365 | | G2 MA0387, 3.50%, 9/20/42 | | | 407 | |
1,876,429 | | G2 MA0698 30YR, 3.00%, 1/20/43 | | | 2,014 | |
2,054,468 | | G2 MA1012 30YR, 3.50%, 5/20/43 | | | 2,227 | |
1,825,221 | | G2 MA1089 30YR, 3.00%, 6/20/43 | | | 1,952 | |
1,743,616 | | G2 MA1520 30YR, 3.00%, 12/20/43 | | | 1,865 | |
1,833,828 | | G2 MA2304 30YR, 4.00%, 10/20/44 | | | 2,029 | |
1,621,910 | | G2 MA2522 30YR, 4.00%, 1/20/45 | | | 1,795 | |
1,120,235 | | G2 MA2767 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.63%, 4/20/45 (a) | | | 1,167 | |
878,989 | | G2 MA3454 30YR, 3.50%, 2/20/46 | | | 944 | |
1,599,549 | | G2 MA3520 30YR, 3.00%, 3/20/46 | | | 1,697 | |
1,707,150 | | G2 MA3597 30YR, 3.50%, 4/20/46 | | | 1,837 | |
2,782,652 | | G2 MA3662 30YR, 3.00%, 5/20/46 | | | 2,953 | |
1,779,202 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 1,918 | |
1,505,964 | | G2 MA3735 30YR, 3.00%, 6/20/46 | | | 1,599 | |
355,708 | | G2 MA3736 30YR, 3.50%, 6/20/46 | | | 382 | |
1,473,288 | | G2 MA3802 30YR, 3.00%, 7/20/46 | | | 1,559 | |
1,413,011 | | G2 MA3936 30YR, 3.00%, 9/20/46 | | | 1,494 | |
945,638 | | G2 MA4003 30YR, 3.00%, 10/20/46 | | | 1,003 | |
1,203,056 | | G2 MA4069 30YR, 3.50%, 11/20/46 | | | 1,292 | |
215,659 | | G2 MA4127 30YR, 3.50%, 12/20/46 | | | 232 | |
1,370,306 | | G2 MA4195 30YR, 3.00%, 1/20/47 | | | 1,450 | |
941,913 | | G2 MA4197 30YR, 4.00%, 1/20/47 | | | 1,025 | |
797,248 | | G2 MA4262 30YR, 3.50%, 2/20/47 | | | 855 | |
1,723,963 | | G2 MA4321 30YR, 3.50%, 3/20/47 | | | 1,846 | |
1,107,818 | | G2 MA4322 30YR, 4.00%, 3/20/47 | | | 1,202 | |
Semi-Annual Report 29
Payden GNMA Fund continued
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
786,844 | | G2 MA4510 30YR, 3.50%, 6/20/47 | | $ | 841 | |
1,751,260 | | G2 MA4719 30YR, 3.50%, 9/20/47 | | | 1,862 | |
841,102 | | G2 MA4721 30YR, 4.50%, 9/20/47 | | | 920 | |
1,974,770 | | G2 MA4962 30YR, 3.50%, 1/20/48 | | | 2,105 | |
694,307 | | G2 MA5021 30YR, 4.50%, 2/20/48 | | | 752 | |
817,149 | | G2 MA5816 30YR, 3.50%, 3/20/49 | | | 869 | |
2,110,588 | | G2 MA6818 30YR, 2.00%, 8/20/50 | | | 2,156 | |
10,380,000 | | G2SF, 2.00%, 30YR TBA (b) | | | 10,592 | |
24,080,000 | | G2SF, 2.50%, 30YR TBA (b) | | | 25,032 | |
8,500,000 | | G2SF, 3.50%, 30YR TBA (b) | | | 9,017 | |
287,846 | | GN 366983 30YR, 4.00%, 6/15/41 | | | 316 | |
803,901 | | GN 455989, 5.00%, 7/15/26 | | | 876 | |
113,904 | | GN 558954, 5.25%, 5/15/29 | | | 126 | |
522,509 | | GN 558956, 4.50%, 6/15/29 | | | 580 | |
187,264 | | GN 605099 30YR, 5.50%, 3/15/34 | | | 218 | |
438,326 | | GN 616826 30YR, 5.50%, 1/15/35 | | | 510 | |
988,263 | | GN 710868 30YR, 5.50%, 9/15/39 | | | 1,143 | |
377,376 | | GN 728153, 5.50%, 10/15/29 | | | 427 | |
173,171 | | GN 728159, 5.25%, 11/15/29 | | | 193 | |
169,273 | | GN 781636 30YR, 5.50%, 7/15/33 | | | 197 | |
193,424 | | GN 781810 30YR, 5.50%, 10/15/34 | | | 225 | |
236,569 | | GN 781811 30YR, 5.00%, 10/15/34 | | | 275 | |
1,099,701 | | GN 784370 30YR, 4.00%, 7/15/45 | | | 1,212 | |
275,141 | | GNR 2001-35 FA, (1 mo. LIBOR USD + 0.250%), 0.37%, 8/16/31 (a) | | | 275 | |
106,477 | | GNR 2002-13 FA, (1 mo. LIBOR USD + 0.500%), 0.62%, 2/16/32 (a) | | | 106 | |
171,537 | | GNR 2002-72 FA, (1 mo. LIBOR USD + 0.400%), 0.52%, 10/20/32 (a) | | | 172 | |
78,907 | | GNR 2002-72 FB, (1 mo. LIBORUSD + 0.400%), 0.52%, 10/20/32 (a) | | | 79 | |
624,473 | | GNR 2002-72 FE, (1 mo. LIBOR USD + 0.400%), 0.52%, 10/20/32 (a) | | | 625 | |
580,032 | | GNR 2003-71 FC, (1 mo. LIBOR USD + 0.500%), 0.62%, 7/20/33 (a) | | | 584 | |
1,123,584 | | GNR 2004-56 F, (1 mo. LIBOR USD + 0.400%), 0.52%, 6/20/33 (a) | | | 1,127 | |
822,018 | | GNR 2004-59 FH, (1 mo. LIBOR USD + 0.250%), 0.37%, 8/16/34 (a) | | | 823 | |
547,145 | | GNR 2004-86 FG, (1 mo. LIBOR USD + 0.400%), 0.52%, 7/20/34 (a) | | | 551 | |
1,169,716 | | GNR 2006-60 FK, (1 mo. LIBOR USD + 0.200%), 0.32%, 11/20/36 (a) | | | 1,170 | |
772,300 | | GNR 2007-54 FC, (1 mo. LIBOR USD + 0.260%), 0.38%, 9/20/37 (a) | | | 775 | |
319,589 | | GNR 2007-76 FB, (1 mo. LIBOR USD + 0.500%), 0.62%, 11/20/37 (a) | | | 322 | |
941,654 | | GNR 2008-11 FB, (1 mo. LIBOR USD + 0.600%), 0.72%, 2/20/38 (a) | | | 950 | |
248,495 | | GNR 2008-2 FH, (1 mo. LIBOR USD + 0.450%), 0.57%, 1/20/3 8(a) | | | 251 | |
1,051,935 | | GNR 2008-67 UF, (1 mo. LIBOR USD + 0.450%), 0.57%, 6/20/38 (a) | | | 1,057 | |
490,412 | | GNR 2011-153 LF, (1 mo. LIBOR USD + 0.250%), 0.37%, 7/16/4 1(a) | | | 491 | |
484,717 | | GNR 2012-18 AF, (1 mo. LIBOR USD + 0.300%), 0.42%, 2/20/38 (a) | | | 475 | |
508,096 | | GNR 2012-76 GF, (1 mo. LIBOR USD + 0.300%), 0.42%, 6/16/42 (a) | | | 509 | |
8,277,599 | | GNR 2014-79 ST, 2.11%, 7/20/29 (c) | | | 95 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
198,205 | | GNR 2015-159 AH, 2.50%, 5/20/43 | | $ | 202 | |
553,175 | | GNR 2017-68 AF, (1 mo. LIBOR USD + 0.350%), 0.47%, 5/20/47 (a) | | | 557 | |
1,375,839 | | GNR 2018-91 FC, (1 mo. LIBOR USD + 0.300%), 0.42%, 7/20/48 (a) | | | 1,378 | |
1,599,164 | | GNR 2019-6 FJ, (1 mo. LIBOR USD + 0.400%), 0.52%, 1/20/49 (a) | | | 1,609 | |
Total Mortgage Backed (Cost—$150,381) | | | 152,277 | |
U.S. Treasury (4%) | | | | |
2,200,000 | | U.S. Treasury Bill, 0.01%, 5/20/21 (d) | | | 2,200 | |
2,100,000 | | U.S. Treasury Bond, 1.88%, 2/15/41 | | | 1,998 | |
Total U.S. Treasury (Cost—$4,175) | | | 4,198 | |
Investment Company (2%) | | | | |
1,840,040 | | Payden Cash Reserves Money Market Fund* (Cost-$1,840) | | | 1,840 | |
Total Investments (Cost—$156,396) (142%) | | | 158,315 | |
Liabilities in excess of Other Assets (-42%) | | | (46,661 | ) |
Net Assets (100%) | | $ | 111,654 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (b) | Security was purchased on a delayed delivery basis. |
| (c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (d) | Yield to maturity at time of purchase. |
30 Payden Mutual Funds
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | | | | | | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Depreciation
(000s) | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S.10-Year Ultra Future | | 11 | | | | | | | | | | | Jun-21 | | | $ | (1,601 | ) | | $ | (4 | ) | | $ | (4) | |
U.S. Ultra Bond Future | | 5 | | | | | | | | | | | Jun-21 | | | | (930 | ) | | | (11 | ) | | | (11) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | | | $ | (15) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 31
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 | | | 35 | % |
Mortgage Backed | | | 23 | % |
U.S. Treasury | | | 22 | % |
Asset Backed | | | 9 | % |
Bank Loans | | | 3 | % |
Other | | | 8 | % |
Schedule of Investments—April 30, 2021 (Unaudited)
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
Asset Backed (9%) | | | | |
2,000,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 2.64%, 7/18/27 (a)(b) | | $ | 1,990 | |
1,568,150 | | Arbys Funding LLC 144A, 3.24%, 7/30/50 (b) | | | 1,621 | |
3,065,000 | | Atrium XII 144A, (3 mo. LIBOR USD + 2.800%), 2.98%, 4/22/27 (a)(b) | | | 3,012 | |
2,850,000 | | Bain Capital Credit CLO 2020-3 Ltd. 144A, (3 mo. LIBOR USD + 1.900%), 2.07%, 10/23/32 (a)(b) | | | 2,855 | |
5,500,000 | | BlueMountain EUR 2021-1 CLO DAC 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/34 EUR (a)(b)(c) | | | 6,643 | |
3,200,000 | | Cairn CLO XIII DAC 144A, (3 mo. EURIBOR + 3.400%), 3.40%, 10/20/33 EUR (a)(b)(c) | | | 3,847 | |
2,841,395 | | CARS-DB4 LP 144A, 3.25%, 2/15/50 (b) | | | 2,941 | |
4,625,000 | | DataBank Issuer 144A, 2.06%, 2/27/51 (b) | | | 4,631 | |
2,954,250 | | Domino’s Pizza Master Issuer 2018-1A LLC 144A, 4.33%, 7/25/48 (b) | | | 3,208 | |
4,600,000 | | Domino’s Pizza Master Issuer 2021-1A LLC 144A, 3.15%, 4/25/51 (b) | | | 4,712 | |
7,721,650 | | Driven Brands Funding 2020-1A LLC 144A, 3.79%, 7/20/50 (b) | | | 8,186 | |
4,366,442 | | Fannie Mae Grantor Trust 2017-T1, 2.90%, 6/25/27 | | | 4,742 | |
1,300,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 1.66%, 9/15/28 (a)(b) | | | 1,298 | |
3,000,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD +2.650%), 2.76%, 9/15/28 (a)(b) | | | 2,991 | |
4,000,000 | | Hayfin Emerald CLO VI DAC 144A, (3 mo. EURIBOR + 3.500%), 3.50%, 4/15/34 EUR (a)(b)(c) | | | 4,808 | |
614,951 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 1.64%, 4/21/25 (a)(b) | | | 615 | |
2,250,000 | | JPMorgan Chase Bank N.A.—CACLN 144A, 28.35%, 9/25/28 (b) | | | 2,253 | |
329,042 | | L.A. Arena Funding 0-1 LLC 144A, 7.66%, 12/15/26 (b) | | | 329 | |
1,750,000 | | LCM XXI LP 144A, (3 mo. LIBOR USD + 2.000%), 2.19%, 4/20/28 (a)(b) | | | 1,745 | |
2,000,000 | | Madison Park Funding XLVIII Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 2.14%, 4/19/33 (a)(b) | | | 2,000 | |
72,520 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.27%, 6/15/28 (a)(b) | | | 73 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
| | | | |
3,570,000 | | Neuberger Berman Loan Advisers CLO 25 Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.04%, 10/18/29 (a)(b) | | $ | 3,570 | |
4,750,000 | | Neuberger Berman Loan Advisers CLO 40 Ltd. 144A, (3 mo. LIBOR USD + 2.750%), 2.94%, 4/16/33 (a)(b) | | | 4,750 | |
550,000 | | North Westerly VII ESG CLO DAC 144A, (3 mo. EURIBOR + 2.950%), 2.95%, 5/15/35 EUR (a)(b)(c) | | | 661 | |
5,100,000 | | Ocean Trails CLO VII 144A, (3 mo. LIBOR USD + 2.450%), 2.64%, 4/17/30 (a)(b) | | | 5,100 | |
4,200,000 | | Octagon Investment Partners 32 Ltd. 144A, (3 mo. LIBOR USD + 2.050%), 2.23%, 7/15/29 (a)(b) | | | 4,200 | |
3,000,000 | | Palmer Square European CLO 2021-1 DAC 144A, (3 mo. EURIBOR + 3.150%), 3.15%, 4/15/34 EUR (a)(b)(c) | | | 3,622 | |
2,577,375 | | Planet Fitness Master Issuer 2019-1A LLC 144A, 3.86%, 12/05/49 (b) | | | 2,505 | |
4,000,000 | | Sound Point Euro CLO V Funding DAC 144A, (3 mo. EURIBOR + 3.300%), 3.30%, 7/25/35 EUR (a)(b)(c) | | | 4,809 | |
5,100,000 | | Symphony CLO XXIV Ltd. 144A, (3 mo. LIBOR USD + 2.250%), 2.47%, 1/23/32 (a)(b) | | | 5,100 | |
2,433,975 | | Taco Bell Funding 2018-1A LLC 144A, 4.32%, 11/25/48 (b) | | | 2,450 | |
5,000,000 | | TRTX 2021-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.400%), 2.52%, 3/15/38 (a)(b) | | | 5,017 | |
4,660,000 | | Wingstop Funding 2020-1A LLC 144A, 2.84%, 12/05/50 (b) | | | 4,758 | |
Total Asset Backed (Cost—$109,974) | | | 111,042 | |
Bank Loans(d) (3%) | | | | |
875,000 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (3 mo. EURIBOR + 3.500%), 3.50%, 1/20/27 EUR (c) | | | 1,052 | |
1,922,406 | | Altice France SA Term Loan B11 1L, (LIBOR USD 3-Month + 2.750%), 2.86%, 7/31/25 | | | 1,886 | |
3,907,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.00%, 11/01/25 | | | 4,343 | |
2,950,000 | | CAB Selarl Term Loan B 1L, (3 mo. EURIBOR + 3.500%), 3.50%, 2/09/28 EUR (c) | | | 3,532 | |
1,327,700 | | Dole Food Co. Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.75%, 4/06/24 | | | 1,329 | |
32 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,100,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%), 2.63%, 1/31/27 EUR (c) | | $ | 1,311 | |
952,112 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 2.86%, 10/22/25 | | | 952 | |
1,913,941 | | Harbor Freight Tools USA Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.75%, 10/19/27 | | | 1,915 | |
1,194,837 | | Hilton Worldwide Finance LLC Term Loan B2 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 6/21/26 | | | 1,186 | |
1,954,885 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 2.95%, 2/05/25 | | | 1,943 | |
1,250,000 | | Kloeckner Pentaplast of America Inc. Term Loan B 1L, (LIBOR USD 3-Month + 4.750%), 5.25%, 2/09/26 | | | 1,249 | |
3,035,403 | | K-MAC Holdings Corp. Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.11%, 3/16/25 | | | 3,003 | |
1,925,000 | | Mauser Packaging Solutions Holding Co. Term Loan B 1L, (LIBOR USD 3-Month + 3.250%), 3.44%, 4/03/24 | | | 1,863 | |
3,026,372 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.50%, 2/05/27 | | | 3,019 | |
3,571,209 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 10/22/25 | | | 3,573 | |
1,315,385 | | UPC Financing Partnership Term Loan B2 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 1/31/29 | | | 1,306 | |
3,729,375 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 5/30/25 | | | 3,698 | |
3,350,000 | | Zaxby’s Operating Co. LP Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 12/28/27 | | | 3,359 | |
Total Bank Loans (Cost - $40,078) | | | 40,519 | |
Commercial Paper(e) (2%) | | | | |
20,000,000 | | Vectren Utility Holdings, Inc., 0.13%, 5/03/21 | | | 20,000 | |
5,000,000 | | WEC Energy Group, Inc., 0.16%, 5/04/21 | | | 5,000 | |
Total Commercial Paper (Cost - $25,000) | | | 25,000 | |
Corporate Bond (38%) | | | | |
Financial (15%) | | | | |
4,500,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (f) | | | 4,535 | |
4,000,000 | | Ally Financial Inc., 1.45%, 10/02/23 | | | 4,066 | |
2,400,000 | | AmFam Holdings Inc. 144A, 3.83%, 3/11/51 (b) | | | 2,479 | |
1,450,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 1,512 | |
660,000 | | Assurant Inc., (3 mo. LIBOR USD + 4.135%), 7.00%, 3/27/48 (a) | | | 747 | |
4,000,000 | | Australia & New Zealand Banking Group Ltd. 144A, 4.40%, 5/19/26 (b) | | | 4,507 | |
3,600,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.010%), 1.20%, 10/24/26 (a) | | | 3,578 | |
5,205,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.060%), 3.56%, 4/23/27 (a) | | | 5,712 | |
2,800,000 | | Bank of Nova Scotia, 1.30%, 6/11/25 | | | 2,830 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,330,000 | | Blackstone Secured Lending Fund 144A, 2.75%, 9/16/26 (b) | | $ | 2,347 | |
2,675,000 | | Charles Schwab Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.971%), 5.38%, (a)(g) | | | 2,981 | |
2,905,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.897%), 3.35%, 4/24/25 (a) | | | 3,116 | |
5,170,000 | | Citigroup Inc., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.597%), 4.00%, (a)(g) | | | 5,249 | |
3,575,000 | | Commonwealth Bank of Australia 144A, 2.69%, 3/11/31 (b) | | | 3,498 | |
5,340,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.560%), 2.59%, 9/11/25 (a)(b) | | | 5,558 | |
3,330,000 | | Credit Suisse Group AG 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.554%), 4.50%, (a)(b)(g) | | | 3,189 | |
3,750,000 | | CubeSmart LP, 2.00%, 2/15/31 | | | 3,562 | |
835,000 | | Diversified Healthcare Trust, 4.75%, 5/01/24 | | | 864 | |
2,670,000 | | Equinix Inc., 1.80%, 7/15/27 | | | 2,650 | |
2,700,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.05%, 2/10/25 (b) | | | 2,789 | |
2,550,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%), 1.43%, 2/15/23 (a) | | | 2,531 | |
1,340,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 1,363 | |
1,385,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 1,439 | |
2,595,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 2,685 | |
2,500,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (b) | | | 2,585 | |
3,850,000 | | GLP Capital LP/GLP Financing II Inc., 4.00%, 1/15/31 | | | 4,065 | |
4,055,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 4,144 | |
1,315,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,431 | |
1,000,000 | | Goldman Sachs Group Inc., 3.63%, 2/20/24 | | | 1,079 | |
2,325,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A, 4.38%, 2/01/29 (b) | | | 2,258 | |
4,400,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.446%), 3.88%, 4/15/31 (a)(b) | | | 4,278 | |
4,000,000 | | JAB Holdings BV 144A, 2.20%, 11/23/30 (b) | | | 3,807 | |
6,305,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 0.730%), 3.56%, 4/23/24 (a) | | | 6,685 | |
6,325,000 | | Life Storage LP, 2.20%, 10/15/30 | | | 6,113 | |
4,850,000 | | Macquarie Bank Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.700%), 3.05%, 3/03/36 (a)(b) | | | 4,685 | |
2,350,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b) | | | 2,444 | |
2,750,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.372%), 3.76%, 11/28/28 (a)(b) | | | 3,012 | |
4,000,000 | | Mitsubishi UFJ Financial Group Inc., 3.20%, 7/18/29 | | | 4,263 | |
2,200,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.847%), 3.74%, 4/24/24 (a) | | | 2,336 | |
Semi-Annual Report 33
Payden Core Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
4,000,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.628%), 4.43%, 1/23/30 (a) | | $ | 4,615 | |
2,000,000 | �� | Nationwide Financial Services Inc. 144A, 5.30%, 11/18/44 (b) | | | 2,450 | |
1,300,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39 (b) | | | 2,187 | |
2,100,000 | | Ohio National Life Insurance Co. 144A, 6.88%, 6/15/42 (b) | | | 2,502 | |
1,895,000 | | OneMain Finance Corp., 8.88%, 6/01/25 | | | 2,100 | |
2,100,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 2,227 | |
3,230,000 | | Owl Rock Capital Corp., 5.25%, 4/15/24 | | | 3,557 | |
1,450,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39 (b) | | | 2,307 | |
2,345,000 | | Protective Life Corp. 144A, 4.30%, 9/30/28 (b) | | | 2,610 | |
4,470,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (b) | | | 4,566 | |
5,225,000 | | Simon Property Group LP, 1.75%, 2/01/28 | | | 5,136 | |
4,950,000 | | Simon Property Group LP, 2.20%, 2/01/31 | | | 4,805 | |
2,740,000 | | SLM Corp., 5.13%, 4/05/22 | | | 2,810 | |
3,900,000 | | USB Realty Corp. 144A, (3 mo. LIBOR USD + 1.147%), 1.33%, (a)(b)(g) | | | 3,062 | |
2,035,000 | | WEA Finance LLC 144A, 4.63%, 9/20/48 (b) | | | 2,073 | |
1,900,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 2.100%), 2.39%, 6/02/28 (a) | | | 1,958 | |
3,640,000 | | Wells Fargo & Co., (3 mo. LIBOR USD + 1.170%), 3.20%, 6/17/27 (a) | | | 3,930 | |
| | | | | | |
| | | | | 179,867 | |
| | | | | | |
Industrial (14%) | | | | |
4,780,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.25%, 3/15/26 (b) | | | 4,783 | |
3,187,548 | | American Airlines 2019-1 Class AA Pass-Through Trust, 3.15%, 2/15/32 | | | 3,198 | |
2,655,000 | | American University, 3.67%, 4/01/49 | | | 2,928 | |
718,000 | | AT&T Inc. 144A, 2.55%, 12/01/33 (b) | | | 685 | |
2,000,000 | | AT&T Inc. 144A, 3.50%, 9/15/53 (b) | | | 1,843 | |
4,810,000 | | AT&T Inc., 4.35%, 3/01/29 | | | 5,463 | |
940,000 | | Bausch Health Cos. Inc. 144A, 6.25%, 2/15/29 (b) | | | 995 | |
4,850,000 | | Boeing Co., 2.20%, 2/04/26 | | | 4,860 | |
4,748,000 | | Broadcom Inc., 4.11%, 9/15/28 | | | 5,250 | |
880,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 5.38%, 6/01/29 (b) | | | 957 | |
2,640,000 | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | | | 3,024 | |
3,205,000 | | Cigna Corp., 4.80%, 8/15/38 | | | 3,875 | |
1,800,000 | | Cogent Communications Group Inc. 144A, 3.50%, 5/01/26 (b) | | | 1,800 | |
3,780,000 | | Consolidated Communications Inc. 144A, 5.00%, 10/01/28 (b) | | | 3,841 | |
3,270,000 | | Daimler Finance North America LLC 144A, (3 mo. LIBOR USD + 0.840%), 1.02%, 5/04/23 (a)(b) | | | 3,303 | |
1,165,000 | | Dignity Health, 4.50%, 11/01/42 | | | 1,368 | |
1,785,000 | | General Electric Co., 6.75%, 3/15/32 | | | 2,414 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
5,500,000 | | General Motors Financial Co. Inc., 2.35%, 1/08/31 | | $ | 5,268 | |
3,475,000 | | Glencore Funding LLC 144A, 3.88%, 4/27/51 (b) | | | 3,471 | |
5,540,000 | | HCA Inc., 5.00%, 3/15/24 | | | 6,174 | |
2,700,000 | | Hyundai Capital America 144A, 1.80%, 1/10/28 (b) | | | 2,623 | |
2,300,000 | | Indonesia Asahan Aluminium Persero PT 144A, 4.75%, 5/15/25 (b) | | | 2,503 | |
800,000 | | KeHE Distributors LLC/KeHE Finance Corp. 144A, 8.63%, 10/15/26 (b) | | | 896 | |
3,000,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49 (b) | | | 3,688 | |
960,000 | | Kraft Heinz Foods Co., 5.00%, 6/04/42 | | | 1,110 | |
940,000 | | Lamar Media Corp., 4.88%, 1/15/29 | | | 992 | |
3,000,000 | | Lennar Corp., 4.75%, 11/29/27 | | | 3,475 | |
3,950,000 | | Lowe’s Cos. Inc., 3.00%, 10/15/50 | | | 3,735 | |
4,400,000 | | MercadoLibre Inc., 3.13%, 1/14/31 | | | 4,214 | |
2,930,000 | | Moog Inc. 144A, 4.25%, 12/15/27 (b) | | | 3,018 | |
3,730,000 | | NBM U.S. Holdings Inc. 144A, 6.63%, 8/06/29 (b) | | | 4,145 | |
4,100,000 | | Nissan Motor Co. Ltd. 144A, 4.81%, 9/17/30 (b) | | | 4,557 | |
1,500,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 1,701 | |
1,045,000 | | Northwell Healthcare Inc., 6.15%, 11/01/43 | | | 1,469 | |
700,000 | | Open Text Corp. 144A, 3.88%, 2/15/28 (b) | | | 710 | |
5,015,000 | | Orange SA, 9.00%, 3/01/31 | | | 7,837 | |
4,200,000 | | Organon Finance 1 LLC 144A, 5.13%, 4/30/31 (b) | | | 4,363 | |
960,000 | | PTC Inc. 144A, 3.63%, 2/15/25 (b) | | | 987 | |
920,000 | | Qorvo Inc., 4.38%, 10/15/29 | | | 1,001 | |
106,000 | | Science Applications International Corp. 144A, 4.88%, 4/01/28 (b) | | | 110 | |
4,060,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21 (b) | | | 4,070 | |
2,000,000 | | Tencent Holdings Ltd. 144A, 3.24%, 6/03/50 (b) | | | 1,839 | |
2,450,000 | | Tencent Holdings Ltd. 144A, 3.94%, 4/22/61 (b) | | | 2,488 | |
383,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 383 | |
2,355,000 | | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | | | 2,214 | |
4,820,000 | | Toledo Hospital, 6.02%, 11/15/48 | | | 5,855 | |
4,050,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (b) | | | 4,369 | |
4,400,000 | | Verizon Communications Inc., 2.88%, 11/20/50 | | | 4,011 | |
2,400,000 | | Vodafone Group PLC, 5.25%, 5/30/48 | | | 3,036 | |
5,500,000 | | Volkswagen Group of America Finance LLC 144A, 4.25%, 11/13/23 (b) | | | 5,985 | |
2,900,000 | | VTR Comunicaciones SpA 144A, 4.38%, 4/15/29 (b) | | | 2,923 | |
3,970,000 | | VTR Finance NV 144A, 6.38%, 7/15/28 (b) | | | 4,299 | |
2,400,000 | | Weibo Corp., 3.38%, 7/08/30 | | | 2,414 | |
860,000 | | Yum! Brands Inc. 144A, 7.75%, 4/01/25 (b) | | | 941 | |
3,740,000 | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 144A, 3.88%, 2/01/29 (b) | | | 3,698 | |
| | | | | | |
| | | | | 167,159 | |
| | | | | | |
Utility (9%) | | | | |
2,350,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (b) | | | 2,754 | |
34 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,590,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (b) | | $ | 3,610 | |
3,800,000 | | AES Panama Generation Holdings SRL 144A, 4.38%, 5/31/30 (b) | | | 3,948 | |
1,350,000 | | Antero Resources Corp. 144A, 7.63%, 2/01/29 (b) | | | 1,466 | |
3,970,000 | | APT Pipelines Ltd. 144A, 4.20%, 3/23/25 (b) | | | 4,332 | |
1,250,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (b) | | | 1,171 | |
545,000 | | Blue Racer Midstream LLC/Blue Racer Finance Corp. 144A, 6.63%, 7/15/26 (b) | | | 564 | |
2,980,000 | | CNX Midstream Partners LP/CNX Midstream Finance Corp. 144A, 6.50%, 3/15/26 (b) | | | 3,088 | |
1,170,000 | | Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp. 144A, 4.15%, 8/15/26 (b) | | | 1,310 | |
1,130,618 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 (b) | | | 1,284 | |
2,125,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (b)(f) | | | 2,198 | |
5,805,000 | | Energy Transfer LP, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.306%), 7.13%, (a)(g) | | | 5,936 | |
7,000,000 | | Entergy Texas Inc., 1.75%, 3/15/31 | | | 6,592 | |
4,040,000 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (b) | | | 4,211 | |
1,237,861 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (b) | | | 1,423 | |
5,210,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (b)(h) | | | 5,366 | |
4,000,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26 (b) | | | 4,020 | |
3,350,000 | | Indigo Natural Resources LLC 144A, 5.38%, 2/01/29 (b) | | | 3,329 | |
2,100,000 | | Kinder Morgan Inc., 5.30%, 12/01/34 | | | 2,523 | |
1,500,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 1,547 | |
1,830,000 | | Leviathan Bond Ltd. 144A, 6.13%, 6/30/25 (b)(f) | | | 2,008 | �� |
2,010,000 | | Leviathan Bond Ltd. 144A, 6.75%, 6/30/30 (b)(f) | | | 2,262 | |
4,395,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 5,098 | |
3,925,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (b) | | | 4,053 | |
2,850,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 2,853 | |
2,400,000 | | Pattern Energy Operations LP/Pattern Energy Operations Inc. 144A, 4.50%, 8/15/28 (b) | | | 2,436 | |
2,500,000 | | Petroleos Mexicanos, 5.95%, 1/28/31 | | | 2,417 | |
2,420,000 | | Petroleos Mexicanos, 6.49%, 1/23/27 | | | 2,562 | |
2,190,000 | | Range Resources Corp., 9.25%, 2/01/26 | | | 2,407 | |
2,600,000 | | Sabine Pass Liquefaction LLC, 6.25%, 3/15/22 | | | 2,689 | |
2,273,000 | | Southwestern Energy Co., 8.38%, 9/15/28 | | | 2,500 | |
1,430,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (b) | | | 1,491 | |
3,000,000 | | Vistra Operations Co. LLC 144A, 3.70%, 1/30/27 (b) | | | 3,112 | |
2,170,000 | | Vistra Operations Co. LLC 144A, 4.30%, 7/15/29 (b) | | | 2,285 | |
| | | | | 98,845 | |
Total Corporate Bond (Cost—$433,626) | | | 445,871 | |
Foreign Government (3%) | | | | |
900,000 | | Bermuda Government International Bond 144A, 3.38%, 8/20/50 (b) | | | 887 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
9,503,787 | | Brazil Notas do Tesouro Nacional Serie B, 6.00%, 8/15/28 BRL (c) | | $ | 2,005 | |
5,270,000 | | CPPIB Capital Inc. 144A, 1.95%, 9/30/29 CAD (b)(c) | | | 4,312 | |
3,150,000 | | Dominican Republic International Bond 144A, 4.88%, 9/23/32 (b) | | | 3,304 | |
5,150,000 | | Egypt Government International Bond 144A, 5.88%, 2/16/31 (b) | | | 4,982 | |
2,850,000 | | Georgia Government International Bond 144A, 2.75%, 4/22/26 (b) | | | 2,865 | |
56,040,000 | | Mexican Bonos, 8.50%, 5/31/29 MXN (c) | | | 3,085 | |
3,200,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29 CAD (c) | | | 2,718 | |
4,450,000 | | Republic of Armenia International Bond 144A, 3.60%, 2/02/31 (b) | | | 4,096 | |
4,650,000 | | Romanian Government International Bond 144A, 2.00%, 4/14/33 EUR (b)(c) | | | 5,521 | |
Total Foreign Government (Cost—$34,011) | | | 33,775 | |
Mortgage Backed (25%) | | | | |
2,030,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 2.050%), 2.17%, 11/15/35 (a)(b) | | | 2,032 | |
2,982,306 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 1.500%), 1.62%, 6/15/34 (a)(b) | | | 2,959 | |
1,751,342 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 11/25/39 (a)(b) | | | 1,744 | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.36%, 11/25/39 (a)(b) | | | 4,268 | |
1,735,765 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%), 10.36%, 1/25/29 (a) | | | 2,045 | |
498,554 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.750%), 10.86%, 1/25/29 (a) | | | 589 | |
1,689,463 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%), 12.36%, 9/25/28 (a) | | | 2,108 | |
3,440,000 | | Fannie Mae-Aces, 3.82%, 9/25/30 (i) | | | 3,988 | |
2,364,750 | | FG G60037 30YR, 3.00%, 10/01/43 | | | 2,530 | |
877,520 | | FG Q17641 30YR, 3.00%, 4/01/43 | | | 939 | |
1,642,000 | | FHLMC Multifamily Structured Pass-Through Certificates, 2.94%, 4/25/29 | | | 1,791 | |
1,082,710 | | FN 254766 30YR, 5.00%, 6/01/33 | | | 1,244 | |
531,097 | | FN 725027 30YR, 5.00%, 11/01/33 | | | 612 | |
1,039,732 | | FN 725423 30YR, 5.50%, 5/01/34 | | | 1,206 | |
990,242 | | FN 725424 30YR, 5.50%,4/01/34 | | | 1,139 | |
866,434 | | FN 995023 30YR, 5.50%, 8/01/37 | | | 1,009 | |
1,352,563 | | FN 995203 30YR, 5.00%, 7/01/35 | | | 1,560 | |
838,893 | | FN AH3394 30YR,4.00%, 1/01/41 | | | 925 | |
817,143 | | FN AJ7689 30YR, 4.00%, 12/01/41 | | | 898 | |
4,667,354 | | FN AL9373 15YR, 2.50%, 10/01/31 | | | 4,925 | |
2,594,449 | | FN AS0016 30YR, 3.00%, 7/01/43 | | | 2,759 | |
3,002,312 | | FN AS4168 30YR, 4.00%, 12/01/44 | | | 3,313 | |
3,052,570 | | FN AS7170 30YR, 3.50%, 5/01/46 | | | 3,283 | |
Semi-Annual Report 35
Payden Core Bond Fund continued
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
3,718,003 | | FN AS8305 30YR, 3.00%, 11/01/46 | | $ | 3,946 | |
2,148,174 | | FN AS8710 15YR, 2.50%, 2/01/32 | | | 2,273 | |
2,751,662 | | FN AY4200 30YR, 3.00%, 5/01/45 | | | 2,913 | |
542,544 | | FN AZ3791 30YR, 3.00%, 3/01/46 | | | 575 | |
2,829,981 | | FN AZ7336 30YR, 3.50%, 11/01/45 | | | 3,063 | |
4,120,459 | | FN BC1520 30YR, 3.50%, 8/01/46 | | | 4,467 | |
1,132,410 | | FN BC2521 30YR, 3.50%, 1/01/46 | | | 1,235 | |
1,496,450 | | FN BE0514 15YR, 2.50%, 11/01/31 | | | 1,564 | |
4,499,130 | | FN BJ3691 30YR, 4.00%, 3/01/48 | | | 4,880 | |
1,311,446 | | FN BJ9215 30YR, 4.00%, 6/01/48 | | | 1,412 | |
613,393 | | FN BK4740 30YR, 4.00%, 8/01/48 | | | 660 | |
2,573,199 | | FN BP6345 30YR, 3.00%, 6/01/50 | | | 2,703 | |
4,725,618 | | FN CA0858 30YR, 3.50%, 12/01/47 | | | 5,053 | |
2,321,968 | | FN CA3666 30YR, 4.00%, 6/01/49 | | | 2,530 | |
4,766,648 | | FN CA6074 30YR, 2.50%, 6/01/50 | | | 4,951 | |
4,487,539 | | FN CA6314 30YR, 3.00%, 7/01/50 | | | 4,784 | |
2,723,428 | | FN CA6322 30YR, 2.50%, 7/01/50 | | | 2,829 | |
2,077,605 | | FN CA6350 30YR, 3.00%, 7/01/50 | | | 2,210 | |
2,582,686 | | FN CA7112 15YR, 2.00%, 9/01/35 | | | 2,670 | |
4,045,196 | | FN CA8023 30YR, 2.50%, 12/01/50 | | | 4,203 | |
4,111,911 | | FN FM1717 30YR, 3.50%, 12/01/45 | | | 4,487 | |
4,182,569 | | FN FM2897 30YR, 3.00%, 2/01/48 | | | 4,417 | |
4,779,884 | | FN FM3936 15YR, 2.50%, 8/01/35 | | | 5,033 | |
10,726,558 | | FN FM4638 30YR, 2.50%, 10/01/50 | | | 11,147 | |
2,798,171 | | FN FM4754 30YR, 3.50%, 7/01/47 | | | 3,042 | |
847,191 | | FN FM4990 30YR, 5.00%, 7/01/47 | | | 975 | |
357,814 | | FN MA2671 30YR, 3.50%, 7/01/46 | | | 386 | |
3,440,000 | | FNCI, 2.50%, 30YR TBA (j) | | | 3,569 | |
23,860,000 | | FNCL, 2.00%, 30YR TBA (j) | | | 24,099 | |
3,824,815 | | FR QN1106 15YR, 3.00%, 12/01/34 | | | 4,074 | |
1,366,136 | | FR QN2947 15YR, 2.00%, 8/01/35 | | | 1,418 | |
4,788,293 | | FR QN3917 15YR, 2.00%, 10/01/35 | | | 4,950 | |
3,236,791 | | FR RC1727 15YR, 2.00%, 12/01/35 | | | 3,346 | |
6,587,967 | | FR SD7537 30YR, 2.00%, 3/01/51 | | | 6,669 | |
843,312 | | FR ZA4718 30YR, 3.00%, 10/01/46 | | | 895 | |
4,266,811 | | FR ZT0534 30YR, 3.50%, 12/01/47 | | | 4,642 | |
4,796,679 | | FR ZT1416 15YR, 3.00%, 7/01/33 | | | 5,145 | |
1,329,799 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 9/25/49 (a)(b) | | | 1,339 | |
1,252,306 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.300%), 1.31%, 10/25/50 (a)(b) | | | 1,255 | |
2,930,000 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.800%), 2.81%, 10/25/50 (a)(b) | | | 2,982 | |
2,851,791 | | Freddie Mac STACR REMIC Trust 2020-DNA6 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.900%), 0.91%, 12/25/50 (a)(b) | | | 2,854 | |
5,250,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.800%), 1.81%, 1/25/51 (a)(b) | | | 5,255 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
3,800,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.650%), 2.66%, 1/25/51 (a)(b) | | $ | 3,732 | |
5,830,000 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.250%), 2.26%, 8/25/33 (a)(b) | | | 5,881 | |
886,694 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 2.76%, 1/25/49 (a)(b) | | | 906 | |
647,494 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 4/25/49 (a)(b) | | | 656 | |
3,531,042 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.51%, 2/25/49 (a)(b) | | | 3,534 | |
688,830 | | Freddie Mac Structured Agency Credit Risk Debt Notes,(1 mo. LIBOR USD + 1.200%), 1.31%, 10/25/29 (a) | | | 690 | |
4,450,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 3.400%), 3.41%, 8/25/33 (a)(b) | | | 4,491 | |
1,200,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 4.71%, 12/25/42 (a) | | | 1,231 | |
1,239,392 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.000%), 10.11%, 7/25/29 (a) | | | 1,323 | |
1,682,647 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.36%, 12/25/28 (a) | | | 1,996 | |
13,290,000 | | G2, 2.50%, 30YR TBA (j) | | | 13,815 | |
2,794,651 | | G2 4853 30YR, 4.00%, 11/20/40 | | | 3,102 | |
1,345,137 | | G2 5115 30YR, 4.50%, 7/20/41 | | | 1,510 | |
983,739 | | G2 5139 30YR, 4.00%, 8/20/41 | | | 1,092 | |
71,241 | | G2 5140 30YR, 4.50%, 8/20/41 | | | 80 | |
1,442,474 | | G2 5174 30YR, 4.00%, 9/20/41 | | | 1,601 | |
989,935 | | G2 5175 30YR, 4.50%, 9/20/41 | | | 1,111 | |
341,015 | | G2 5233 30YR, 4.00%, 11/20/41 | | | 379 | |
3,021,808 | | G2 5258 30YR, 3.50%, 12/20/41 | | | 3,297 | |
869,132 | | G2 MA2522 30YR, 4.00%, 1/20/45 | | | 962 | |
3,517,241 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 3,791 | |
6,068,650 | | G2 MA3802 30YR, 3.00%, 7/20/46 | | | 6,420 | |
552,113 | | G2 MA4126 30YR, 3.00%, 12/20/46 | | | 585 | |
2,734,300 | | G2 MA4510 30YR, 3.50%, 6/20/47 | | | 2,923 | |
236,064 | | G2 MA5021 30YR, 4.50%, 2/20/48 | | | 256 | |
375,401 | | G2 MA5265 30YR, 4.50%, 6/20/48 | | | 410 | |
2,876,571 | | G2 MA6930 30YR, 2.00%, 10/20/50 | | | 2,937 | |
3,118,908 | | GN 783716 30YR, 3.00%, 2/15/43 | | | 3,364 | |
965,051 | | GN 784182 30YR, 4.50%, 8/15/46 | | | 1,092 | |
644,123 | | GN AA5452 30YR, 3.50%, 7/15/42 | | | 692 | |
1,056,205 | | JP Morgan Mortgage Trust 2014-2 144A, 3.00%,6/25/29 (b)(i) | | | 1,083 | |
11,232 | | Landmark Mortgage Securities No 1 PLC, (3 mo. LIBOR GBP + 0.220%), 0.30%,6/17/38 GBP (a)(c)(f) | | | 15 | |
36 Payden Mutual Funds
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
1,200,000 | | MF1 2020-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.850%), 2.96%, 7/15/35 (a)(b) | | $ | 1,222 | |
15,729,147 | | Morgan Stanley Capital I Trust 2018-H3, 0.99%, 7/15/51 (i) | | | 718 | |
262,078 | | Nationstar Mortgage Loan Trust 2013-A 144A, 3.75%, 12/25/52 (b)(i) | | | 271 | |
524,182 | | New Residential Mortgage Loan Trust 2014-3 144A, 3.75%, 11/25/54 (b)(i) | | | 562 | |
3,196,394 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.36%, 2/25/47 (a)(b) | | | 3,203 | |
3,325,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.51%, 2/25/47 (a)(b) | | | 3,387 | |
1,300,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR | | | | |
| | USD + 10.500%), 10.61%, 2/25/47 (a)(b) | | | 1,480 | |
| | | | | | |
Total Mortgage Backed (Cost—$288,410) | | | 294,566 | |
| | | | | | |
Municipal (2%) | | | | |
3,900,000 | | California Health Facilities Financing Authority, 2.86%, 6/01/31 | | | 4,056 | |
1,150,000 | | California Pollution Control Financing Authority, AMT 144A, 7.50%, 12/01/39 (b)(k) | | | 350 | |
1,835,000 | | City of Portland OR, 7.70%, 6/01/22 | | | 1,916 | |
3,700,000 | | City of San Francisco CA Public Utilities Commission Water Revenue, 2.83%, 11/01/41 | | | 3,743 | |
2,565,000 | | Compton Community College District, 3.46%, 8/01/38 | | | 2,594 | |
5,265,000 | | Los Angeles Community College District, 1.17%, 8/01/26 | | | 5,287 | |
4,000,000 | | State of California, 3.38%, 4/01/25 | | | 4,394 | |
1,495,000 | | State of California, 7.55%, 4/01/39 | | | 2,455 | |
365,000 | | University of California, 3.26%, 5/15/24 | | | 394 | |
| | | | | | |
Total Municipal (Cost—$24,343) | | | 25,189 | |
| | | | | | |
U.S. Treasury (24%) | | | | |
11,440,000 | | U.S. Treasury Bill, 0.36%, 9/23/21 (e) | | | 11,439 | |
1,650,000 | | U.S. Treasury Bill, 0.44%, 10/28/21 (e) | | | 1,650 | |
41,600,000 | | U.S. Treasury Bond, 1.88%, 2/15/51 | | | 37,850 | |
14,295,000 | | U.S. Treasury Bond, 2.00%, 2/15/50 | | | 13,411 | |
38,024,000 | | U.S. Treasury Bond, 2.38%, 11/15/49 | | | 38,744 | |
32,899,000 | | U.S. Treasury Bond, 2.50%, 2/15/46 | | | 34,305 | |
15,410,000 | | U.S. Treasury Bond, 3.00%, 2/15/49 (l)(m) | | | 17,715 | |
744,000 | | U.S. Treasury Note, 0.13%, 9/15/23 | | | 742 | |
1,393,000 | | U.S. Treasury Note, 0.13%, 1/15/24 | | | 1,387 | |
1,866,000 | | U.S. Treasury Note, 0.25%, 6/15/23 | | | 1,869 | |
15,550,000 | | U.S. Treasury Note, 0.25%, 8/31/25 | | | 15,255 | |
15,537,000 | | U.S. Treasury Note, 0.38%, 1/31/26 | | | 15,231 | |
41,230,000 | | U.S. Treasury Note, 0.75%, 3/31/26 | | | 41,072 | |
25,680,000 | | U.S. Treasury Note, 1.13%, 2/15/31 | | | 24,526 | |
5,796,000 | | U.S. Treasury Note, 1.25%, 4/30/28 | | | 5,774 | |
1,318,000 | | U.S. Treasury Note, 1.50%, 11/30/21 | | | 1,329 | |
1,956,000 | | U.S. Treasury Note, 1.50%, 1/15/23 | | | 2,001 | |
8,455,000 | | U.S. Treasury Note, 1.63%, 11/15/22 | | | 8,651 | |
4,445,000 | | U.S. Treasury Note, 2.88%, 11/30/25 | | | 4,872 | |
| | | | | | |
Total U.S. Treasury (Cost—$288,015) | | | 277,823 | |
| | | | | | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
Investment Company (0%) | | | | |
3,455,911 | | Payden Cash Reserves Money Market Fund *
(Cost-$3,456) | | $ | 3,456 | |
Total Investments (Cost—$1,246,913) (106%) | | | 1,257,241 | |
Liabilities in excess of Other Assets (-6%) | | | (73,340 | ) |
Net Assets (100%) | | $ | 1,183,901 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (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, 2021. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (e) | Yield to maturity at time of purchase. |
| (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) | Perpetual security with no stated maturity date. |
| (h) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $1,339 and the total market value of the collateral held by the Fund is $1,365. Amounts in 000s. |
| (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) | Security was purchased on a delayed delivery basis. |
| (k) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (l) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
| (m) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Semi-Annual Report 37
Payden Core Bond Fund continued
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | |
IDR 87,736,000 | | USD 6,004 | | | Citibank, N.A. | | | | 06/24/2021 | | | $ | 38 | | | | | |
SGD 8,169 | | USD 6,080 | | | Citibank, N.A. | | | | 06/24/2021 | | | | 58 | | | | | |
USD 2,125 | | BRL 11,467 | | | State Street Bank & Trust Co. | | | | 08/05/2021 | | | | 33 | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | 129 | | | | | |
| | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | |
BRL 11,593 | | USD 2,166 | | | State Street Bank & Trust Co. | | | | 05/06/2021 | | | | (33 | ) | | | | |
COP 10,776,000 | | USD 3,008 | | | Citibank, N.A. | | | | 06/24/2021 | | | | (144 | ) | | | | |
EUR 10,525 | | USD 12,705 | | | Citibank, N.A. | | | | 06/22/2021 | | | | (37 | ) | | | | |
PEN 22,502 | | USD 6,071 | | | Citibank, N.A. | | | | 06/24/2021 | | | | (122 | ) | | | | |
RUB 223,470 | | USD 2,979 | | | Citibank, N.A. | | | | 06/24/2021 | | | | (30 | ) | | | | |
USD 38,495 | | EUR 32,253 | | | Citibank, N.A. | | | | 06/22/2021 | | | | (324 | ) | | | | |
USD 6,498 | | EUR 5,500 | | | Citibank, N.A. | | | | 06/22/2021 | | | | (122 | ) | | | | |
USD 7,115 | | CAD 8,884 | | | HSBC Bank USA, N.A. | | | | 06/22/2021 | | | | (114 | ) | | | | |
USD 2,127 | | BRL 11,593 | | | State Street Bank & Trust Co. | | | | 05/06/2021 | | | | (6 | ) | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | (932 | ) | | | | |
| | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | (803) | | | | | |
| | | | | | | | | | | | | | | | | | |
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-21 | | | $ | 18,241 | | | $ | (330 | ) | | | $(330) | |
U.S. Treasury 10-Year Note Future | | 190 | | | | | | | | | | | Jun-21 | | | | 25,086 | | | | (245 | ) | | | (245) | |
U.S. Treasury 2-Year Note Future | | 280 | | | | | | | | | | | Jun-21 | | | | 61,812 | | | | (40 | ) | | | (40) | |
U.S. Treasury 5-Year Note Future | | 585 | | | | | | | | | | | Jun-21 | | | | 72,503 | | | | (509 | ) | | | (509) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (1,124) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10-Year Ultra Future | | 1,047 | | | | | | | | | | | Jun-21 | | | | (152,388 | ) | | | 1,758 | | | | 1,758 | |
U.S. Ultra Bond Future | | 83 | | | | | | | | | | | Jun-21 | | | | (15,430 | ) | | | (39 | ) | | | (39) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | | | | $595 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 1,339 | |
Non-cash Collateral2 | | | (1,339 | ) |
| | | | |
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, 2021, 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.
38 Payden Mutual Funds
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 | |
Financial Services | | | 20% | |
Banking | | | 10% | |
Telecommunications | | | 9% | |
Energy | | | 8% | |
Basic Industry | | | 7% | |
Other | | | 46% | |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (1%) | | | | |
2,000,000 | | BDS 2019-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.700%) 2.82%, 12/15/35 (a)(b) | | $ | 1,997 | |
900,000 | | Domino’s Pizza Master Issuer 2021-1A LLC 144A, 2.66%, 4/25/51 (b) | | | 913 | |
2,000,000 | | HERA Commercial Mortgage 2021-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.950%) 2.07%, 2/18/38 (a)(b) | | | 2,002 | |
| | | | | | |
Total Asset Backed (Cost - $4,897) | | | 4,912 | |
| | | | | | |
| |
Corporate Bond (94%) | | | | |
Automotive (6%) | | | | |
2,700,000 | | Daimler Finance North America LLC 144A, 3.65%, 2/22/24 (b) | | | 2,906 | |
730,000 | | Ford Motor Co., 7.45%, 7/16/31 | | | 940 | |
740,000 | | Ford Motor Co., 8.50%, 4/21/23 | | | 830 | |
1,800,000 | | Ford Motor Credit Co. LLC, 2.90%, 2/16/28 | | | 1,766 | |
1,020,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 1,038 | |
1,025,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 1,046 | |
600,000 | | Ford Motor Credit Co. LLC, 3.10%, 5/04/23 | | | 614 | |
400,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 416 | |
1,200,000 | | General Motors Co., 6.75%, 4/01/46 | | | 1,656 | |
1,700,000 | | Hyundai Capital America 144A, 1.80%, 10/15/25 (b) | | | 1,715 | |
1,755,000 | | Hyundai Capital America 144A, 1.80%, 1/10/28 (b) | | | 1,705 | |
950,000 | | Kia Corp. 144A, 1.75%, 10/16/26 (b) | | | 954 | |
3,275,000 | | Nissan Motor Co. Ltd. 144A, 4.35%, 9/17/27 (b) | | | 3,586 | |
2,300,000 | | Nissan Motor Co. Ltd. 144A, 4.81%, 9/17/30 (b) | | | 2,556 | |
1,705,000 | | Volkswagen Group of America Finance LLC 144A, 4.25%, 11/13/23 (b) | | | 1,855 | |
1,815,000 | | ZF North America Capital Inc. 144A, 4.75%, 4/29/25 (b) | | | 1,960 | |
| | | | | | |
| | | | | 25,543 | |
| | | | | | |
Banking (11%) | | | | |
2,325,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.010%), 1.20%, 10/24/26 (a) | | | 2,311 | |
1,800,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.870%), 2.46%, 10/22/25 (a) | | | 1,891 | |
3,085,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.220%), 2.65%, 3/11/32 (a) | | | 3,114 | |
1,600,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.970%), 3.46%, 3/15/25 (a) | | | 1,716 | |
370,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.780%), 3.55%, 3/05/24 (a) | | | 390 | |
975,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.060%), 3.56%,4/23/27 (a) | | | 1,070 | |
2,100,000 | | Bank of America Corp., 4.00%, 1/22/25 | | | 2,313 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,400,000 | | Barclays PLC, (U.S. Secured Overnight Financing Rate + 2.714%), 2.85%, 5/07/26 (a) | | $ | 1,476 | |
1,550,000 | | BBVA Bancomer SA 144A, 1.88%, 9/18/25 (b) | | | 1,559 | |
1,830,000 | | Canadian Imperial Bank of Commerce, 3.10%, 4/02/24 | | | 1,956 | |
2,340,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (a) | | | 2,455 | |
1,203,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.722%), 3.14%, 1/24/23 (a) | | | 1,226 | |
1,030,000 | | First Midwest Bancorp Inc., 5.88%, 9/29/26 | | | 1,182 | |
2,300,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 2,350 | |
1,115,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,213 | |
300,000 | | Goldman Sachs Group Inc., 3.63%, 2/20/24 | | | 324 | |
2,000,000 | | Goldman Sachs Group Inc., 3.85%, 7/08/24 | | | 2,179 | |
915,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 2.460%), 3.11%, 4/22/41 (a) | | | 914 | |
910,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 2.440%), 3.11%, 4/22/51 (a) | | | 886 | |
1,700,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 1.000%), 4.02%, 12/05/24 (a) | | | 1,841 | |
1,025,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.372%), 3.76%, 11/28/28 (a)(b) | | | 1,123 | |
910,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.990%), 2.19%, 4/28/26 (a) | | | 947 | |
2,000,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.152%), 2.72%, 7/22/25 (a) | | | 2,113 | |
3,000,000 | | Morgan Stanley, 4.10%, 5/22/23 | | | 3,211 | |
830,000 | | Morgan Stanley, 5.00%, 11/24/25 | | | 957 | |
450,000 | | Santander Holdings USA Inc., 3.24%, 10/05/26 | | | 481 | |
735,000 | | Sumitomo Mitsui Financial Group Inc., 2.45%, 9/27/24 | | | 772 | |
1,000,000 | | Synchrony Bank, 3.00%, 6/15/22 | | | 1,027 | |
2,450,000 | | UBS Group AG 144A, (3 mo. LIBOR USD + 1.468%), 3.13%, 8/13/30 (a)(b) | | | 2,581 | |
1,000,000 | | Wachovia Corp., 5.50%, 8/01/35 | | | 1,263 | |
2,000,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 2.530%), 3.07%, 4/30/41 (a) | | | 1,978 | |
| | | | | | |
| | | | | 48,819 | |
| | | | | | |
Basic Industry (7%) | | | | |
650,000 | | Aviation Capital Group LLC 144A, 2.88%, 1/20/22 (b) | | | 658 | |
1,120,000 | | Aviation Capital Group LLC 144A, 3.88%, 5/01/23 (b) | | | 1,171 | |
935,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (b) | | | 989 | |
4,065,000 | | Boeing Co., 2.20%, 2/04/26 | | | 4,073 | |
2,000,000 | | CNH Industrial Capital LLC, 3.88%, 10/15/21 | | | 2,029 | |
Semi-Annual Report 39
Payden Corporate Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
465,000 | | DAE Funding LLC 144A, 4.50%, 8/01/22 (b) | | $ | 467 | |
1,506,000 | | Element Solutions Inc. 144A, 3.88%, 9/01/28 (b) | | | 1,504 | |
2,225,000 | | Equate Petrochemical BV 144A, 2.63%, 4/28/28 (b) | | | 2,235 | |
585,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.50%, 9/15/27 (b) | | | 637 | |
2,200,000 | | Freeport-McMoRan Inc., 5.00%, 9/01/27 | | | 2,337 | |
2,863,000 | | General Electric Co.,6.75%, 3/15/32 | | | 3,872 | |
1,825,000 | | Glencore Funding LLC 144A, 1.63%, 9/01/25 (b) | | | 1,838 | |
1,750,000 | | Honeywell International Inc., 2.80%, 6/01/50 | | | 1,696 | |
1,350,000 | | Klabin Austria GmbH 144A, 3.20%, 1/12/31 (b) | | | 1,289 | |
900,000 | | Nutrition & Biosciences Inc. 144A, 3.47%, 12/01/50 (b) | | | 887 | |
880,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 4.45%, 1/29/26 (b) | | | 994 | |
600,000 | | Raytheon Technologies Corp., 4.63%, 11/16/48 | | | 733 | |
1,500,000 | | Raytheon Technologies Corp., 6.70%, 8/01/28 | | | 1,953 | |
1,485,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21 (b) | | | 1,489 | |
| | | | | | |
| | | | | 30,851 | |
| | | | | | |
Consumer Goods (3%) | | | | |
1,740,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 3/15/29 (b) | | | 1,673 | |
2,000,000 | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., 4.90%, 2/01/46 | | | 2,393 | |
740,000 | | Anheuser-Busch InBev Worldwide Inc., 8.00%, 11/15/39 | | | 1,176 | |
904,000 | | Anheuser-Busch InBev Worldwide Inc., 8.20%, 1/15/39 | | | 1,451 | |
1,320,000 | | Coca-Cola Co., 2.60%, 6/01/50 | | | 1,206 | |
195,000 | | Land O’ Lakes Inc. 144A, 6.00%, 11/15/22 (b) | | | 208 | |
2,600,000 | | Land O’ Lakes Inc. 144A, 7.00% (b)(c) | | | 2,668 | |
2,215,000 | | MARB BondCo PLC 144A, 3.95%, 1/29/31 (b) | | | 2,108 | |
1,850,000 | | NIKE Inc., 3.38%, 3/27/50 | | | 1,981 | |
| | | | | | |
| | | | | 14,864 | |
| | | | | | |
Energy (8%) | | | | |
1,745,000 | | Canadian Natural Resources Ltd., 6.25%, 3/15/38 | | | 2,304 | |
1,000,000 | | Cenovus Energy Inc., 6.75%, 11/15/39 | | | 1,269 | |
1,600,000 | | Cenovus Energy Inc., 6.80%, 9/15/37 | | | 1,999 | |
1,300,000 | | Devon Energy Corp., 5.60%, 7/15/41 | | | 1,541 | |
1,484,000 | | Devon Energy Corp., 5.85%, 12/15/25 | | | 1,744 | |
1,200,000 | | Enbridge Energy Partners LP, 7.38%, 10/15/45 | | | 1,790 | |
240,000 | | Energean Israel Finance Ltd. 144A, 4.50%, 3/30/24 (b)(d) | | | 247 | |
850,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (b)(d) | | | 879 | |
2,500,000 | | Energean Israel Finance Ltd. 144A, 5.38%, 3/30/28 (b)(d) | | | 2,591 | |
1,200,000 | | Energy Transfer LP, 5.40%, 10/01/47 | | | 1,306 | |
2,500,000 | | Energy Transfer LP, 5.50%, 6/01/27 | | | 2,904 | |
1,000,000 | | Hess Corp., 7.30%, 8/15/31 | | | 1,318 | |
950,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26 (b) | | | 955 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
750,000 | | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | | $ | 1,020 | |
400,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 1.46%, 1/15/23 (a) | | | 406 | |
1,525,000 | | MPLX LP, 5.20%, 12/01/47 | | | 1,776 | |
2,000,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (b) | | | 2,065 | |
410,000 | | Parsley Energy LLC/Parsley Finance Corp. 144A, 4.13%, 2/15/28 (b) | | | 431 | |
1,100,000 | | PDC Energy Inc., 5.75%, 5/15/26 | | | 1,145 | |
1,298,000 | | Southwestern Energy Co., 4.10%, 3/15/22 | | | 1,312 | |
1,700,000 | | Williams Cos. Inc., 3.75%,6/15/27 | | | 1,871 | |
1,800,000 | | Williams Cos. Inc., 7.88%, 9/01/21 | | | 1,843 | |
2,200,000 | | Williams Cos. Inc., 8.75%, 3/15/32 | | | 3,296 | |
1,087,000 | | WPX Energy Inc., 5.25%, 10/15/27 | | | 1,162 | |
| | | | | | |
| | | | | 37,174 | |
| | | | | | |
Financial Services (18%) | | | | |
925,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.13%, 7/03/23 | | | 984 | |
1,125,000 | | Air Lease Corp., 2.30%, 2/01/25 | | | 1,157 | |
410,000 | | Aircastle Ltd., 4.13%, 5/01/24 | | | 436 | |
1,795,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 1,948 | |
1,851,000 | | American Express Co., 8.15%, 3/19/38 | | | 2,878 | |
1,690,000 | | AmFam Holdings Inc. 144A, 2.81%, 3/11/31 (b) | | | 1,693 | |
1,950,000 | | Ares Capital Corp., 3.25%, 7/15/25 | | | 2,040 | |
1,000,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 1,043 | |
875,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 891 | |
3,820,000 | | Australia & New Zealand Banking Group Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.700%), 2.57%, 11/25/35 (a)(b) | | | 3,637 | |
2,400,000 | | Banco Santander SA, 2.75%, 12/03/30 | | | 2,334 | |
1,290,000 | | Blackstone Secured Lending Fund 144A, 2.75%, 9/16/26 (b) | | | 1,299 | |
1,670,000 | | BNP Paribas SA 144A, (U.S. Secured Overnight Financing Rate + 2.074%), 2.22%, 6/09/26 (a)(b) | | | 1,722 | |
2,100,000 | | Capital One Financial Corp., 3.30%, 10/30/24 | | | 2,273 | |
2,300,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 2.107%), 2.57%, 6/03/31 (a) | | | 2,310 | |
2,500,000 | | Citigroup Inc., 4.45%, 9/29/27 | | | 2,842 | |
2,510,000 | | Credit Agricole SA 144A, (U.S. Secured Overnight Financing Rate + 1.676%), 1.91%,6/16/26 (a)(b) | | | 2,560 | |
3,000,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 2.044%), 2.19%, 6/05/26 (a)(b) | | | 3,068 | |
1,700,000 | | Credit Suisse Group AG 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.554%), 4.50%, (a)(b)(c) | | | 1,628 | |
950,000 | | Deutsche Bank AG, (U.S. Secured Overnight Financing Rate + 1.131%), 1.45%, 4/01/25 (a) | | | 954 | |
2,180,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 2,255 | |
3,775,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (b) | | | 3,903 | |
1,700,000 | | Host Hotels & Resorts LP, 3.50%, 9/15/30 | | | 1,756 | |
40 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,800,000 | | HSBC Holdings PLC, (U.S. Secured Overnight Financing Rate + 2.387%), 2.85%, 6/04/31 (a) | | $ | 2,831 | |
1,050,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A, 4.38%, 2/01/29 (b) | | | 1,020 | |
1,820,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26 | | | 1,922 | |
1,500,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.065%), 1.95%, 2/04/32 (a) | | | 1,427 | |
5,000,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 3.790%), 4.49%, 3/24/31 (a) | | | 5,799 | |
750,000 | | Lloyds Banking Group PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.550%), 0.70%, 5/11/24 (a) | | | 751 | |
1,155,000 | | Low Income Investment Fund, 3.71%, 7/01/29 | | | 1,231 | |
2,835,000 | | Macquarie Bank Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.700%), 3.05%, 3/03/36 (a)(b) | | | 2,739 | |
1,600,000 | | Macquarie Group Ltd. 144A, (U.S. Secured Overnight Financing Rate + 1.069%), 1.34%, 1/12/27 (a)(b) | | | 1,579 | |
620,000 | | Mastercard Inc., 3.85%, 3/26/50 | | | 711 | |
1,025,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.020%), 1.93%, 4/28/32 (a) | | | 972 | |
2,020,000 | | MPT Operating Partnership LP/MPT Finance Corp., 5.00%, 10/15/27 | | | 2,129 | |
1,100,000 | | Nomura Holdings Inc., 2.68%, 7/16/30 | | | 1,092 | |
2,205,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 2,338 | |
1,300,000 | | PayPal Holdings Inc., 3.25%, 6/01/50 | | | 1,313 | |
2,000,000 | | Pershing Square Holdings Ltd. 144A, 5.50%, 7/15/22 (b) | | | 2,093 | |
900,000 | | SBA Communications Corp. 144A, 3.13%, 2/01/29 (b) | | | 863 | |
250,000 | | Synchrony Financial, 3.75%, 8/15/21 | | | 251 | |
1,662,000 | | Synovus Bank, (U.S. Secured Overnight Financing Rate + 0.945%), 2.29%, 2/10/23 (a) | | | 1,678 | |
2,350,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 2.100%), 2.39%, 6/02/28 (a) | | | 2,421 | |
2,200,000 | | Westpac Banking Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.750%), 2.67%, 11/15/35 (a) | | | 2,113 | |
| | | | | | |
| | | | | 82,884 | |
| | | | | | |
Healthcare (7%) | | | | |
2,160,000 | | AbbVie Inc., 2.95%, 11/21/26 | | | 2,315 | |
920,000 | | AbbVie Inc.,4.25%, 11/21/49 | | | 1,044 | |
3,120,000 | | Amgen Inc., 3.15%, 2/21/40 | | | 3,132 | |
2,850,000 | | AstraZeneca PLC, 1.38%, 8/06/30 | | | 2,626 | |
700,000 | | Bayer U.S. Finance II LLC 144A, 3.88%, 12/15/23 (b) | | | 753 | |
700,000 | | Blue Cross and Blue Shield of Minnesota 144A, 3.79%, 5/01/25 (b) | | | 759 | |
1,625,000 | | Bristol-Myers Squibb Co., 4.25%, 10/26/49 | | | 1,932 | |
700,000 | | Cigna Corp., 4.13%, 11/15/25 | | | 787 | |
895,000 | | Cigna Corp., 4.90%, 12/15/48 | | | 1,106 | |
2,100,000 | | CVS Health Corp., 1.30%, 8/21/27 | | | 2,050 | |
110,000 | | Dignity Health, 3.13%, 11/01/22 | | | 114 | |
740,000 | | Dignity Health, 4.50%, 11/01/42 | | | 869 | |
965,000 | | Gilead Sciences Inc., 2.80%, 10/01/50 | | | 870 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
550,000 | | Jazz Securities DAC 144A, 4.38%, 1/15/29 (b) | | $ | 563 | |
1,300,000 | | Merck & Co. Inc., 2.35%, 6/24/40 | | | 1,208 | |
175,000 | | Northwell Healthcare Inc., 6.15%, 11/01/43 | | | 246 | |
955,000 | | PeaceHealth Obligated Group, 1.38%, 11/15/25 | | | 962 | |
1,200,000 | | Perrigo Finance Unlimited Co., 3.15%, 6/15/30 | | | 1,194 | |
880,000 | | Pfizer Inc., 2.63%, 4/01/30 | | | 923 | |
1,620,000 | | Royalty Pharma PLC 144A, 2.20%, 9/02/30 (b) | | | 1,549 | |
420,000 | | Teva Pharmaceutical Finance Netherlands III BV, 4.10%, 10/01/46 | | | 359 | |
850,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4/15/24 | | | 898 | |
2,175,000 | | Toledo Hospital, 6.02%, 11/15/48 | | | 2,642 | |
1,820,000 | | Viatris Inc. 144A, 4.00%, 6/22/50 (b) | | | 1,813 | |
| | | | | | |
| | | | | 30,714 | |
| | | | | | |
Insurance (4%) | | | | |
2,730,000 | | Athene Global Funding 144A, 2.95%, 11/12/26 (b) | | | 2,891 | |
1,050,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 1,078 | |
2,115,000 | | Jackson National Life Global Funding 144A, 2.65%, 6/21/24 (b) | | | 2,227 | |
725,000 | | Nationwide Financial Services Inc. 144A, 5.30%, 11/18/44 (b) | | | 888 | |
1,731,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39 (b) | | | 2,911 | |
1,265,000 | | New York Life Insurance Co. 144A, 5.88%, 5/15/33 (b) | | | 1,634 | |
500,000 | | New York Life Insurance Co. 144A, 6.75%, 11/15/39 (b) | | | 736 | |
1,700,000 | | Ohio National Life Insurance Co. 144A, 6.88%, 6/15/42 (b) | | | 2,026 | |
450,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39 (b) | | | 716 | |
550,000 | | Teachers Insurance & Annuity Association of America 144A, 4.90%, 9/15/44 (b) | | | 687 | |
2,000,000 | | Teachers Insurance & Annuity Association of America 144A, 6.85%, 12/16/39 (b) | | | 2,926 | |
| | | | | | |
| | | | | 18,720 | |
| | | | | | |
Leisure (1%) | | | | |
1,150,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (b) | | | 1,149 | |
900,000 | | International Game Technology PLC 144A, 4.13%, 4/15/26 (b) | | | 929 | |
500,000 | | Mattel Inc. 144A, 3.38%, 4/01/26 (b) | | | 518 | |
| | | | | | |
| | | | | 2,596 | |
| | | | | | |
Media (3%) | | | | |
1,820,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.50%, 6/01/41 | | | 1,753 | |
3,825,000 | | Comcast Corp., 6.50%, 11/15/35 | | | 5,481 | |
1,760,000 | | Fox Corp., 5.58%, 1/25/49 | | | 2,265 | |
1,450,000 | | Time Warner Cable LLC, 6.75%, 6/15/39 | | | 1,980 | |
2,000,000 | | Walt Disney Co., 2.75%, 9/01/49 | | | 1,870 | |
475,000 | | Walt Disney Co., 9.50%, 7/15/24 | | | 606 | |
| | | | | | |
| | | | | 13,955 | |
| | | | | | |
Real Estate (3%) | | | | |
1,140,000 | | Healthpeak Properties Inc., 3.40%, 2/01/25 | | | 1,232 | |
Semi-Annual Report 41
Payden Corporate Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
555,000 | | iStar Inc., 4.75%, 10/01/24 | | $ | 580 | |
1,900,000 | | iStar Inc., 5.50%, 2/15/26 | | | 1,971 | |
800,000 | | National Retail Properties Inc., 3.90%, 6/15/24 | | | 868 | |
1,200,000 | | Simon Property Group LP, 6.75%, 2/01/40 | | | 1,725 | |
360,000 | | Toll Brothers Finance Corp., 4.88%, 11/15/25 | | | 404 | |
2,750,000 | | Ventas Realty LP, 4.88%, 4/15/49 | | | 3,216 | |
800,000 | | VEREIT Operating Partnership LP, 4.60%, 2/06/24 | | | 876 | |
770,000 | | WEA Finance LLC 144A, 4.13%, 9/20/28 (b) | | | 818 | |
980,000 | | WEA Finance LLC 144A, 4.63%, 9/20/48 (b) | | | 998 | |
| | | | | | |
| | | | | 12,688 | |
| | | | | | |
Retail (2%) | | | | |
2,000,000 | | Home Depot Inc., 4.50%, 12/06/48 | | | 2,511 | |
1,880,000 | | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 144A, 4.75%, 6/01/27 (b) | | | 1,981 | |
1,325,000 | | Lowe’s Cos. Inc., 5.13%, 4/15/50 (e) | | | 1,763 | |
1,425,000 | | Nordstrom Inc. 144A, 4.25%, 8/01/31 (b) | | | 1,445 | |
1,940,000 | | Yum! Brands Inc., 3.63%, 3/15/31 | | | 1,918 | |
| | | | | | |
| | | | | 9,618 | |
| | | | | | |
Service (2%) | | | | |
2,185,000 | | American University, 3.67%, 4/01/49 | | | 2,410 | |
1,850,000 | | California Institute of Technology, 3.65%, 9/01/19 | | | 1,979 | |
1,150,000 | | Ford Foundation, 2.82%,6/01/70 | | | 1,089 | |
1,540,000 | | Georgetown University, 4.32%, 4/01/49 | | | 1,853 | |
1,180,000 | | President and Fellows of Harvard College, 2.52%, 10/15/50 | | | 1,132 | |
| | | | | | |
| | | | | 8,463 | |
| | | | | | |
Technology (4%) | | | | |
1,305,000 | | Apple Inc., 2.65%, 5/11/50 | | | 1,214 | |
2,000,000 | | Apple Inc., 4.65%, 2/23/46 | | | 2,559 | |
2,289,000 | | Broadcom Inc., 4.11%, 9/15/28 | | | 2,531 | |
1,400,000 | | Dell International LLC/EMC Corp. 144A, 4.90%, 10/01/26 (b) | | | 1,609 | |
835,000 | | Dell International LLC/EMC Corp. 144A, 8.35%, 7/15/46(b) | | | 1,311 | |
1,315,000 | | Microchip Technology Inc. 144A, 2.67%, 9/01/23 (b) | | | 1,372 | |
2,800,000 | | Microsoft Corp., 2.53%, 6/01/50 | | | 2,613 | |
2,000,000 | | Oracle Corp., 6.50%, 4/15/38 | | | 2,768 | |
1,045,000 | | Seagate HDD Cayman 144A, 3.13%, 7/15/29 (b) | | | 1,007 | |
1,490,000 | | Western Digital Corp., 4.75%, 2/15/26 | | | 1,654 | |
| | | | | | |
| | | | | 18,638 | |
| | | | | | |
Telecommunications (9%) | | | | |
2,575,000 | | Alphabet Inc., 2.05%, 8/15/50 | | | 2,164 | |
1,600,000 | | AT&T Inc., (3 mo. LIBOR USD + 1.180%), 1.36%, 6/12/24 (a) | | | 1,635 | |
3,359,000 | | AT&T Inc. 144A, 3.50%, 9/15/53 (b) | | | 3,096 | |
3,800,000 | | AT&T Inc. 144A, 3.65%, 9/15/59 (b) | | | 3,511 | |
1,760,000 | | British Telecommunications PLC 144A, 4.25%, 11/08/49(b) | | | 1,952 | |
1,100,000 | | Cogent Communications Group Inc. 144A, 3.50%, 5/01/26 (b) | | | 1,100 | |
1,500,000 | | Deutsche Telekom International Finance BV, 8.75%,6/15/30 | | | 2,235 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,190,000 | | Go Daddy Operating Co. LLC/GD Finance Co. Inc. 144A, 3.50%, 3/01/29 (b) | | $ | 1,160 | |
1,800,000 | | Juniper Networks Inc., 2.00%, 12/10/30 | | | 1,682 | |
1,150,000 | | MercadoLibre Inc., 2.38%, 1/14/26 | | | 1,149 | |
2,475,000 | | Orange SA, 9.00%, 3/01/31 | | | 3,868 | |
48,750 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 49 | |
1,100,000 | | TELUS Corp., 4.60%, 11/16/48 | | | 1,310 | |
2,050,000 | | Tencent Holdings Ltd. 144A, 3.24%, 6/03/50 (b) | | | 1,885 | |
300,000 | | Tencent Holdings Ltd. 144A, 3.98%, 4/11/29 (b) | | | 328 | |
1,500,000 | | T-Mobile USA Inc. 144A, 3.88%, 4/15/30 (b) | | | 1,636 | |
1,200,000 | | Verizon Communications Inc., 1.45%, 3/20/26 | | | 1,208 | |
1,000,000 | | Verizon Communications Inc., 4.40%, 11/01/34 | | | 1,167 | |
1,063,000 | | Verizon Communications Inc., 4.75%, 11/01/41 | | | 1,287 | |
280,000 | | Verizon Communications Inc., 4.86%, 8/21/46 | | | 347 | |
3,500,000 | | Verizon Communications Inc., 5.25%, 3/16/37 | | | 4,465 | |
2,000,000 | | Vodafone Group PLC, 5.25%, 5/30/48 | | | 2,530 | |
| | | | | | |
| | | | | 39,764 | |
| | | | | | |
Transportation (1%) | | | | |
1,404,602 | | American Airlines 2019-1 Class A Pass-Through Trust, 3.50%, 2/15/32 | | | 1,360 | |
1,466,083 | | American Airlines 2019-1 Class AA Pass-Through Trust, 3.15%, 2/15/32 | | | 1,471 | |
107,535 | | Continental Airlines 2007-1 Class B Pass-Through Trust, 6.90%, 4/19/22 | | | 107 | |
| | | | | | |
| | | | | 2,938 | |
| | | | | | |
Utility (5%) | | | | |
1,485,000 | | Alliant Energy Finance LLC 144A, 3.75%, 6/15/23 (b) | | | 1,578 | |
1,050,000 | | Basin Electric Power Cooperative 144A, 4.75%, 4/26/47 (b) | | | 1,195 | |
244,000 | | Berkshire Hathaway Energy Co., 6.13%, 4/01/36 | | | 335 | |
1,250,000 | | Duke Energy Florida LLC, 4.20%, 7/15/48 | | | 1,485 | |
1,750,000 | | Eastern Energy Gas Holdings LLC, 3.00%, 11/15/29 | | | 1,837 | |
850,000 | | Exelon Generation Co. LLC, 3.25%, 6/01/25 | | | 914 | |
1,600,000 | | FirstEnergy Corp., 2.25%, 9/01/30 | | | 1,510 | |
545,000 | | Fortis Inc., 3.06%, 10/04/26 | | | 585 | |
1,150,000 | | Indianapolis Power & Light Co. 144A, 4.05%, 5/01/46 (b) | | | 1,286 | |
660,000 | | KeySpan Gas East Corp. 144A, 5.82%, 4/01/41 (b) | | | 875 | |
1,780,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 2,065 | |
2,600,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 2,602 | |
333,547 | | Solar Star Funding LLC 144A, 3.95%, 6/30/35 (b) | | | 346 | |
1,755,000 | | Southern California Edison Co., (U.S. Secured Overnight Financing Rate + 0.830%), 0.84%, 4/01/24 (a) | | | 1,762 | |
2,255,000 | | Tampa Electric Co., 4.45%, 6/15/49 | | | 2,761 | |
| | | | | | |
| | | | | 21,136 | |
| | | | | | |
Total Corporate Bond (Cost - $402,665) | | | 419,365 | |
| | | | | | |
42 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Foreign Government (1%) | | | | |
1,885,000 | | Corp. Financiera de Desarrollo SA 144A, 2.40%, 9/28/27 (b) (Cost - $1,883) | | $ | 1,810 | |
| | | | | | |
Mortgage Backed (1%) | | | | |
2,000,000 | | BXMT 2020-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.950%) 2.07%, 2/16/37 (a)(b) | | | 1,997 | |
2,000,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 1.430%) 1.55%, 5/15/36 (a)(b) | | | 2,005 | |
1,643,150 | | Freddie Mac STACR REMIC Trust 2020-HQA3 144A, (1 mo. LIBOR USD + 3.600%) 3.71%, 7/25/50 (a)(b) | | | 1,666 | |
| | | | | | |
Total Mortgage Backed (Cost—$5,673) | | | 5,668 | |
| | | | | | |
Municipal (1%) | | | | |
1,200,000 | | Bay Area Toll Authority, 3.55%, 4/01/54 | | | 1,233 | |
1,200,000 | | City of San Francisco CA Public Utilities Commission Water Revenue, 2.83%, 11/01/41 | | | 1,214 | |
1,050,000 | | Michigan Finance Authority, 5.02%, 11/01/43 | | | 1,296 | |
2,170,000 | | University of California, 1.32%, 5/15/27 | | | 2,151 | |
| | | | | | |
Total Municipal (Cost - $5,620) | | | 5,894 | |
| | | | | | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Investment Company (2%) | | | | |
7,032,426 | | Payden Cash Reserves Money Market Fund * (Cost-$7,032) | | $ | 7,032 | |
| | | | | | |
Total Investments (Cost -$427,770) (100%) | | | 444,681 | |
Other Assets, net of Liabilities (0%) | | | 1,553 | |
| | | | | | |
Net Assets (100%) | | $ | 446,234 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (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) | Perpetual security with no stated maturity date. |
| (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) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $940 the total market value of the collateral held by the Fund is $954. 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 | | 84 | | | | | | Jun-21 | | | | $ | 13,209 | | | | | $(134) | | | | $ | (134 | ) |
U.S. Treasury 10-Year Note Future | | 173 | | | | | | Jun-21 | | | | | 22,841 | | | | | (224) | | | | | (224) | |
U.S. Treasury 2-Year Note Future | | 109 | | | | | | Jun-21 | | | | | 24,063 | | | | | (16) | | | | | (16) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (374 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10-Year Ultra Future | | 174 | | | | | | Jun-21 | | | | | (25,325 | ) | | | | 519 | | | | | 519 | |
U.S. Ultra Bond Future | | 20 | | | | | | Jun-21 | | | | | (3,718 | ) | | | | 79 | | | | | 79 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 598 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | $ | 224 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | | 06/20/2026 | | | | $ | 9,000 | | | | | $924 | | | | | $769 | | | | | $155 | |
High Yield Series 36 Index), Pay 5% Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 43
Payden Corporate Bond Fund continued
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 | | | $ | 940 | |
Non-cash Collateral2 | | | | (940 | ) |
| | | | | |
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, 2021, 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.
44 Payden Mutual Funds
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 | | | 46% | |
U.S. Treasury | | | 20% | |
Asset Backed | | | 11% | |
Mortgage Backed | | | 7% | |
Foreign Government | | | 4% | |
Other | | | 12% | |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (11%) | | | | |
218,350 | | Arbys Funding LLC 144A, 3.24%, 7/30/50 (a) | | $ | 226 | |
500,000 | | Atrium XII 144A, (3 mo. LIBOR USD + 2.800%), 2.98%, 4/22/27 (a)(b) | | | 491 | |
400,000 | | Benefit Street Partners CLO XXII Ltd. 144A, (3 mo. LIBOR USD + 3.500%), 3.69%, 1/20/32 (a)(b) | | | 400 | |
700,000 | | Blackrock European CLO VII DAC 144A, (3 mo. EURIBOR + 1.300%), 1.30%, 10/15/31 EUR (a)(b)(c) | | | 845 | |
300,000 | | BlueMountain CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 2.750%), 2.94%, 7/18/27 (a)(b) | | | 290 | |
450,000 | | BlueMountain CLO 2015-3 Ltd. 144A, (3 mo. LIBOR USD + 2.600%), 2.79%, 4/20/31 (a)(b) | | | 423 | |
550,000 | | BlueMountain EUR 2021-1 CLO DAC 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/34 EUR (a)(b)(c) | | | 664 | |
450,000 | | Cairn CLO XIII DAC 144A, (3 mo. EURIBOR + 3.400%), 3.40%, 10/20/33 EUR (a)(b)(c) | | | 541 | |
500,000 | | Carlyle C17 CLO Ltd. 144A, (3 mo. LIBOR USD + 2.800%), 3.01%, 4/30/31 (a)(b) | | | 496 | |
230,000 | | CARS-DB4 LP 144A, 4.17%, 2/15/50 (a) | | | 237 | |
360,000 | | CARS-DB4 LP 144A, 4.95%, 2/15/50 (a) | | | 362 | |
600,000 | | CIFC European Funding CLO II DAC 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 4/15/33 EUR (a)(b)(c) | | | 720 | |
400,000 | | CIFC Funding 2013-III-R Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.08%, 4/24/31 (a)(b) | | | 400 | |
690,000 | | Domino’s Pizza Master Issuer 2021-1A LLC 144A, 3.15%, 4/25/51 (a) | | | 707 | |
1,200,925 | | Driven Brands Funding 2020-1A LLC 144A, 3.79%, 7/20/50 (a) | | | 1,273 | |
399,000 | | Driven Brands Funding 2020-2A LLC 144A, 3.24%, 1/20/51 (a) | | | 414 | |
400,000 | | Dryden XXVI Senior Loan Fund 144A, (3 mo. LIBOR USD + 5.540%), 5.72%, 4/15/29 (a)(b) | | | 387 | |
1,050,000 | | FS RIALTO 144A, (1 mo. LIBOR USD + 2.700%), 2.81%, 4/16/28 (a)(b) | | | 1,050 | |
675,000 | | Galaxy XXIII CLO Ltd. 144A, (3 mo. LIBOR USD + 3.400%), 3.58%, 4/24/29 (a)(b) | | | 675 | |
500,000 | | Hayfin Emerald CLO VI DAC 144A, (3 mo. EURIBOR + 3.500%), 3.50%, 4/15/34 EUR (a)(b)(c) | | | 601 | |
500,000 | | LCM XXI LP 144A, (3 mo. LIBOR USD + 2.000%), 2.19%, 4/20/28 (a)(b) | | | 498 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
490,000 | | LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 1.61%, 5/15/36 (a)(b) | | $ | 491 | |
450,000 | | Madison Park Funding XLVIII Ltd. 144A, (3 mo. LIBOR USD + 3.000%), 3.14%, 4/19/33 (a)(b) | | | 450 | |
400,000 | | Man GLG Euro CLO 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 10/15/32 EUR (a)(b)(c) | | | 481 | |
250,000 | | Montmartre Euro CLO 2020-2 DAC 144A, (3 mo. EURIBOR + 1.590%), 1.59%, 7/15/33 EUR (a)(b)(c) | | | 301 | |
410,000 | | Neuberger Berman Loan Advisers CLO 25 Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.04%, 10/18/29 (a)(b) | | | 410 | |
600,000 | | Ocean Trails CLO VII 144A, (3 mo. LIBOR USD + 2.450%), 2.64%, 4/17/30 (a)(b) | | | 600 | |
400,000 | | OCP CLO 2014-5 Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.08%, 4/26/31 (a)(b) | | | 393 | |
600,000 | | Octagon Investment Partners 32 Ltd. 144A, (3 mo. LIBOR USD + 2.050%), 2.23%, 7/15/29 (a)(b) | | | 600 | |
600,000 | | OZLME V DAC 144A, (3 mo. EURIBOR + 1.750%), 1.75%, 1/14/32 EUR (a)(b)(c) | | | 722 | |
300,000 | | Palmer Square European CLO 2021-1 DAC 144A, (3 mo. EURIBOR + 3.150%), 3.15%, 4/15/34 EUR (a)(b)(c) | | | 362 | |
404,875 | | Planet Fitness Master Issuer 2019-1A LLC 144A, 3.86%, 12/05/49 (a) | | | 393 | |
550,000 | | Sculptor CLO XXV Ltd. 144A, (3 mo. LIBOR USD+2.450%), 2.64%, 1/15/31 (a)(b) | | | 550 | |
500,000 | | Sound Point Euro CLO V Funding DAC 144A, (3 mo. EURIBOR + 3.300%), 3.30%, 7/25/35 EUR (a)(b)(c) | | | 601 | |
600,000 | | St Paul’s CLO XII DAC 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/33 EUR (a)(b)(c) | | | 711 | |
450,000 | | Symphony CLO XXIV Ltd. 144A, (3 mo. LIBOR USD + 2.250%), 2.47%, 1/23/32 (a)(b) | | | 450 | |
750,000 | | TRTX 2021-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD +2.400%), 2.52%, 3/15/38 (a)(b) | | | 753 | |
300,000 | | Voya Euro CLO III DAC 144A, (3 mo. EURIBOR + 0.920%), 0.92%, 4/15/33 EUR (a)(b)(c) | | | 362 | |
490,000 | | Wingstop Funding 2020-1A LLC 144A, 2.84%, 12/05/50 (a) | | | 500 | |
| | | | | | |
Total Asset Backed (Cost - $20,479) | | | 20,830 | |
| | | | | | |
Semi-Annual Report 45
Payden Strategic Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Bank Loans(d) (4%) | | | | |
250,000 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (3 mo. EURIBOR + 3.500%), 3.50%, 1/20/27 EUR (c) | | $ | 301 | |
668,073 | | Altice France SA Term Loan B11 1L, (LIBOR USD 3-Month + 2.750%), 2.86%, 7/31/25 | | | 655 | |
454,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.00%, 11/01/25 | | | 505 | |
150,000 | | Avast Software s.r.o Term Loan B 1L, (3 mo. EURIBOR + 2.000%), 2.00%, 3/22/28 EUR (c) | | | 181 | |
300,000 | | CAB Selarl Term Loan B 1L, (3 mo. EURIBOR + 3.500%), 3.50%, 2/09/28 EUR (c) | | | 359 | |
468,981 | | CDW LLC Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 8/17/23 | | | 471 | |
300,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%), 2.63%, 1/31/27 EUR (c) | | | 358 | |
317,371 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 2.86%, 10/22/25 | | | 317 | |
406,854 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 2.95%, 2/05/25 | | | 404 | |
406,704 | | K-MAC Holdings Corp. Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.11%, 3/16/25 | | | 402 | |
300,000 | | KP Germany Erste GmbH Term Loan B 1L, (3 mo. EURIBOR + 4.750%), 4.75%, 2/09/26 EUR (c) | | | 357 | |
380,000 | | Sotera Health Holdings LLC Term Loan 1L, (LIBOR USD 3-Month + 2.750%), 3.25%, 12/13/26 | | | 379 | |
776,000 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.50%, 2/05/27 | | | 774 | |
374,751 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 10/22/25 | | | 375 | |
207,692 | | UPC Financing Partnership Term Loan B2 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 1/31/29 | | | 206 | |
440,000 | | Zaxby’s Operating Co. LP Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 12/28/27 | | | 441 | |
| | | | | | |
Total Bank Loans (Cost - $6,388) | | | 6,485 | |
| | | | | | |
Corporate Bond (47%) | | | | |
Financial (17%) | | | | |
145,000 | | Air Lease Corp., 2.30%, 2/01/25 | | | 149 | |
270,000 | | American Honda Finance Corp., 0.88%, 7/07/23 | | | 273 | |
560,000 | | American Tower Corp., 3.95%, 3/15/29 | | | 622 | |
725,000 | | AmFam Holdings Inc. 144A, 2.81%, 3/11/31 (a) | | | 726 | |
770,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 803 | |
230,000 | | ASB Bank Ltd. 144A, 3.75%, 6/14/23 (a) | | | 246 | |
180,000 | | Assurant Inc., (3 mo. LIBOR USD + 4.135%), 7.00%, 3/27/48 (b) | | | 204 | |
540,000 | | Aviation Capital Group LLC 144A, 3.88%, 5/01/23 (a) | | | 565 | |
400,000 | | Banco de Sabadell SA, (5 yr. Euro Swap + 6.414%), 6.50%, EUR (b)(c)(e)(f) | | | 489 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
400,000 | | Bangkok Bank PCL 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.729%), 5.00%, (a)(b)(e) | | $ | 421 | |
445,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.021%), 2.88%, 4/24/23 (b) | | | 456 | |
385,000 | | Bank of Nova Scotia, 1.30%, 6/11/25 | | | 389 | |
270,000 | | Barclays PLC, 3.68%, 1/10/23 | | | 276 | |
350,000 | | Barclays PLC, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.867%), 6.13%, (b)(e) | | | 387 | |
625,000 | | Blackstone Secured Lending Fund 144A, 2.75%, 9/16/26 (a) | | | 629 | |
250,000 | | BNP Paribas SA 144A, (U.S. Secured Overnight Financing Rate + 2.074%), 2.22%,6/09/26 (a)(b) | | | 258 | |
375,000 | | Charles Schwab Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.971%), 5.38%, (b)(e) | | | 418 | |
400,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.950%), 2.88%, 7/24/23 (b) | | | 412 | |
90,000 | | Citigroup Inc., (3 mo. LIBOR USD + 4.478%), 4.67%, (b)(e) | | | 90 | |
420,000 | | Citizens Bank NA, 3.25%, 2/14/22 | | | 429 | |
390,000 | | Comerica Bank, 2.50%, 7/23/24 | | | 414 | |
575,000 | | Commonwealth Bank of Australia 144A, 2.69%, 3/11/31 (a) | | | 563 | |
500,000 | | Compass Group Diversified Holdings LLC 144A, 5.25%, 4/15/29 (a) | | | 528 | |
335,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.560%), 2.59%, 9/11/25 (a)(b) | | | 349 | |
275,000 | | Credit Suisse Group AG 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.889%), 5.25%, (a)(b)(e) | | | 286 | |
830,000 | | Daimler Finance North America LLC 144A, 3.65%, 2/22/24 (a) | | | 893 | |
450,000 | | Diversified Healthcare Trust, 4.75%, 5/01/24 | | | 466 | |
425,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 436 | |
460,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.05%, 2/10/25 (a) | | | 475 | |
470,000 | | Five Corners Funding Trust 144A, 4.42%, 11/15/23 (a) | | | 514 | |
415,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 429 | |
400,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (a) | | | 414 | |
350,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%), 1.74%, 1/14/22 (b) | | | 353 | |
500,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 3.598%), 5.75%, (b)(e) | | | 544 | |
650,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (a) | | | 649 | |
550,000 | | GLP Capital LP/GLP Financing II Inc., 4.00%, 1/15/31 | | | 581 | |
365,000 | | HSBC Holdings PLC, (U.S. Secured Overnight Financing Rate + 1.929%), 2.10%, 6/04/26 (b) | | | 374 | |
46 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
650,000 | | Hyundai Capital America 144A, 1.15%, 11/10/22 (a) | | $ | 654 | |
225,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A, 4.38%, 2/01/29 (a) | | | 219 | |
475,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.446%), 3.88%, 4/15/31 (a)(b) | | | 462 | |
550,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.850%), 2.08%, 4/22/26 (b) | | | 569 | |
400,000 | | Life Storage LP, 2.20%, 10/15/30 | | | 387 | |
750,000 | | Macquarie Bank Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.700%), 3.05%, 3/03/36 (a)(b) | | | 725 | |
555,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b) | | | 577 | |
370,000 | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc., 5.63%, 5/01/24 | | | 399 | |
430,000 | | Mitsubishi UFJ Financial Group Inc., 3.41%, 3/07/24 | | | 462 | |
500,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 1.000%), 3.92%, 9/11/24 (b) | | | 537 | |
580,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.930%), 1.11%, 7/22/22 (b) | | | 581 | |
605,000 | | OneMain Finance Corp., 8.88%, 6/01/25 | | | 671 | |
345,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 366 | |
450,000 | | Santander Holdings USA Inc., 3.24%, 10/05/26 | | | 481 | |
640,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 654 | |
450,000 | | Simon Property Group LP, 1.75%, 2/01/28 | | | 442 | |
425,000 | | Simon Property Group LP, 2.20%, 2/01/31 | | | 413 | |
580,000 | | SLM Corp., 5.13%, 4/05/22 | | | 595 | |
625,000 | | Spirit Realty LP, 2.10%, 3/15/28 | | | 617 | |
260,000 | | Swedbank AB 144A, 1.30%, 6/02/23 (a) | | | 264 | |
335,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 343 | |
500,000 | | USB Realty Corp. 144A, (3 mo. LIBOR USD + 1.147%), 1.33%, (a)(b)(e) | | | 392 | |
505,000 | | VEREIT Operating Partnership LP, 4.60%, 2/06/24 | | | 553 | |
400,000 | | Via Celere Desarrollos Inmobiliarios SA 144A, 5.25%, 4/01/26 EUR (a)(c) | | | 503 | |
335,000 | | WEA Finance LLC 144A, 3.15%, 4/05/22 (a) | | | 341 | |
585,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.600%), 1.65%, 6/02/24 (b) | | | 598 | |
435,000 | | Wells Fargo Bank NA, (3 mo. LIBOR USD + 0.660%), 0.85%, 9/09/22 (b) | | | 436 | |
625,000 | | Zions Bancorp NA, 3.35%, 3/04/22 | | | 639 | |
| | | | | | |
| | | | | 30,390 | |
| | | | | | |
Industrial (20%) | | | | |
150,000 | | AA Bond Co. Ltd. 144A, 6.50%, 1/31/26 GBP (a)(c) | | | 215 | |
405,000 | | AbbVie Inc., 2.60%, 11/21/24 | | | 429 | |
525,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.25%, 3/15/26 (a) | | | 525 | |
472,930 | | American Airlines 2019-1 Class A Pass-Through Trust, 3.50%, 2/15/32 | | | 458 | |
200,000 | | ams AG 144A, 6.00%, 7/31/25 EUR (a)(c) | | | 255 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
300,000 | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 144A, 3.00%, 9/01/29 EUR (a)(c) | | $ | 362 | |
460,000 | | AstraZeneca PLC, 0.70%, 4/08/26 | | | 448 | |
600,000 | | AT&T Inc., (3 mo. LIBOR USD + 1.180%), 1.36%, 6/12/24 (b) | | | 613 | |
110,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (a) | | | 116 | |
260,000 | | Bausch Health Cos. Inc. 144A, 6.25%, 2/15/29 (a) | | | 275 | |
715,000 | | Bayer U.S. Finance II LLC 144A, (3 mo. LIBOR USD + 0.630%), 0.83%, 6/25/21 (a)(b) | | | 715 | |
350,000 | | Bayer U.S. Finance II LLC 144A, 3.50%, 6/25/21 (a) | | | 351 | |
500,000 | | Blue Cross and Blue Shield of Minnesota 144A, 3.79%, 5/01/25 (a) | | | 542 | |
500,000 | | Boeing Co., 1.43%, 2/04/24 | | | 502 | |
1,300,000 | | Boyne USA Inc. 144A, 4.75%, 5/15/29 (a) | | | 1,337 | |
320,000 | | BRF SA 144A, 5.75%, 9/21/50 (a) | | | 314 | |
361,000 | | Bristol-Myers Squibb Co., 2.90%, 7/26/24 | | | 387 | |
192,000 | | Broadcom Inc., 3.46%, 9/15/26 | | | 209 | |
300,000 | | Carrier Global Corp., 2.24%, 2/15/25 | | | 313 | |
240,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 5.38%, 6/01/29 (a) | | | 261 | |
50,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 55 | |
450,000 | | Centene Corp., 4.25%, 12/15/27 | | | 472 | |
500,000 | | Churchill Downs Inc. 144A, 4.75%, 1/15/28 (a) | | | 514 | |
144,000 | | Cigna Corp., 3.75%, 7/15/23 | | | 154 | |
300,000 | | Cogent Communications Group Inc. 144A, 3.50%, 5/01/26 (a) | | | 300 | |
605,000 | | Consolidated Communications Inc. 144A, 5.00%, 10/01/28 (a) | | | 615 | |
520,000 | | Dell International LLC/EMC Corp. 144A, 5.45%, 6/15/23 (a) | | | 568 | |
500,000 | | DH Europe Finance II Sarl, 2.20%, 11/15/24 | | | 523 | |
600,000 | | Entegris Inc. 144A, 3.63%, 5/01/29 (a) | | | 610 | |
140,000 | | Equifax Inc., 2.60%, 12/15/25 | | | 148 | |
440,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.50%, 9/15/27 (a) | | | 479 | |
700,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%), 1.43%, 2/15/23 (b) | | | 695 | |
630,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 654 | |
385,000 | | GATX Corp., 4.35%, 2/15/24 | | | 422 | |
725,000 | | Glencore Funding LLC 144A, 3.88%, 4/27/51 (a) | | | 724 | |
525,000 | | Global Payments Inc., 1.20%, 3/01/26 | | | 520 | |
400,000 | | Graphic Packaging International LLC 144A, 1.51%, 4/15/26 (a) | | | 399 | |
260,000 | | HCA Inc., 3.50%, 9/01/30 | | | 267 | |
500,000 | | HCA Inc., 5.00%, 3/15/24 | | | 557 | |
210,000 | | Home Depot Inc., 2.50%, 4/15/27 | | | 223 | |
550,000 | | HSE Finance Sarl 144A, 5.63%, 10/15/26 EUR (a)(c) | | | 676 | |
400,000 | | IAMGOLD Corp. 144A, 5.75%, 10/15/28 (a) | | | 417 | |
625,000 | | International Game Technology PLC 144A, 4.13%, 4/15/26 (a) | | | 645 | |
216,000 | | KeHE Distributors LLC/KeHE Finance Corp. 144A, 8.63%, 10/15/26 (a) | | | 242 | |
106,000 | | Keurig Dr Pepper Inc., 4.06%, 5/25/23 | | | 113 | |
Semi-Annual Report 47
Payden Strategic Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
300,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49 (a) | | $ | 369 | |
260,000 | | Kraft Heinz Foods Co., 5.00%, 6/04/42 | | | 301 | |
270,000 | | Lamar Media Corp., 4.00%, 2/15/30 | | | 273 | |
260,000 | | Lamar Media Corp., 4.88%, 1/15/29 | | | 274 | |
200,000 | | Land O’ Lakes Inc. 144A, 7.00%, (a)(e) | | | 205 | |
580,000 | | Lennar Corp., 4.75%, 11/29/27 | | | 672 | |
380,000 | | Marriott Ownership Resorts Inc./ILG LLC, 6.50%, 9/15/26 | | | 398 | |
500,000 | | MercadoLibre Inc., 2.38%, 1/14/26 | | | 500 | |
400,000 | | Moog Inc. 144A, 4.25%, 12/15/27 (a) | | | 412 | |
460,000 | | NBM U.S. Holdings Inc. 144A, 6.63%, 8/06/29 (a) | | | 511 | |
675,000 | | Nissan Motor Co. Ltd. 144A, 3.04%, 9/15/23 (a) | | | 707 | |
500,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 567 | |
200,000 | | Novelis Sheet Ingot GmbH 144A, 3.38%, 4/15/29 EUR (a)(c) | | | 248 | |
140,000 | | Open Text Corp. 144A, 3.88%, 2/15/28 (a) | | | 142 | |
650,000 | | Organon Finance 1 LLC 144A, 5.13%, 4/30/31 (a) | | | 675 | |
250,000 | | Pfizer Inc., 2.63%, 4/01/30 | | | 262 | |
460,000 | | Prosus NV 144A, 4.03%, 8/03/50 (a) | | | 430 | |
260,000 | | PTC Inc. 144A, 3.63%, 2/15/25 (a) | | | 267 | |
10,000 | | PTC Inc. 144A, 4.00%, 2/15/28 (a) | | | 10 | |
250,000 | | Qorvo Inc., 4.38%, 10/15/29 | | | 272 | |
375,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 384 | |
30,000 | | Science Applications International Corp. 144A, 4.88%, 4/01/28 (a) | | | 31 | |
310,000 | | Sinclair Television Group Inc. 144A, 4.13%, 12/01/30 (a) | | | 303 | |
450,000 | | Sirius XM Radio Inc. 144A, 5.00%, 8/01/27 (a) | | | 472 | |
885,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21 (a) | | | 887 | |
500,000 | | Standard Industries Inc. 144A, 4.75%, 1/15/28 (a) | | | 516 | |
260,000 | | Tencent Holdings Ltd. 144A, 3.24%, 6/03/50 (a) | | | 239 | |
350,000 | | Tencent Holdings Ltd. 144A, 3.94%, 4/22/61 (a) | | | 356 | |
800,000 | | Teva Pharmaceutical Finance Netherlands II BV, 6.00%, 1/31/25 EUR (c) | | | 1,050 | |
500,000 | | T-Mobile USA Inc., 2.63%, 4/15/26 | | | 509 | |
815,000 | | Toledo Hospital, 5.33%, 11/15/28 | | | 945 | |
500,000 | | Tronox Inc. 144A, 4.63%, 3/15/29 (a) | | | 511 | |
700,000 | | TTM Technologies Inc. 144A, 4.00%, 3/01/29 (a) | | | 702 | |
500,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (a) | | | 539 | |
450,000 | | Univar Solutions USA Inc. 144A, 5.13%, 12/01/27 (a) | | | 471 | |
400,000 | | Verisure Holding AB 144A, 3.88%, 7/15/26
EUR (a)(c) | | | 493 | |
450,000 | | VTR Comunicaciones SpA 144A, 4.38%,4/15/29 (a) | | | 454 | |
330,000 | | Weibo Corp., 3.38%, 7/08/30 | | | 332 | |
230,000 | | Yum! Brands Inc. 144A, 7.75%, 4/01/25 (a) | | | 252 | |
470,000 | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 144A, 3.88%, 2/01/29 (a) | | | 465 | |
| | | | | | |
| | | | | 37,025 | |
| | | | | | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Utility (10%) | | | | |
400,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | $ | 469 | |
380,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (a) | | | 382 | |
500,000 | | AES Andres BV 144A, 5.70%, 5/04/28 (a) | | | 500 | |
200,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (a) | | | 187 | |
500,000 | | Baytex Energy Corp. 144A, 8.75%, 4/01/27 (a) | | | 463 | |
70,000 | | Blue Racer Midstream LLC/Blue Racer Finance Corp. 144A, 6.63%, 7/15/26 (a) | | | 72 | |
410,000 | | CNX Midstream Partners LP/CNX Midstream Finance Corp. 144A, 6.50%, 3/15/26 (a) | | | 425 | |
210,220 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 (a) | | | 239 | |
200,000 | | DTE Energy Co., 3.70%, 8/01/23 | | | 213 | |
425,000 | | Energean Israel Finance Ltd. 144A, 4.88%,
3/30/26 (a)(f) | | | 440 | |
745,000 | | Energy Transfer LP, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.306%),
7.13%, (b)(e) | | | 762 | |
270,000 | | Energy Transfer LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | | | 283 | |
500,000 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (a) | | | 521 | |
910,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 937 | |
600,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 603 | |
425,000 | | Indigo Natural Resources LLC 144A, 5.38%, 2/01/29 (a) | | | 422 | |
270,000 | | Kinder Morgan Inc., 2.00%, 2/15/31 | | | 253 | |
320,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 330 | |
400,000 | | Leviathan Bond Ltd. 144A, 6.75%, 6/30/30 (a)(f) | | | 450 | |
755,000 | | Midwest Connector Capital Co. LLC 144A, 3.90%, 4/01/24 (a) | | | 786 | |
330,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 383 | |
380,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (a) | | | 403 | |
400,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 413 | |
125,000 | | NRG Energy Inc. 144A, 3.38%, 2/15/29 (a) | | | 123 | |
400,000 | | Oleoducto Central SA 144A, 4.00%, 7/14/27 (a) | | | 425 | |
400,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 400 | |
340,000 | | Pattern Energy Operations LP/Pattern Energy Operations Inc. 144A, 4.50%, 8/15/28 (a) | | | 345 | |
400,000 | | Petroleos Mexicanos, 5.95%, 1/28/31 | | | 387 | |
385,000 | | Petroleos Mexicanos, 6.49%, 1/23/27 | | | 408 | |
735,000 | | Phillips 66 Partners LP, 2.45%, 12/15/24 | | | 766 | |
225,000 | | Range Resources Corp. 144A, 8.25%, 1/15/29 (a) | | | 244 | |
300,000 | | Range Resources Corp., 9.25%, 2/01/26 | | | 330 | |
200,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 226 | |
775,000 | | South Jersey Industries Inc., 5.02%, 4/15/31 | | | 801 | |
302,000 | | Southwestern Energy Co., 8.38%, 9/15/28 | | | 332 | |
100,000 | | Sunoco LP/Sunoco Finance Corp. 144A, 4.50%, 5/15/29 (a) | | | 101 | |
375,000 | | Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A, 4.00%, 1/15/32 (a) | | | 369 | |
850,000 | | Teine Energy Ltd. 144A, 6.88%, 4/15/29 (a) | | | 863 | |
380,000 | | TerraForm Power Operating LLC 144A, 4.25%, 1/31/23 (a) | | | 391 | |
48 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
330,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (a) | | $ | 344 | |
640,000 | | Vermilion Energy Inc. 144A, 5.63%, 3/15/25 (a) | | | 612 | |
445,000 | | Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (a) | | | 462 | |
186,000 | | WPX Energy Inc., 5.88%, 6/15/28 | | | 205 | |
| | | | | | |
| | | | | 18,070 | |
| | | | | | |
Total Corporate Bond (Cost - $82,881) | | | 85,485 | |
| | | | | | |
Foreign Government (4%) | | | | |
200,000 | | Bermuda Government International Bond 144A, 3.38%, 8/20/50 (a) | | | 197 | |
400,000 | | Chile Government International Bond, 3.10%, 1/22/61 | | | 379 | |
830,000 | | CPPIB Capital Inc. 144A, 1.95%, 9/30/29 CAD (a)(c) | | | 679 | |
300,000 | | Dominican Republic International Bond 144A, 4.88%, 9/23/32 (a) | | | 315 | |
500,000 | | Egypt Government International Bond 144A, 5.88%, 2/16/31 (a) | | | 484 | |
600,000 | | Georgia Government International Bond 144A, 2.75%, 4/22/26 (a) | | | 603 | |
280,000 | | Guatemala Government Bond 144A, 5.38%, 4/24/32 (a) | | | 324 | |
6,770,000 | | Mexican Bonos, 8.50%, 5/31/29 MXN (c) | | | 373 | |
360,000 | | Mongolia Government International Bond 144A, 8.75%, 3/09/24 (a) | | | 416 | |
500,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29 CAD (c) | | | 425 | |
380,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (a) | | | 402 | |
510,000 | | Peruvian Government International Bond, 2.78%, 1/23/31 | | | 512 | |
550,000 | | Republic of Armenia International Bond 144A, 3.60%, 2/02/31 (a) | | | 506 | |
700,000 | | Romanian Government International Bond 144A, 2.00%, 4/14/33 EUR (a)(c) | | | 831 | |
294,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (a) | | | 294 | |
310,000 | | Ukraine Government International Bond 144A, 7.25%, 3/15/33 (a) | | | 311 | |
| | | | | | |
Total Foreign Government (Cost - $6,947) | | | 7,051 | |
| | | | | | |
Mortgage Backed (7%) | | | | |
420,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 2.050%), 2.17%, 11/15/35 (a)(b) | | | 420 | |
9,576,461 | | Citigroup Commercial Mortgage Trust 2018-C6, 0.95%, 11/10/51 (g) | | | 492 | |
305,467 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 11/25/39 (a)(b) | | | 304 | |
510,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD +2.650%), 2.77%, 5/15/36 (a)(b) | | | 511 | |
495,933 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%), 10.36%, 1/25/29 (b) | | | 584 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
770,081 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 11.750%), 11.86%, 10/25/28 (b) | | $ | 946 | |
496,901 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%), 12.36%, 9/25/28 (b) | | | 620 | |
205,676 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 9/25/49 (a)(b) | | | 207 | |
260,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 2/25/50 (a)(b) | | | 263 | |
350,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.650%), 2.66%, 1/25/51 (a)(b) | | | 344 | |
530,000 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.250%), 2.26%, 8/25/33 (a)(b) | | | 535 | |
78,475 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 0.750%), 0.86%, 10/25/48 (a)(b) | | | 79 | |
266,008 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 2.76%, 1/25/49 (a)(b) | | | 272 | |
300,000 | | Freddie Mac STACR Trust 2019-FTR3 144A, (1 mo. LIBOR USD + 4.800%), 4.91%, 9/25/47 (a)(b) | | | 296 | |
300,000 | | Freddie Mac STACR Trust 2019-FTR4 144A, (1 mo. LIBOR USD + 5.000%), 5.11%, 11/25/47 (a)(b) | | | 299 | |
76,176 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 4/25/49 (a)(b) | | | 77 | |
568,558 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.51%, 2/25/49 (a)(b) | | | 569 | |
500,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 3.400%), 3.41%, 8/25/33 (a)(b) | | | 505 | |
600,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 4.71%,
12/25/42 (b) | | | 615 | |
494,336 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 8.800%), 8.91%, 3/25/28 (b) | | | 546 | |
493,085 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 9.350%), 9.46%, 4/25/28 (b) | | | 584 | |
331,227 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.500%), 10.61%, 5/25/28 (b) | | | 375 | |
494,896 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.36%, 12/25/28 (b) | | | 587 | |
Semi-Annual Report 49
Payden Strategic Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
247,598 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.36%, 10/25/29 (b) | | $ | 274 | |
139,280 | | JPMorgan Mortgage Trust 2014-2 144A, 3.00%, 6/25/29 (a)(g) | | | 143 | |
53,607 | | Nationstar Mortgage Loan Trust 2013-A 144A, 3.75%, 12/25/52 (a)(g) | | | 55 | |
54,930 | | New Residential Mortgage Loan Trust 2015-1 144A, 3.75%, 5/28/52 (a)(g) | | | 58 | |
420,490 | | New Residential Mortgage Loan Trust 2017-4 144A, 4.00%, 5/25/57 (a)(g) | | | 450 | |
358,342 | | Seasoned Credit Risk Transfer Trust Series 2016-1 144A, 3.00%, 9/25/55 (a)(g) | | | 360 | |
660,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.51%, 2/25/47 (a)(b) | | | 672 | |
300,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.61%, 2/25/47 (a)(b) | | | 342 | |
800,000 | | Taurus 2021-1 UK DAC 144A, (Sterling Overnight Index Average 3mo. + 2.600%), 2.65%, 5/17/31 GBP (a)(b)(c) | | | 1,109 | |
| | | | | | |
Total Mortgage Backed (Cost - $12,875) | | | 13,493 | |
| | | | | | |
Municipal (3%) | | | | |
910,000 | | California Health Facilities Financing Authority, 2.48%, 6/01/27 | | | 957 | |
650,000 | | California Pollution Control Financing Authority, AMT 144A, 5.00%, 7/01/37 (a) | | | 685 | |
1,000,000 | | California Pollution Control Financing Authority, AMT 144A, 6.75%, 12/01/28 (a) | | | 1,031 | |
250,000 | | California Pollution Control Financing Authority, AMT 144A, 7.50%, 12/01/39 (a)(h) | | | 76 | |
250,000 | | District of Columbia Water & Sewer Authority, 4.81%, 10/01/14 | | | 346 | |
1,500,000 | | Municipal Improvement Corp.of Los Angeles, 3.43%, 11/01/21 | | | 1,524 | |
1,000,000 | | New York Transportation Development Corp., AMT, 5.00%, 7/01/41 | | | 1,126 | |
| | | | | | |
Total Municipal (Cost - $5,601) | | | 5,745 | |
| | | | | | |
U.S. Treasury (20%) | | | | |
490,000 | | U.S. Treasury Bill, 0.03%, 10/28/21 (i) | | | 490 | |
4,700,000 | | U.S. Treasury Bill, 0.04%, 9/16/21 (i) | | | 4,700 | |
900,000 | | U.S. Treasury Bond, 1.88%, 2/15/51 | | | 819 | |
160,000 | | U.S. Treasury Bond, 2.00%, 2/15/50 | | | 150 | |
2,080,000 | | U.S. Treasury Bond, 2.38%, 11/15/49 | | | 2,119 | |
11,196,000 | | U.S. Treasury Note, 0.38%, 1/31/26 | | | 10,975 | |
1,180,000 | | U.S. Treasury Note, 0.75%, 3/31/26 | | | 1,176 | |
1,020,000 | | U.S. Treasury Note, 1.13%, 2/15/31 | | | 974 | |
700,000 | | U.S. Treasury Note, 1.38%, 8/31/26 | | | 716 | |
13,960,000 | | U.S. Treasury Note, 1.50%, 1/15/23 | | | 14,284 | |
770,000 | | U.S. Treasury Note, 2.75%, 7/31/23 (j)(k) | | | 814 | |
| | | | | | |
Total U.S. Treasury (Cost - $37,406) | | | 37,217 | |
| | | | | | |
Stocks (4%) | | | | |
Common Stock (4%) | | | | |
4,580 | | Chevron Corp. | | | 472 | |
6,593 | | Citigroup Inc. | | | 470 | |
9,159 | | Coca-Cola Co. | | | 495 | |
8,805 | | Comcast Corp., Class A | | | 494 | |
8,963 | | ConocoPhillips | | | 458 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
6,479 | | CVS Health Corp. | | $ | 495 | |
3,534 | | Dover Corp. | | | 527 | |
5,039 | | DukeEnergy Corp. | | | 507 | |
2,580 | | Eli Lilly & Co. | | | 472 | |
1,467 | | Goldman Sachs Group Inc. | | | 511 | |
3,160 | | JPMorgan Chase & Co. | | | 486 | |
3,572 | | QUALCOMM Inc. | | | 496 | |
4,222 | | Simon Property Group Inc. | | | 514 | |
2,503 | | Texas Instruments Inc. | | | 452 | |
7,258 | | TJX Cos. Inc. | | | 515 | |
| | | | | | |
| | | 7,364 | |
| | | | | | |
Preferred Stock (0%) | | | | |
3,550 | | U.S. Bancorp, 6.50% (Cost - $102) | | | 93 | |
| | | | | | |
Total Stocks (Cost - $7,087) | | | 7,457 | |
| | | | | | |
Investment Company (2%) | | | | |
2,632,178 | | Payden Cash Reserves Money Market Fund * (Cost - $2,632) | | | 2,632 | |
| | | | | | |
Total Investments (Cost - $182,296) (102%) | | | 186,395 | |
Liabilities in excess of Other Assets (-2%) | | | (3,059 | ) |
| | | | | | |
Net Assets (100%) | | $ | 183,336 | |
| | | | | | |
| (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, 2021. |
| (c) | Principal in foreign currency. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (e) | Perpetual security with no stated maturitydate. |
| (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) | 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) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (i) | Yield to maturity at time ofpurchase. |
| (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. |
50 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency
Sold (000s) | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | |
EUR 556 | | USD 668 | | Citibank, N.A. | | | | 05/06/2021 | | | | $ | — | |
IDR 12,892,000 | | USD 882 | | Citibank, N.A. | | | | 06/24/2021 | | | | | 6 | |
SGD 1,200 | | USD 893 | | Citibank, N.A. | | | | 06/24/2021 | | | | | 8 | |
USD 1,330 | | GBP 959 | | HSBC Bank USA, N.A. | | | | 06/22/2021 | | | | | 6 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 20 | |
| | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | |
COP 1,583,000 | | USD 442 | | Citibank, N.A. | | | | 06/24/2021 | | | | | (21 | ) |
PEN 3,306 | | USD 892 | | Citibank, N.A. | | | | 06/24/2021 | | | | | (18 | ) |
RUB 32,840 | | USD438 | | Citibank, N.A. | | | | 06/24/2021 | | | | | (4 | ) |
USD 11,672 | | EUR 9,778 | | Citibank, N.A. | | | | 06/22/2021 | | | | | (96 | ) |
USD 1,008 | | EUR 842 | | Citibank, N.A. | | | | 06/22/2021 | | | | | (6 | ) |
USD 1,117 | | CAD 1,395 | | HSBC Bank USA, N.A. | | | | 06/22/2021 | | | | | (18 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | (163 | ) |
| | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | (143 | ) |
| | | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(000s) |
ShortContracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S.10-Year Ultra Future | | 12 | | | | Jun-21 | | | | $ | (1,747 | ) | | | $ | 14 | | | | | $14 | |
| | | | | | | | | | | | | | | | | | | | | | |
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 High Yield Series 36 Index), Pay 5% Quarterly, Receive upon creditdefault | | | | 06/20/2026 | | | | $ | 3,600 | | | | $ | 370 | | | | $ | 310 | | | | $ | 60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 51
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 | | | |
| | Corporate | | | 32% | |
| | Asset Backed | | | 26% | |
| | Mortgage Backed | | | 26% | |
| | Foreign Government | | | 7% | |
| | U.S. Treasury | | | 5% | |
| | Other | | | 4% | |
| | | | | | | | | | | |
| | | | | | |
| Schedule of Investments - April 30, 2021 (Unaudited) | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (27%) | | | | |
78,770 | | Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%), 1.02%, 7/25/27 (a)(b) | | $ | 79 | |
589,331 | | Allegro CLO II-S Ltd. 144A, (3 mo. LIBOR USD + 1.080%), 1.27%, 10/21/28 (a)(b) | | | 590 | |
3,000,000 | | Allegro CLO V Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 1.63%, 10/16/30 (a)(b) | | | 3,000 | |
2,100,000 | | Allegro CLO X Ltd. 144A, (3 mo. LIBOR USD + 3.700%), 3.89%, 7/20/32 (a)(b) | | | 2,100 | |
1,450,000 | | Allegro CLO XII Ltd. 144A, (3 mo. LIBOR USD + 3.600%), 3.82%, 1/21/32 (a)(b) | | | 1,450 | |
1,068,635 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 0.930%), 1.12%, 7/18/27 (a)(b) | | | 1,069 | |
650,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 2.64%, 7/18/27 (a)(b) | | | 647 | |
3,000,000 | | Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 1.61%, 5/15/37 (a)(b) | | | 3,005 | |
1,700,000 | | Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.700%), 1.81%, 5/15/37 (a)(b) | | | 1,704 | |
1,500,000 | | Arbor Realty Commercial Real Estate Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.750%), 1.86%, 9/15/34 (a)(b) | | | 1,504 | |
2,183,500 | | Arbys Funding LLC 144A, 3.24%, 7/30/50 (b) | | | 2,258 | |
2,400,000 | | Bain Capital Credit CLO 2020-3 Ltd. 144A, (3 mo. LIBOR USD + 1.380%), 1.55%, 10/23/32 (a)(b) | | | 2,402 | |
1,600,000 | | Bain Capital Credit CLO 2020-3 Ltd. 144A, (3 mo. LIBOR USD + 1.900%), 2.07%, 10/23/32 (a)(b) | | | 1,603 | |
370,000 | | Barings CLO Ltd. 2016-II 144A, (3 mo. LIBOR USD + 3.250%), 3.44%, 7/20/28 (a)(b) | | | 373 | |
1,750,000 | | Battalion CLO 18 Ltd. 144A, (3 mo. LIBOR USD + 4.000%), 4.18%, 10/15/32 (a)(b) | | | 1,751 | |
1,450,000 | | BDS 2019-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.700%), 2.82%, 12/15/35 (a)(b) | | | 1,448 | |
1,500,000 | | BDS 2019-FL4 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.22%, 8/15/36 (a)(b) | | | 1,504 | |
2,200,000 | | BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.27%, 2/16/37 (a)(b) | | | 2,208 | |
2,350,000 | | BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.350%), 1.47%, 2/16/37 (a)(b) | | | 2,357 | |
2,100,000 | | BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.800%), 1.92%, 2/16/37 (a)(b) | | | 2,105 | |
450,000 | | Blackrock European CLO III DAC 144A, (3 mo. EURIBOR + 0.850%), 0.85%, 4/15/30 EUR (a)(b)(c) | | | 541 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,300,000 | | Blackrock European CLO V DAC, (3 mo. EURIBOR + 1.100%), 1.10%, 7/16/31 EUR (a)(c)(d) | | $ | 1,548 | |
1,430,684 | | BlueMountain CLO 2013-1 Ltd. 144A, (3 mo. LIBOR USD + 1.230%), 1.42%, 1/20/29 (a)(b) | | | 1,434 | |
3,300,000 | | Bosphorus CLO V DAC 144A, (3 mo. EURIBOR + 1.010%), 1.01%, 12/12/32 EUR (a)(b)(c) | | | 3,977 | |
600,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 1.41%,
9/15/35 (a)(b) | | | 600 | |
450,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 1.71%,
9/15/35 (a)(b) | | | 449 | |
400,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.100%), 2.21%,
9/15/35 (a)(b) | | | 399 | |
350,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 2.86%,
9/15/35 (a)(b) | | | 348 | |
1,925,000 | | Carlyle C17 CLO Ltd. 144A, (3 mo. LIBOR USD + 2.800%), 3.01%, 4/30/31 (a)(b) | | | 1,908 | |
333,661 | | Carlyle Global Market Strategies Euro CLO 2015-2 DAC 144A, (3 mo. EURIBOR + 0.730%), 0.73%, 9/21/29 EUR (a)(b)(c) | | | 402 | |
1,623,654 | | CARS-DB4 LP 144A, 2.69%, 2/15/50 (b) | | | 1,696 | |
1,198,500 | | CARS-DB4 LP 144A, 3.19%, 2/15/50 (b) | | | 1,239 | |
2,800,000 | | CARS-DB4 LP 144A, 4.17%, 2/15/50 (b) | | | 2,892 | |
1,000,000 | | CARS-DB4 LP 144A, 4.52%, 2/15/50 (b) | | | 1,032 | |
970,000 | | CARS-DB4 LP 144A, 4.95%, 2/15/50 (b) | | | 976 | |
350,000 | | CIFC Funding 2013-III-R Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.08%,
4/24/31 (a)(b) | | | 350 | |
1,960,300 | | CIFC Funding 2015-V Ltd. 144A, (3 mo. LIBOR USD + 0.860%), 1.04%,
10/25/27 (a)(b) | | | 1,954 | |
700,000 | | CIFC Funding 2015-V Ltd. 144A, (3 mo. LIBOR USD + 2.950%), 3.13%,
10/25/27 (a)(b) | | | 703 | |
3,835,836 | | CLI Funding VIII 2021-1A LLC 144A, 1.64%, 2/18/46 (b) | | | 3,789 | |
1,081,902 | | CLI Funding VIII LLC 144A, 2.38%,
2/18/46 (b) | | | 1,076 | |
250,000 | | Columbia Cent CLO 27 Ltd. 144A, (3 mo. LIBORUSD +1.600%), 1.78%,
10/25/28 (a)(b) | | | 251 | |
803,306 | | CoreVest American Finance 2018-2 Trust 144A, 4.03%, 11/15/52 (b) | | | 859 | |
300,000 | | CVC Cordatus Loan Fund III DAV 144A, (3 mo. EURIBOR + 2.550%), 2.55%, 8/15/32 EUR (a)(b)(c) | | | 354 | |
965,000 | | DataBank Issuer 144A, 2.06%, 2/27/51 (b) | | | 966 | |
1,733,390 | | DB Master Finance 2017-1A LLC 144A, 3.63%, 11/20/47 (b) | | | 1,770 | |
52 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
689,500 | | DB Master Finance 2019-1A LLC 144A, 3.79%, 5/20/49 (b) | | $ | 705 | |
1,800,000 | | Domino’s Pizza Master Issuer 2021-1A LLC 144A, 2.66%, 4/25/51 (b) | | | 1,825 | |
2,600,000 | | Domino’s Pizza Master Issuer 2021-1A LLC 144A, 3.15%, 4/25/51 (b) | | | 2,663 | |
601,854 | | Drive Auto Receivables Trust 2018-1, 3.81%, 5/15/24 | | | 612 | |
3,700,000 | | Drive Auto Receivables Trust 2019-2, 3.69%, 8/17/26 | | | 3,872 | |
1,000,000 | | Drive Auto Receivables Trust 2019-3, 3.18%, 10/15/26 | | | 1,044 | |
1,075,250 | | Driven Brands Funding 2019-1A LLC 144A, 4.64%, 4/20/49 (b) | | | 1,163 | |
2,034,625 | | Driven Brands Funding 2020-1A LLC 144A, 3.79%, 7/20/50 (b) | | | 2,157 | |
1,945,125 | | Driven Brands Funding 2020-2A LLC 144A, 3.24%, 1/20/51 (b) | | | 2,018 | |
2,200,000 | | Dryden 33 Senior Loan Fund 144A, (3 mo. LIBOR USD + 3.650%), 3.83%, 4/15/29 (a)(b) | | | 2,210 | |
4,150,000 | | Dryden 36 Senior Loan Fund 144A, (3 mo. LIBOR USD + 1.450%), 1.63%, 4/15/29 (a)(b) | | | 4,186 | |
650,000 | | Dryden 39 Euro CLO 2015 BV 144A, (3 mo. EURIBOR + 0.870%), 0.87%, 10/15/31 EUR (a)(b)(c) | | | 782 | |
945,000 | | First Investors Auto Owner Trust 2019-1 144A, 3.55%, 4/15/25 (b) | | | 980 | |
2,000,000 | | First Investors Auto Owner Trust 2019-2 144A, 2.80%, 12/15/25 (b) | | | 2,060 | |
941,420 | | Galaxy XXIX CLO Ltd. 144A, (3 mo. LIBOR USD + 0.790%), 0.98%, 11/15/26 (a)(b) | | | 941 | |
500,000 | | GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 1.41%, 2/22/36 (a)(b) | | | 502 | |
600,000 | | GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 1.71%,
2/22/36 (a)(b) | | | 602 | |
800,000 | | GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.900%), 2.01%, 2/22/36 (a)(b) | | | 802 | |
1,700,000 | | Grand Avenue CRE 2019-FL1 144A, (1 mo. LIBOR USD + 1.500%), 1.61%,6/15/37 (a)(b) | | | 1,705 | |
2,800,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 1.66%, 9/15/28 (a)(b) | | | 2,796 | |
250,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 9/15/28 (a)(b) | | | 249 | |
2,450,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.650%), 2.76%, 9/15/28 (a)(b) | | | 2,443 | |
2,100,000 | | Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBORUSD + 1.180%), 1.29%, 9/15/37 (a)(b) | | | 2,107 | |
2,300,000 | | Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.400%), 2.51%, 9/15/37 (a)(b) | | | 2,288 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,000,000 | | Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 2.86%, 9/15/37 (a)(b) | | $ | 1,994 | |
1,000,000 | | Grippen Park CLO Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 1.84%, 1/20/30 (a)(b) | | | 1,001 | |
500,000 | | Halcyon Loan Advisors Funding 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 1.83%, 7/25/27 (a)(b) | | | 500 | |
2,300,000 | | Henley CLO I DAC 144A, (3 mo. EURIBOR + 1.140%), 1.14%, 7/15/32 EUR (a)(b)(c) | | | 2,768 | |
1,300,000 | | Henley CLO I DAC 144A, (3 mo. EURIBOR + 1.800%), 1.80%, 7/15/32 EUR (a)(b)(c) | | | 1,562 | |
250,000 | | Hunt CRE 2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.19%,
8/15/28 (a)(b) | | | 251 | |
450,000 | | Hunt CRE 2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.350%), 2.46%,
8/15/28 (a)(b) | | | 451 | |
2,400,000 | | ICG U.S. CLO 2015-2R Ltd. 144A, (3 mo. LIBOR USD + 1.370%), 1.55%,
1/16/33 (a)(b) | | | 2,405 | |
400,000 | | ICG U.S. CLO 2017-1 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 1.83%,
4/28/29 (a)(b) | | | 402 | |
590,316 | | Invitation Homes 2018-SFR3 Trust 144A, (1 mo. LIBOR USD + 1.000%), 1.12%, 7/17/37 (a)(b) | | | 593 | |
60,289 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 1.64%, 4/21/25 (a)(b) | | | 60 | |
2,000,000 | | JPMorgan Chase Bank N.A. - CACLN 144A, 28.35%, 9/25/28 (b) | | | 2,003 | |
300,000 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.350%), 1.47%, 6/15/36 (a)(b) | | | 301 | |
200,000 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD +1.600%), 1.72%,6/15/36 (a)(b) | | | 201 | |
200,000 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 2.000%), 2.12%, 6/15/36 (a)(b) | | | 201 | |
3,000,000 | | KVK CLO 2016-1 Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 2.18%, 1/15/29 (a)(b) | | | 3,000 | |
974,881 | | LCM XVIII LP 144A, (3 mo. LIBOR USD + 1.240%), 1.42%, 7/15/27 (a)(b) | | | 976 | |
950,000 | | LCM XVIII LP 144A, (3 mo. LIBOR USD + 1.750%), 1.93%, 7/15/27 (a)(b) | | | 951 | |
800,000 | | LMREC 2019-CRE3 Inc. 144A, (1 mo. LIBOR USD + 1.400%), 1.51%,
12/22/35 (a)(b) | | | 801 | |
415,398 | | LoanCore 2018-CRE1 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.130%), 1.24%, 5/15/28 (a)(b) | | | 415 | |
1,300,000 | | LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 1.61%, 5/15/36 (a)(b) | | | 1,302 | |
755,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 1.14%, 4/19/30 (a)(b) | | | 755 | |
1,340,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.04%, 4/19/30 (a)(b) | | | 1,327 | |
3,226,803 | | Magnetite VII Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 0.98%, 1/15/28 (a)(b) | | | 3,230 | |
304,584 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.27%,
6/15/28 (a)(b) | | | 305 | |
150,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 1.67%,
6/15/28 (a)(b) | | | 150 | |
Semi-Annual Report 53
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,923,748 | | MelTel Land Funding 2019-1A LLC 144A, 3.77%, 4/15/49 (b) | | $ | 2,022 | |
1,520,814 | | MelTel Land Funding 2019-1A LLC 144A, 4.70%, 4/15/49 (b) | | | 1,606 | |
3,500,000 | | Neuberger Berman Loan Advisers CLO 24 Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 1.21%, 4/19/30 (a)(b) | | | 3,503 | |
1,000,000 | | NLY Commercial Mortgage Trust 2019-FL2 144A, (1 mo. LIBOR USD + 1.600%), 1.71%, 2/15/36 (a)(b) | | | 1,003 | |
2,700,000 | | Oak Street Investment Grade Net Lease Fund Series 2020-1 144A, 3.39%, 11/20/50 (b) | | | 2,782 | |
3,970,935 | | Oak Street Investment Grade Net Lease Fund Series 2020-1A 144A, 1.85%, 11/20/50 (b) | | | 4,019 | |
1,900,000 | | Oak Street Investment Grade Net Lease Fund Series 2021-1 144A, 2.80%, 1/20/51 (b) | | | 1,938 | |
2,200,000 | | Oaktree CLO 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 2.18%,
7/15/29 (a)(b) | | | 2,205 | |
2,100,000 | | Ocean Trails CLO VII 144A, (3 mo. LIBOR USD + 1.010%), 1.20%, 4/17/30 (a)(b) | | | 2,100 | |
1,600,000 | | Ocean Trails CLO X 144A, (3 mo. LIBOR USD + 1.550%), 1.73%, 10/15/31 (a)(b) | | | 1,604 | |
2,350,000 | | OCP CLO 2013-4 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 1.63%,
4/24/29 (a)(b) | | | 2,346 | |
400,000 | | OCP CLO 2014-5 Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.08%,
4/26/31 (a)(b) | | | 393 | |
2,000,000 | | OCP CLO 2019-17 Ltd. 144A, (3 mo. LIBOR USD + 6.660%), 6.85%,
7/20/32 (a)(b) | | | 1,986 | |
339,909 | | Octagon Investment Partners XXIII Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 1.03%, 7/15/27 (a)(b) | | | 340 | |
1,100,000 | | OneMain Financial Issuance Trust 2019-1 144A, 4.22%, 2/14/31 (b) | | | 1,108 | |
2,099,984 | | OZLM VII Ltd. 144A, (3 mo. LIBOR USD + 1.010%), 1.20%, 7/17/29 (a)(b) | | | 2,098 | |
1,500,000 | | OZLM VIII Ltd. 144A, (3 mo. LIBOR USD + 2.200%), 2.39%, 10/17/29 (a)(b) | | | 1,493 | |
450,000 | | OZLM XII Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 1.79%, 4/30/27 (a)(b) | | | 451 | |
1,950,000 | | Palmer Square CLO 2015-1 Ltd. 144A, (3 mo. LIBOR USD + 1.400%), 1.58%, 5/21/29 (a)(b) | | | 1,952 | |
3,150,000 | | Palmer Square CLO 2015-1 Ltd. 144A, (3 mo. LIBOR USD + 3.150%), 3.33%, 5/21/29 (a)(b) | | | 3,113 | |
2,250,000 | | Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 1.350%), 1.53%, 2/20/28 (a)(b) | | | 2,238 | |
2,900,000 | | Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 2.500%), 2.68%, 2/20/28 (a)(b) | | | 2,923 | |
2,100,000 | | Pikes Peak CLO 6 144A, (3 mo. LIBOR USD + 4.040%), 4.23%, 8/18/30 (a)(b) | | | 2,100 | |
741,000 | | Planet Fitness Master Issuer 2018-1A LLC 144A, 4.26%, 9/05/48 (b) | | | 746 | |
1,950,000 | | Planet Fitness Master Issuer 2018-1A LLC 144A, 4.67%, 9/05/48 (b) | | | 1,998 | |
400,000 | | Progress Residential 2018-SFR3 Trust 144A, 4.08%, 10/17/35 (b) | | | 405 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,250,000 | | Progress Residential 2019-SFR2 Trust 144A, 3.79%, 5/17/36 (b) | | $ | 1,283 | |
2,350,000 | | Progress Residential 2019-SFR4 Trust 144A, 2.94%, 10/17/36 (b) | | | 2,406 | |
1,800,000 | | Providus CLO IV DAC 144A, (3 mo. EURIBOR + 0.820%), 0.82%, 4/20/34 EUR (a)(b)(c)(e) | | | 2,164 | |
1,800,000 | | Providus CLO IV DAC 144A, (3 mo. EURIBOR + 1.450%), 1.45%, 7/20/31 EUR (a)(b)(c) | | | 2,180 | |
744,144 | | Regatta VII Funding Ltd. 144A, (3 mo. LIBOR USD + 1.060%), 1.25%,
12/20/28 (a)(b) | | | 744 | |
300,000 | | Regatta VII Funding Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 2.19%,
12/20/28 (a)(b) | | | 300 | |
1,200,000 | | Santander Drive Auto Receivables Trust 2019-2, 3.22%, 7/15/25 | | | 1,245 | |
1,800,000 | | Sculptor CLO XXV Ltd. 144A, (3 mo. LIBOR USD + 1.900%), 2.09%,
1/15/31 (a)(b) | | | 1,800 | |
351,781 | | Shackleton 2015-VIII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.920%), 1.11%, 10/20/27 (a)(b) | | | 351 | |
2,950,000 | | St Paul’s CLO IX DAC, (3 mo. EURIBOR + 0.820%), 0.82%, 11/15/30 EUR (a)(c)(d) | | | 3,547 | |
3,450,000 | | St Paul’s CLO XII DAC 144A, (3 mo. EURIBOR + 0.920%), 0.92%, 4/15/33 EUR (a)(b)(c) | | | 4,161 | |
2,400,000 | | Stack Infrastructure Issuer 2020-1A LLC 144A, 1.89%, 8/25/45 (b) | | | 2,400 | |
3,500,000 | | Stack Infrastructure Issuer 2021-1A LLC 144A, 1.88%, 3/26/46 (b) | | | 3,505 | |
1,700,000 | | STWD 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.19%, 7/15/38 (a)(b) | | | 1,703 | |
1,940,681 | | Symphony CLO XIV Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 1.14%,
7/14/26 (a)(b) | | | 1,943 | |
1,753,705 | | Symphony CLO XVII Ltd. 144A, (3 mo. LIBOR USD + 0.880%), 1.06%,
4/15/28 (a)(b) | | | 1,752 | |
500,000 | | Symphony CLO XVII Ltd., (3 mo. LIBOR USD + 2.650%), 2.83%, 4/15/28 (a)(d) | | | 504 | |
450,000 | | Symphony CLO XVII Ltd. 144A, (3 mo. LIBOR USD + 2.650%), 2.83%,
4/15/28 (a)(b) | | | 454 | |
3,323,500 | | Taco Bell Funding 2018-1A LLC 144A, 4.32%, 11/25/48 (b) | | | 3,346 | |
4,440,000 | | Textainer Marine Containers VII Ltd. 144A, 1.68%, 2/20/46 (b) | | | 4,370 | |
991,553 | | TPG Real Estate Finance 2018-FL2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.130%), 1.25%,
11/15/37 (a)(b) | | | | |
250,000 | | TPG Real Estate Finance 2018-FL2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.300%), 2.42%,
11/15/37 (a)(b) | |
| 993
250 |
|
900,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%), 1.07%, 4/15/29 (a)(b) | | | 900 | |
2,400,000 | | Vantage Data Centers 2020-1A LLC 144A, 1.65%, 9/15/45 (b) | | | 2,394 | |
2,100,000 | | VB-S1 Issuer 2020-1A LLC 144A, 3.03%, 6/15/50 (b) | | | 2,217 | |
652,463 | | Venture XVII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.880%), 1.06%,
4/15/27 (a)(b) | | | 651 | |
54 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
2,750,000 | | Vibrant CLO VII Ltd. 144A, (3 mo. LIBOR USD + 1.040%), 1.23%, 9/15/30 (a)(b) | | $ | 2,750 | |
2,800,000 | | Voya CLO 2019-1 Ltd. 144A, (3 mo. LIBOR USD + 1.060%), 1.24%,
4/15/31 (a)(b) | | | 2,806 | |
2,418,750 | | Wendy’s Funding 2018-1A LLC 144A, 3.57%, 3/15/48 (b) | | | 2,489 | |
861,750 | | Wendy’s Funding 2019-1A LLC 144A, 3.78%, 6/15/49 (b) | | | 919 | |
550,000 | | Westlake Automobile Receivables Trust 2018-3 144A, 4.00%, 10/16/23 (b) | | | 563 | |
4,600,000 | | Westlake Automobile Receivables Trust 2019-1 144A, 3.67%, 3/15/24 (b) | | | 4,745 | |
3,400,000 | | Westlake Automobile Receivables Trust 2019-3 144A, 2.72%, 11/15/24 (b) | | | 3,503 | |
3,800,000 | | Westlake Automobile Receivables Trust 2021-1 144A, 2.33%, 8/17/26 (b) | | | 3,802 | |
2,700,000 | | Wingstop Funding 2020-1A LLC 144A, 2.84%, 12/05/50 (b) | | | 2,757 | |
Total Asset Backed (Cost - $250,429) | | | 253,656 | |
| |
Bank Loans (f) (2%) | | | | |
1,662,271 | | 1011778 BC ULC Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 11/19/26 | | | 1,640 | |
1,400,000 | | Avast Software s.r.o. Term Loan B 1L, (3 mo. EURIBOR + 2.000%), 2.00%, 3/22/28 EUR (c) | | | 1,691 | |
655,114 | | Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD 3-Month + 1.750%), 1.95%, 6/01/24 | | | 652 | |
1,084,966 | | Beacon Roofing Supply Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 2.36%, 1/02/25 | | | 1,082 | |
1,048,023 | | Charter Communications Operating LLC Term Loan B2 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 2/01/27 | | | 1,044 | |
2,094,615 | | Flynn Restaurant Group LP Term Loan 1L, (LIBOR USD 1-Month + 3.500%), 3.61%,6/29/25 | | | 2,073 | |
900,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%), 2.63%, 1/31/27 EUR (c) | | | 1,073 | |
96,000 | | Hilton Worldwide Finance LLC Term Loan B2 1L, (LIBOR USD 1-Month + 1.750%), 1.86%,6/21/26 | | | 95 | |
2,750,000 | | Kloeckner Pentaplast of America Inc. Term Loan B 1L, (LIBOR USD 3-Month + 4.750%), 5.25%, 2/12/26 | | | 2,748 | |
830,585 | | U.S. Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%,6/27/23 | | | 823 | |
3,050,000 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 10/22/25 | | | 3,052 | |
1,714,824 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 5/30/25 | | | 1,700 | |
Total Bank Loans (Cost - $17,618) | | | 17,673 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Corporate Bond (33%) | | | | |
Financial (12%) | | | | |
3,000,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (d) | | $ | 3,023 | |
2,230,000 | | ADCB Finance Cayman Ltd. 144A, 4.00%, 3/29/23 (b) | | | 2,367 | |
450,000 | | ADCB Finance Cayman Ltd., 4.00%, 3/29/23 (d) | | | 478 | |
2,700,000 | | American Tower Corp., 1.60%, 4/15/26 | | | 2,718 | |
1,000,000 | | ANZ New Zealand Int’l Ltd. 144A, 3.40%, 3/19/24 (b) | | | 1,080 | |
1,150,000 | | ASB Bank Ltd. 144A, 3.75%, 6/14/23 (b) | | | 1,230 | |
800,000 | | Aviation Capital Group LLC 144A, (3 mo. LIBOR USD + 0.950%), 1.14%,
6/01/21 (a)(b) | | | 800 | |
2,200,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (b) | | | 2,251 | |
1,060,000 | | Banco Internacional del Peru SAA Interbank 144A, 3.25%, 10/04/26 (b) | | | 1,075 | |
1,200,000 | | Banco Santander SA, 2.71%, 6/27/24 | | | 1,268 | |
2,500,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.910%), 0.98%, 9/25/25 (a) | | | 2,499 | |
1,300,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.010%), 1.20%, 10/24/26 (a) | | | 1,292 | |
2,900,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.150%), 1.32%, 6/19/26 (a) | | | 2,908 | |
650,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.910%), 1.66%, 3/11/27 (a) | | | 656 | |
1,450,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.960%), 1.73%, 7/22/27 (a) | | | 1,464 | |
2,550,000 | | BPCE SA 144A, 2.38%, 1/14/25 (b) | | | 2,650 | |
2,700,000 | | CaixaBank SA, 0.38%, 2/03/25 EUR (c)(d) | | | 3,279 | |
2,200,000 | | Capital One Financial Corp., 0.80%, 6/12/24 EUR (c) | | | 2,705 | |
320,000 | | CIT Group Inc., 4.75%, 2/16/24 | | | 348 | |
2,300,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.669%), 0.98%, 5/01/25 (a) | | | 2,309 | |
750,000 | | Citigroup Inc., 2.70%, 10/27/22 | | | 775 | |
1,200,000 | | Citigroup Inc., 2.90%, 12/08/21 | | | 1,216 | |
2,350,000 | | CTP NV, 2.13%, 10/01/25 EUR (c)(d) | | | 3,000 | |
1,100,000 | | Equinix Inc., 1.25%, 7/15/25 | | | 1,099 | |
500,000 | | Equinix Inc., 1.80%, 7/15/27 | | | 496 | |
2,050,000 | | Experian Finance PLC, 1.38%, 6/25/26 EUR (c)(d) | | | 2,616 | |
990,000 | | Five Corners Funding Trust 144A, 4.42%, 11/15/23 (b) | | | 1,084 | |
1,600,000 | | FS KKR Capital Corp.II144A, 4.25%, 2/14/25 (b) | | | 1,654 | |
1,100,000 | | Global Payments Inc., 1.20%, 3/01/26 | | | 1,089 | |
700,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 0.821%), 2.88%, 10/31/22 (a) | | | 708 | |
1,700,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,850 | |
600,000 | | Goldman Sachs Group Inc., 3.63%, 2/20/24 | | | 647 | |
581,000 | | Goldman Sachs Group Inc., 5.75%, 1/24/22 | | | 604 | |
2,050,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.38%, 12/15/25 | | | 2,121 | |
1,400,000 | | ING Groep NV, (U.S. Secured Overnight Financing Rate + 1.005%), 1.73%, 4/01/27 (a) | | | 1,411 | |
330,000 | | ING Groep NV, 4.10%, 10/02/23 | | | 358 | |
2,250,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b) | | | 2,300 | |
Semi-Annual Report 55
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
2,600,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.695%), 1.04%, 2/04/27 (a) | | $ | 2,552 | |
2,100,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.850%), 2.08%, 4/22/26 (a) | | | 2,172 | |
800,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 1.000%), 4.02%, 12/05/24 (a) | | | 867 | |
2,100,000 | | Logicor Financing Sarl, 1.63%, 7/15/27 EUR (c)(d) | | | 2,668 | |
2,200,000 | | Macquarie Group Ltd. 144A, (U.S. Secured Overnight Financing Rate + 1.069%), 1.34%, 1/12/27 (a)(b) | | | 2,172 | |
1,715,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b) | | | 1,784 | |
2,000,000 | | Mitsubishi UFJ Financial Group Inc., 2.19%, 2/25/25 | | | 2,078 | |
1,700,000 | | Mizrahi Tefahot Bank Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.250%), 3.08%,
4/07/31 (a)(b)(d)(g) | | | 1,730 | |
2,100,000 | | Mizuho Financial Group Inc., (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.670%), 1.23%, 5/22/27 (a) | | | 2,064 | |
2,300,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.698%), 0.41%, 10/29/27 EUR (a)(c) | | | 2,768 | |
700,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.753%), 0.64%, 7/26/24 EUR (a)(c) | | | 855 | |
1,700,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.616%), 0.73%, 4/05/24 (a) | | | 1,704 | |
2,100,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.879%), 1.59%, 5/04/27 (a) | | | 2,111 | |
1,500,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.990%), 2.19%, 4/28/26 (a) | | | 1,561 | |
1,150,000 | | MPT Operating Partnership LP/MPT Finance Corp., 2.50%, 3/24/26 GBP (c) | | | 1,610 | |
2,050,000 | | Natwest Group PLC, (1 yr. GBP interest rate swap + 1.490%), 2.88%, 9/19/26 GBP (a)(c)(d) | | | 3,013 | |
1,550,000 | | Neinor Homes SA 144A, 4.50%, 10/15/26 EUR (b)(c) | | | 1,904 | |
900,000 | | Owl Rock Capital Corp., 3.40%, 7/15/26 | | | 934 | |
61,000 | | Park Aerospace Holdings Ltd. 144A, 5.25%, 8/15/22 (b) | | | 64 | |
800,000 | | SBA Communications Corp.144A, 3.13%, 2/01/29 (b) | | | 767 | |
2,150,000 | | Sumitomo Mitsui Financial Group Inc., 0.95%, 1/12/26 | | | 2,111 | |
1,520,000 | | Sumitomo Mitsui Financial Group Inc., 2.45%, 9/27/24 | | | 1,597 | |
1,600,000 | | UBS Group AG 144A, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.830%), 1.01%, 7/30/24 (a)(b) | | | 1,611 | |
2,050,000 | | Ventas Realty LP, 3.50%, 4/15/24 | | | 2,209 | |
1,300,000 | | VEREIT Operating Partnership LP, 2.85%, 12/15/32 | | | 1,342 | |
2,100,000 | | Wells Fargo & Co., (3 mo. LIBOR USD + 0.750%), 2.16%, 2/11/26 (a) | | | 2,176 | |
1,500,000 | | Welltower Inc., 4.00%, 6/01/25 | | | 1,663 | |
1,500,000 | | Worldline SA, 0.25%, 9/18/24 EUR (c)(d) | | | 1,820 | |
| | | | | 109,335 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Industrial (19%) | | | | |
800,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 3.50%, 2/15/29 (b) | | $ | 781 | |
2,700,000 | | 7-Eleven Inc. 144A, 0.80%, 2/10/24 (b) | | | 2,697 | |
1,800,000 | | 7-Eleven Inc. 144A, 0.95%, 2/10/26 (b) | | | 1,769 | |
450,000 | | AA Bond Co. Ltd. 144A, 6.50%, 1/31/26 GBP (b)(c) | | | 646 | |
2,150,000 | | AbbVie Inc., 2.60%, 11/21/24 | | | 2,278 | |
1,000,000 | | AbbVie Inc., 5.00%, 12/15/21 | | | 1,018 | |
850,000 | | ACI Worldwide Inc. 144A, 5.75%, 8/15/26 (b) | | | 897 | |
2,900,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.25%, 3/15/26 (b) | | | 2,902 | |
1,900,000 | | Anheuser-Busch InBev Worldwide Inc., 4.15%, 1/23/25 | | | 2,120 | |
2,300,000 | | AstraZeneca PLC, 0.70%, 4/08/26 | | | 2,238 | |
3,050,000 | | AT&T Inc., 0.25%, 3/04/26 EUR (c) | | | 3,684 | |
1,500,000 | | AT&T Inc., 2.30%, 6/01/27 | | | 1,540 | |
2,314,000 | | AT&T Inc. 144A, 2.55%, 12/01/33 (b) | | | 2,208 | |
1,700,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (b) | | | 1,797 | |
1,100,000 | | Axalta Coating Systems LLC 144A, 3.38%, 2/15/29 (b) | | | 1,070 | |
1,200,000 | | Bayer U.S. Finance II LLC 144A, 3.88%, 12/15/23 (b) | | | 1,291 | |
1,300,000 | | Becton Dickinson Euro Finance Sarl, 0.63%, 6/04/23 EUR (c) | | | 1,587 | |
600,000 | | Bellis Acquisition Co. PLC 144A, 3.25%, 2/16/26 GBP (b)(c) | | | 833 | |
2,150,000 | | Boeing Co., 1.43%, 2/04/24 | | | 2,157 | |
2,050,000 | | Boeing Co., 2.20%, 2/04/26 | | | 2,054 | |
1,600,000 | | BRF GmbH, 4.35%, 9/29/26 (d) | | | 1,656 | |
1,500,000 | | CAB SELAS 144A, 3.38%, 2/01/28 EUR (b)(c) | | | 1,798 | |
1,055,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 1,166 | |
1,600,000 | | Cellnex Telecom SA, 1.88%, 6/26/29 EUR (c) | | | 1,957 | |
2,200,000 | | Cemex SAB de CV, 7.38%, 6/05/27 (d) | | | 2,498 | |
1,000,000 | | Centene Corp., 3.38%, 2/15/30 | | | 1,005 | |
320,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.50%, 2/01/24 | | | 350 | |
1,952,000 | | Covanta Holding Corp., 5.88%, 7/01/25 | | | 2,043 | |
3,750,000 | | CVS Health Corp., 1.30%, 8/21/27 | | | 3,661 | |
1,200,000 | | Danaher Corp., 1.70%, 3/30/24 EUR (c) | | | 1,518 | |
750,000 | | DH Europe Finance II Sarl, 0.20%, 3/18/26 EUR (c) | | | 906 | |
650,000 | | Dollar Tree Inc., 3.70%, 5/15/23 | | | 690 | |
2,250,000 | | El Corte Ingles SA 144A, 3.63%, 3/15/24 EUR (b)(c) | | | 2,824 | |
1,350,000 | | Fidelity National Information Services Inc., 0.75%, 5/21/23 EUR (c) | | | 1,651 | |
1,800,000 | | Fiserv Inc., 2.75%, 7/01/24 | | | 1,911 | |
1,100,000 | | FMG Resources August 2006 Pty Ltd. 144A, 5.13%, 5/15/24 (b) | | | 1,203 | |
800,000 | | Ford Motor Co., 8.50%, 4/21/23 | | | 897 | |
1,350,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 1,377 | |
700,000 | | Ford Motor Credit Co. LLC, 3.35%, 11/01/22 | | | 717 | |
1,800,000 | | Ford Motor Credit Co. LLC, 3.37%, 11/17/23 | | | 1,856 | |
227,000 | | Freeport-McMoRan Inc., 4.13%, 3/01/28 | | | 240 | |
1,275,000 | | Freeport-McMoRan Inc., 4.38%, 8/01/28 | | | 1,361 | |
900,000 | | General Motors Co., 5.40%, 10/02/23 | | | 996 | |
56 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,000,000 | | General Motors Co., 6.13%, 10/01/25 | | $ | 1,187 | |
1,600,000 | | General Motors Financial Co. Inc., 1.05%, 3/08/24 | | | 1,604 | |
1,950,000 | | General Motors Financial Co. Inc., 2.90%, 2/26/25 | | | 2,061 | |
1,350,000 | | General Motors Financial Co. Inc., 3.55%, 7/08/22 | | | 1,396 | |
2,485,000 | | Gilead Sciences Inc., 1.20%, 10/01/27 | | | 2,408 | |
2,700,000 | | Glencore Funding LLC 144A, 1.63%, 4/27/26 (b) | | | 2,687 | |
1,000,000 | | Grifols SA 144A, 1.63%, 2/15/25
EUR (b)(c) | | | 1,210 | |
1,600,000 | | HCA Inc., 5.38%, 2/01/25 | | | 1,785 | |
550,000 | | Honeywell International Inc., 0.01%, 3/10/24 EUR (c)(e) | | | 665 | |
950,000 | | HSE Finance Sarl 144A, 5.63%, 10/15/26 EUR (b)(c) | | | 1,167 | |
900,000 | | Humana Inc., 2.90%, 12/15/22 | | | 933 | |
2,600,000 | | Hyundai Capital America 144A, 1.30%, 1/08/26 (b) | | | 2,560 | |
2,000,000 | | Hyundai Capital America 144A, 1.80%, 1/10/28 (b) | | | 1,943 | |
1,600,000 | | Indonesia Asahan Aluminium Persero PT 144A, 4.75%, 5/15/25 (b)(g) | | | 1,741 | |
2,450,000 | | Infrastrutture Wireless Italiane SpA, 1.88%, 7/08/26 EUR (c)(d) | | | 3,093 | |
2,400,000 | | International Flavors & Fragrances Inc., 1.80%, 9/25/26 EUR (c) | | | 3,094 | |
2,100,000 | | ISS Global A/S, 0.88%,6/18/26 EUR (c)(d) | | | 2,537 | |
1,000,000 | | Jabil Inc., 1.70%, 4/15/26 | | | 1,002 | |
320,000 | | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 144A, 4.75%, 6/01/27 (b) | | | 337 | |
1,200,000 | | Kraft Heinz Foods Co., 3.88%, 5/15/27 | | | 1,308 | |
1,300,000 | | Lowe’s Cos. Inc., 4.00%, 4/15/25 | | | 1,444 | |
1,500,000 | | Lumen Technologies Inc., 5.80%, 3/15/22 | | | 1,549 | |
2,000,000 | | Medtronic Global HoldingsSCA, 0.38%, 10/15/28 EUR (c) | | | 2,416 | |
830,000 | | MercadoLibre Inc., 2.38%, 1/14/26 | | | 829 | |
1,500,000 | | Meritage Homes Corp. 144A, 3.88%, 4/15/29 (b) | | | 1,544 | |
1,500,000 | | Microchip Technology Inc. 144A, 0.97%, 2/15/24 (b) | | | 1,499 | |
900,000 | | Microchip Technology Inc. 144A, 2.67%, 9/01/23 (b) | | | 939 | |
2,200,000 | | NBM U.S. Holdings Inc., 7.00%, 5/14/26 (d) | | | 2,370 | |
1,550,000 | | Nissan Motor Co. Ltd. 144A, 3.04%, 9/15/23 (b) | | | 1,623 | |
2,450,000 | | Novelis Sheet Ingot GmbH 144A, 3.38%, 4/15/29 EUR (b)(c) | | | 3,036 | |
2,000,000 | | Nutrition & Biosciences Inc. 144A, 1.23%, 10/01/25 (b) | | | 1,988 | |
1,600,000 | | Oracle Corp., 1.65%, 3/25/26 | | | 1,617 | |
2,000,000 | | Organon Finance 1 LLC 144A, 2.88%, 4/30/28 EUR (b)(c) | | | 2,460 | |
1,300,000 | | Penske Automotive Group Inc., 3.50%, 9/01/25 | | | 1,334 | |
1,800,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 1.20%, 11/15/25 (b) | | | 1,784 | |
1,000,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.45%, 7/01/24 (b) | | | 1,077 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
950,000 | | Prosus NV, 1.54%, 8/03/28 EUR (c)(d)(g) | | $ | 1,185 | |
1,300,000 | | PTC Inc. 144A, 3.63%, 2/15/25 (b) | | | 1,336 | |
1,500,000 | | Royalty Pharma PLC 144A, 1.75%, 9/02/27 (b) | | | 1,479 | |
1,850,000 | | Ryder System Inc., 2.50%, 9/01/24 | | | 1,946 | |
1,150,000 | | Seagate HDD Cayman 144A, 3.13%, 7/15/29 (b) | | | 1,108 | |
1,100,000 | | Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 | | | 1,155 | |
1,500,000 | | Sirius XM Radio Inc. 144A, 3.88%, 8/01/22 (b) | | | 1,509 | |
200,000 | | SMBC Aviation Capital Finance DAC 144A, 4.13%, 7/15/23 (b) | | | 213 | |
262,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 265 | |
1,350,000 | | Standard Industries Inc. 144A, 2.25%, 11/21/26 EUR (b)(c) | | | 1,600 | |
500,000 | | Standard Industries Inc., 2.25%, 11/21/26 EUR (c)(d) | | | 593 | |
3,400,000 | | Stellantis NV, 3.88%, 1/05/26 EUR (c)(d) | | | 4,711 | |
1,000,000 | | Sysco Corp., 5.65%, 4/01/25 | | | 1,171 | |
300,000 | | Takeda Pharmaceutical Co. Ltd. 144A, 1.13%, 11/21/22 EUR (b)(c) | | | 368 | |
1,550,000 | | Tempur Sealy International Inc. 144A, 4.00%, 4/15/29 (b) | | | 1,575 | |
1,470,000 | | Tenet Healthcare Corp., 4.63%, 7/15/24 | | | 1,494 | |
1,900,000 | | Teva Pharmaceutical Finance Netherlands II BV, 1.25%, 3/31/23 EUR (c)(d) | | | 2,235 | |
560,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 560 | |
1,840,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | | | 1,824 | |
775,000 | | Thermo Fisher Scientific Inc., 4.13%, 3/25/25 | | | 863 | |
800,000 | | T-Mobile USA Inc., 2.63%, 2/15/29 | | | 780 | |
1,400,000 | | T-Mobile USA Inc. 144A, 3.50%, 4/15/25 (b) | | | 1,520 | |
2,390,000 | | U.S. Foods Inc. 144A, 6.25%, 4/15/25 (b) | | | 2,542 | |
2,000,000 | | VeriSign Inc., 5.25%, 4/01/25 | | | 2,264 | |
1,850,000 | | Verisure Holding AB 144A, 3.88%, 7/15/26 EUR (b)(c) | | | 2,281 | |
1,800,000 | | Verizon Communications Inc., 2.10%, 3/22/28 | | | 1,818 | |
500,000 | | Volkswagen Financial Services AG, 2.50%,4/06/23 EUR (c)(d) | | | 631 | |
2,700,000 | | Volkswagen Leasing GmbH, 1.63%, 8/15/25 EUR (c)(d) | | | 3,447 | |
1,320,000 | | VTR Comunicaciones SpA 144A, 4.38%,4/15/29 (b) | | | 1,331 | |
1,800,000 | | Walt Disney Co., 1.75%, 1/13/26 | | | 1,852 | |
| | | | | 177,731 | |
Utility (2%) | | | | |
1,500,000 | | Enel Finance International NV 144A, 4.63%, 9/14/25 (b) | | | 1,706 | |
900,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (b)(d) | | | 931 | |
1,400,000 | | Energean Israel Finance Ltd. 144A, 5.38%, 3/30/28 (b)(d) | | | 1,451 | |
1,400,000 | | Energy Transfer LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | | | 1,469 | |
757,000 | | EQM Midstream Partners LP, 4.75%, 7/15/23 | | | 794 | |
Semi-Annual Report 57
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,700,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26 (b) | | $ | 1,709 | |
1,050,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 1,218 | |
1,300,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (b) | | | 1,342 | |
2,600,000 | | ONE Gas Inc., 0.85%, 3/11/23 | | | 2,603 | |
1,950,000 | | Petrobras Global Finance BV, 8.75%, 5/23/26 | | | 2,496 | |
1,100,000 | | Petroleos Mexicanos, 2.50%, 8/21/21
EUR (c)(d) | | | 1,329 | |
2,800,000 | | Petroleos Mexicanos, 4.88%, 1/18/24 (g) | | | 2,915 | |
900,000 | | Petroleos Mexicanos, 5.13%, 3/15/23
EUR (c)(d) | | | 1,138 | |
1,100,000 | | Terega SASU, 0.63%, 2/27/28 EUR (c)(d) | | | 1,318 | |
750,000 | | WPX Energy Inc., 5.25%, 10/15/27 | | | 802 | |
| | | | | 23,221 | |
Total Corporate Bond (Cost - $304,067) | | | 310,287 | |
| |
Foreign Government (7%) | | | | |
2,100,000 | | Brazilian Government International Bond, 2.88%, 6/06/25 | | | 2,154 | |
1,900,000 | | Brazilian Government International Bond, 4.50%, 5/30/29 | | | 2,005 | |
8,750,000 | | Brazilian Government International Bond, 8.50%, 1/05/24 BRL (c) | | | 1,688 | |
1,900,000 | | Colombia Government International Bond, 3.88%, 3/22/26 EUR (c) | | | 2,578 | |
1,200,000 | | Colombia Government International Bond, 4.50%, 1/28/26 | | | 1,314 | |
1,000,000 | | Corp. Financiera de Desarrollo SA 144A, 2.40%, 9/28/27 (b) | | | 960 | |
680,000 | | Dominican Republic International Bond 144A, 4.88%, 9/23/32 (b) | | | 713 | |
460,000 | | Dominican Republic International Bond, 5.50%, 1/27/25 (d) | | | 508 | |
1,900,000 | | Dominican Republic International Bond, 6.00%, 7/19/28 (d) | | | 2,173 | |
850,000 | | Dominican Republic International Bond, 6.60%, 1/28/24 (d) | | | 955 | |
1,900,000 | | Dominican Republic International Bond, 6.88%, 1/29/26 (d) | | | 2,223 | |
2,570,000 | | Egypt Government International Bond 144A, 5.75%, 5/29/24 (b) | | | 2,722 | |
550,000 | | Egypt Government International Bond, 5.75%, 5/29/24 (d) | | | 583 | |
400,000 | | Egypt Government International Bond, 6.13%, 1/31/22 (d) | | | 411 | |
250,000 | | Egypt Government International Bond 144A, 6.13%, 1/31/22 (b) | | | 257 | |
630,000 | | Egypt Government International Bond 144A, 6.20%, 3/01/24 (b) | | | 674 | |
1,400,000 | | Egypt Government International Bond, 7.50%, 1/31/27 (d) | | | 1,550 | |
2,400,000 | | Fondo MIVIVIENDA SA, 3.50%,
1/31/23 (d) | | | 2,469 | |
1,400,000 | | Georgia Government International Bond 144A, 2.75%, 4/22/26 (b) | | | 1,407 | |
1,985,000 | | Guatemala Government Bond, 4.50%, 5/03/26 (d) | | | 2,186 | |
280,000 | | Guatemala Government Bond, 4.90%, 6/01/30 (d) | | | 314 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,910,000 | | Guatemala Government Bond, 5.75%, 6/06/22 (d) | | $ | 2,010 | |
1,711,000 | | Guatemala Government Bond 144A, 5.75%,6/06/22 (b) | | | 1,801 | |
1,500,000 | | Indonesia Government International Bond, 0.90%, 2/14/27 EUR (c) | | | 1,827 | |
1,550,000 | | Kazakhstan Government International Bond 144A, 1.55%, 11/09/23 EUR (b)(c) | | | 1,926 | |
3,700,000 | | Kenya Government International Bond, 6.88%, 6/24/24 (d) | | | 4,112 | |
1,900,000 | | Mexico Government International Bond, 4.50%, 4/22/29 | | | 2,137 | |
1,000,000 | | Mongolia Government International Bond 144A, 5.13%, 4/07/26 (b) | | | 1,075 | |
700,000 | | Mongolia Government International Bond, 5.13%, 4/07/26 (d) | | | 753 | |
2,935,000 | | Mongolia Government International Bond 144A, 5.63%, 5/01/23 (b) | | | 3,096 | |
1,900,000 | | Morocco Government International Bond, 1.38%, 3/30/26 EUR (c)(d) | | | 2,298 | |
400,000 | | Morocco Government International Bond 144A, 1.38%, 3/30/26 EUR (b)(c) | | | 484 | |
2,250,000 | | Morocco Government International Bond, 2.38%, 12/15/27 (d) | | | 2,193 | |
1,200,000 | | Morocco Government International Bond 144A, 4.25%, 12/11/22 (b) | | | 1,260 | |
2,600,000 | | Nigeria Government International Bond, 6.38%, 7/12/23 (d) | | | 2,797 | |
1,700,000 | | Paraguay Government International Bond, 4.63%, 1/25/23 (d) | | | 1,798 | |
700,000 | | Republic of South Africa Government International Bond, 4.67%, 1/17/24 | | | 749 | |
1,780,000 | | Republic of South Africa Government International Bond, 4.88%, 4/14/26 | | | 1,901 | |
1,720,000 | | Republic of South Africa Government International Bond, 5.88%, 9/16/25 | | | 1,920 | |
2,749,000 | | Romanian Government International Bond, 2.00%, 12/08/26 EUR (c)(d) | | | 3,548 | |
1,200,000 | | Senegal Government International Bond, 4.75%, 3/13/28 EUR (c)(d) | | | 1,501 | |
1,400,000 | | Senegal Government International Bond, 6.25%, 7/30/24 (d) | | | 1,524 | |
226,000 | | Senegal Government International Bond 144A, 6.25%, 7/30/24 (b) | | | 246 | |
990,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 991 | |
250,000 | | Senegal Government International Bond, 8.75%, 5/13/21 (d) | | | 250 | |
480,000 | | Serbia International Bond, 7.25%,
9/28/21 (d) | | | 493 | |
Total Foreign Government (Cost - $72,186) | | | 72,534 | |
| |
Mortgage Backed (26%) | | | | |
3,300,000 | | 280 Park Avenue 2017-280P MortgageTrust 144A, (1 mo. LIBOR USD + 1.537%), 1.65%, 9/15/34 (a)(b) | | | 3,301 | |
58 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,900,000 | | ACRE Commercial Mortgage 2021-FL4 Ltd. 144A, (1 mo. LIBOR USD + 0.830%), 0.95%, 12/18/37 (a)(b) | | $ | 1,900 | |
600,000 | | ACRE Commercial Mortgage 2021-FL4 Ltd. 144A, (1 mo. LIBOR USD + 1.750%), 1.87%, 12/18/37 (a)(b) | | | 599 | |
1,000,000 | | ACRE Commercial Mortgage 2021-FL4 Ltd. 144A, (1 mo. LIBOR USD + 2.600%), 2.72%, 12/18/37 (a)(b) | | | 1,002 | |
1,900,000 | | BAMLL Commercial Mortgage Securities Trust 2015-200P 144A, 3.72%,
4/14/33 (b)(h) | | | 2,009 | |
2,307,000 | | BBCMS 2018-TALL Mortgage Trust 144A, (1 mo. LIBOR USD + 0.722%), 0.84%, 3/15/37 (a)(b) | | | 2,304 | |
1,808,000 | | BBCMS 2018-TALL Mortgage Trust 144A, (1 mo. LIBOR USD + 0.971%), 1.09%, 3/15/37 (a)(b) | | | 1,793 | |
2,200,000 | | BX Commercial Mortgage Trust 2018-BIOA 144A, (1 mo. LIBOR USD + 1.951%), 2.07%, 3/15/37 (a)(b) | | | 2,208 | |
420,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 1.300%), 1.42%, 11/15/35 (a)(b) | | | 421 | |
350,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 1.800%), 1.92%, 11/15/35 (a)(b) | | | 350 | |
1,995,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 2.050%), 2.17%, 11/15/35 (a)(b) | | | 1,997 | |
1,128,613 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.800%), 1.92%, 10/15/36 (a)(b) | | | 1,130 | |
2,633,431 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.000%), 2.12%, 10/15/36 (a)(b) | | | 2,638 | |
3,291,789 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 2.42%, 10/15/36 (a)(b) | | | 3,296 | |
898,179 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%), 1.72%, 12/15/36 (a)(b) | | | 900 | |
1,197,573 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 2.000%), 2.12%, 12/15/36 (a)(b) | | | 1,199 | |
1,700,000 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 0.930%), 1.04%, 10/15/37 (a)(b) | | | 1,704 | |
1,700,000 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 10/15/37 (a)(b) | | | 1,707 | |
1,800,000 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 2.750%), 2.86%, 10/15/37 (a)(b) | | | 1,809 | |
2,900,000 | | BX Trust 2018-GW 144A, (1 mo. LIBOR USD + 2.420%), 2.54%, 5/15/35 (a)(b) | | | 2,896 | |
2,450,000 | | BXMT 2020-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.950%), 2.07%, 2/16/37 (a)(b) | | | 2,447 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
799,000 | | CAMB Commercial Mortgage Trust 2019-LIFE 144A, (1 mo. LIBOR USD + 3.250%), 3.37%, 12/15/37 (a)(b) | | $ | 802 | |
15,544,002 | | Cantor Commercial Real Estate Lending 2019-CF1, 1.30%, 5/15/52 (h) | | | 1,092 | |
2,212,871 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 1.120%), 1.24%, 6/15/34 (a)(b) | | | 2,204 | |
2,584,665 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 1.500%), 1.62%, 6/15/34 (a)(b) | | | 2,565 | |
1,590,563 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 2.47%, 6/15/34 (a)(b) | | | 1,539 | |
1,043,807 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.608%), 2.72%, 6/15/34 (a)(b) | | | 913 | |
1,800,000 | | CHT 2017-COSMO Mortgage Trust 144A, (1 mo. LIBOR USD + 1.400%), 1.51%, 11/15/36 (a)(b) | | | 1,804 | |
1,600,000 | | CHT 2017-COSMO Mortgage Trust 144A, (1 mo. LIBOR USD + 2.250%), 2.36%, 11/15/36 (a)(b) | | | 1,605 | |
1,769,383 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 0.900%), 1.01%,
11/15/37 (a)(b) | | | 1,780 | |
2,064,280 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 2.100%), 2.21%,
11/15/37 (a)(b) | | | 2,073 | |
1,965,981 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBORUSD +2.766%), 2.88%,
11/15/37 (a)(b) | | | 1,978 | |
1,867,682 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 3.492%), 3.61%,
11/15/37 (a)(b) | | | 1,889 | |
1,400,000 | | COMM 2015-3BP Mortgage Trust 144A, 3.35%, 2/10/35 (b)(h) | | | 1,436 | |
2,900,000 | | COMM 2021-LBA Mortgage Trust 144A, (1 mo. LIBOR USD + 2.350%), 2.47%, 3/15/38 (a)(b) | | | 2,902 | |
5,690,504 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 11/25/39 (a)(b) | | | 5,666 | |
2,800,000 | | Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 4.350%), 4.46%, 7/25/31 (a)(b) | | | 2,904 | |
2,300,000 | | Connecticut Avenue Securities Trust 2019-R02 144A, (1 mo. LIBOR USD + 4.150%), 4.26%, 8/25/31 (a)(b) | | | 2,379 | |
528,212 | | Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 9/25/31 (a)(b) | | | 533 | |
2,650,000 | | Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 4.100%), 4.21%, 9/25/31 (a)(b) | | | 2,739 | |
3,573,992 | | Connecticut Avenue Securities Trust 2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 9/25/39 (a)(b) | | | 3,591 | |
Semi-Annual Report 59
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
4,200,000 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 3.400%), 3.51%, 10/25/39 (a)(b) | | $ | 4,227 | |
1,704,793 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 1/25/40 (a)(b) | | | 1,718 | |
3,550,000 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 3.250%), 3.36%, 1/25/40 (a)(b) | | | 3,558 | |
1,950,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 2.000%), 2.11%, 1/25/40 (a)(b) | | | 1,965 | |
1,900,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.11%, 1/25/40 (a)(b) | | | 1,862 | |
2,350,000 | | Credit Suisse MortgageCapital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 0.980%), 1.10%, 5/15/36 (a)(b) | | | 2,357 | |
2,800,000 | | Credit Suisse MortgageCapital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.150%), 2.27%, 5/15/36 (a)(b) | | | 2,808 | |
2,250,000 | | Credit Suisse MortgageCapital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 2.77%, 5/15/36 (a)(b) | | | 2,253 | |
1,100,000 | | CSMC Trust 2017-MOON 144A, 3.30%, 7/10/34 (b)(h) | | | 1,079 | |
3,155,672 | | DBGS 2018-BIOD Mortgage Trust 144A, (1 mo. LIBOR USD + 2.500%), 2.61%, 5/15/35 (a)(b) | | | 3,155 | |
1,100,000 | | Exantas Capital Corp. 2019-RSO7 Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 1.62%, 4/15/36 (a)(b) | | | 1,100 | |
2,465,311 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.000%), 2.11%, 3/25/31 (a) | | | 2,485 | |
1,707,903 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.100%), 2.21%, 3/25/31 (a) | | | 1,729 | |
2,851,191 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.150%), 2.26%, 10/25/30 (a) | | | 2,886 | |
2,164,437 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 2.31%, 8/25/30 (a) | | | 2,192 | |
1,664,508 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.250%), 2.36%, 7/25/30 (a) | | | 1,683 | |
1,324,437 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.350%), 2.46%, 1/25/31 (a) | | | 1,344 | |
1,306,385 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.550%), 2.66%, 12/25/30 (a) | | | 1,335 | |
2,517,060 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBORUSD + 2.800%), 2.91%, 2/25/30 (a) | | | 2,570 | |
2,064,417 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 3.000%), 3.11%, 10/25/29 (a) | | | 2,124 | |
1,400,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.100%), 4.21%, 3/25/31 (a) | | | 1,432 | |
226,635 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%), 4.36%, 1/25/29 (a) | | | 238 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
183,090 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 6.000%), 6.11%, 9/25/28 (a) | | $ | 193 | |
6,383,036 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 9/25/49 (a)(b) | | | 6,429 | |
1,900,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 3.000%), 3.11%, 9/25/49 (a)(b) | | | 1,922 | |
800,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 7.500%), 7.61%, 9/25/49 (a)(b) | | | 831 | |
2,919,775 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 1.700%), 1.81%, 1/25/50 (a)(b) | | | 2,934 | |
1,400,000 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 2.300%), 2.41%, 1/25/50 (a)(b) | | | 1,395 | |
650,000 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 5.250%), 5.36%, 1/25/50 (a)(b) | | | 625 | |
696,535 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 0.750%), 0.86%, 2/25/50 (a)(b) | | | 697 | |
5,800,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 2/25/50 (a)(b) | | | 5,862 | |
1,700,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 2.500%), 2.61%, 2/25/50 (a)(b) | | | 1,693 | |
700,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 4.800%), 4.91%, 2/25/50 (a)(b) | | | 659 | |
707,518 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.300%), 1.31%, 10/25/50 (a)(b) | | | 709 | |
2,000,000 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.800%), 2.81%, 10/25/50 (a)(b) | | | 2,035 | |
1,100,000 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average+ 4.800%), 4.81%, 10/25/50 (a)(b) | | | 1,169 | |
3,109,709 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.01%, 1/25/50 (a)(b) | | | 3,130 | |
700,000 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 5.100%), 5.21%, 1/25/50 (a)(b) | | | 668 | |
633,235 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 1.100%), 1.21%, 3/25/50 (a)(b) | | | 633 | |
1,000,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 4.100%), 4.21%, 3/25/50 (a)(b) | | | 1,024 | |
60 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,300,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 7.600%), 7.71%, 3/25/50 (a)(b) | | $ | 1,318 | |
62,924 | | Freddie Mac STACR REMIC Trust 2020-HQA4 144A, (1 mo. LIBOR USD + 1.300%), 1.41%, 9/25/50 (a)(b) | | | 63 | |
1,600,000 | | Freddie Mac STACR REMIC Trust 2020-HQA4 144A, (1 mo. LIBOR USD + 3.150%), 3.26%, 9/25/50 (a)(b) | | | 1,619 | |
3,000,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.800%), 1.81%, 1/25/51 (a)(b) | | | 3,003 | |
1,950,000 | | Freddie Mac STACR REMIC Trust 2021-DNA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.750%), 0.76%, 10/25/33 (a)(b) | | | 1,953 | |
1,875,000 | | Freddie Mac STACR REMIC Trust 2021-DNA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.100%), 2.11%, 10/25/33 (a)(b) | | | 1,904 | |
374,539 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 0.750%), 0.86%, 10/25/48 (a)(b) | | | 375 | |
4,150,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.41%, 10/25/48 (a)(b) | | | 4,217 | |
2,482,743 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 2.76%, 1/25/49 (a)(b) | | | 2,537 | |
1,644,201 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 2.450%), 2.56%, 3/25/49 (a)(b) | | | 1,674 | |
1,350,000 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 4.350%), 4.46%, 3/25/49 (a)(b) | | | 1,390 | |
1,222,373 | | Freddie Mac STACR Trust 2019-FTR2 144A, (1 mo. LIBORUSD + 0.950%), 1.06%, 11/25/48 (a)(b) | | | 1,223 | |
550,000 | | Freddie Mac STACR Trust 2019-FTR3 144A, (1 mo. LIBOR USD + 4.800%), 4.91%, 9/25/47 (a)(b) | | | 543 | |
600,000 | | Freddie Mac STACR Trust 2019-FTR4 144A, (1 mo. LIBORUSD + 5.000%), 5.11%, 11/25/47 (a)(b) | | | 597 | |
3,057,838 | | Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 2.350%), 2.46%, 2/25/49 (a)(b) | | | 3,095 | |
1,294,988 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 4/25/49 (a)(b) | | | 1,312 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,550,000 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 4.100%), 4.21%, 4/25/49 (a)(b) | | $ | 1,606 | |
199,027 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.750%), 0.86%, 3/25/30 (a) | | | 199 | |
2,661,277 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.800%), 1.91%, 7/25/30 (a) | | | 2,664 | |
2,908,285 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%), 2.41%, 9/25/30 (a) | | | 2,941 | |
1,188,832 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.450%), 2.56%, 12/25/42 (a) | | | 1,184 | |
30,456 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (b)(h) | | | 30 | |
1,950,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 4.71%, 12/25/42 (a) | | | 2,000 | |
700,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, (U.S. Secured Overnight Financing Rate Index 30day Average+ 6.000%), 6.01%, 8/25/33 (a)(b) | | | 710 | |
1,247,894 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.36%, 10/25/29 (a) | | | 1,382 | |
300,000 | | InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 3.350%), 3.47%, 1/15/33 (a)(b) | | | 302 | |
1,015,455 | | JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ 144A, (1 mo. LIBOR USD + 1.000%), 1.12%,
6/15/32 (a)(b) | | | 1,017 | |
12,870 | | JPMorgan Mortgage Trust 2014-IVR3 144A, 2.45%, 9/25/44 (b)(h) | | | 13 | |
464,798 | | JPMorgan Mortgage Trust 2017-5 144A, 3.11%, 10/26/48 (b)(h) | | | 479 | |
1,000,000 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 1.250%), 1.36%, 12/15/37 (a)(b) | | | 1,000 | |
1,750,000 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 1.550%), 1.66%, 12/15/37 (a)(b) | | | 1,750 | |
3,000,000 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 12/15/37 (a)(b) | | | 2,999 | |
5,565,595 | | LCCM 2017-LC26 144A, 1.59%,
7/12/50 (b)(h) | | | 341 | |
2,800,000 | | Life 2021-BMR Mortgage Trust 144A, (1 mo. LIBOR USD + 2.350%), 2.47%,
3/15/38 (a)(b) | | | 2,812 | |
2,500,000 | | MBRT 2019-MBR 144A, (1 mo. LIBOR USD + 0.850%), 0.97%, 11/15/36 (a)(b) | | | 2,502 | |
3,600,000 | | MF1 2020-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 7/15/35 (a)(b) | | | 3,649 | |
2,000,000 | | MF1 2020-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.850%), 2.96%, 7/15/35 (a)(b) | | | 2,037 | |
2,362,325 | | Morgan Stanley Capital I Trust 2018-H3, 0.99%, 7/15/51 (h) | | | 108 | |
Semi-Annual Report 61
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,444,406 | | Motel 6 Trust 2017-MTL6 144A, (1 mo. LIBOR USD + 3.250%), 3.37%,
8/15/34 (a)(b) | | $ | 1,452 | |
1,444,406 | | Motel 6 Trust 2017-MTL6 144A, (1 mo. LIBOR USD + 4.250%), 4.37%,
8/15/34 (a)(b) | | | 1,454 | |
753,714 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 1.700%), 1.81%, 10/15/49 (a)(b) | | | 754 | |
2,300,000 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.36%, 10/15/49 (a)(b) | | | 2,316 | |
229,814 | | New Residential Mortgage Loan Trust 2017-5 144A, (1 mo. LIBOR USD + 1.500%), 1.61%, 6/25/57 (a)(b) | | | 234 | |
2,700,000 | | ONE 2021-PARK Mortgage Trust 144A, (1 mo. LIBOR USD + 1.500%), 1.62%, 3/15/36 (a)(b) | | | 2,699 | |
1,900,000 | | ONE 2021-PARK Mortgage Trust 144A, (1 mo. LIBOR USD + 1.750%), 1.87%, 3/15/36 (a)(b) | | | 1,899 | |
1,000,000 | | PFP 2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 1.54%, 4/14/36 (a)(b) | | | 1,002 | |
404,970 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%), 0.86%, 8/20/56
GBP (a)(b)(c) | | | 561 | |
2,362 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 0.750%), 0.86%,
9/25/48 (a)(b) | | | 2 | |
350,000 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 2.100%), 2.21%,
9/25/48 (a)(b) | | | 354 | |
3,538,529 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 1.76%,
4/25/43 (a)(b) | | | 3,545 | |
3,350,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 3.86%,
4/25/43 (a)(b) | | | 3,443 | |
919,367 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 11.86%,
5/25/43 (a)(b) | | | 1,052 | |
1,837,926 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.36%,
2/25/47 (a)(b) | | | 1,842 | |
3,300,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 2.51%,
2/25/47 (a)(b) | | | 3,361 | |
1,900,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.61%,
2/25/47 (a)(b) | | | 2,163 | |
2,100,000 | | TTAN 2021-MHC 144A, (1 mo. LIBOR USD + 2.400%), 2.51%,
3/15/38 (a)(b) | | | 2,100 | |
64,147 | | VMC Finance 2018-FL2 LLC 144A, (1 mo. LIBOR USD + 0.920%), 1.04%,
10/15/35 (a)(b) | | | 64 | |
1,200,000 | | Wells Fargo Commercial Mortgage Trust 2017-SMP 144A, (1 mo. LIBOR USD + 0.875%), 0.99%, 12/15/34 (a)(b) | | | 1,197 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
450,000 | | Wells Fargo Commercial Mortgage Trust 2017-SMP 144A, (1 mo. LIBOR USD + 1.775%), 1.89%, 12/15/34 (a)(b) | | $ | 446 | |
6,815,453 | | Wells Fargo Commercial Mortgage Trust 2018-C46, 1.10%, 8/15/51 (h) | | | 314 | |
Total Mortgage Backed (Cost - $247,130) | | | 249,514 | |
U.S. Government Agency (0%) | | | | |
5,000,000 | | FHLB Discount Note, 0.00%, 5/03/21 (e)
(Cost - $5,000) | | | 5,000 | |
| |
U.S. Treasury (5%) | | | | |
18,000,000 | | U.S. Cash Management Bill, 0.05%,
7/13/21 (e) | | | 18,000 | |
5,000,000 | | U.S. Treasury Bill, 0.02%, 7/22/21 (e) | | | 5,000 | |
4,500,000 | | U.S. Treasury Bill, 0.06%, 5/27/21 (e) | | | 4,500 | |
12,000,000 | | U.S. Treasury Bill, 0.09%, 7/01/21 (e) | | | 11,999 | |
5,000,000 | | U.S. Treasury Bill, 0.10%, 6/10/21 (e) | | | 5,000 | |
Total U.S. Treasury (Cost - $44,496) | | | 44,499 | |
| |
Investment Company (1%) | | | | |
10,203,745 | | Payden Cash Reserves Money Market Fund *
(Cost - $10,204) | | | 10,204 | |
| |
Purchase Options (0%) | | | | |
Total Purchased Options (Cost - $91) | | | 25 | |
| |
Total Investments (Cost - $951,221) (101%) | | | 963,392 | |
Liabilities in excess of Other Assets (-1%) | | | (13,745 | ) |
| |
Net Assets (100%) | | $ | 949,647 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (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) | Yield to maturity at time of purchase. |
| (f) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (g) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $1,956 and the total market value of the collateral held by the Fund is $2,020. Amount in 000s. |
| (h) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
Purchased Options
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Notional
Amount
(000s) | | | Exercise
Price | | | Maturity Date | | | Value
(000s) | | | Call/Put | |
Exchange Traded Options Purchase — 0.0% | | | | | | | | | | | | | | | | | | | | | | | | |
S & P 500 Index | | | 222 | | | $ | 92,822 | | | $ | 3500.00 | | | | 05/14/2021 | | | $ | 25 | | | | Put | |
62 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | | | Currency
Sold (000s) | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | | | | | | |
USD 6,720 | | | | | | GBP 4,846 | | | HSBC Bank USA, N.A. | | | | 06/22/2021 | | | | $ | 27 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | 27 | |
| | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | |
EUR 3,866 | | | | | | USD 4,655 | | | HSBC Bank USA, N.A. | | | | 05/24/2021 | | | | | (5 | ) |
GBP 6,677 | | | | | | USD 9,305 | | | HSBC Bank USA, N.A. | | | | 05/24/2021 | | | | | (83 | ) |
USD 1,654 | | | | | | BRL 9,331 | | | Barclays Bank PLC | | | | 06/24/2021 | | | | | (56 | ) |
USD 113,824 | | | | | | EUR 95,340 | | | Citibank, N.A. | | | | 06/22/2021 | | | | | (926 | ) |
USD 1,391 | | | | | | EUR 1,165 | | | Citibank, N.A. | | | | 06/22/2021 | | | | | (11 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | (1,081 | ) |
| | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | $ | (1,054 | ) |
| | | | | | | | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(000s) |
ShortContracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | | | 282 | | | | | | | Jun-21 | | | | $ | (45,678 | ) | | | $ | 106 | | | | $ | 106 | |
Euro-Bund Future | | | | 21 | | | | | | | Jun-21 | | | | | (4,292 | ) | | | | 27 | | | | | 27 | |
Euro-Schatz Future | | | | 273 | | | | | | | Jun-21 | | | | | (36,786 | ) | | | | 10 | | | | | 10 | |
U.S. 10-Year Ultra Future | | | | 126 | | | | | | | Jun-21 | | | | | (18,339 | ) | | | | 298 | | | | | 298 | |
U.S. Treasury 10-Year Note Future | | | | 162 | | | | | | | Jun-21 | | | | | (21,389 | ) | | | | 256 | | | | | 256 | |
U.S. Treasury 5-Year Note Future | | | | 379 | | | | | | | Jun-21 | | | | | (46,972 | ) | | | | 62 | | | | | 62 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | | | | $ | 759 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | Notional
Amount
(000s) | | Value
(000s) | | Upfront
payments/
receipts (000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
| 3-Year Interest Rate Swap, Receive Fixed 0.85% Semi-Annually,Pay Variable 0.17563% (3-Month USD LIBOR) Quarterly | | | | 04/27/2024 | | | | $ | 22,590 | | | | $ | (4 | ) | | | $ | — | | | | $ | (4 | ) |
| 3-Year Interest Rate Swap, Receive Fixed 0.86% Semi-Annually,Pay Variable 0.17563% (3-Month USD LIBOR) Quarterly | | | | 04/28/2024 | | | | | 131,211 | | | | | (14 | ) | | | | — | | | | | (14 | ) |
| 5-Year Interest Rate Swap,Pay Fixed 0.17563% Semi-Annually, Receive Variable 1.7825% (3-Month USD LIBOR) Quarterly | | | | 04/28/2026 | | | | | 23,220 | | | | | 21 | | | | | — | | | | | 21 | |
| 5-Year Interest Rate Swap,Pay Fixed 0.17563% Semi-Annually, Receive Variable 1.80% (3-Month USD LIBOR) Quarterly | | | | 04/28/2026 | | | | | 134,937 | | | | | 101 | | | | | — | | | | | 101 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 104 | | | | $ | — | | | | $ | 104 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 63
Payden Absolute Return Bond Fund continued
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 | | | $ | 1,956 | |
of Assets and Liabilities1 | | | | | |
Non-cash Collateral2 | | | | (1,956 | ) |
| | | | | |
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, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
64 Payden Mutual Funds
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 | | | 64 | % |
U.S. Treasury | | | 13 | % |
Investment Company | | | 11 | % |
Corporate | | | 7 | % |
Mortgage Backed | | | 4 | % |
Asset Backed | | | 1 | % |
| | | | | | |
| Schedule of Investments - April 30, 2021 (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%), 3.04%, 4/19/30 (a)(b)
(Cost - $1,185) | | $ | 1,189 | |
Bank Loans(c) (81%) | | | | |
Automotive (2%) | | | | |
546,096 | | American Axle & Manufacturing Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.250%), 3.00%, 4/06/24 | | | 544 | |
600,000 | | Clarios Global LP Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 3.36%, 4/30/26 | | | 595 | |
600,000 | | Wheel Pros Inc. Term loan 1L, (LIBOR USD 1-Month + 4.500%), 5.25%, 4/23/28 | | | 601 | |
| | | | | 1,740 | |
Basic Industry (9%) | | | | |
250,000 | | American Airlines Inc. Term Loan 1L, (LIBOR USD 1-Month + 4.750%), 5.50%, 3/24/28 | | | 257 | |
571,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.00%, 11/01/25 | | | 635 | |
972,416 | | Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD 3-Month + 1.750%), 1.95%, 6/01/24 | | | 967 | |
475,000 | | CCI Buyer Inc. Term Loan B 1L, (LIBOR USD 3-Month + 4.000%), 4.75%, 12/17/27 | | | 477 | |
461,684 | | Core & Main LP Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.75%, 8/01/24 | | | 461 | |
500,000 | | CP Atlas Buyer Inc. Term Loan B1 1L, (LIBOR USD 3-Month + 3.750%), 4.25%, 11/23/27 | | | 500 | |
489,831 | | Graham Packaging Co. Inc. Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.75%, 8/04/27 | | | 489 | |
515,708 | | H.B. Fuller Co. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.12%, 10/20/24 | | | 515 | |
500,000 | | INEOS U.S. Petrochem LLC Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 3.25%, 1/29/26 | | | 499 | |
732,973 | | Mauser Packaging Solutions Holding Co. Term Loan B 1L, (LIBOR USD 3-Month + 3.250%), 3.44%, 4/03/24 | | | 709 | |
649,343 | | PQ Corp. Term Loan B1 1L, (LIBOR USD 3-Month + 2.250%), 2.46%, 2/07/27 | | | 645 | |
399,000 | | Reynolds Group Holdings Inc. Term Loan 1L, (LIBOR USD 1-Month + 3.250%), 3.36%, 2/05/26 | | | 396 | |
468,689 | | Reynolds Group Holdings Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 2.86%, 2/05/23 | | | 468 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
487,245 | | United Rentals N.A. Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 10/31/25 | | $ | 490 | |
600,000 | | VM Consolidated Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 3.45%, 3/26/28 | | | 597 | |
| | | | | 8,105 | |
Consumer Goods (5%) | | | | |
887,070 | | Dole Food Co. Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.75%, 4/06/24 | | | 888 | |
496,250 | | Froneri U.S. Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 2.36%, 1/31/27 | | | 490 | |
980,000 | | JBS USA LUX SA Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.11%, 5/01/26 | | | 978 | |
500,000 | | Triton Water Holdings Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.500%), 4.00%, 3/31/28 | | | 499 | |
847,323 | | U.S. Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%,6/27/23 | | | 839 | |
500,000 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 10/22/25 | | | 500 | |
600,000 | | Utz Quality Foods LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.11%, 1/20/28 | | | 601 | |
| | | | | 4,795 | |
Energy (2%) | | | | |
651,110 | | Calpine Corp. Term Loan B5 1L, (LIBOR USD 1-Month + 2.500%), 2.61%, 12/16/27 | | | 648 | |
498,750 | | Exgen Renewables IV LLC Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 3.75%, 12/11/27 | | | 499 | |
992,500 | | PG&E Corp.TermLoanB1L,(LIBORUSD 3-Month + 3.000%), 3.50%,6/23/25 | | | 991 | |
| | | | | 2,138 | |
Financial Services (5%) | | | | |
600,000 | | Alliant Holdings Intermediate LLC Term Loan B31L, (LIBOR USD 1-Month + 3.750%), 4.25%, 11/06/27 | | | 601 | |
498,750 | | AmWins Group Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.00%, 2/19/28 | | | 494 | |
500,000 | | Citadel Securities LP Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 2.61%, 2/02/28 | | | 496 | |
758,100 | | Jane Street Group LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 2.86%, 1/26/28 | | | 753 | |
493,750 | | Nexus Buyer LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 3.86%, 11/08/26 | | | 492 | |
Semi-Annual Report 65
Payden Floating Rate Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
500,000 | | Tronox Finance LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 2.66%, 3/11/28 | | $ | 497 | |
600,000 | | VFH Parent LLC Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.12%, 3/01/26 | | | 599 | |
900,000 | | Zebra Buyer LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 3.75%, 4/22/28 | | | 900 | |
| | | | | 4,832 | |
| |
Healthcare (4%) | | | | |
586,764 | | Change Healthcare Holdings LLC Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.50%, 3/01/24 | | | 587 | |
987,500 | | Grifols Worldwide Operations USA Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.09%, 11/15/27 | | | 977 | |
900,000 | | Jazz Financing Lux Sarl Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.00%, 4/22/28 | | | 903 | |
500,000 | | Organon & Co. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.50%, 4/08/28 | | | 499 | |
482,008 | | Radiology Partners Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.250%), 4.36%, 7/09/25 | | | 481 | |
500,000 | | Sotera Health Holdings LLC Term Loan 1L, (LIBOR USD 3-Month + 2.750%), 3.25%, 12/13/26 | | | 498 | |
| | | | | 3,945 | |
| |
Insurance (3%) | | | | |
600,000 | | Acrisure LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 3.70%, 2/15/27 | | | 592 | |
495,000 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.50%, 1/20/27 | | | 495 | |
600,000 | | AssuredPartners Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 2/13/27 | | | 595 | |
689,831 | | Asurion LLC Term Loan B8 1L, (LIBOR USD 1-Month + 3.250%), 3.37%, 12/23/26 | | | 686 | |
534,875 | | HUB International Ltd. Term Loan B 1L, (LIBOR USD 3-Month + 3.000%), 3.18%, 4/25/25 | | | 529 | |
| | | | | 2,897 | |
| |
Leisure (13%) | | | | |
997,946 | | 1011778 BC ULC Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 11/19/26 | | | 985 | |
977,273 | | Caesars Resort Collection LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 2.86%, 12/22/24 | | | 968 | |
600,000 | | Carrols Restaurant Group Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.250%), 5.31%, 4/30/26 | | | 593 | |
457,221 | | Flynn Restaurant Group LP Term Loan 2L, (LIBOR USD 1-Month + 7.000%), 7.11%, 6/29/26 | | | 453 | |
600,000 | | Golden Nugget LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 3.25%, 10/04/23 | | | 594 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
496,852 | | Hilton Worldwide Finance LLC Term Loan B2 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 6/21/26 | | $ | 493 | |
496,164 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 2.95%, 2/05/25 | | | 493 | |
357,758 | | KFC Holding Co. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.87%, 3/15/28 | | | 358 | |
833,000 | | K-MAC Holdings Corp. Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.11%, 3/16/25 | | | 824 | |
344,167 | | K-MAC Holdings Corp. Term Loan 2L, (LIBOR USD 1-Month + 6.750%), 6.86%, 3/16/26 | | | 343 | |
432,287 | | Live Nation Entertainment Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.88%, 10/17/26 | | | 422 | |
1,044,443 | | Marriott Ownership Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 8/31/25 | | | 1,028 | |
1,209,469 | | Scientific Games International Inc. Term Loan B5 1L, (LIBOR USD 1-Month + 2.750%), 2.86%, 8/14/24 | | | 1,194 | |
1,161,563 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.50%, 2/05/27 | | | 1,159 | |
560,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD 1-Month + 7.500%), 8.25%, 2/05/28 | | | 560 | |
600,000 | | United PF Holdings LLC Term Loan 1L, (LIBOR USD 1-Month + 4.000%), 4.00%, 12/30/26 | | | 582 | |
487,059 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 5/30/25 | | | 483 | |
400,000 | | Zaxby’s Operating Co. LP Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 12/28/27 | | | 401 | |
| | | | | 11,933 | |
| |
Media (12%) | | | | |
493,573 | | Altice Financing SA Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 2.93%, 7/15/25 | | | 485 | |
500,000 | | Austin BidCo Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.250%), 5.00%, 2/11/28 | | | 506 | |
497,500 | | Banijay Group U.S. Holding Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 3.86%, 3/01/25 | | | 495 | |
1,000,000 | | Coral U.S. Co-Borrower LLC Term Loan B5 1L, (LIBOR USD 1-Month + 2.250%), 2.36%, 1/31/28 | | | 991 | |
970,231 | | CSC Holdings LLC Term Loan B5 1L, (LIBOR USD 1-Month + 2.500%), 2.61%,4/15/27 | | | 967 | |
985,000 | | Diamond Sports Group LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 3.36%, 8/24/26 | | | 708 | |
800,000 | | Endure Digital Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.25%, 2/10/28 | | | 793 | |
66 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
299,250 | | EW Scripps Co. Term Loan B3 1L, (LIBOR USD 1-Month + 3.000%), 3.75%, 1/07/28 | | $ | 299 | |
1,000,000 | | Lamar Media Corp. Term Loan B 1L, (LIBOR USD 1-Month + 1.500%), 1.61%, 2/06/27 | | | 989 | |
600,000 | | MH Sub I LLC Term Loan 1L, (LIBOR USD 3-Month + 3.500%), 3.61%, 9/15/24 | | | 596 | |
600,000 | | Nielsen Finance LLC Term Loan B5 1L, (LIBOR USD 1-Month + 3.750%), 4.75%, 6/04/25 | | | 603 | |
600,000 | | Univision Communications Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.75%, 3/24/26 | | | 602 | |
550,000 | | UPC Financing Partnership Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.00%, 1/31/29 | | | 546 | |
576,923 | | UPC Financing Partnership Term Loan B2 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 1/31/29 | | | 573 | |
600,000 | | Virgin Media Bristol LLC Term Loan Q 1L, (LIBOR USD 1-Month + 3.250%), 3.25%, 1/31/29 | | | 600 | |
600,000 | | WideOpenWest Finance LLC Term Loan B 1L, (LIBOR USD 3-Month + 3.250%), 4.25%, 8/19/23 | | | 600 | |
711,175 | | WMG Acquisition Corp. Term Loan G 1L, (LIBOR USD 3-Month + 2.125%), 2.23%, 1/20/28 | | | 707 | |
| | | | | 11,060 | |
| |
Real Estate (2%) | | | | |
661,602 | | Iron Mountain Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 1/02/26 | | | 657 | |
600,000 | | Starwood Property Mortgage LLC Term Loan B2 1L, (LIBOR USD 1-Month + 3.500%), 4.25%, 7/26/26 | | | 601 | |
| | | | | 1,258 | |
| |
Retail (7%) | | | | |
530,311 | | Beacon Roofing Supply Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 2.36%, 1/02/25 | | | 529 | |
548,438 | | BJ’s Wholesale Club Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.11%, 2/03/24 | | | 549 | |
987,500 | | Dealer Tire LLC Term Loan B 1L, (LIBOR USD 1-Month + 4.250%),4.36%, 2/05/27 | | | 989 | |
1,269,483 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 2.86%, 10/22/25 | | | 1,269 | |
550,000 | | GYP Holdings III Corp. Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 2.61%, 6/01/25 | | | 550 | |
921,761 | | Harbor Freight Tools USA Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.75%, 10/19/27 | | | 922 | |
600,000 | | Leslie’s Poolmart Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.25%, 3/09/28 | | | 598 | |
500,000 | | Michaels Cos. Inc. Term Loan 1L, (LIBOR USD 1-Month + 4.250%), 5.00%,4/15/28 | | | 498 | |
| | | | | 5,904 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
| |
Service (1%) | | | | |
500,000 | | Adtalem Global Education Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.500%), 5.25%, 2/12/28 | | $ | 496 | |
465,325 | | Aramark Services Inc. Term Loan B3 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 3/11/25 | | | 460 | |
| | | | | 956 | |
| |
Technology (9%) | | | | |
600,000 | | Ahead DB Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 10/16/27 | | | 604 | |
600,000 | | Alphabet Holding Co. Inc. Term Loan 2L, (LIBOR USD 3-Month + 7.750%), 7.86%, 8/15/25 | | | 604 | |
600,000 | | Avaya Inc. Term Loan B2 1L, (LIBOR USD 1-Month + 4.000%), 4.12%, 12/15/27 | | | 603 | |
493,734 | | Blackboard Inc. Term Loan B5 1L, (LIBOR USD 3-Month + 6.000%), 7.00%, 6/30/24 | | | 494 | |
475,191 | | BY Crown Parent LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 4.00%, 1/30/26 | | | 476 | |
600,000 | | Castle U.S. Holding Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 3.95%, 1/31/27 | | | 588 | |
386,875 | | CDW LLC Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 8/17/23 | | | 388 | |
600,000 | | Finastra USA Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.500%), 4.50%, 6/13/24 | | | 591 | |
600,000 | | Informatica LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 3.36%, 2/14/27 | | | 595 | |
458,680 | | MPH Acquisition Holdings LLC Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 3.75%, 6/07/23 | | | 457 | |
181,166 | | Peraton Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 2/01/28 | | | 181 | |
318,834 | | Peraton Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.75%, 2/01/28 | | | 319 | |
600,000 | | Pitney Bowes Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.000%), 4.11%, 3/19/28 | | | 600 | |
496,250 | | Presidio Holdings Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.500%), 3.77%, 12/19/26 | | | 496 | |
585,814 | | Sabre GLBL Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.11%, 2/22/24 | | | 580 | |
501,225 | | Western Digital Corp. Term Loan B4 1L, (LIBOR USD 1-Month + 1.750%), 1.87%, 4/29/23 | | | 502 | |
| | | | | 8,078 | |
| |
Telecommunications (6%) | | | | |
1,167,550 | | Altice France SA Term Loan B13 1L, (LIBOR USD 3-Month + 4.000%), 4.20%, 8/14/26 | | | 1,167 | |
592,500 | | CenturyLink Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 2.36%, 3/15/27 | | | 586 | |
921,836 | | Charter Communications Operating LLC Term LoanB21L, (LIBOR USD 1-Month + 1.750%), 1.86%, 2/01/27 | | | 918 | |
Semi-Annual Report 67
Payden Floating Rate Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
600,000 | | Consolidated Communications Inc. Term Loan B1 1L, (LIBOR USD 1-Month + 3.500%), 4.25%, 10/02/27 | | $ | 600 | |
500,000 | | Frontier Communications Holdings LLC Term LoanB1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 10/08/27 | | | 499 | |
600,000 | | Gogo Intermediate Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 4/30/28 | | | 597 | |
495,000 | | Iridium Satellite LLC Term Loan B1 1L, (LIBOR USD 1-Month + 2.750%), 3.75%, 11/04/26 | | | 497 | |
600,000 | | LCPR Loan Financing LLC Term Loan 1L, (LIBOR USD 3-Month + 3.750%), 3.87%, 10/15/28 | | | 602 | |
| | | | | 5,466 | |
| |
Transportation (1%) | | | | |
500,000 | | SkyMiles IP Ltd. Term Loan B 1L, (LIBOR USD 3-Month + 3.750%), 4.75%, 10/20/27 | | | 526 | |
500,000 | | United Airlines Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 4/14/28 | | | 506 | |
| | | | | 1,032 | |
Total Bank Loans (Cost - $74,314) | | | 74,139 | |
| |
Corporate Bond (8%) | | | | |
400,000 | | Antero Resources Corp., 5.63%, 6/01/23 | | | 402 | |
400,000 | | Athabasca Oil Corp. 144A, 9.88%,
2/24/22 (b) | | | 326 | |
500,000 | | Baytex Energy Corp. 144A, 8.75%, 4/01/27 (b) | | | 463 | |
500,000 | | Callon Petroleum Co., 6.25%, 4/15/23 | | | 476 | |
400,000 | | Callon Petroleum Co., 6.38%, 7/01/26 | | | 349 | |
250,000 | | Centennial Resource Production LLC 144A, 5.38%, 1/15/26 (b)(d) | | | 235 | |
350,000 | | Coty Inc. 144A, 5.00%, 4/15/26 (b) | | | 355 | |
500,000 | | Covanta Holding Corp., 5.88%, 7/01/25 | | | 523 | |
300,000 | | Crew Energy Inc., 6.50%,
3/14/24 CAD (e)(f) | | | 226 | |
500,000 | | Great Western Petroleum LLC/Great Western Finance Corp. 144A, 12.00%, 9/01/25 (b) | | | 435 | |
500,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26 (b) | | | 502 | |
250,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 258 | |
500,000 | | Lithia Motors Inc. 144A, 5.25%,
8/01/25 (b) | | | 518 | |
650,000 | | NuVista Energy Ltd., 6.50%,
3/02/23 CAD (f) | | | 521 | |
300,000 | | PBF Holding Co. LLC/PBF Finance Corp. 144A, 9.25%, 5/15/25 (b) | | | 315 | |
500,000 | | Range Resources Corp., 9.25%, 2/01/26 | | | 550 | |
325,000 | | SM Energy Co., 5.00%, 1/15/24 | | | 312 | |
500,000 | | Southwestern Energy Co., 4.10%, 3/15/22 | | | 505 | |
300,000 | | Vermilion Energy Inc. 144A, 5.63%, 3/15/25 (b) | | | 287 | |
Total Corporate Bond (Cost - $7,195) | | | 7,558 | |
| | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Mortgage Backed (5%) | | | | |
814,795 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 11.750%), 11.86%, 10/25/28 (a) | | $ | 1,001 | |
795,041 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%), 12.36%, 9/25/28 (a) | | | 992 | |
300,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 4.800%), 4.91%, 2/25/50 (a)(b) | | | 282 | |
300,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 4.71%, 12/25/42 (a) | | | 308 | |
663,449 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.500%), 10.61%, 5/25/28 (a) | | | 751 | |
494,064 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 12.750%), 12.86%, 8/25/29 (a) | | | 550 | |
677,428 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 11.86%,
5/25/43 (a)(b) | | | 775 | |
Total Mortgage Backed (Cost - $4,257) | | | 4,659 | |
U.S. Treasury (17%) | | | | |
15,000,000 | | U.S. Treasury Bill, 0.00%, 6/24/21 (g)
(Cost - $15,000) | | | 15,000 | |
| |
Investment Company (14%) | | | | |
12,647,355 | | Payden Cash Reserves Money Market Fund *
(Cost - $12,647) | | | 12,647 | |
| |
Total Investments (Cost - $114,598) (126%) | | | 115,192 | |
Liabilities in excess of Other Assets (-26%) | | | (23,815 | ) |
| |
Net Assets (100%) | | $ | 91,377 | |
| | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (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, 2021. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (d) | All or a portion of these securities are on loan. At April 30, 2021, 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 $94. Amounts in 000s. |
| (e) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (f) | Principal in foreign currency. |
| (g) | Yield to maturity at time ofpurchase. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | | | Currency Sold (000s) | | Counterparty | | Settlement
Date | | Unrealized
Depreciation
(000s) |
Liabilities: | | | | | | | | | | | | | | | | | | | |
USD 730 | | | | CAD 915 | | | | State Street Bank & Trust Co. | | | | | 06/22/2021 | | | | $ | (14 | ) |
| | | | | | | | | | | | | | | | | | | |
68 Payden Mutual Funds
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 | | $ | 89 | |
of Assets and Liabilities1 | | | | |
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, 2021, 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 69
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 | |
Basic Industry | | | 16% | |
Energy | | | 15% | |
Healthcare | | | 9% | |
Media | | | 6% | |
Financial Services | | | 5% | |
Consumer Goods | | | 5% | |
Telecommunications | | | 5% | |
Other | | | 39% | |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (1%) | | | | |
2,000,000 | | JPMorgan Chase Bank N.A. - CACLN 144A, 28.35%, 9/25/28 (a) | | $ | 2,003 | |
2,500,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.04%, 4/19/30 (a)(b) | | | 2,476 | |
Total Asset Backed (Cost - $4,437) | | | 4,479 | |
Bank Loans (c) (3%) | | | | |
1,485,000 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.50%, 1/20/27 | | | 1,486 | |
3,503,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.00%, 11/01/25 | | | 3,894 | |
2,100,000 | | Flynn Restaurant Group LP Term Loan 2L, (LIBOR USD 1-Month + 7.000%), 7.11%, 6/29/26 | | | 2,079 | |
1,284,931 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 2.86%, 10/22/25 | | | 1,284 | |
1,250,000 | | Informatica LLC Term Loan 2L, (LIBOR USD 3-Month + 7.125%), 7.13%, 2/25/25 | | | 1,280 | |
2,680,000 | | K-MAC Holdings Corp. Term Loan 2L, (LIBOR USD 1-Month + 6.750%),6.86%, 3/16/26 | | | 2,669 | |
1,000,000 | | Organon & Co. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.50%, 4/08/28 | | | 999 | |
1,000,000 | | PetSmart Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.500%), 4.50%, 2/12/28 | | | 1,004 | |
1,270,000 | | Sotera Health Holdings LLC Term Loan 1L, (LIBOR USD 3-Month + 2.750%), 3.25%, 12/13/26 | | | 1,265 | |
2,505,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD 1-Month + 7.500%), 8.25%, 2/05/28 | | | 2,507 | |
1,250,000 | | TIBCO Software Inc. Term Loan 2L, (LIBOR USD 1-Month + 7.250%), 7.36%, 3/04/28 | | | 1,268 | |
2,000,000 | | Zaxby’s Operating Co. LP Term Loan B 2L, (LIBOR USD 1-Month + 6.500%), 7.25%, 12/28/28 | | | 2,035 | |
Total Bank Loans (Cost - $20,953) | | | 21,770 | |
Corporate Bond (91%) | | | | |
Automotive (3%) | | | | |
800,000 | | Allison Transmission Inc. 144A, 3.75%, 1/30/31 (a) | | | 773 | |
1,500,000 | | Allison Transmission Inc. 144A, 4.75%, 10/01/27 (a) | | | 1,574 | |
1,000,000 | | American Axle & Manufacturing Inc., 6.25%, 3/15/26 | | | 1,028 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
450,000 | | Clarios Global LP/Clarios U.S. Finance Co. 144A, 6.25%, 5/15/26 (a) | | $ | 478 | |
500,000 | | Dana Inc., 5.38%, 11/15/27 | | | 534 | |
1,500,000 | | Ford Motor Co., 4.75%, 1/15/43 | | | 1,515 | |
700,000 | | Ford Motor Co., 8.50%, 4/21/23 | | | 785 | |
1,500,000 | | Ford Motor Co., 9.00%, 4/22/25 | | | 1,834 | |
400,000 | | Ford Motor Co., 9.63%, 4/22/30 | | | 561 | |
2,000,000 | | Ford Motor Credit Co. LLC, 3.82%, 11/02/27 | | | 2,053 | |
2,050,000 | | Ford Motor Credit Co. LLC, 4.06%, 11/01/24 | | | 2,161 | |
1,000,000 | | Ford Motor Credit Co. LLC, 5.88%, 8/02/21 | | | 1,011 | |
2,000,000 | | Goodyear Tire & Rubber Co., 5.00%, 5/31/26 | | | 2,056 | |
1,000,000 | | IHO Verwaltungs GmbH, 3.75%, 9/15/26 EUR (d)(e) | | | 1,235 | |
2,000,000 | | Wheel Pros Inc. 144A, 6.50%, 5/15/29 (a) | | | 2,008 | |
| | | | | 19,606 | |
Banking (1%) | | | | |
1,500,000 | | Bank of America Corp., (3 mo. LIBOR USD + 2.931%), 5.88%, (b)(f) | | | 1,693 | |
2,000,000 | | CIT Group Inc., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.372%), 4.13%, 11/13/29 (b) | | | 2,050 | |
1,500,000 | | Citigroup Inc., (3 mo. LIBOR USD + 4.068%), 5.95%, (b)(f) | | | 1,587 | |
1,000,000 | | Deutsche Bank AG, (USD Swap Rate 11:00 am NY 1 + 2.553%), 4.88%, 12/01/32 (b) | | | 1,082 | |
1,500,000 | | Lloyds Bank PLC 144A, (3 mo. LIBOR USD + 11.756%), 12.00%, (a)(b)(f) | | | 1,663 | |
| | | | | 8,075 | |
Basic Industry (17%) | | | | |
1,550,000 | | Alcoa Nederland Holding BV 144A, 4.13%, 3/31/29 (a) | | | 1,585 | |
1,000,000 | | Alcoa Nederland Holding BV 144A, 5.50%, 12/15/27 (a) | | | 1,085 | |
2,750,000 | | ARD Finance SA 144A, 6.50%, 6/30/27 (a) | | | 2,881 | |
3,930,000 | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 144A, 4.00%, 9/01/29 (a) | | | 3,918 | |
1,828,000 | | Ashland LLC, 6.88%, 5/15/43 | | | 2,307 | |
2,000,000 | | Big River Steel LLC/BRS Finance Corp.144A, 6.63%, 1/31/29 (a) | | | 2,164 | |
2,000,000 | | BWX Technologies Inc. 144A, 5.38%, 7/15/26 (a) | | | 2,065 | |
2,000,000 | | Cascades Inc./Cascades USA Inc. 144A, 5.38%, 1/15/28 (a) | | | 2,087 | |
1,300,000 | | CF Industries Inc., 5.15%, 3/15/34 | | | 1,525 | |
1,500,000 | | Cleveland-Cliffs Inc., 5.88%,6/01/27 | | | 1,575 | |
1,750,000 | | Coeur Mining Inc. 144A, 5.13%, 2/15/29 (a) | | | 1,699 | |
70 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,500,000 | | Crown Cork & Seal Co. Inc., 7.38%, 12/15/26 | | $ | 1,828 | |
1,500,000 | | Energizer Holdings Inc. 144A, 4.38%, 3/31/29 (a) | | | 1,491 | |
2,000,000 | | First Quantum Minerals Ltd. 144A, 7.25%, 4/01/23 (a) | | | 2,040 | |
3,100,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.38%, 4/01/31 (a) | | | 3,224 | |
1,000,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.50%, 9/15/27 (a) | | | 1,088 | |
2,600,000 | | Freeport-McMoRan Inc., 5.00%, 9/01/27 | | | 2,762 | |
500,000 | | Freeport-McMoRan Inc., 5.40%, 11/14/34 | | | 603 | |
960,000 | | Freeport-McMoRan Inc., 5.45%, 3/15/43 | | | 1,174 | |
1,000,000 | | GrafTech Finance Inc. 144A, 4.63%, 12/15/28 (a) | | | 1,030 | |
1,000,000 | | Graphic Packaging International LLC 144A, 4.75%, 7/15/27 (a) | | | 1,092 | |
1,500,000 | | H&E Equipment Services Inc. 144A, 3.88%, 12/15/28 (a) | | | 1,466 | |
1,200,000 | | HB Fuller Co., 4.00%, 2/15/27 | | | 1,244 | |
1,000,000 | | HB Fuller Co., 4.25%, 10/15/28 | | | 1,020 | |
1,000,000 | | Howmet Aerospace Inc., 5.13%, 10/01/24 | | | 1,097 | |
2,750,000 | | IAMGOLD Corp. 144A, 5.75%,
10/15/28 (a) | | | 2,863 | |
1,250,000 | | James Hardie International Finance DAC 144A, 5.00%, 1/15/28 (a) | | | 1,329 | |
1,500,000 | | KBR Inc. 144A, 4.75%, 9/30/28 (a) | | | 1,517 | |
1,000,000 | | Kraton Polymers LLC/Kraton Polymers Capital Corp. 144A, 4.25%, 12/15/25 (a) | | | 1,016 | |
1,500,000 | | MasTec Inc. 144A, 4.50%, 8/15/28 (a) | | | 1,566 | |
3,500,000 | | Mauser Packaging Solutions Holding Co. 144A, 7.25%, 4/15/25 (a) | | | 3,408 | |
2,200,000 | | Mercer International Inc. 144A, 5.13%, 2/01/29 (a) | | | 2,277 | |
1,000,000 | | Meritage Homes Corp., 5.13%, 6/06/27 | | | 1,122 | |
2,523,000 | | Moog Inc. 144A, 4.25%, 12/15/27 (a) | | | 2,599 | |
1,500,000 | | Mueller Water Products Inc. 144A, 5.50%, 6/15/26 (a) | | | 1,555 | |
2,650,000 | | NOVA Chemicals Corp. 144A, 4.25%, 5/15/29 (a) | | | 2,630 | |
1,850,000 | | Novelis Corp. 144A, 4.75%, 1/30/30 (a) | | | 1,926 | |
1,800,000 | | OCI NV 144A, 4.63%, 10/15/25 (a) | | | 1,880 | |
1,500,000 | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 144A, 4.00%, 10/15/27 (a) | | | 1,485 | |
2,650,000 | | Sensata Technologies BV 144A, 4.00%, 4/15/29 (a) | | | 2,670 | |
500,000 | | Spirit AeroSystems Inc., 4.60%, 6/15/28 | | | 490 | |
1,000,000 | | Spirit AeroSystems Inc. 144A, 7.50%, 4/15/25 (a) | | | 1,073 | |
1,000,000 | | Standard Industries Inc. 144A, 4.75%, 1/15/28 (a) | | | 1,033 | |
500,000 | | Standard Industries Inc. 144A, 5.00%, 2/15/27 (a) | | | 516 | |
2,000,000 | | Stevens Holding Co. Inc. 144A, 6.13%, 10/01/26 (a) | | | 2,157 | |
1,500,000 | | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc. 144A, 5.63%, 3/01/24 (a) | | | 1,627 | |
1,750,000 | | Terex Corp. 144A, 5.00%, 5/15/29 (a) | | | 1,822 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,500,000 | | Toll Brothers Finance Corp., 3.80%, 11/01/29 | | $ | 1,601 | |
4,500,000 | | TransDigm Inc. 144A, 4.88%, 5/01/29 (a) | | | 4,438 | |
900,000 | | TransDigm Inc., 6.50%, 5/15/25 | | | 914 | |
250,000 | | TransDigm Inc. 144A, 8.00%, 12/15/25 (a) | | | 272 | |
1,500,000 | | TransDigm UK Holdings PLC, 6.88%, 5/15/26 | | | 1,582 | |
1,500,000 | | Tri Pointe Homes Inc., 5.25%,6/01/27 | | | 1,618 | |
2,650,000 | | TriMas Corp. 144A, 4.13%, 4/15/29 (a) | | | 2,647 | |
2,650,000 | | Trinseo Materials Operating SCA/Trinseo Materials Finance Inc. 144A, 5.13%,
4/01/29 (a) | | | 2,695 | |
2,000,000 | | Trivium Packaging Finance BV 144A, 8.50%, 8/15/27 (a) | | | 2,147 | |
3,500,000 | | Tronox Inc. 144A, 4.63%, 3/15/29 (a) | | | 3,579 | |
2,300,000 | | TTM Technologies Inc. 144A, 4.00%, 3/01/29 (a) | | | 2,306 | |
2,000,000 | | Univar Solutions USA Inc. 144A, 5.13%, 12/01/27 (a) | | | 2,092 | |
2,650,000 | | VM Consolidated Inc. 144A, 5.50%,
4/15/29 (a) | | | 2,698 | |
| | | | | 111,200 | |
Consumer Goods (7%) | | | | |
1,600,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 3/15/29 (a) | | | 1,538 | |
1,400,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 4.88%, 2/15/30 (a) | | | 1,459 | |
3,000,000 | | Coty Inc. 144A, 5.00%, 4/15/26 (a) | | | 3,039 | |
2,500,000 | | Dole Food Co. Inc. 144A, 7.25%, 6/15/25 (a) | | | 2,556 | |
1,476,000 | | KeHE Distributors LLC/KeHE Finance Corp. 144A, 8.63%, 10/15/26 (a)(g) | | | 1,653 | |
2,000,000 | | Kraft Heinz Foods Co., 3.88%, 5/15/27 | | | 2,180 | |
2,850,000 | | Kraft Heinz Foods Co., 5.00%, 7/15/35 | | | 3,334 | |
3,250,000 | | Kraft Heinz Foods Co., 5.00%, 6/04/42 | | | 3,759 | |
2,000,000 | | MDC Holdings Inc., 2.50%, 1/15/31 | | | 1,938 | |
750,000 | | Newell Brands Inc., 4.70%, 4/01/26 | | | 837 | |
500,000 | | Newell Brands Inc., 5.88%, 4/01/36 | | | 624 | |
1,800,000 | | Post Holdings Inc. 144A, 4.50%, 9/15/31 (a) | | | 1,789 | |
900,000 | | Post Holdings Inc. 144A, 4.63%, 4/15/30 (a) | | | 910 | |
1,750,000 | | Post Holdings Inc. 144A, 5.50%, 12/15/29 (a) | | | 1,886 | |
2,900,000 | | Primo Water Holdings Inc. 144A, 4.38%, 4/30/29 (a) | | | 2,897 | |
2,600,000 | | Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./Simmons Feed 144A, 4.63%, 3/01/29 (a) | | | 2,623 | |
2,600,000 | | Spectrum Brands Inc. 144A, 3.88%,
3/15/31 (a) | | | 2,551 | |
2,100,000 | | U.S. Foods Inc. 144A, 4.75%, 2/15/29 (a) | | | 2,121 | |
3,500,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (a) | | | 3,776 | |
1,750,000 | | WASH Multifamily Acquisition Inc. 144A, 5.75%, 4/15/26 (a) | | | 1,820 | |
2,000,000 | | WESCO Distribution Inc. 144A, 7.13%, 6/15/25 (a) | | | 2,163 | |
1,000,000 | | Winnebago Industries Inc. 144A, 6.25%, 7/15/28 (a) | | | 1,086 | |
| | | | | 46,539 | |
Energy (15%) | | | | |
2,300,000 | | Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A, 5.75%, 3/01/27 (a) | | | 2,329 | |
Semi-Annual Report 71
Payden High Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
1,000,000 | | Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A, 7.88%, 5/15/26 (a) | | $ | 1,091 | |
1,100,000 | | Antero Resources Corp. 144A, 4.25%, 9/01/26 (a)(g) | | | 2,520 | |
395,000 | | Antero Resources Corp. 144A, 7.63%, 2/01/29 (a) | | | 429 | |
1,000,000 | | Apache Corp., 5.10%, 9/01/40 | | | 1,028 | |
2,050,000 | | Athabasca Oil Corp. 144A, 9.88%, 2/24/22 (a) | | | 1,673 | |
1,000,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (a) | | | 937 | |
4,046,000 | | Baytex Energy Corp. 144A, 8.75%, 4/01/27 (a) | | | 3,748 | |
2,386,011 | | Bonanza Creek Energy Inc., 7.50%, 4/30/26 | | | 2,398 | |
1,580,000 | | California Resources Corp. 144A, 7.13%, 2/01/26 (a) | | | 1,621 | |
900,000 | | Callon Petroleum Co., 6.13%, 10/01/24 (g) | | | 836 | |
1,750,000 | | Callon Petroleum Co., 6.25%, 4/15/23 | | | 1,668 | |
1,000,000 | | Callon Petroleum Co., 6.38%, 7/01/26 (g) | | | 871 | |
2,000,000 | | Centennial Resource Production LLC, 3.25%, 4/01/28 (g) | | | 1,973 | |
1,500,000 | | Centennial Resource Production LLC 144A, 5.38%, 1/15/26 (a)(g) | | | 1,407 | |
1,500,000 | | Centennial Resource Production LLC 144A, 6.88%, 4/01/27 (a)(g) | | | 1,416 | |
2,000,000 | | CNX Midstream Partners LP/CNX Midstream Finance Corp. 144A, 6.50%, 3/15/26 (a) | | | 2,072 | |
825,000 | | CNX Resources Corp. 144A, 7.25%, 3/14/27 (a) | | | 892 | |
2,744,000 | | Crew Energy Inc., 6.50%, 3/14/24 CAD (d)(e) | | | 2,065 | |
3,100,000 | | CrownRock LP/CrownRock Finance Inc. 144A, 5.00%, 5/01/29 (a) | | | 3,178 | |
1,000,000 | | DCP Midstream Operating LP 144A, 6.75%, 9/15/37 (a) | | | 1,160 | |
500,000 | | EnLink Midstream Partners LP, 4.40%, 4/01/24 | | | 514 | |
1,000,000 | | Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 1/15/27 | | | 1,031 | |
2,100,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 2,163 | |
2,150,000 | | Great Western Petroleum LLC/Great Western Finance Corp.144A, 12.00%, 9/01/25 (a) | | | 1,870 | |
1,500,000 | | Holly Energy Partners LP/Holly Energy Finance Corp. 144A, 5.00%, 2/01/28 (a) | | | 1,552 | |
6,300,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 6,331 | |
2,600,000 | | Indigo Natural Resources LLC 144A, 5.38%, 2/01/29 (a) | | | 2,584 | |
1,750,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 1,805 | |
1,500,000 | | Northern Oil and Gas Inc. 144A, 8.13%, 3/01/28 (a) | | | 1,544 | |
3,100,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 3,201 | |
2,500,000 | | NuVista Energy Ltd., 6.50%, 3/02/23 CAD (e) | | | 2,003 | |
3,100,000 | | Oasis Midstream Partners LP/OMP Finance Corp. 144A, 8.00%,4/01/29 (a) | | | 3,177 | |
1,000,000 | | Occidental Petroleum Corp., 3.40%, 4/15/26 | | | 990 | |
1,000,000 | | Occidental Petroleum Corp., 4.20%, 3/15/48 | | | 844 | |
500,000 | | Occidental Petroleum Corp., 4.40%, 4/15/46 | | | 441 | |
1,500,000 | | Occidental Petroleum Corp., 4.63%, 6/15/45 | | | 1,362 | |
2,000,000 | | Occidental Petroleum Corp., 5.88%, 9/01/25 | | | 2,188 | |
2,000,000 | | Occidental Petroleum Corp., 7.88%, 9/15/31 | | | 2,436 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
500,000 | | Occidental Petroleum Corp., 8.50%, 7/15/27 | | $ | 609 | |
1,500,000 | | Oil States International Inc. 144A, 4.75%, 4/01/26 (a) | | | 1,372 | |
1,900,000 | | Parkland Corp. 144A, 4.50%, 10/01/29 (a) | | | 1,942 | |
1,500,000 | | Parkland Corp. 144A, 5.88%, 7/15/27 (a) | | | 1,599 | |
2,250,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 1,703 | |
1,500,000 | | PBF Holding Co. LLC/PBF Finance Corp. 144A, 9.25%, 5/15/25 (a) | | | 1,573 | |
2,500,000 | | Range Resources Corp., 9.25%, 2/01/26 | | | 2,748 | |
500,000 | | SM Energy Co., 5.63%, 6/01/25 | | | 478 | |
1,000,000 | | SM Energy Co., 6.75%, 9/15/26 | | | 969 | |
1,000,000 | | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28 | | | 1,061 | |
2,000,000 | | Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A, 4.00%, 1/15/32 (a) | | | 1,967 | |
2,000,000 | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.88%, 4/15/26 | | | 2,099 | |
1,750,000 | | Teine Energy Ltd. 144A, 6.88%, 4/15/29 (a) | | | 1,776 | |
1,500,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (a) | | | 1,564 | |
1,250,000 | | TerraForm Power Operating LLC 144A, 5.00%, 1/31/28 (a) | | | 1,343 | |
1,600,000 | | TransMontaigne Partners LP/TLP Finance Corp., 6.13%, 2/15/26 | | | 1,614 | |
1,200,000 | | Vermilion Energy Inc. 144A, 5.63%, 3/15/25 (a) | | | 1,147 | |
1,000,000 | | Western Midstream Operating LP, 4.65%, 7/01/26 | | | 1,072 | |
| | | | | 97,984 | |
Financial Services (5%) | | | | |
2,550,000 | | Ally Financial Inc., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.868%), 4.70%, 8/15/69 (b)(f) | | | 2,591 | |
3,100,000 | | Compass Group Diversified Holdings LLC 144A, 5.25%, 4/15/29 (a) | | | 3,274 | |
1,500,000 | | Enact Holdings Inc. 144A, 6.50%, 8/15/25 (a) | | | 1,631 | |
2,500,000 | | goeasy Ltd. 144A, 5.38%, 12/01/24 (a) | | | 2,594 | |
1,500,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A, 4.38%, 2/01/29 (a) | | | 1,457 | |
850,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26 | | | 897 | |
2,650,000 | | LPL Holdings Inc. 144A, 4.00%, 3/15/29 (a) | | | 2,653 | |
2,350,000 | | Midcap Financial Issuer Trust 144A, 6.50%, 5/01/28 (a) | | | 2,438 | |
2,000,000 | | Nationstar Mortgage Holdings Inc. 144A, 5.13%, 12/15/30 (a) | | | 1,982 | |
2,500,000 | | Navient Corp., 5.50%, 1/25/23 | | | 2,619 | |
1,000,000 | | Navient Corp., 5.88%, 10/25/24 | | | 1,054 | |
1,172,000 | | Navient Corp., 7.25%, 9/25/23 | | | 1,276 | |
1,000,000 | | OneMain Finance Corp., 4.00%, 9/15/30 | | | 969 | |
1,000,000 | | OneMain Finance Corp., 5.38%, 11/15/29 | | | 1,080 | |
350,000 | | OneMain Finance Corp., 6.63%, 1/15/28 | | | 399 | |
2,000,000 | | OneMain Finance Corp., 6.88%, 3/15/25 | | | 2,275 | |
450,000 | | OneMain Finance Corp., 8.88%, 6/01/25 | | | 499 | |
1,050,000 | | PennyMac Financial Services Inc. 144A, 4.25%, 2/15/29 (a) | | | 1,007 | |
1,500,000 | | PRA Group Inc. 144A, 7.38%, 9/01/25 (a) | | | 1,610 | |
72 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
2,700,000 | | SLM Corp., 5.13%, 4/05/22 | | $ | 2,769 | |
| | | | | 35,074 | |
Healthcare (9%) | | | | |
1,350,000 | | Bausch Health Americas Inc. 144A, 9.25%, 4/01/26 (a) | | | 1,498 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 5.00%, 1/30/28 (a) | | | 1,016 | |
2,000,000 | | Bausch Health Cos. Inc. 144A, 5.00%, 2/15/29 (a) | | | 2,006 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 7.00%, 1/15/28 (a) | | | 1,089 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 9.00%, 12/15/25 (a) | | | 1,086 | |
950,000 | | Catalent Pharma Solutions Inc. 144A, 5.00%, 7/15/27 (a) | | | 996 | |
1,500,000 | | Centene Corp., 4.25%, 12/15/27 | | | 1,574 | |
2,000,000 | | Centene Corp., 4.63%, 12/15/29 | | | 2,168 | |
660,000 | | Centene Corp. 144A, 5.38%, 6/01/26 (a) | | | 688 | |
1,500,000 | | Centene Corp. 144A, 5.38%, 8/15/26 (a) | | | 1,575 | |
2,200,000 | | Charles River Laboratories International Inc. 144A, 3.75%, 3/15/29 (a) | | | 2,241 | |
950,000 | | CHS/Community Health Systems Inc. 144A, 6.63%, 2/15/25 (a) | | | 1,003 | |
500,000 | | CHS/Community Health Systems Inc. 144A, 8.00%, 12/15/27 (a) | | | 551 | |
2,500,000 | | DaVita Inc. 144A, 3.75%, 2/15/31 (a) | | | 2,378 | |
900,000 | | DaVita Inc. 144A, 4.63%, 6/01/30 (a) | | | 912 | |
2,650,000 | | Edgewell Personal Care Co. 144A, 4.13%, 4/01/29 (a) | | | 2,649 | |
1,500,000 | | Encompass Health Corp., 4.75%, 2/01/30 | | | 1,577 | |
1,100,000 | | HCA Inc., 3.50%, 9/01/30 | | | 1,131 | |
1,000,000 | | HCA Inc., 5.63%, 9/01/28 | | | 1,168 | |
860,000 | | HCA Inc., 5.88%, 2/01/29 | | | 1,016 | |
1,500,000 | | HCA Inc., 7.69%, 6/15/25 | | | 1,794 | |
2,000,000 | | Molina Healthcare Inc. 144A, 3.88%, 11/15/30 (a) | | | 2,063 | |
2,500,000 | | Organon Finance 1 LLC 144A, 5.13%, 4/30/31 (a) | | | 2,597 | |
2,475,000 | | Prestige Brands Inc. 144A, 3.75%, 4/01/31 (a) | | | 2,379 | |
1,750,000 | | Prime Healthcare Services Inc. 144A, 7.25%, 11/01/25 (a) | | | 1,885 | |
1,900,000 | | Radiology Partners Inc. 144A, 9.25%, 2/01/28 (a) | | | 2,091 | |
1,000,000 | | RP Escrow Issuer LLC 144A, 5.25%, 12/15/25 (a) | | | 1,042 | |
2,500,000 | | Select Medical Corp. 144A, 6.25%, 8/15/26 (a) | | | 2,661 | |
2,500,000 | | Syneos Health Inc. 144A, 3.63%, 1/15/29 (a) | | | 2,447 | |
750,000 | | Tenet Healthcare Corp. 144A, 4.63%, 6/15/28 (a) | | | 776 | |
1,800,000 | | Tenet Healthcare Corp. 144A, 4.88%, 1/01/26 (a) | | | 1,873 | |
1,000,000 | | Tenet Healthcare Corp.144A, 6.13%, 10/01/28 (a) | | | 1,057 | |
2,000,000 | | Tenet Healthcare Corp., 6.75%, 6/15/23 | | | 2,187 | |
500,000 | | Tenet Healthcare Corp. 144A, 7.50%, 4/01/25 (a) | | | 539 | |
1,000,000 | | Teva Pharmaceutical Finance Netherlands II BV, 1.13%, 10/15/24 EUR (d)(e) | | | 1,136 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
1,500,000 | | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | | $ | 1,410 | |
| | | | | 56,259 | |
Insurance (1%) | | | | |
1,750,000 | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 144A, 6.75%, 10/15/27 (a) | | | 1,841 | |
1,450,000 | | Assurant Inc., (3 mo. LIBOR USD + 4.135%), 7.00%, 3/27/48 (b) | | | 1,642 | |
1,750,000 | | BroadStreet Partners Inc. 144A, 5.88%, 4/15/29 (a) | | | 1,779 | |
2,050,000 | | HUB International Ltd. 144A, 7.00%, 5/01/26 (a) | | | 2,127 | |
2,000,000 | | NMI Holdings Inc. 144A, 7.38%, 6/01/25 (a) | | | 2,303 | |
| | | | | 9,692 | |
Leisure (4%) | | | | |
2,000,000 | | Caesars Entertainment Inc. 144A, 6.25%, 7/01/25 (a) | | | 2,129 | |
250,000 | | Caesars Resort Collection LLC/CRC Finco Inc. 144A, 5.75%, 7/01/25 (a) | | | 264 | |
1,000,000 | | Carnival Corp.144A, 5.75%, 3/01/27 (a) | | | 1,056 | |
1,000,000 | | Carnival Corp. 144A, 7.63%, 3/01/26 (a) | | | 1,096 | |
1,400,000 | | Carnival Corp. 144A, 11.50%, 4/01/23 (a) | | | 1,611 | |
1,500,000 | | Churchill Downs Inc. 144A, 4.75%, 1/15/28 (a) | | | 1,543 | |
1,750,000 | | Full House Resorts Inc. 144A, 8.25%, 2/15/28 (a) | | | 1,887 | |
1,800,000 | | Hilton Domestic Operating Co. Inc. 144A, 5.75%, 5/01/28 (a) | | | 1,939 | |
1,050,000 | | International Game Technology PLC 144A, 4.13%, 4/15/26 (a) | | | 1,083 | |
3,500,000 | | IRB Holding Corp. 144A, 6.75%, 2/15/26 (a) | | | 3,630 | |
1,000,000 | | MGM Resorts International, 4.75%, 10/15/28 | | | 1,056 | |
550,000 | | MGM Resorts International, 6.75%, 5/01/25 | | | 591 | |
1,300,000 | | NCL Corp. Ltd. 144A, 5.88%, 3/15/26 (a) | | | 1,361 | |
500,000 | | Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | | | 514 | |
900,000 | | Royal Caribbean Cruises Ltd. 144A, 5.50%, 4/01/28 (a) | | | 945 | |
1,000,000 | | Royal Caribbean Cruises Ltd. 144A, 11.50%,6/01/25 (a) | | | 1,160 | |
1,000,000 | | Travel + Leisure Co., 6.00%, 4/01/27 | | | 1,121 | |
1,000,000 | | Travel + Leisure Co. 144A, 6.63%, 7/31/26 (a) | | | 1,148 | |
1,000,000 | | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 144A, 5.50%, 3/01/25 (a) | | | 1,069 | |
| | | | | 25,203 | |
Media (7%) | | | | |
1,000,000 | | Altice Financing SA 144A, 5.00%, 1/15/28 (a) | | | 988 | |
2,000,000 | | AMC Networks Inc., 4.25%, 2/15/29 | | | 1,977 | |
750,000 | | CCO Holdings LLC/CCO HoldingsCapital Corp. 144A, 4.00%, 3/01/23 (a) | | | 759 | |
500,000 | | CCO Holdings LLC/CCO HoldingsCapital Corp. 144A, 4.25%, 2/01/31 (a) | | | 501 | |
1,500,000 | | CCO Holdings LLC/CCO HoldingsCapital Corp. 144A, 4.50%, 8/15/30 (a) | | | 1,528 | |
1,000,000 | | CCO Holdings LLC/CCO HoldingsCapital Corp. 144A, 4.50%, 5/01/32 (a) | | | 1,011 | |
1,600,000 | | CCO Holdings LLC/CCO HoldingsCapital Corp. 144A, 4.75%, 3/01/30 (a) | | | 1,672 | |
Semi-Annual Report 73
Payden High Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
2,550,000 | | CCO Holdings LLC/CCO HoldingsCapital Corp. 144A, 5.38%, 6/01/29 (a) | | $ | 2,772 | |
2,000,000 | | CSC Holdings LLC 144A, 4.13%, 12/01/30 (a) | | | 1,992 | |
1,000,000 | | CSC Holdings LLC 144A, 4.63%, 12/01/30 (a) | | | 979 | |
500,000 | | CSC Holdings LLC 144A, 6.50%, 2/01/29 (a) | | | 553 | |
1,300,000 | | Diamond Sports Group LLC/Diamond Sports Finance Co. 144A, 5.38%, 8/15/26 (a) | | | 951 | |
1,000,000 | | DISH DBS Corp., 7.38%, 7/01/28 | | | 1,081 | |
1,500,000 | | DISH DBS Corp., 7.75%, 7/01/26 | | | 1,731 | |
1,750,000 | | Endure Digital Inc. 144A, 6.00%, 2/15/29 (a) | | | 1,680 | |
2,500,000 | | Gray Television Inc. 144A, 4.75%, 10/15/30 (a) | | | 2,503 | |
2,500,000 | | Lamar Media Corp., 4.88%, 1/15/29 | | | 2,637 | |
1,750,000 | | LCPR Senior Secured Financing DAC 144A, 5.13%, 7/15/29 (a) | | | 1,798 | |
1,500,000 | | Match Group Holdings II LLC 144A, 4.63%, 6/01/28 (a) | | | 1,551 | |
750,000 | | Netflix Inc. 144A, 4.88%, 6/15/30 (a) | | | 871 | |
1,000,000 | | Netflix Inc. 144A, 5.38%, 11/15/29 (a) | | | 1,189 | |
2,000,000 | | Nexstar Broadcasting Inc. 144A, 4.75%, 11/01/28 (a) | | | 2,040 | |
2,000,000 | | Nielsen Finance LLC/Nielsen Finance Co. 144A, 5.63%, 10/01/28 (a) | | | 2,135 | |
1,000,000 | | Scripps Escrow Inc. 144A, 5.88%, 7/15/27 (a) | | | 1,054 | |
1,000,000 | | Sinclair Television Group Inc. 144A, 4.13%, 12/01/30 (a) | | | 976 | |
2,000,000 | | Sinclair Television Group Inc. 144A, 5.50%, 3/01/30 (a) | | | 1,992 | |
2,500,000 | | Sirius XM Radio Inc. 144A, 5.00%, 8/01/27 (a) | | | 2,621 | |
1,500,000 | | Virgin Media Secured Finance PLC 144A, 5.50%, 5/15/29 (a) | | | 1,606 | |
2,500,000 | | WMG Acquisition Corp. 144A, 3.00%, 2/15/31 (a) | | | 2,353 | |
| | | | | 45,501 | |
Real Estate (3%) | | | | |
1,180,000 | | Diversified Healthcare Trust, 4.75%, 2/15/28 | | | 1,183 | |
1,000,000 | | EPR Properties, 4.75%, 12/15/26 | | | 1,052 | |
1,450,000 | | Iron Mountain Inc. 144A, 4.88%, 9/15/29 (a) | | | 1,480 | |
1,500,000 | | Iron Mountain Inc. 144A, 5.25%, 3/15/28 (a) | | | 1,575 | |
1,000,000 | | iStar Inc., 4.75%, 10/01/24 | | | 1,044 | |
2,500,000 | | Kennedy-Wilson Inc., 4.75%, 3/01/29 | | | 2,588 | |
1,000,000 | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc., 5.75%, 2/01/27 | | | 1,117 | |
1,500,000 | | MPT Operating Partnership LP/MPT Finance Corp., 4.63%, 8/01/29 | | | 1,590 | |
2,000,000 | | SBA Communications Corp., 3.88%, 2/15/27 | | | 2,049 | |
1,000,000 | | Service Properties Trust, 7.50%, 9/15/25 | | | 1,134 | |
900,000 | | Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC 144A, 4.75%, 4/15/28 (a) | | | 898 | |
1,300,000 | | Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC 144A, 6.50%, 2/15/29 (a) | | | 1,294 | |
1,200,000 | | VICI Properties LP/VICI Note Co. Inc. 144A, 4.13%, 8/15/30 (a) | | | 1,220 | |
| | | | | 18,224 | |
Retail (4%) | | | | |
1,500,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 4.00%, 10/15/30 (a) | | | 1,464 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
1,750,000 | | Bloomin’ Brands Inc./OSI Restaurant Partners LLC 144A, 5.13%, 4/15/29 (a) | | $ | 1,796 | |
1,800,000 | | Dealer Tire LLC/DT Issuer LLC 144A, 8.00%, 2/01/28 (a) | | | 1,907 | |
2,000,000 | | FirstCash Inc. 144A, 4.63%, 9/01/28 (a) | | | 2,058 | |
1,500,000 | | Group 1 Automotive Inc. 144A, 4.00%, 8/15/28 (a) | | | 1,500 | |
1,000,000 | | L Brands Inc. 144A, 6.63%, 10/01/30 (a) | | | 1,154 | |
500,000 | | L Brands Inc.,6.88%, 11/01/35 | | | 607 | |
650,000 | | L Brands Inc., 7.50%,6/15/29 | | | 755 | |
700,000 | | Lithia Motors Inc. 144A, 4.63%, 12/15/27 (a) | | | 736 | |
1,500,000 | | Lithia Motors Inc. 144A, 5.25%, 8/01/25 (a) | | | 1,554 | |
1,300,000 | | Macy’s Retail Holdings LLC 144A, 5.88%, 4/01/29 (a)(g) | | | 1,336 | |
1,000,000 | | Nordstrom Inc., 4.38%, 4/01/30 (g) | | | 1,027 | |
1,000,000 | | Penske Automotive Group Inc., 5.50%, 5/15/26 | | | 1,034 | |
1,000,000 | | QVC Inc., 4.38%, 9/01/28 | | | 1,025 | |
2,333,000 | | Sonic Automotive Inc., 6.13%, 3/15/27 | | | 2,436 | |
1,200,000 | | Yum! Brands Inc., 3.63%, 3/15/31 | | | 1,186 | |
2,000,000 | | Yum! Brands Inc., 6.88%, 11/15/37 | | | 2,438 | |
875,000 | | Yum! Brands Inc. 144A, 7.75%, 4/01/25 (a) | | | 957 | |
| | | | | 24,970 | |
Service (3%) | | | | |
3,100,000 | | Adtalem Global Education Inc. 144A, 5.50%, 3/01/28 (a) | | | 3,112 | |
500,000 | | Aramark Services Inc., 4.75%, 6/01/26 | | | 513 | |
800,000 | | Aramark Services Inc. 144A, 5.00%, 2/01/28 (a) | | | 838 | |
1,000,000 | | Avis Budget Car Rental LLC/Avis Budget Finance Inc. 144A, 5.75%, 7/15/27 (a)(g) | | | 1,060 | |
900,000 | | Carriage Services Inc. 144A, 4.25%, 5/15/29 (a) | | | 897 | |
1,250,000 | | Cimpress PLC 144A, 7.00%, 6/15/26 (a) | | | 1,318 | |
1,000,000 | | Covanta Holding Corp., 5.00%, 9/01/30 | | | 1,028 | |
1,000,000 | | Covanta Holding Corp., 5.88%, 7/01/25 | | | 1,046 | |
1,000,000 | | Covanta Holding Corp., 6.00%, 1/01/27 | | | 1,049 | |
1,000,000 | | Gartner Inc. 144A, 3.75%, 10/01/30 (a) | | | 1,004 | |
1,000,000 | | Gartner Inc. 144A, 4.50%, 7/01/28 (a) | | | 1,053 | |
2,000,000 | | Prime Security Services Borrower LLC/Prime Finance Inc. 144A, 3.38%, 8/31/27 (a) | | | 1,935 | |
1,250,000 | | United Rentals North America Inc., 4.88%, 1/15/28 | | | 1,325 | |
2,000,000 | | United Rentals North America Inc., 5.88%, 9/15/26 | | | 2,090 | |
| | | | | 18,268 | |
Technology (3%) | | | | |
1,500,000 | | ACI Worldwide Inc. 144A, 5.75%, 8/15/26 (a) | | | 1,582 | |
1,750,000 | | Ahead DB Holdings LLC 144A, 6.63%, 5/01/28 (a) | | | 1,783 | |
2,000,000 | | ams AG 144A, 7.00%, 7/31/25 (a) | | | 2,135 | |
1,000,000 | | Booz Allen Hamilton Inc. 144A, 3.88%, 9/01/28 (a) | | | 1,000 | |
950,000 | | Castle U.S. Holding Corp. 144A, 9.50%, 2/15/28 (a) | | | 980 | |
1,500,000 | | CDK Global Inc. 144A, 5.25%, 5/15/29 (a) | | | 1,611 | |
1,000,000 | | CDW LLC/CDW Finance Corp., 3.25%, 2/15/29 | | | 992 | |
500,000 | | Dell International LLC/EMC Corp. 144A, 8.35%, 7/15/46 (a) | | | 785 | |
900,000 | | NCR Corp. 144A, 5.13%, 4/15/29 (a) | | | 927 | |
74 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,500,000 | | NCR Corp. 144A, 5.25%, 10/01/30 (a) | | $ | 1,554 | |
500,000 | | PTC Inc. 144A, 4.00%, 2/15/28 (a) | | | 514 | |
1,800,000 | | Science Applications International Corp. 144A, 4.88%, 4/01/28 (a) | | | 1,862 | |
1,200,000 | | Seagate HDD Cayman 144A, 3.38%, 7/15/31 (a) | | | 1,157 | |
2,080,000 | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 144A, 3.88%, 2/01/29 (a) | | | 2,057 | |
| | | | | 18,939 | |
Telecommunications (5%) | | | | |
2,000,000 | | Advantage Sales & Marketing Inc. 144A, 6.50%, 11/15/28 (a) | | | 2,120 | |
2,650,000 | | Altice France SA 144A, 5.13%, 7/15/29 (a) | | | 2,657 | |
1,000,000 | | Altice France SA, 5.88%, 2/01/27
EUR (d)(e) | | | 1,283 | |
2,500,000 | | Altice France SA 144A, 7.38%, 5/01/26 (a) | | | 2,595 | |
1,000,000 | | Altice France SA 144A, 8.13%, 2/01/27 (a) | | | 1,098 | |
3,100,000 | | Consolidated Communications Inc. 144A, 5.00%, 10/01/28 (a) | | | 3,150 | |
1,000,000 | | Frontier Communications Corp. 144A, 5.88%, 10/15/27 (a) | | | 1,064 | |
1,000,000 | | Frontier Communications Corp. 144A, 6.75%, 5/01/29 (a) | | | 1,055 | |
2,000,000 | | Level 3 Financing Inc. 144A, 4.25%, 7/01/28 (a) | | | 2,018 | |
1,000,000 | | Lumen Technologies Inc., 5.63%, 4/01/25 | | | 1,080 | |
2,160,000 | | Lumen Technologies Inc., 5.80%, 3/15/22 | | | 2,231 | |
1,000,000 | | Lumen Technologies Inc., 6.88%, 1/15/28 | | | 1,129 | |
1,000,000 | | Lumen Technologies Inc., 7.60%, 9/15/39 | | | 1,149 | |
1,000,000 | | Sprint Corp., 7.13%, 6/15/24 | | | 1,156 | |
3,500,000 | | Sprint Corp., 7.63%, 3/01/26 | | | 4,296 | |
2,200,000 | | Telecom Italia Capital SA, 6.38%, 11/15/33 | | | 2,592 | |
1,000,000 | | Vmed O2 UK Financing I PLC 144A, 4.25%, 1/31/31 (a) | | | 969 | |
| | | | | 31,642 | |
Transportation (1%) | | | | |
1,000,000 | | American Airlines Inc. 144A, 11.75%, 7/15/25 (a) | | | 1,254 | |
2,000,000 | | Delta Air Lines Inc./SkyMiles IP Ltd. 144A, 4.75%, 10/20/28 (a) | | | 2,198 | |
2,000,000 | | Fortress Transportation and Infrastructure Investors LLC 144A, 6.50%, 10/01/25 (a) | | | 2,082 | |
1,000,000 | | Fortress Transportation and Infrastructure Investors LLC 144A, 9.75%, 8/01/27 (a) | | | 1,156 | |
946,320 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (a) | | | 1,005 | |
1,025,000 | | United Airlines Holdings Inc., 5.00%, 2/01/24 (g) | | | 1,056 | |
| | | | | 8,751 | |
Utility (3%) | | | | |
500,000 | | Calpine Corp. 144A, 4.50%, 2/15/28 (a) | | | 506 | |
1,000,000 | | Calpine Corp. 144A, 4.63%, 2/01/29 (a) | | | 987 | |
1,000,000 | | Calpine Corp. 144A, 5.13%, 3/15/28 (a) | | | 1,017 | |
771,000 | | Calpine Corp.144A, 5.25%, 6/01/26 (a) | | | 793 | |
2,000,000 | | DPL Inc., 4.35%, 4/15/29 | | | 2,172 | |
2,000,000 | | FirstEnergy Corp., 4.40%, 7/15/27 | | | 2,192 | |
1,500,000 | | FirstEnergy Corp., 7.38%, 11/15/31 | | | 2,032 | |
1,500,000 | | NextEra Energy Operating Partners LP 144A, 3.88%, 10/15/26 (a) | | | 1,572 | |
2,500,000 | | NRG Energy Inc. 144A, 3.38%, 2/15/29 (a) | | | 2,453 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,000,000 | | Pattern Energy Operations LP/Pattern Energy Operations Inc. 144A, 4.50%, 8/15/28 (a) | | $ | 1,015 | |
1,000,000 | | PG&E Corp., 5.00%, 7/01/28 | | | 1,049 | |
1,000,000 | | Talen Energy Supply LLC 144A, 6.63%, 1/15/28 (a) | | | 1,008 | |
1,000,000 | | Vistra Operations Co. LLC 144A, 5.00%, 7/31/27 (a) | | | 1,037 | |
1,250,000 | | Vistra Operations Co. LLC 144A, 5.50%, 9/01/26 (a) | | | 1,293 | |
| | | | | 19,126 | |
Total Corporate Bond (Cost - $568,695) | | | 595,053 | |
Mortgage Backed (3%) | | | | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.36%, 11/25/39 (a)(b) | | | 4,268 | |
1,983,732 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%), 10.36%, 1/25/29 (b) | | | 2,337 | |
1,987,603 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%), 12.36%, 9/25/28 (b) | | | 2,480 | |
1,700,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 4.800%), 4.91%, 2/25/50 (a)(b) | | | 1,599 | |
1,200,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.500%), 9.61%, 2/25/49 (a)(b) | | | 1,194 | |
900,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 4.71%, 12/25/42 (b) | | | 923 | |
1,733,186 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.36%, 10/25/29 (b) | | | 1,919 | |
1,838,734 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 11.86%,
5/25/43 (a)(b) | | | 2,105 | |
1,550,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.61%,
2/25/47 (a)(b) | | | 1,764 | |
Total Mortgage Backed (Cost - $17,055) | | | 18,589 | |
Stocks (1%) | | | | |
Common Stock (1%) | | | | |
130,000 | | ARC Resources Ltd. | | | 818 | |
10,000 | | Canadian Natural Resources Ltd. | | | 304 | |
12,500 | | Cimarex Energy Co. | | | 827 | |
29,000 | | Continental Resources Inc. | | | 790 | |
36,000 | | Devon Energy Corp. | | | 842 | |
74,000 | | Marathon Oil Corp. | | | 833 | |
160,000 | | MEG Energy Corp.(h) | | | 884 | |
32,000 | | Occidental Petroleum Corp. | | | 811 | |
23,000 | | PDC Energy Inc. (h) | | | 840 | |
Total Stocks (Cost - $6,494) | | | 6,949 | |
Semi-Annual Report 75
Payden High Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Investment Company (3%) | | | | |
23,747,495 | | Payden Cash Reserves Money Market Fund * (Cost - $23,747) | | $ | 23,747 | |
Total Investments (Cost - $641,381) (102%) | | | 670,587 | |
Liabilities in excess of Other Assets (-2%) | | | (14,332 | ) |
| |
Net Assets (100%) | | $ | 656,255 | |
| (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, 2021. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (d) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (e) | Principal in foreign currency. |
| (f) | Perpetual security with no stated maturity date. |
| (g) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $7,867 and the total market value of the collateral held by the Fund is $8,254. Amounts in 000s. |
| (h) | Non-income producing security. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | |
Currency
Purchased
(000s) | | | | Currency Sold (000s) | | Counterparty | | Settlement
Date | | Unrealized
(Depreciation)
(000s) |
Liabilities: | | | | | | | | | | | | | | | | | | | |
USD 5,562 | | | | EUR 4,662 | | | | Citibank, N.A. | | | | | 06/22/2021 | | | | $ | (49 | ) |
USD 5,894 | | | | CAD 7,367 | | | | HSBC Bank USA, N.A. | | | | | 06/22/2021 | | | | | (101 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | (150 | ) |
| | | | | | | | | | | | | | | | | | | |
Net Unrealized (Depreciation) | | | | | | | | | | | | | | | $ | (150 | ) |
| | | | | | | | | | | | | | | | | | | |
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 (0.558%) (1-Month EURIBOR) Monthly | | | 10/29/2023 | | | | EUR 2,343 | | | $ | (65 | ) | | $ | — | | | $ | (65 | ) |
| 4-Year Interest Rate Swap, Receive Fixed 3.013% Semi-Annually,Pay Variable 0.11025% (1-Month USD LIBOR) Monthly | | | 10/29/2023 | | | | USD 14,240 | | | | 1,177 | | | | — | | | | 1,177 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 1,112 | | | $ | — | | | $ | 1,112 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 7,867 | |
| Non-cash Collateral2 | | | (7,867 | ) |
| | | | |
| 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, 2021, 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 California Municipal Social Impact Fund
The Fund seeks income that is exempt from federal and California state income tax and isconsistent with preservation of capital by generally investing in investment grade California municipal securities with an average portfolio maturity offive to ten years.
| | |
| Portfolio Composition - percent of investments | | |
General Obligation | | 48% |
Healthcare | | 12% |
Transportation | | 9% |
U.S. Treasury | | 7% |
Other | | 24% |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Corporate Bond (2%) | | | | |
500,000 | | Century Housing Corp., 4.00%, 11/01/21 | | $ | 502 | |
500,000 | | Conservation Fund A Nonprofit Corp., 3.47%, 12/15/29 | | | 524 | |
500,000 | | Low Income Investment Fund, 3.71%, 7/01/29 | | | 533 | |
Total Corporate Bond (Cost - $1,500) | | | 1,559 | |
General Obligation (48%) | | | | |
645,000 | | Abag Finance Authority for Nonprofit Corps, 5.00%, 9/02/26 | | | 742 | |
455,000 | | Abag Finance Authority for Nonprofit Corps, 5.00%, 9/02/28 AGM (a) | | | 570 | |
100,000 | | Alameda Community Improvement Commission Successor Agency, 5.00%, 9/01/28 BAM (a) | | | 115 | |
250,000 | | Alameda Community Improvement Commission Successor Agency, 5.00%, 9/01/32 BAM (a) | | | 287 | |
1,000,000 | | Apple Valley Public Financing Authority, 4.00%, 6/01/35 BAM (a) | | | 1,208 | |
500,000 | | Beverly Hills Public Financing Authority, 1.15%,6/01/26 | | | 500 | |
200,000 | | Brea Community Benefit Financing Authority, 5.00%, 7/01/29 | | | 230 | |
300,000 | | Brentwood Infrastructure Financing Authority, 4.00%, 10/01/36 | | | 359 | |
500,000 | | Burbank Unified School District, 1.81%, 8/01/28 | | | 501 | |
325,000 | | California Earthquake Authority, 1.33%, 7/01/22 | | | 329 | |
250,000 | | California Infrastructure & Economic Development Bank, 0.46%, 8/01/47 (b) | | | 250 | |
410,000 | | California Infrastructure & Economic Development Bank, 5.00%, 8/01/34 | | | 521 | |
500,000 | | California Infrastructure & Economic Development Bank, 5.00%, 8/01/44 | | | 625 | |
1,000,000 | | California Pollution Control Financing Authority 144A, 5.00%, 7/01/39 (c) | | | 1,210 | |
1,000,000 | | California State Public Works Board, 5.00%, 8/01/31 | | | 1,291 | |
385,000 | | California State Public Works Board, 5.25%, 10/01/33 | | | 447 | |
300,000 | | City & County of San Francisco CA Community Facilities District No 2014-1, 3.11%, 9/01/24 | | | 321 | |
260,000 | | City of Irvine CA, 5.00%, 9/02/22 | | | 277 | |
280,000 | | Coronado Community Development Agency Successor Agency, 5.00%, 9/01/33 | | | 325 | |
1,000,000 | | County of Santa Barbara CA, AMT, 5.00%, 12/01/36 | | | 1,228 | |
500,000 | | Elsinore Valley Municipal Water District, 0.04%, 7/01/35 | | | 500 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
500,000 | | Fresno Unified School District, 1.48%, 8/01/27 (d) | | $ | 456 | |
400,000 | | Inglewood Joint Powers Authority, 2.75%, 8/01/21 BAM (a) | | | 402 | |
460,000 | | Kern Community College District, 2.65%, 11/01/27 | | | 491 | |
500,000 | | Lancaster Redevelopment Agency Successor Agency, 5.00%, 8/01/30 AGM (a) | | | 608 | |
350,000 | | Los Angeles County Redevelopment Authority, 5.25%, 12/01/26 AGM (a) | | | 406 | |
300,000 | | Miracosta Community College District, 4.00%, 8/01/34 | | | 372 | |
250,000 | | Municipal Improvement Corp. of Los Angeles, 1.34%, 11/01/26 | | | 250 | |
100,000 | | Municipal Improvement Corp. of Los Angeles, 5.00%, 5/01/30 | | | 114 | |
500,000 | | Municipal Improvement Corp.of Los Angeles, 5.00%, 11/01/31 | | | 617 | |
500,000 | | Municipal Improvement Corp.of Los Angeles, 5.00%, 11/01/38 | | | 571 | |
500,000 | | NapaValley Community College District, 4.00%, 8/01/23 | | | 543 | |
1,000,000 | | Nuveen, CA Free Quality Municipal Income Fund, AMT 144A, 0.41%, 10/01/47 (c) | | | 1,000 | |
100,000 | | Peralta Community College District, 5.00%, 8/01/22 | | | 106 | |
300,000 | | Sacramento Suburban Water District, 0.05%, 11/01/34 | | | 300 | |
500,000 | | San Bernardino City Unified School District, 1.98%, 8/01/28 AGM (a) | | | 505 | |
900,000 | | San Diego Association of Governments, 5.00%, 11/15/26 | | | 1,068 | |
500,000 | | San Diego County Regional Transportation Commission, 5.00%, 10/01/22 | | | 535 | |
350,000 | | San DiegoPublic Facilities Financing Authority, 5.00%, 10/15/30 | | | 420 | |
340,000 | | San Diego Public Facilities Financing Authority, 5.00%, 10/15/31 | | | 407 | |
550,000 | | San DiegoPublic Facilities Financing Authority, 5.00%, 10/15/32 | | | 658 | |
500,000 | | San Francisco Unified School District, 4.00%, 6/15/35 | | | 591 | |
750,000 | | San Marcos Redevelopment Agency Successor Agency, 3.25%, 10/01/29 | | | 800 | |
Semi-Annual Report 77
Payden California Municipal Social Impact Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
250,000 | | San Mateo Joint Powers Financing Authority, 5.00%, 6/15/30 | | $ | 286 | |
815,000 | | Santa Monica Public Financing Authority, 4.00%, 7/01/38 | | | 947 | |
200,000 | | Simi Valley Public Financing Authority, 5.00%, 10/01/29 | | | 232 | |
550,000 | | South Orange County Public Financing Authority, 5.00%, 4/01/34 | | | 668 | |
400,000 | | State of California, 0.05%, 5/01/40 | | | 400 | |
1,000,000 | | State of California, 4.00%, 11/01/35 | | | 1,230 | |
600,000 | | State of California, 4.99%, 4/01/39 | | | 642 | |
1,000,000 | | State of California, 5.00%, 4/01/30 | | | 1,342 | |
550,000 | | State of California, 6.51%, 4/01/39 | | | 564 | |
300,000 | | Stockton Public Financing Authority, 1.40%, 6/01/22 | | | 300 | |
1,000,000 | | Sunnyvale Financing Authority, 4.00%, 4/01/34 | | | 1,227 | |
800,000 | | Temecula Redevelopment Agency Successor Agency, 5.00%, 12/15/37
AGM (a) | | | 962 | |
1,640,000 | | Town of Hillsborough CA, 0.12%, 6/01/35 | | | 1,640 | |
350,000 | | Union City Community Redevelopment Agency, 5.00%, 10/01/35 | | | 415 | |
225,000 | | West Hollywood Public Financing Authority, 4.00%, 4/01/34 | | | 276 | |
| |
Total General Obligation (Cost - $32,602) | | | 34,187 | |
| |
Revenue (43%) | | | | |
| |
Airport/Port (4%) | | | | |
500,000 | | City of Los Angeles Department of Airports, AMT, 5.00%, 5/15/24 | | | 569 | |
250,000 | | City of Los Angeles Department of Airports, AMT, 5.00%, 5/15/26 | | | 302 | |
500,000 | | City of Los Angeles Department of Airports, AMT, 5.00%, 5/15/36 | | | 628 | |
400,000 | | City of Palm Springs CA Airport Revenue, AMT, 5.00%, 6/01/26 BAM (a) | | | 467 | |
750,000 | | San Diego County Regional Airport Authority, AMT, 5.00%, 7/01/39 | | | 927 | |
| | | | | 2,893 | |
| |
Education (2%) | | | | |
120,000 | | California School Finance Authority 144A, 4.00%, 7/01/22 (c) | | | 125 | |
1,000,000 | | California School Finance Authority 144A, 5.00%, 8/01/38 (c) | | | 1,182 | |
250,000 | | Oxnard School District, 2.00%, 8/01/45 BAM (a) | | | 286 | |
| | | | | 1,593 | |
| |
Electric & Gas (1%) | | | | |
900,000 | | City of Riverside CA Electric Revenue, 0.04%, 10/01/29 | | | 900 | |
| |
Healthcare (12%) | | | | |
850,000 | | Abag Finance Authority for Nonprofit Corps, 0.05%, 8/01/35 | | | 850 | |
750,000 | | California Health Facilities Financing Authority, 3.57%, 11/01/36 | | | 802 | |
200,000 | | California Health Facilities Financing Authority, 4.00%, 8/15/34 | | | 226 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
750,000 | | California Health Facilities Financing Authority, 4.00%, 4/01/36 | | $ | 889 | |
710,000 | | California Health Facilities Financing Authority, 5.00%, 11/15/27 | | | 764 | |
500,000 | | California Health Facilities Financing Authority, 5.00%, 2/01/31 | | | 617 | |
350,000 | | California Health Facilities Financing Authority, 5.00%, 8/15/32 | | | 422 | |
800,000 | | California Health Facilities Financing Authority, 5.00%, 11/01/34 | | | 1,033 | |
1,000,000 | | California Health Facilities Financing Authority, 5.00%, 11/15/49 | | | 1,200 | |
650,000 | | California Municipal Finance Authority, 5.00%, 1/01/33 | | | 790 | |
325,000 | | California Municipal Finance Authority, 5.00%, 5/15/37 | | | 381 | |
500,000 | | California Municipal Finance Authority, 5.00%, 7/01/39 | | | 615 | |
| | | | | 8,589 | |
| |
Housing (5%) | | | | |
750,000 | | Abag Finance Authority for Nonprofit Corps, 0.05%, 12/15/37 | | | 750 | |
400,000 | | City & County of San Francisco CA, 0.06%, 7/01/57 | | | 400 | |
1,000,000 | | County of San Bernardino CA, 0.05%, 2/15/27 | | | 1,000 | |
1,000,000 | | San Diego Housing Authority, 0.07%, 6/01/57 | | | 1,000 | |
500,000 | | Santa Cruz Redevelopment Agency, 0.08%, 8/15/35 | | | 500 | |
| | | | | 3,650 | |
| |
Industrial Development/Pollution Control (5%) | | | | |
230,000 | | California Infrastructure & Economic Development Bank, 3.25%, 7/01/26 | | | 250 | |
1,000,000 | | California Pollution Control Financing Authority, AMT 144A, 6.75%, 12/01/28 (c) | | | 1,031 | |
200,000 | | City of Big Bear Lake CA, AMT, 0.09%, 12/01/28 | | | 200 | |
370,000 | | Emeryville Redevelopment Agency Successor Agency, 5.00%, 9/01/25 AGM (a) | | | 425 | |
1,000,000 | | Golden State Tobacco Securitization Corp., 3.12%, 6/01/38 | | | 1,010 | |
300,000 | | Palm Springs Community Redevelopment Agency Successor Agency, 5.00%, 9/01/29 AGM (a) | | | 345 | |
390,000 | | Palm Springs Community Redevelopment Agency Successor Agency, 5.00%, 9/01/31 AGM (a) | | | 447 | |
| | | 3,708 | |
Pollution Control (2%) | | | | |
965,000 | | South Bayside Waste Management Authority, AMT, 5.00%, 9/01/23 | | | 1,067 | |
35,000 | | South Bayside Waste Management Authority, AMT, 5.00%, 9/01/23 | | | 38 | |
| | | | | 1,105 | |
| |
Resource Recovery (0%) | | | | |
600,000 | | California Pollution Control Financing Authority, AMT 144A, 7.50%,
12/01/39 (c)(e) | | | 183 | |
78 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Transportation (9%) | | | | |
660,000 | | Bay Area Toll Authority, 4.00%, 4/01/37 | | $ | 772 | |
750,000 | | City of Long Beach CA Harbor Revenue, AMT, 5.00%, 5/15/28 | | | 932 | |
1,000,000 | | Foothill-Eastern Transportation Corridor Agency, 5.50%, 1/15/53 | | | 1,058 | |
620,000 | | Port of Los Angeles, AMT, 5.00%, 8/01/24 | | | 709 | |
1,000,000 | | Port of Los Angeles, AMT, 5.00%, 8/01/25 | | | 1,181 | |
835,000 | | Port of Los Angeles, AMT, 5.00%, 8/01/29 | | | 952 | |
750,000 | | Port of Oakland, AMT, 5.00%, 5/01/24 | | | 785 | |
| | | | | 6,389 | |
| |
Water & Sewer (3%) | | | | |
500,000 | | City of San Francisco CA Public Utilities Commission Water Revenue, 3.45%, 11/01/30 | | | 544 | |
100,000 | | Orange County Water District, 5.00%, 8/15/33 | | | 132 | |
1,000,000 | | San Bernardino County Flood Control District, 0.10%, 8/01/37 | | | 1,000 | |
100,000 | | San DiegoPublic Facilities Financing Authority Water Revenue, 5.00%, 8/01/32 | | | 123 | |
| | | | | 1,799 | |
| |
Total Revenue (Cost - $29,848) | | | 30,809 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
U.S. Treasury (7%) | | | | |
750,000 | | U.S. Treasury Note, 0.63%, 11/30/27 | | $ | 721 | |
300,000 | | U.S. Treasury Note, 0.63%, 12/31/27 | | | 288 | |
500,000 | | U.S. Treasury Note, 0.75%, 1/31/28 | | | 483 | |
1,750,000 | | U.S. Treasury Note, 0.88%, 11/15/30 | | | 1,637 | |
750,000 | | U.S. Treasury Note, 1.13%, 2/29/28 | | | 743 | |
1,000,000 | | U.S. Treasury Note, 1.25%, 3/31/28 | | | 997 | |
| |
Total U.S. Treasury (Cost - $5,019) | | | 4,869 | |
| |
Total Investments (Cost - $68,969) (100%) | | | 71,424 | |
| |
Liabilities in excess of Other Assets (0%) | | | (162 | ) |
| |
Net Assets (100%) | | $ | 71,262 | |
| (a) | Payment ofprincipal 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.
| (d) | Yield to maturity at time of purchase. |
| (e) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
See notes to financial statements.
Semi-Annual Report 79
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 | | 44% |
U.S. Treasury | | 22% |
Asset Backed | | 21% |
Mortgage Backed | | 12% |
Foreign Government | | 1% |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Bonds (100%) | | | | |
Australia (EUR) (1%) | | | | |
500,000 | | Telstra Corp. Ltd., 3.50%, 9/21/22
EUR (a)(b) | | $ | 633 | |
Australia (USD) (1%) | | | | |
515,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 1.21%,
11/28/23 (c)(d) | | | 520 | |
Bermuda (USD) (0%) | | | | |
180,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 185 | |
Brazil (USD)( 1%) | | | | |
200,000 | | Banco Bradesco SA 144A, 2.85%,
1/27/23 (d) | | | 204 | |
260,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (d) | | | 266 | |
| | | | | 470 | |
Canada (CAD) (2%) | | | | |
650,000 | | BMW Canada Auto Trust 2021-1A 144A, 0.50%, 7/20/24 CAD (b)(d) | | | 526 | |
250,000 | | Ford Auto Securitization Trust 2020-AA 144A, 0.89%, 8/15/24 CAD (b)(d) | | | 204 | |
220,000 | | GMF Canada Leasing Trust 2020-1A 144A, 0.91%, 7/20/23 CAD (b)(d) | | | 180 | |
460,000 | | GMF Canada Leasing Trust 2020-1A 144A, 1.05%, 11/20/25 CAD (b)(d) | | | 376 | |
| | | | | 1,286 | |
Canada (USD) (2%) | | | | |
300,000 | | Bell Canada, 0.75%, 3/17/24 | | | 300 | |
500,000 | | Canadian Imperial Bank of Commerce, 3.10%, 4/02/24 | | | 534 | |
420,000 | | Cenovus Energy Inc., 4.00%, 4/15/24 | | | 450 | |
| | | | | 1,284 | |
Cayman Islands (USD) (12%) | | | | |
200,000 | | ADCB Finance Cayman Ltd. 144A, 4.00%, 3/29/23 (d) | | | 212 | |
420,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 1.450%), 1.64%, 7/18/27 (c)(d) | | | 421 | |
340,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 2.64%, 7/18/27 (c)(d) | | | 338 | |
670,000 | | Bain Capital Credit CLO 2020-3 Ltd. 144A, (3 mo. LIBORUSD + 1.380%), 1.55%, 10/23/32 (c)(d) | | | 671 | |
810,000 | | Ballyrock CLO 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 1.700%), 1.89%,
7/20/30 (c)(d) | | | 811 | |
446,075 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR USD + 0.800%), 0.99%,
1/20/28 (c)(d) | | | 446 | |
210,000 | | BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 1.27%, 2/16/37 (c)(d) | | | 211 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
670,000 | | Bristol Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.990%), 1.17%, 4/15/29 (c)(d) | | $ | 670 | |
470,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 1.41%,
9/15/35 (c)(d) | | | 470 | |
360,000 | | CIFC Funding 2015-II Ltd. 144A, (3 mo. LIBOR USD + 1.010%), 1.19%,
4/15/30 (c)(d) | | | 360 | |
840,000 | | CIFC Funding 2020-I Ltd. 144A, (3 mo. LIBOR USD + 1.700%), 1.88%,
7/15/32 (c)(d) | | | 841 | |
500,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 9/15/28 (c)(d) | | | 499 | |
395,917 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.22%,6/15/36 (c)(d) | | | 397 | |
262,396 | | LCM XX LP 144A, (3 mo. LIBOR USD + 1.040%), 1.23%, 10/20/27 (c)(d) | | | 263 | |
1,042,506 | | Magnetite VII Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 0.98%, 1/15/28 (c)(d) | | | 1,044 | |
100,000 | | MF1 2020-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.850%), 2.96%, 7/15/35 (c)(d) | | | 102 | |
115,615 | | Octagon Investment Partners XXIII Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 1.03%, 7/15/27 (c)(d) | | | 116 | |
549,207 | | Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 0.98%, 2/20/28 (c)(d) | | | 547 | |
236,077 | | PFP 2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.050%), 1.17%, 4/14/37 (c)(d) | | | 236 | |
210,000 | | PFP 2019-6 Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 1.57%, 4/14/37 (c)(d) | | | 210 | |
370,000 | | STWD 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.19%, 7/15/38 (c)(d) | | | 371 | |
470,000 | | TRTX 2019-FL3 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.450%), 1.57%,
10/15/34 (c)(d) | | | 472 | |
815,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%), 1.07%, 4/15/29 (c)(d) | | | 815 | |
| | | | | 10,523 | |
France (EUR) (2%) | | | | |
500,000 | | Engie SA, 0.38%, 2/28/23 EUR (a)(b) | | | 607 | |
500,000 | | Orange SA, 2.50%, 3/01/23 EUR (a)(b) | | | 633 | |
500,000 | | Worldline SA, 0.25%, 9/18/24 EUR (a)(b) | | | 607 | |
| | | | | 1,847 | |
France (USD)(1%) | | | | |
310,000 | | Banque Federative du Credit Mutuel SA 144A, 0.65%, 2/27/24 (d) | | | 310 | |
450,000 | | BPCE SA 144A, 5.70%, 10/22/23 (d) | | | 502 | |
| | | 812 | |
80 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Germany (EUR) (1%) | | | | |
500,000 | | E.ON SE, 0.39%, 10/24/22 EUR (a)(b)(e) | | $ | 604 | |
India (USD) (1%) | | | | |
500,000 | | REC Ltd. 144A, 5.25%, 11/13/23 (d) | | | 541 | |
200,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (d) | | | 202 | |
| | | | | 743 | |
Indonesia (USD) (1%) | | | | |
395,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (d) | | | 420 | |
280,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 3.75%, 3/01/23 (d) | | | 295 | |
| | | | | 715 | |
Ireland (USD) (0%) | | | | |
355,000 | | SMBC Aviation Capital Finance DAC 144A, 3.00%, 7/15/22 (d) | | | 364 | |
Italy (EUR) (0%) | | | | |
250,000 | | FCA Bank SpA, 0.50%, 9/18/23
EUR (a)(b) | | | 304 | |
Italy (USD) (1%) | | | | |
425,000 | | Intesa Sanpaolo SpA 144A, 3.13%,
7/14/22 (d) | | | 436 | |
360,000 | | Republic of Italy Government International Bond, 1.25%, 2/17/26 | | | 354 | |
350,000 | | UniCredit SpA 144A, 6.57%, 1/14/22 (d) | | | 364 | |
| | | | | 1,154 | |
Japan (USD) (3%) | | | | |
545,000 | | Mitsubishi UFJ Financial Group Inc., 1.41%, 7/17/25 | | | 549 | |
420,000 | | Mizuho Financial Group Inc., (U.S. Secured Overnight Financing Rate + 0.872%), 0.85%, 9/08/24 (c) | | | 421 | |
210,000 | | NTT Finance Corp. 144A, 0.58%,
3/01/24 (d) | | | 210 | |
250,000 | | Sumitomo Mitsui Financial Group Inc., 1.47%, 7/08/25 | | | 252 | |
500,000 | | Sumitomo Mitsui Financial Group Inc., 2.45%, 9/27/24 | | | 525 | |
435,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 0.85%, 3/25/24 (d) | | | 436 | |
500,000 | | Takeda Pharmaceutical Co. Ltd., 4.40%, 11/26/23 | | | 547 | |
| | | | | 2,940 | |
Luxembourg (EUR) (1%) | | | | |
250,000 | | Becton Dickinson Euro Finance Sarl, 0.63%, 6/04/23 EUR (b) | | | 305 | |
440,000 | | John Deere Cash Management SA, 1.38%, 4/02/24 EUR (a)(b) | | | 554 | |
| | | | | 859 | |
Netherlands (GBP) (0%) | | | | |
100,000 | | NIBC Bank NV, 3.13%, 11/15/23
GBP (a)(b) | | | 145 | |
Netherlands (USD) (3%) | | | | |
460,000 | | Enel Finance International NV 144A, 2.88%, 5/25/22 (d) | | | 471 | |
500,000 | | NXP BV/NXP Funding LLC 144A, 4.63%, 6/01/23 (d) | | | 540 | |
250,000 | | Siemens Financieringsmaatschappij NV 144A, 0.65%, 3/11/24 (d) | | | 251 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
310,000 | | Stellantis NV, 5.25%, 4/15/23 | | $ | 337 | |
560,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 560 | |
310,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | | | 307 | |
| | | | | 2,466 | |
New Zealand (USD) (1%) | | | | |
380,000 | | Bank of New Zealand 144A, 3.50%,
2/20/24 (d) | | | 410 | |
Norway (USD) (0%) | | | | |
250,000 | | Aker BP ASA 144A, 2.88%, 1/15/26 (d) | | | 260 | |
Panama (USD) (0%) | | | | |
225,000 | | Intercorp Financial Services Inc. 144A, 4.13%, 10/19/27 (d) | | | 219 | |
Peru (USD) (0%) | | | | |
320,000 | | Fondo MIVIVIENDA SA 144A, 3.50%, 1/31/23 (d) | | | 329 | |
Saudi Arabia (USD)(0%) | | | | |
200,000 | | Saudi Arabian Oil Co. 144A, 1.25%, 11/24/23 (d) | | | 203 | |
Senegal (USD) (0%) | | | | |
210,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (d) | | | 210 | |
Spain (USD) (1%) | | | | |
400,000 | | Banco Bilbao VizcayaArgentaria SA, 0.88%, 9/18/23 | | | 402 | |
Sweden (EUR) (1%) | | | | |
300,000 | | Akelius Residential Property AB, 1.13%, 3/14/24 EUR (a)(b) | | | 371 | |
Switzerland (USD) (1%) | | | | |
450,000 | | Credit Suisse Group AG 144A, (3 mo. LIBOR USD + 1.240%), 4.21%,
6/12/24 (c)(d) | | | 481 | |
200,000 | | UBS Group AG 144A, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.830%), 1.01%, 7/30/24 (c)(d) | | | 201 | |
500,000 | | UBS Group AG 144A, 3.49%, 5/23/23 (d) | | | 516 | |
| | | | | 1,198 | |
United Kingdom (GBP) (0%) | | | | |
150,000 | | Sage AR Funding No 1 PLC 144A, (Sterling Overnight Index Average 3mo. + 1.250%), 1.30%, 11/17/30 GBP (b)(c)(d) | | | 208 | |
United Kingdom (USD) (3%) | | | | |
205,000 | | Barclays PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.800%), 1.01%, 12/10/24 (c) | | | 205 | |
420,000 | | British Telecommunications PLC, 4.50%, 12/04/23 | | | 460 | |
450,000 | | Nationwide Building Society 144A, 0.55%, 1/22/24 (d) | | | 449 | |
660,000 | | Natwest Group PLC, (3 mo. LIBOR USD +1.470%), 1.66%, 5/15/23 (c) | | | 667 | |
285,000 | | NatWest Markets PLC 144A, 3.63%, 9/29/22 (d) | | | 298 | |
450,000 | | Reckitt Benckiser Treasury Services PLC 144A, 2.75%, 6/26/24 (d) | | | 476 | |
255,000 | | Royalty Pharma PLC 144A, 0.75%,
9/02/23 (d) | | | 255 | |
| | | | | 2,810 | |
Semi-Annual Report 81
Payden Global Low Duration Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
United States (EUR) (1%) | | | | |
350,000 | | Capital One Financial Corp., 0.80%, 6/12/24 EUR (b) | | $ | 430 | |
250,000 | | Fidelity National Information Services Inc., 0.75%, 5/21/23 EUR (b) | | | 306 | |
| | | | | 736 | |
United States (USD) (59%) | | | | |
290,000 | | 7-Eleven Inc. 144A, 0.80%, 2/10/24 (d) | | | 290 | |
70,000 | | Air Lease Corp., 2.25%, 1/15/23 | | | 72 | |
50,000 | | Air Lease Corp., 2.75%, 1/15/23 | | | 52 | |
300,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 2/15/23 (d) | | | 309 | |
370,000 | | Alexander Funding Trust 144A, 1.84%, 11/15/23 (d) | | | 375 | |
150,000 | | Ally Financial Inc., 1.45%, 10/02/23 | | | 152 | |
120,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 130 | |
140,000 | | Ally Financial Inc., 4.13%, 2/13/22 | | | 144 | |
350,000 | | AMSR 2020-SFR5 Trust 144A, 1.38%, 11/17/37 (d) | | | 349 | |
375,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 382 | |
195,000 | | Athene Global Funding 144A, 1.20%, 10/13/23 (d) | | | 197 | |
245,000 | | Athene Global Funding 144A, 2.80%, 5/26/23 (d) | | | 255 | |
350,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.690%), 0.98%, 4/22/25 (c) | | | 351 | |
190,000 | | Bank of The West Auto Trust 2019-1 144A, 2.51%, 10/15/24 (d) | | | 196 | |
15,593,773 | | Benchmark 2018-B6 Mortgage Trust, 0.59%, 10/10/51 (f) | | | 349 | |
80,000 | | Berry Global Inc. 144A, 0.95%, 2/15/24 (d) | | | 80 | |
150,000 | | Blue Racer Midstream LLC/Blue Racer Finance Corp. 144A, 7.63%, 12/15/25 (d) | | | 162 | |
400,000 | | Boeing Co., 1.43%, 2/04/24 | | | 401 | |
100,000 | | Brighthouse Financial Global Funding 144A, 1.00%, 4/12/24 (d) | | | 100 | |
169,292 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 0.920%), 1.04%, 10/15/36 (c)(d) | | | 170 | |
169,292 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.080%), 1.20%, 10/15/36 (c)(d) | | | 170 | |
99,798 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%), 1.72%, 12/15/36 (c)(d) | | | 100 | |
400,000 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 1.130%), 1.24%, 10/15/37 (c)(d) | | | 401 | |
90,000 | | California Earthquake Authority, 1.33%, 7/01/22 | | | 91 | |
2,878,666 | | Cantor Commercial Real Estate Lending 2019-CF1, 1.30%, 5/15/52 (f) | | | 202 | |
92,253 | | CARS-DB4 LP 144A, 2.69%, 2/15/50 (d) | | | 96 | |
149,115 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.17%, 6/15/34 (c)(d) | | | 146 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
347,936 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 2.47%, 6/15/34 (c)(d) | | $ | 337 | |
265,000 | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | | | 304 | |
250,000 | | CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%,
9/27/25 (c) | | | 262 | |
210,000 | | CIT Group Inc., 5.00%, 8/15/22 | | | 221 | |
130,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.669%), 0.98%,
5/01/25 (c) | | | 130 | |
190,000 | | CNH Industrial Capital LLC, 1.95%, 7/02/23 | | | 195 | |
1,317,207 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 0.900%), 1.01%,
11/15/37 (c)(d) | | | 1,325 | |
340,000 | | COMM 2019-WCM Mortgage Trust 144A, (1 mo. LIBOR USD + 0.900%), 1.02%, 10/15/34 (c)(d) | | | 341 | |
475,170 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 11/25/39 (c)(d) | | | 473 | |
247,663 | | Connecticut Avenue Securities Trust 2019-R04 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 6/25/39 (c)(d) | | | 249 | |
291,214 | | Connecticut Avenue Securities Trust 2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 9/25/39 (c)(d) | | | 293 | |
142,262 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 10/25/39 (c)(d) | | | 143 | |
85,240 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 1/25/40 (c)(d) | | | 86 | |
100,000 | | Connecticut Avenue Securities Trust 2020-SBT1 144A, (1 mo. LIBOR USD + 3.650%), 3.76%, 2/25/40 (c)(d) | | | 104 | |
465,000 | | Daimler Finance North America LLC 144A, 0.75%, 3/01/24 (d) | | | 464 | |
400,000 | | Daimler Finance North America LLC 144A, 3.35%, 2/22/23 (d) | | | 419 | |
115,000 | | Diamondback Energy Inc., 0.90%, 3/24/23 | | | 115 | |
230,000 | | Drive Auto Receivables Trust 2020-1, 2.36%, 3/16/26 | | | 235 | |
130,000 | | Drive Auto Receivables Trust 2020-2, 1.42%, 3/17/25 | | | 131 | |
75,000 | | Elanco Animal Health Inc., 4.91%, 8/27/21 | | | 76 | |
225,000 | | Energy Transfer LP, 4.25%, 3/15/23 | | | 237 | |
174,447 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 2.31%, 8/25/30 (c) | | | 177 | |
698,455 | | FirstKey Homes 2020-SFR2 Trust 144A, 1.27%, 10/19/37 (d) | | | 697 | |
580,000 | | Ford Credit Floorplan Master Owner Trust A 2020-1, 0.70%, 9/15/25 | | | 583 | |
200,000 | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25 | | | 219 | |
202,129 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 9/25/49 (c)(d) | | | 204 | |
82 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
123,869 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 1.700%), 1.81%, 1/25/50 (c)(d) | | $ | 125 | |
100,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 2/25/50 (c)(d) | | | 101 | |
221,514 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.01%, 1/25/50 (c)(d) | | | 223 | |
249,569 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 1.100%), 1.21%, 3/25/50 (c)(d) | | | 250 | |
300,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. 30-day Average Secured Overnight Financing Rate + 0.650%), 0.66%, 1/25/51 (c)(d) | | | 300 | |
128,865 | | Freddie Mac STACR Trust 2018-DNA2 144A, (1 mo. LIBOR USD + 0.800%), 0.91%, 12/25/30 (c)(d) | | | 129 | |
250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 4.71%, 12/25/42 (c) | | | 256 | |
247,598 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 11.36%, 10/25/29 (c) | | | 274 | |
300,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 310 | |
245,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (d) | | | 253 | |
155,000 | | General Motors Financial Co. Inc., 1.05%, 3/08/24 | | | 155 | |
385,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%), 1.74%,
1/14/22 (c) | | | 388 | |
200,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (d) | | | 200 | |
420,000 | | Glencore Funding LLC 144A, 4.63%, 4/29/24 (d) | | | 464 | |
110,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.03%, 4/16/25 | | | 113 | |
80,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.18%, 5/16/25 | | | 83 | |
205,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.609%), 0.86%, 2/12/26 (c) | | | 203 | |
105,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 114 | |
125,000 | | Gray Oak Pipeline LLC 144A, 2.00%, 9/15/23 (d) | | | 128 | |
240,000 | | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 144A, 1.76%, 8/15/23 (d) | | | 244 | |
175,000 | | Hyundai Capital America 144A, 1.15%, 11/10/22 (d) | | | 176 | |
250,000 | | Hyundai Capital America 144A, 1.25%, 9/18/23 (d) | | | 252 | |
130,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 136 | |
397,776 | | Invitation Homes 2018-SFR1 Trust 144A, (1 mo. LIBOR USD + 0.700%), 0.82%, 3/17/37 (c)(d) | | | 399 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
40,000 | | iStar Inc., 4.75%, 10/01/24 | | $ | 42 | |
141,949 | | JPMorgan Mortgage Trust 2017-5 144A, 3.00%, 10/26/48 (d)(f) | | | 143 | |
240,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 1.46%, 1/15/23 (c) | | | 244 | |
15,871 | | L.A. Arena Funding LLC 144A, 7.66%, 12/15/26 (d) | | | 16 | |
350,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 355 | |
335,000 | | Microchip Technology Inc. 144A, 0.97%, 2/15/24 (d) | | | 335 | |
235,000 | | Microchip Technology Inc. 144A, 2.67%, 9/01/23 (d) | | | 245 | |
470,000 | | MMAF Equipment Finance LLC 2020-A 144A, 0.97%, 4/09/27 (d) | | | 474 | |
380,000 | | MMAF Equipment Finance LLC 2020-B 144A, 0.49%, 8/14/25 (d) | | | 380 | |
175,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.616%), 0.73%,
4/05/24 (c) | | | 175 | |
220,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.152%), 2.72%,
7/22/25 (c) | | | 232 | |
83,746 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 1.700%), 1.81%, 10/15/49 (c)(d) | | | 84 | |
201,136 | | New Residential Mortgage Loan Trust 2017-1 144A, 4.00%, 2/25/57 (d)(f) | | | 215 | |
382,914 | | New Residential Mortgage Loan Trust 2017-4 144A, 4.00%, 5/25/57 (d)(f) | | | 410 | |
110,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (d) | | | 117 | |
355,000 | | Nissan Motor Acceptance Corp. 144A, 1.05%, 3/08/24 (d) | | | 355 | |
546,004 | | Oak Street Investment Grade Net Lease Fund Series 2020-1A 144A, 1.85%, 11/20/50 (d) | | | 553 | |
500,000 | | ONE 2021-PARK Mortgage Trust 144A, (1 mo. LIBOR USD + 0.700%), 0.82%, 3/15/36 (c)(d) | | | 500 | |
450,000 | | ONE Gas Inc., 1.10%, 3/11/24 | | | 450 | |
130,000 | | Owl Rock Capital Corp., 4.25%, 1/15/26 | | | 140 | |
85,000 | | Owl Rock Technology Finance Corp. 144A, 3.75%,6/17/26 (d) | | | 89 | |
245,000 | | Pacific Gas and Electric Co., (3 mo. LIBOR USD + 1.375%), 1.57%, 11/15/21 (c) | | | 246 | |
380,000 | | Pacific Gas and Electric Co., 1.75%,6/16/22 | | | 380 | |
200,000 | | PFS Financing Corp. 144A, 0.97%,
2/15/26 (d) | | | 201 | |
110,000 | | Pioneer Natural Resources Co., 0.75%, 1/15/24 | | | 110 | |
130,000 | | Reliance Standard Life Global Funding II 144A, 2.15%, 1/21/23 (d) | | | 134 | |
465,000 | | Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (d) | | | 477 | |
550,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 564 | |
150,000 | | Santander Holdings USA Inc., 4.45%, 12/03/21 | | | 153 | |
200,000 | | SBA Tower Trust 144A, 1.63%,
11/15/26 (d) | | | 200 | |
180,000 | | SBA Tower Trust 144A, 1.88%, 1/15/26 (d) | | | 183 | |
290,000 | | Sirius XM Radio Inc. 144A, 4.63%,
7/15/24 (d) | | | 298 | |
180,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (d) | | | 181 | |
100,000 | | Southern California Edison Co., 1.85%, 2/01/22 | | | 100 | |
Semi-Annual Report 83
Payden Global Low Duration Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
215,000 | | Southwest Airlines Co., 4.75%, 5/04/23 | | $ | 233 | |
60,000 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (d) | | | 60 | |
350,000 | | Stack Infrastructure Issuer 2020-1A LLC 144A, 1.89%, 8/25/45 (d) | | | 350 | |
286,452 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 1.76%,
4/25/43 (c)(d) | | | 287 | |
250,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 3.86%,
4/25/43 (c)(d) | | | 257 | |
150,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.61%,
2/25/47 (c)(d) | | | 171 | |
273,700 | | Taco Bell Funding 2018-1A LLC 144A, 4.32%, 11/25/48 (d) | | | 276 | |
50,000 | | T-Mobile USA Inc., 2.25%, 2/15/26 | | | 50 | |
55,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 58 | |
520,000 | | U.S. Treasury Bill, 0.06%, 3/24/22 (e) | | | 520 | |
5,035,000 | | U.S. Treasury Note, 0.13%, 2/28/23 | | | 5,033 | |
4,895,000 | | U.S. Treasury Note, 0.13%, 3/31/23 | | | 4,893 | |
5,440,000 | | U.S. Treasury Note, 0.13%, 1/15/24 | | | 5,417 | |
2,552,000 | | U.S. Treasury Note, 0.38%, 4/15/24 | | | 2,555 | |
268,000 | | U.S. Treasury Note, 1.50%, 8/15/22 (g) | | | 273 | |
450,000 | | Vantage Data Centers 2020-1A LLC 144A, 1.65%, 9/15/45 (d) | | | 449 | |
170,000 | | VB-S1 Issuer 2020-1A LLC 144A, 3.03%,6/15/50 (d) | | | 179 | |
195,000 | | Ventas Realty LP, 2.65%, 1/15/25 | | | 206 | |
80,000 | | Verizon Communications Inc., 0.75%, 3/22/24 | | | 80 | |
225,000 | | Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (d) | | | 234 | |
355,000 | | Volkswagen Group of America Finance LLC 144A, 0.88%, 11/22/23 (d) | | | 357 | |
7,574,917 | | Wells Fargo Commercial Mortgage Trust 2018-C46, 1.10%, 8/15/51 (f) | | | 349 | |
100,000 | | Westinghouse Air Brake Technologies Corp., 3.20%,6/15/25 | | | 107 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
80,000 | | Westlake Automobile Receivables Trust 2018-3 144A, 4.00%, 10/16/23 (d) | | $ | 82 | |
510,000 | | Westlake Automobile Receivables Trust 2019-3 144A, 2.49%, 10/15/24 (d) | | | 520 | |
240,000 | | Westlake Automobile Receivables Trust 2020-1 144A, 2.80%, 6/16/25 (d) | | | 249 | |
290,000 | | Westlake Automobile Receivables Trust 2020-2 144A, 1.32%, 7/15/25 (d) | | | 293 | |
300,000 | | Wingstop Funding 2020-1A LLC 144A, 2.84%, 12/05/50 (d) | | | 306 | |
104,000 | | WPX Energy Inc., 5.88%, 6/15/28 | | | 115 | |
| | | | | 51,758 | |
Total Bonds (Cost - $86,053) | | | 86,968 | |
Investment Company (0%) | | | | |
114,366 | | Payden Cash Reserves Money Market Fund * (Cost - $114) | | | 114 | |
| |
Total Investments (Cost - $86,167) (100%) | | | 87,082 | |
| |
Other Assets, net of Liabilities (0%) | | | 236 | |
| |
Net Assets (100%) | | $ | 87,318 | |
| (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) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (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.
| (e) | Yield to maturity at time of purchase. |
| (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. |
| (g) | 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: | | | | | | | | | | | | | | | | | |
CAD 1 | | USD 1 | | | | HSBC Bank USA, N.A. | | | | | 06/22/2021 | | | | $ | — | |
EUR 540 | | USD 646 | | | | Citibank, N.A. | | | | | 06/22/2021 | | | | | 4 | |
USD 358 | | GBP 258 | | | | HSBC Bank USA, N.A. | | | | | 06/22/2021 | | | | | 1 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | 5 | |
| | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | |
USD 5,987 | | EUR 5,018 | | | | Citibank, N.A. | | | | | 06/22/2021 | | | | | (53 | ) |
USD 1,268 | | CAD 1,583 | | | | HSBC Bank USA, N.A. | | | | | 06/22/2021 | | | | | (20 | ) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | (73 | ) |
| | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | $ | (68) | |
| | | | | | | | | | | | | | | | | |
84 Payden Mutual Funds
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | |
90 Day Eurodollar Future | | 18 | | | | Sep-23 | | | | $ | 4,460 | | | | | $— | | | | $ | — | |
U.S. Treasury 2-Year Note Future | | 124 | | | | Jun-21 | | | | | 27,374 | | | | | (18 | ) | | | | (18 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (18 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
90 Day Eurodollar Future | | 18 | | | | Sep-25 | | | | | (4,411 | ) | | | | 4 | | | | | 4 | |
U.S. Treasury 10-Year Note Future | | 21 | | | | Jun-21 | | | | | (2,773 | ) | | | | 47 | | | | | 47 | |
U.S. Treasury 5-Year Note Future | | 46 | | | | Jun-21 | | | | | (5,701 | ) | | | | 44 | | | | | 44 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 95 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | $ | 77 | |
| | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 85
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 | | 37% |
Corporate | | 29% |
Asset Backed | | 12% |
U.S. Treasury | | 10% |
Mortgage Backed | | 9% |
Other | | 3% |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Bonds (99%) | | | | |
Armenia (USD) (0%) | | | | |
750,000 | | Republic of Armenia International Bond 144A, 3.60%, 2/02/31(a) | | $ | 690 | |
Australia (AUD) (2%) | | | | |
1,750,000 | | Australia Government Bond, 2.75%,
6/21/35(b)(c) | | | 1,465 | |
2,700,000 | | Australia Government Bond, 3.25%,
4/21/25(b)(c) | | | 2,309 | |
| | | | | 3,774 | |
Australia (USD)(1%) | | | | |
870,000 | | APT Pipelines Ltd. 144A, 4.20%,
3/23/25(a) | | | 949 | |
675,000 | | Commonwealth Bank of Australia 144A, 2.69%, 3/11/31(a) | | | 661 | |
850,000 | | Macquarie Bank Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.700%), 3.05%, 3/03/36(a)(d) | | | 821 | |
| | | | | 2,431 | |
Austria (EUR) (1%) | | | | |
200,000 | | ams AG 144A, 6.00%, 7/31/25(a)(c) | | | 255 | |
120,000 | | Republic of Austria Government Bond 144A, 1.65%, 10/21/24(a)(b)(c) | | | 156 | |
120,000 | | Republic of Austria Government Bond 144A, 2.40%, 5/23/34(a)(b)(c) | | | 186 | |
390,000 | | Republic of Austria Government Bond 144A, 3.15%, 6/20/44(a)(b)(c) | | | 745 | |
| | | | | 1,342 | |
Austria (USD) (0%) | | | | |
400,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49(a) | | | 492 | |
Belgium (EUR) (1%) | | | | |
100,000 | | KingdomofBelgium Government Bond 144A, 0.80%,6/22/25(a)(b)(c) | | | 127 | |
700,000 | | KingdomofBelgium Government Bond 144A, 1.00%, 6/22/31(a)(b)(c) | | | 920 | |
410,000 | | KingdomofBelgium Government Bond 144A, 1.60%, 6/22/47(a)(b)(c) | | | 578 | |
| | | | | 1,625 | |
Bermuda (USD) (0%) | | | | |
200,000 | | Bermuda Government International Bond 144A, 3.38%, 8/20/50(a) | | | 197 | |
Brazil (USD) (0%) | | | | |
725,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity +3.446%), 3.88%, 4/15/31(a)(d) | | | 705 | |
Canada (CAD) (2%) | | | | |
1,700,000 | | Canadian Government Bond, 0.50%, 9/01/25(c) | | | 1,365 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,480,000 | | Canadian Government Bond, 3.50%, 12/01/45(c) | | $ | 1,550 | |
700,000 | | Canadian Government Bond, 5.00%,
6/01/37(c) | | | 821 | |
900,000 | | CPPIB Capital Inc. 144A, 1.95%,
9/30/29(a)(c) | | | 736 | |
400,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29(c) | | | 340 | |
500,000 | | OMERS Finance Trust 144A, 2.60%,
5/14/29(a)(c) | | | 424 | |
950,000 | | Ontario Teachers’ Finance Trust 144A, 1.10%, 10/19/27(a)(c) | | | 744 | |
| | | | | 5,980 | |
Canada (USD) (0%) | | | | |
300,000 | | Baytex Energy Corp.144A, 5.63%, 6/01/24(a) | | | 281 | |
525,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26(a) | | | 542 | |
| | | | | 823 | |
Cayman Islands (USD) (6%) | | | | |
250,000 | | Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 2.64%, 7/18/27(a)(d) | | | 249 | |
350,000 | | Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 1.61%, 5/15/37(a)(d) | | | 351 | |
540,000 | | Atrium XII 144A, (3 mo. LIBOR USD + 2.800%), 2.98%, 4/22/27(a)(d) | | | 531 | |
500,000 | | Bain Capital Credit CLO 2020-3 Ltd. 144A, (3 mo. LIBORUSD + 1.380%), 1.55%,
10/23/32(a)(d) | | | 501 | |
678,034 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR USD + 0.800%), 0.99%,
1/20/28(a)(d) | | | 678 | |
525,000 | | BDS 2019-FL4 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.22%, 8/15/36(a)(d) | | | 527 | |
350,000 | | Benefit Street Partners CLO XXII Ltd. 144A, (3 mo. LIBOR USD + 2.150%), 2.34%, 1/20/32(a)(d) | | | 350 | |
400,000 | | CLNC 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.250%), 1.37%, 8/20/35(a)(d) | | | 401 | |
1,050,000 | | Galaxy XXIII CLO Ltd. 144A, (3 mo. LIBOR USD+3.400%), 3.58%,
4/24/29(a)(d) | | | 1,050 | |
500,000 | | GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 1.41%, 2/22/36(a)(d) | | | 502 | |
400,000 | | Hunt CRE 2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 1.19%,
8/15/28(a)(d) | | | 401 | |
276,221 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 1.22%, 6/15/36(a)(d) | | | 277 | |
400,000 | | LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 1.61%, 5/15/36(a)(d) | | | 400 | |
86 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
900,000 | | Madison Park Funding XLVIII Ltd. 144A, (3 mo. LIBOR USD + 3.000%), 3.14%,
4/19/33(a)(d) | | $ | 900 | |
650,000 | | Melco Resorts Finance Ltd., 5.25%,
4/26/26(b)(e) | | | 680 | |
620,000 | | Neuberger Berman Loan Advisers CLO 25 Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.04%, 10/18/29(a)(d) | | | 620 | |
900,000 | | Ocean Trails CLO VII 144A, (3 mo. LIBOR USD + 2.450%), 2.64%, 4/17/30(a)(d) | | | 900 | |
350,000 | | OCP CLO 2014-5 Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.08%, 4/26/31(a)(d) | | | 344 | |
900,000 | | Octagon Investment Partners 32 Ltd. 144A, (3 mo. LIBOR USD + 2.050%), 2.23%,
7/15/29(a)(d) | | | 900 | |
300,000 | | OZLM XII Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 1.79%, 4/30/27(a)(d) | | | 300 | |
549,207 | | Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 0.800%), 0.98%,
2/20/28(a)(d) | | | 547 | |
300,000 | | PFP 2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 1.54%, 4/14/36(a)(d) | | | 301 | |
850,000 | | Sculptor CLO XXV Ltd. 144A, (3 mo. LIBOR USD + 1.900%), 2.09%, 1/15/31(a)(d) | | | 850 | |
250,000 | | STWD 2021-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.800%), 2.91%, 4/18/38(a)(d) | | | 251 | |
400,000 | | Symphony CLO XXIV Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 1.87%, 1/23/32(a)(d) | | | 400 | |
1,100,000 | | TRTX 2021-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.400%), 2.52%, 3/15/38(a)(d) | | | 1,104 | |
300,000 | | Voya CLO 2015-1 Ltd. 144A, (3 mo. LIBOR USD + 2.350%), 2.54%, 1/18/29(a)(d) | | | 279 | |
525,000 | | WeiboCorp., 3.38%, 7/08/30 | | | 528 | |
| | | | | | |
| | | | | 15,122 | |
| | | | | | |
Chile (USD) (1%) | | | | |
600,000 | | Chile Government International Bond, 3.10%, 1/22/61 | | | 568 | |
550,000 | | VTR Comunicaciones SpA 144A, 4.38%, 4/15/29(a) | | | 555 | |
| | | | | | |
| | | | | 1,123 | |
| | | | | | |
Colombia (EUR) (1%) | | | | |
700,000 | | Colombia Government International Bond, 3.88%, 3/22/26(c) | | | 950 | |
| | | | | | |
Colombia (USD) (0%) | | | | |
650,000 | | Oleoducto Central SA 144A, 4.00%, 7/14/27(a) | | | 691 | |
| | | | | | |
Denmark (DKK) (0%) | | | | |
650,000 | | Denmark Government Bond, 4.50%,
11/15/39(c) | | | 185 | |
| | | | | | |
Dominica Republic (USD) (0%) | | | | |
500,000 | | Dominican Republic International Bond 144A, 5.30%, 1/21/41(a) | | | 509 | |
200,000 | | Dominican Republic International Bond 144A, 5.50%, 1/27/25(a) | | | 221 | |
| | | | | | |
| | | | | 730 | |
| | | | | | |
Egypt (USD) (0%) | | | | |
650,000 | | Egypt Government International Bond 144A, 5.88%, 2/16/31(a) | | | 629 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
Finland (EUR) (0%) | | | | |
170,000 | | Finland Government Bond 144A, 2.75%,
7/04/28(a)(b)(c) | | $ | 249 | |
400,000 | | SampoOyj, (3 mo. EURIBOR + 4.050%), 3.38%, 5/23/49(b)(c)(d) | | | 549 | |
| | | | | | |
| | | | | 798 | |
| | | | | | |
France (EUR)(5%) | | | | |
275,000 | | Altice France SA 144A, 2.13%, 2/15/25(a)(c) | | | 323 | |
500,000 | | Credit Mutuel Arkea SA, 1.63%, 4/15/26(b)(c) | | | 640 | |
1,200,000 | | French Republic Government Bond OAT 144A, 0.50%, 6/25/44(a)(b)(c) | | | 1,374 | |
2,500,000 | | French Republic Government Bond OAT, 0.75%, 11/25/28(b)(c) | | | 3,211 | |
550,000 | | French Republic Government Bond OAT 144A, 1.25%, 5/25/36(a)(b)(c) | | | 740 | |
3,820,000 | | French Republic Government Bond OAT, 1.75%, 11/25/24(b)(c) | | | 4,975 | |
500,000 | | Terega SASU, 0.63%, 2/27/28(b)(c) | | | 599 | |
| | | | | | |
| | | | | 11,862 | |
| | | | | | |
France (USD) (1%) | | | | |
800,000 | | BNP Paribas SA 144A, (U.S. Secured Overnight Financing Rate + 2.074%), 2.22%, 6/09/26(a)(d) | | | 825 | |
400,000 | | BPCE SA 144A, 2.38%, 1/14/25(a) | | | 416 | |
| | | | | | |
| | | | | 1,241 | |
| | | | | | |
Georgia (USD) (0%) | | | | |
675,000 | | Georgia Government International Bond 144A, 2.75%, 4/22/26(a) | | | 679 | |
| | | | | | |
Germany (EUR) (3%) | | | | |
2,970,000 | | Bundesrepublik Deutschland Bundesanleihe, 0.00%, 8/15/26(b)(c)(f) | | | 3,679 | |
950,000 | | Bundesrepublik Deutschland Bundesanleihe, 1.25%, 8/15/48(b)(c) | | | 1,420 | |
60,000 | | Bundesrepublik Deutschland Bundesanleihe, 3.25%, 7/04/42(b)(c) | | | 119 | |
600,000 | | Bundesrepublik Deutschland Bundesanleihe, 4.00%, 1/04/37(b)(c) | | | 1,171 | |
250,000 | | Novelis Sheet Ingot GmbH 144A, 3.38%,
4/15/29(a)(c) | | | 310 | |
450,000 | | Volkswagen Leasing GmbH, 1.50%,
6/19/26(b)(c) | | | 575 | |
| | | | | | |
| | | | | 7,274 | |
| | | | | | |
Guatemala (USD)(0%) | | | | |
300,000 | | Guatemala Government Bond 144A, 5.38%,
4/24/32(a) | | | 347 | |
| | | | | | |
India (USD) (0%) | | | | |
665,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22(a) | | | 679 | |
| | | | | | |
Indonesia (EUR) (0%) | | | | |
290,000 | | Indonesia Government International Bond 144A, 3.75%, 6/14/28(a)(c) | | | 416 | |
| | | | | | |
Indonesia (USD) (1%) | | | | |
400,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.45%, 5/15/30(a) | | | 461 | |
Semi-Annual Report 87
Payden Global Fixed Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
200,000 | | Indonesia Government International Bond 144A, 4.13%, 1/15/25(a) | | $ | 220 | |
310,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 4.15%, 3/29/27(a) | | | 346 | |
| | | | | | |
| | | | | 1,027 | |
| | | | | | |
Ireland (EUR) (5%) | | | | |
500,000 | | Bastille Euro CLO 2020-3 DAC 144A, (3 mo. EURIBOR + 1.150%), 1.15%, 1/15/34(a)(c)(d) | | | 604 | |
650,000 | | Blackrock European CLO VII DAC 144A, (3 mo. EURIBOR + 1.300%), 1.30%,
10/15/31(a)(c)(d) | | | 785 | |
550,000 | | BlueMountain EUR 2021-1 CLO DAC 144A, (3 mo. EURIBOR + 3.200%), 3.20%,
4/15/34(a)(c)(d) | | | 664 | |
650,000 | | Cairn CLO XIII DAC 144A, (3 mo. EURIBOR + 3.400%), 3.40%, 10/20/33(a)(c)(d) | | | 781 | |
500,000 | | CIFC European Funding CLO II DAC 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 4/15/33(a)(c)(d) | | | 600 | |
700,000 | | Hayfin Emerald CLO VI DAC 144A, (3 mo. EURIBOR + 3.500%), 3.50%, 4/15/34(a)(c)(d) | | | 841 | |
500,000 | | Henley CLO I DAC 144A, (3 mo. EURIBOR + 1.140%), 1.14%, 7/15/32(a)(c)(d) | | | 602 | |
250,000 | | Ireland Government Bond, 1.10%, 5/15/29(b)(c) | | | 329 | |
100,000 | | Ireland Government Bond, 3.40%, 3/18/24(b)(c) | | | 134 | |
240,000 | | Last Mile Securities PE 2021 DAC 144A, (3 mo. EURIBOR + 2.350%), 2.35%,
8/17/31(a)(c)(d) | | | 290 | |
250,000 | | Montmartre Euro CLO 2020-2 DAC 144A, (3 mo. EURIBOR + 1.590%), 1.59%,
7/15/33(a)(c)(d) | | | 301 | |
350,000 | | North Westerly VII ESG CLO DAC 144A, (3 mo. EURIBOR + 0.840%), 0.00%,
5/15/35(a)(c)(d)(f) | | | 421 | |
750,000 | | OZLME V DAC 144A, (3 mo. EURIBOR + 1.750%), 1.75%, 1/14/32(a)(c)(d) | | | 902 | |
900,000 | | Palmer Square European CLO 2021-1 DAC 144A, (3 mo. EURIBOR + 0.870%), 0.87%,
4/15/34(a)(c)(d) | | | 1,083 | |
400,000 | | Palmer Square European CLO 2021-1 DAC 144A, (3 mo. EURIBOR + 3.150%), 3.15%, 4/15/34(a)(c)(d) | | | 483 | |
900,000 | | Providus CLO IV DAC 144A, (3 mo. EURIBOR + 3.250%), 0.00%,
4/20/34(a)(c)(d)(f) | | | 1,082 | |
350,000 | | Providus CLO IV DAC 144A, (3 mo. EURIBOR + 1.450%), 1.45%, 7/20/31(a)(c)(d) | | | 424 | |
700,000 | | Sound Point Euro CLO V Funding DAC 144A, (3 mo. EURIBOR + 3.300%), 3.30%,
7/25/35(a)(c)(d) | | | 842 | |
550,000 | | St Paul’s CLO XII DAC 144A, (3 mo. EURIBOR + 3.200%), 3.20%,4/15/33(a)(c)(d) | | | 652 | |
300,000 | | Voya Euro CLO III DAC 144A, (3 mo. EURIBOR + 0.920%), 0.92%,4/15/33(a)(c)(d) | | | 362 | |
| | | | | | |
| | | | | 12,182 | |
| | | | | | |
Isle of Man (USD)(0%) | | | | |
350,000 | | AngloGold Ashanti HoldingsPLC, 3.75%, 10/01/30 | | | 364 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
Israel (USD) (1%) | | | | |
900,000 | | 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)(d) | | $ | 931 | |
425,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26(a)(b) | | | 440 | |
320,000 | | Leviathan Bond Ltd. 144A, 6.13%, 6/30/25(a)(b) | | | 351 | |
310,000 | | Leviathan Bond Ltd. 144A, 6.75%, 6/30/30(a)(b) | | | 349 | |
| | | | | | |
| | | | | 2,071 | |
| | | | | | |
Italy (EUR) (3%) | | | | |
2,300,000 | | Italy Buoni Ordinari Del Tesoro BOT, 0.00%, 9/14/21(b)(c)(f) | | | 2,771 | |
2,660,000 | | Italy Buoni Poliennali Del Tesoro 144A, 0.60%, 8/01/31(a)(b)(c) | | | 3,103 | |
900,000 | | Italy Buoni Poliennali Del Tesoro 144A, 1.50%, 4/30/45(a)(b)(c) | | | 1,037 | |
1,500,000 | | Italy Buoni Poliennali Del Tesoro 144A, 1.85%, 7/01/25(a)(b)(c) | | | 1,938 | |
| | | | | | |
| | | | | 8,849 | |
| | | | | | |
Italy (USD) (0%) | | | | |
350,000 | | UniCredit SpA 144A, 6.57%, 1/14/22(a) | | | 364 | |
| | | | | | |
Japan (EUR) (0%) | | | | |
600,000 | | Takeda Pharmaceutical Co. Ltd., 2.00%,
7/09/40(c) | | | 762 | |
| | | | | | |
Japan (JPY) (13%) | | | | |
437,400,000 | | Japan Government Ten Year Bond, 0.30%, 12/20/25(c) | | | 4,079 | |
670,000,000 | | Japan Government Ten Year Bond, 0.80%, 9/20/23(c) | | | 6,267 | |
165,000,000 | | Japan Government Thirty Year Bond, 0.80%, 3/20/48(c) | | | 1,586 | |
334,800,000 | | Japan Government Thirty Year Bond, 1.40%, 12/20/45(c) | | | 3,660 | |
138,000,000 | | Japan Government Thirty Year Bond, 2.00%, 9/20/40(c) | | | 1,627 | |
40,000,000 | | Japan Government Thirty Year Bond, 2.20%, 9/20/39(c) | | | 481 | |
140,000,000 | | Japan Government Thirty Year Bond, 2.30%, 3/20/39(c) | | | 1,694 | |
682,500,000 | | Japan Government Twenty Year Bond, 1.70%, 9/20/33(c) | | | 7,402 | |
675,000,000 | | Japan Government Twenty Year Bond, 2.10%, 6/20/28(c) | | | 7,119 | |
| | | | | | |
| | | | | 33,915 | |
| | | | | | |
Japan (USD) (0%) | | | | |
690,000 | | Nissan Motor Co. Ltd. 144A, 4.81%, 9/17/30(a) | | | 767 | |
| | | | | | |
Jersey (USD) (0%) | | | | |
900,000 | | Galaxy Pipeline Assets Bidco Ltd. 144A, 2.16%, 3/31/34(a) | | | 885 | |
| | | | | | |
Kazakhstan (EUR) (0%) | | | | |
300,000 | | Kazakhstan Government International Bond, 1.55%, 11/09/23(b)(c) | | | 373 | |
| | | | | | |
Luxembourg (EUR) (1%) | | | | |
600,000 | | ContourGlobal Power HoldingsSA144A, 3.13%, 1/01/28(a)(c) | | | 729 | |
88 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
700,000 | | HSE Finance Sarl 144A, 5.63%, 10/15/26(a)(c) | | $ | 860 | |
450,000 | | Logicor Financing Sarl, 1.63%, 7/15/27(b)(c) | | | 572 | |
| | | | | | |
| | | | | 2,161 | |
| | | | | | |
Luxembourg (USD) (0%) | | | | |
680,000 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40(a) | | | 709 | |
| | | | | | |
Malaysia (MYR) (0%) | | | | |
1,700,000 | | Malaysia Government Bond, 3.50%, 5/31/27(c) | | | 428 | |
| | | | | | |
Mexico (MXN)(1%) | | | | |
11,660,000 | | Mexican Bonos, 5.75%, 3/05/26(c) | | | 571 | |
5,500,000 | | Mexican Bonos,6.50%,6/10/21(c) | | | 272 | |
7,760,000 | | Mexican Bonos, 8.50%, 5/31/29(c) | | | 427 | |
| | | | | | |
| | | | | 1,270 | |
| | | | | | |
Mexico (USD) (1%) | | | | |
900,000 | | Mexico City Airport Trust, 3.88%, 4/30/28(b) | | | 933 | |
400,000 | | Petroleos Mexicanos, 5.95%, 1/28/31 | | | 387 | |
| | | | | | |
| | | | | 1,320 | |
| | | | | | |
Morocco (EUR)(0%) | | | | |
500,000 | | Morocco Government International Bond 144A, 2.00%, 9/30/30(a)(c) | | | 596 | |
| | | | | | |
Netherlands (EUR) (2%) | | | | |
550,000 | | Akelius Residential Property Financing BV, 1.13%, 1/11/29(b)(c) | | | 678 | |
320,000 | | CTP NV, 2.13%, 10/01/25(b)(c) | | | 408 | |
300,000 | | Netherlands Government Bond 144A, 0.50%, 7/15/26(a)(b)(c) | | | 380 | |
130,000 | | Netherlands Government Bond 144A, 2.25%, 7/15/22(a)(b)(c) | | | 162 | |
530,000 | | Netherlands Government Bond 144A, 4.00%, 1/15/37(a)(b)(c) | | | 1,020 | |
1,000,000 | | Prosus NV 144A, 2.03%, 8/03/32(a)(c) | | | 1,241 | |
900,000 | | Stellantis NV, 3.88%, 1/05/26(b)(c) | | | 1,247 | |
220,000 | | Teva Pharmaceutical Finance Netherlands II BV, 1.13%, 10/15/24(b)(c) | | | 250 | |
110,000 | | Teva Pharmaceutical Finance NetherlandsIIBV, 4.50%, 3/01/25(c) | | | 138 | |
| | | | | | |
| | | | | 5,524 | |
| | | | | | |
Netherlands (GBP) (0%) | | | | |
500,000 | | NIBC Bank NV, 3.13%, 11/15/23(b)(c) | | | 727 | |
| | | | | | |
Netherlands (USD) (1%) | | | | |
800,000 | | AES Andres BV 144A, 5.70%, 5/04/28(a) | | | 800 | |
700,000 | | Enel Finance International NV 144A, 4.63%, 9/14/25(a) | | | 796 | |
750,000 | | Lukoil Securities BV 144A, 3.88%, 5/06/30(a) | | | 789 | |
350,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | | | 347 | |
660,000 | | VTR Finance NV 144A, 6.38%, 7/15/28(a) | | | 715 | |
| | | | | | |
| | | | | 3,447 | |
| | | | | | |
Philippines (EUR) (0%) | | | | |
450,000 | | Philippine Government International Bond, 1.20%, 4/28/33(c) | | | 538 | |
| | | | | | |
Poland (EUR) (1%) | | | | |
450,000 | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 144A, 3.00%, 9/01/29(a)(c) | | | 543 | |
450,000 | | CANPACK SA/Eastern PA Land Investment Holding LLC 144A, 2.38%, 11/01/27(a)(c) | | | 552 | |
| | | | | | |
| | | | | 1,095 | |
| | | | | | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
Poland (PLN) (0%) | | | | |
410,000 | | Republic of Poland Government Bond, 2.75%, 10/25/29(c) | | $ | 118 | |
| | | | | | |
Qatar (USD) (0%) | | | | |
400,000 | | Qatar Government International Bond 144A, 4.00%, 3/14/29(a) | | | 455 | |
| | | | | | |
Romania (EUR) (0%) | | | | |
380,000 | | Romanian Government International Bond 144A, 2.63%, 12/02/40(a)(c) | | | 449 | |
| | | | | | |
Russian Federation (RUB) (0%) | | | | |
14,880,000 | | Russian Federal Bond - OFZ, 8.15%, 2/03/27(c) | | | 212 | |
| | | | | | |
Russian Federation (USD)(0%) | | | | |
400,000 | | Russian Foreign Bond - Eurobond, 5.63%, 4/04/42(b) | | | 505 | |
| | | | | | |
Senegal (USD) (0%) | | | | |
295,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21(a) | | | 295 | |
| | | | | | |
Singapore (SGD) (0%) | | | | |
280,000 | | Singapore Government Bond, 3.50%, 3/01/27(c) | | | 238 | |
| | | | | | |
Spain (EUR) (3%) | | | | |
600,000 | | Banco de Sabadell SA, (5 yr. Euro Swap + 6.414%), 6.50%,(b)(c)(d)(g) | | | 734 | |
700,000 | | CaixaBank SA, 0.38%, 2/03/25(b)(c) | | | 850 | |
100,000 | | Cellnex Telecom SA, 1.00%, 4/20/27(b)(c) | | | 120 | |
600,000 | | Cellnex Telecom SA, 1.88%, 6/26/29(c) | | | 734 | |
1,300,000 | | Spain Government Bond, 0.00%, 1/31/26(c) | | | 1,578 | |
1,650,000 | | Spain Government Bond 144A, 1.25%,
10/31/30(a)(b)(c) | | | 2,138 | |
520,000 | | Spain Government Bond 144A, 2.90%,
10/31/46(a)(b)(c) | | | 840 | |
550,000 | | Via Celere Desarrollos Inmobiliarios SA 144A, 5.25%, 4/01/26(a)(c) | | | 692 | �� |
| | | | | | |
| | | | | 7,686 | |
| | | | | | |
Sri Lanka (USD) (0%) | | | | |
350,000 | | Sri Lanka Government International Bond, 6.85%, 11/03/25(b) | | | 236 | |
| | | | | | |
Sweden (EUR) (0%) | | | | |
700,000 | | Verisure Holding AB 144A, 3.88%, 7/15/26(a)(c) | | | 863 | |
| | | | | | |
Sweden (SEK) (0%) | | | | |
2,900,000 | | Sweden Government Bond, 1.00%,
11/12/26(b)(c) | | | 361 | |
| | | | | | |
Switzerland (CHF) (1%) | | | | |
1,050,000 | | Swiss Confederation Government Bond, 0.50%, 5/27/30(b)(c) | | | 1,233 | |
| | | | | | |
Switzerland (USD)(0%) | | | | |
395,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.560%), 2.59%, 9/11/25(a)(d) | | | 411 | |
440,000 | | Credit Suisse Group AG 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.554%), 4.50%,(a)(d)(g) | | | 421 | |
| | | | | | |
| | | | | 832 | |
| | | | | | |
Thailand (THB) (0%) | | | | |
15,100,000 | | Thailand Government Bond, 1.60%, 12/17/29(c) | | | 483 | |
| | | | | | |
Semi-Annual Report 89
Payden Global Fixed Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
United Arab Emirates (USD) (0%) | | | | |
300,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39(a) | | $ | 352 | |
| | | | | | |
United Kingdom (EUR) (0%) | | | | |
500,000 | | Nationwide Building Society,(5 yr. Euro Swap + 1.500%), 2.00%, 7/25/29(b)(c)(d) | | | 634 | |
| | | | | | |
United Kingdom (GBP) (4%) | | | | |
350,000 | | Barclays PLC, 3.00%, 5/08/26(b)(c) | | | 518 | |
250,000 | | Bellis Finco PLC 144A, 4.00%, 2/16/27(a)(c) | | | 347 | |
350,000 | | Lloyds Banking Group PLC, (5 yr. UK Government Bonds Note Generic Bid Yield + 4.607%), 5.13%,(c)(d)(g) | | | 511 | |
300,000 | | Natwest Group PLC, (1 yr. GBP interest rate swap + 1.490%), 2.88%, 9/19/26(b)(c)(d) | | | 441 | |
130,000 | | Sage AR Funding No 1 PLC 144A, (Sterling Overnight Index Average 3mo. + 3.000%), 3.05%, 11/17/30(a)(c)(d) | | | 181 | |
890,000 | | United Kingdom Gilt, 4.25%, 12/07/55(b)(c) | | | 2,248 | |
260,000 | | United Kingdom Gilt, 4.25%, 12/07/55(b)(c) | | | 657 | |
1,660,000 | | United Kingdom Gilt, 4.75%, 12/07/38(b)(c) | | | 3,586 | |
1,220,000 | | United Kingdom Gilt, 5.00%, 3/07/25(b)(c) | | | 1,991 | |
| | | | | | |
| | | | | 10,480 | |
| | | | | | |
United Kingdom (USD) (0%) | | | | |
520,000 | | Fresnillo PLC 144A, 4.25%, 10/02/50(a) | | | 510 | |
| | | | | | |
United States (EUR)(1%) | | | | |
550,000 | | AT&T Inc., 1.80%, 9/14/39(c) | | | 660 | |
550,000 | | Capital One Financial Corp., 1.65%, 6/12/29(c) | | | 700 | |
550,000 | | International Flavors & Fragrances Inc., 1.80%, 9/25/26(c) | | | 709 | |
650,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.698%), 0.41%, 10/29/27(c)(d) | | | 782 | |
| | | | | | |
| | | | | 2,851 | |
| | | | | | |
United States (GBP)(0%) | | | | |
350,000 | | General Motors Financial Co. Inc., 2.35%, 9/03/25(b)(c) | | | 500 | |
| | | | | | |
United States (USD)(35%) | | | | |
400,000 | | Allison Transmission Inc. 144A, 5.88%,
6/01/29(a) | | | 433 | |
390,000 | | American Equity Investment Life Holding Co., 5.00%, 6/15/27 | | | 439 | |
450,000 | | AmFam Holdings Inc. 144A, 3.83%, 3/11/51(a) | | | 465 | |
470,000 | | Antero Resources Corp., 5.00%, 3/01/25 | | | 478 | |
310,000 | | Antero Resources Corp. 144A, 7.63%, 2/01/29(a) | | | 337 | |
180,000 | | Antero Resources Corp. 144A, 8.38%,
7/15/26(a) | | | 202 | |
258,050 | | Arbys Funding LLC 144A, 3.24%, 7/30/50(a) | | | 267 | |
500,000 | | AT&T Inc., 3.30%, 2/01/52 | | | 456 | |
875,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.010%), 1.20%, 10/24/26(d) | | | 870 | |
350,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.210%), 3.97%, 2/07/30(d) | | | 391 | |
1,000,000 | | Blackstone Secured Lending Fund 144A, 2.75%, 9/16/26(a) | | | 1,007 | |
95,000 | | Blue Racer Midstream LLC/Blue Racer Finance Corp. 144A, 6.63%, 7/15/26(a) | | | 98 | |
825,000 | | Boeing Co., 2.20%, 2/04/26 | | | 827 | |
400,000 | | Boston Properties LP, 2.90%, 3/15/30 | | | 408 | |
750,000 | | Broadcom Inc. 144A, 3.50%, 2/15/41(a) | | | 725 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
252,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 1.700%), 1.82%, 11/15/35(a)(d) | | $ | 252 | |
280,000 | | BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 1.800%), 1.92%, 11/15/35(a)(d) | | | 280 | |
705,383 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 2.42%,
10/15/36(a)(d) | | | 706 | |
199,595 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 2.000%), 2.12%, 12/15/36(a)(d) | | | 200 | |
2,303,331 | | Cantor Commercial Real Estate Lending 2019-CF1, 1.30%, 5/15/52(h) | | | 162 | |
276,759 | | CARS-DB4 LP 144A, 3.25%, 2/15/50(a) | | | 286 | |
350,000 | | CARS-DB4 LP 144A, 4.17%, 2/15/50(a) | | | 361 | |
220,000 | | Centene Corp., 4.25%, 12/15/27 | | | 231 | |
750,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, 3/01/50 | | | 828 | |
298,231 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.17%, 6/15/34(a)(d) | | | 291 | |
700,000 | | Citigroup Inc., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.597%), 4.00%,(d)(g) | | | 711 | |
480,000 | | CNX Midstream Partners LP/CNX Midstream Finance Corp. 144A, 6.50%, 3/15/26(a) | | | 497 | |
400,000 | | Cogent Communications Group Inc. 144A, 3.50%, 5/01/26(a) | | | 400 | |
610,933 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 11/25/39(a)(d) | | | 608 | |
189,421 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 1/25/40(a)(d) | | | 191 | |
150,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.11%, 1/25/40(a)(d) | | | 147 | |
710,000 | | Consolidated Communications Inc. 144A, 5.00%, 10/01/28(a) | | | 722 | |
825,000 | | DataBank Issuer 144A, 2.06%, 2/27/51(a) | | | 826 | |
483,060 | | DB Master Finance 2017-1A LLC 144A, 4.03%, 11/20/47(a) | | | 516 | |
400,000 | | Dell International LLC/EMC Corp. 144A, 6.10%, 7/15/27(a) | | | 490 | |
848,250 | | Domino’s Pizza Master Issuer 2018-1A LLC 144A, 4.33%, 7/25/48(a) | | | 921 | |
1,210,000 | | Domino’s Pizza Master Issuer 2021-1A LLC 144A, 2.66%, 4/25/51(a) | | | 1,227 | |
347,375 | | Driven Brands Funding 2020-1A LLC 144A, 3.79%, 7/20/50(a) | | | 368 | |
448,875 | | Driven Brands Funding 2020-2A LLC 144A, 3.24%, 1/20/51(a) | | | 466 | |
90 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,450,000 | | Energy Transfer LP, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.306%), 7.13%,(d)(g) | | $ | 1,483 | |
785,000 | | Evergy Inc., 2.90%, 9/15/29 | | | 808 | |
255,876 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.150%), 2.26%, 10/25/30(d) | | | 259 | |
199,217 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 9.500%), 9.61%, 5/25/29(d) | | | 228 | |
495,933 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%), 10.36%,
1/25/29(d) | | | 584 | |
498,554 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.750%), 10.86%,
1/25/29(d) | | | 589 | |
460,000 | | Fannie Mae-Aces, 3.82%, 9/25/30(h) | | | 533 | |
764,527 | | FN BP6626 30YR, 2.00%, 8/01/50 | | | 773 | |
817,910 | | FN CA5991 30YR, 2.50%,6/01/50 | | | 853 | |
1,425,925 | | FN CA6322 30YR, 2.50%, 7/01/50 | | | 1,481 | |
768,283 | | FN BP6749 30YR, 2.50%, 9/01/50 | | | 798 | |
929,262 | | FN AS0016 30YR, 3.00%, 7/01/43 | | | 988 | |
295,732 | | FN MA3143 30YR, 3.00%, 9/01/47 | | | 311 | |
1,208,644 | | FN BP6345 30YR, 3.00%, 6/01/50 | | | 1,270 | |
584,615 | | FN CA6314 30YR, 3.00%, 7/01/50 | | | 623 | |
226,773 | | FN AL3577 30YR, 3.50%, 4/01/43 | | | 248 | |
815,137 | | FN FM1717 30YR, 3.50%, 12/01/45 | | | 890 | |
262,761 | | FN CA0133 30YR, 4.00%, 8/01/47 | | | 284 | |
2,870,000 | | FNCL, 2.00%, 30YR TBA(i) | | | 2,899 | |
2,161,034 | | FR RC1727 15YR, 2.00%, 12/01/35 | | | 2,234 | |
978,825 | | FR ZT0534 30YR, 3.50%, 12/01/47 | | | 1,065 | |
400,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 2.500%), 2.61%, 2/25/50(a)(d) | | | 398 | |
600,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.41%,
10/25/48(a)(d) | | | 610 | |
266,008 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 2.76%,
1/25/49(a)(d) | | | 272 | |
178,924 | | Freddie Mac STACR Trust 2019-DNA3 144A, (1 mo. LIBOR USD + 2.050%), 2.16%,
7/25/49(a)(d) | | | 181 | |
200,000 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 2.700%), 2.81%,
10/25/49(a)(d) | | | 201 | |
114,264 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.16%,
4/25/49(a)(d) | | | 116 | |
800,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, (U.S. Secured Overnight Financing Rate Index 30day Average+3.400%), 3.41%, 8/25/33(a)(d) | | | 807 | |
325,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 336 | |
350,000 | | FS KKR Capital Corp. II 144A, 4.25%,
2/14/25(a) | | | 362 | |
563,010 | | G2 MA4126 30YR, 3.00%, 12/20/46 | | | 596 | |
223,835 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 241 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
311,049 | | G2 MA5021 30YR, 4.50%, 2/20/48 | | $ | 337 | |
350,000 | | General Motors Co., 6.25%, 10/02/43 | | | 461 | |
800,000 | | Glencore Funding LLC 144A, 3.88%, 4/27/51(a) | | | 799 | |
575,000 | | GLP Capital LP/GLP Financing II Inc., 4.00%, 1/15/31 | | | 607 | |
500,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 511 | |
425,000 | | Hyundai Capital America 144A, 1.80%,
1/10/28(a) | | | 413 | |
375,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A, 4.38%, 2/01/29(a) | | | 364 | |
900,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26(a) | | | 905 | |
550,000 | | Indigo Natural Resources LLC 144A, 5.38%, 2/01/29(a) | | | 547 | |
350,000 | | ITC HoldingsCorp. 144A, 2.95%, 5/14/30(a) | | | 363 | |
350,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.510%), 2.74%, 10/15/30(d) | | | 359 | |
350,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 361 | |
860,000 | | Lennar Corp., 4.50%, 4/30/24 | | | 942 | |
680,000 | | Life Storage LP, 2.20%, 10/15/30 | | | 657 | |
700,000 | | MercadoLibre Inc., 3.13%, 1/14/31 | | | 671 | |
550,000 | | MF1 2020-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 7/15/35(a)(d) | | | 557 | |
470,000 | | Moog Inc. 144A, 4.25%, 12/15/27(a) | | | 484 | |
290,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 336 | |
470,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39(a) | | | 791 | |
620,000 | | NBM U.S. Holdings Inc. 144A, 6.63%,
8/06/29(a) | | | 689 | |
600,000 | | NBM U.S. Holdings Inc. 144A, 7.00%,
5/14/26(a)(e) | | | 646 | |
485,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 550 | |
525,000 | | OneMain Finance Corp., 4.00%, 9/15/30 | | | 509 | |
335,000 | | ONEOK Partners LP, 6.65%, 10/01/36 | | | 432 | |
950,000 | | Organon Finance 1 LLC 144A, 5.13%, 4/30/31(a) | | | 987 | |
850,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 901 | |
63,000 | | Pacific Life Insurance Co. 144A, 9.25%,
6/15/39(a) | | | 100 | |
296,250 | | Planet Fitness Master Issuer 2019-1A LLC 144A, 3.86%, 12/05/49(a) | | | 288 | |
700,000 | | Progress Residential 2019-SFR4 Trust 144A, 2.69%, 10/17/36(a) | | | 717 | |
240,000 | | Range Resources Corp., 5.00%, 3/15/23 | | | 246 | |
355,000 | | Range Resources Corp., 9.25%, 2/01/26 | | | 390 | |
400,000 | | Sabine Pass Liquefaction LLC, 5.63%, 3/01/25 | | | 459 | |
500,000 | | SBA Tower Trust 144A, 2.84%, 1/15/25(a) | | | 528 | |
900,000 | | Simon Property Group LP, 2.45%, 9/13/29 | | | 908 | |
440,000 | | Sinclair Television Group Inc. 144A, 4.13%, 12/01/30(a) | | | 430 | |
500,000 | | SLM Corp., 5.13%, 4/05/22 | | | 513 | |
357,000 | | Southwestern Energy Co., 8.38%, 9/15/28 | | | 393 | |
700,000 | | Spirit Realty LP, 2.10%, 3/15/28 | | | 691 | |
282,240 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 1.76%, 4/25/43(a)(d) | | | 283 | |
525,000 | | Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A, 4.00%, 1/15/32(a) | | | 516 | |
640,000 | | Toledo Hospital, 5.33%, 11/15/28 | | | 742 | |
3,100,000 | | U.S. Treasury Bill, 0.05%, 9/09/21(f) | | | 3,100 | |
Semi-Annual Report 91
Payden Global Fixed Income Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
4,030,000 | | U.S. Treasury Bond, 1.88%, 2/15/51 | | $ | 3,667 | |
2,435,000 | | U.S. Treasury Bond, 2.25%, 8/15/46(j)(k) | | | 2,419 | |
2,230,000 | | U.S. Treasury Bond, 4.50%, 5/15/38 | | | 3,036 | |
3,000,000 | | U.S. Treasury Note, 0.38%, 3/31/22 | | | 3,009 | |
5,000,000 | | U.S. Treasury Note, 0.75%, 3/31/26 | | | 4,981 | |
5,410,000 | | U.S. Treasury Note, 1.13%, 2/15/31 | | | 5,167 | |
1,650,000 | | U.S. Treasury Note, 2.38%, 4/30/26 | | | 1,774 | |
700,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28(a) | | | 755 | |
600,000 | | USB Realty Corp. 144A, (3 mo. LIBOR USD + 1.147%), 1.33%,(a)(d)(g) | | | 471 | |
625,000 | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 144A, 3.88%, 2/01/29(a) | | | 618 | |
| | | | | | |
| | | | | 93,791 | |
| | | | | | |
Virgin Islands (British) (USD) (1%) | | | | |
1,000,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23(b) | | | 1,008 | |
| | | | | | |
Total Bonds (Cost - $261,264) | | | 264,251 | |
| | | | | | |
Bank Loans(l) (2%) | | | | |
150,000 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (3 mo. EURIBOR + 3.500%) 3.50%, 1/20/27 EUR (c) | | | 180 | |
507,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%) 10.00%, 11/01/25 | | | 564 | |
200,000 | | Avast Software s.r.o. Term Loan B 1L, (3 mo. EURIBOR + 2.000%) 2.00%, 3/22/28 EUR (c) | | | 241 | |
500,000 | | CAB Selarl Term Loan B 1L, (3 mo. EURIBOR + 3.500%) 3.50%, 2/09/28 EUR (c) | | | 599 | |
150,000 | | Froneri Lux FinCo Sarl Term Loan B 1L, (3 mo. EURIBOR + 2.625%) 2.63%, 1/31/27 EUR (c) | | | 179 | |
296,250 | | Grifols SA Term Loan B 1L, (3 mo. EURIBOR + 2.250%) 2.25%, 11/15/27 EUR (c) | | | 356 | |
317,545 | | IRB Holdings Corp. Term Loan 1L, (LIBOR USD 3-Month + 2.750%) 2.95%, 2/05/25 | | | 316 | |
486,061 | | K-MAC Holdings Corp. Term Loan 1L, (LIBOR USD 1-Month + 3.000%) 3.11%, 3/16/25 | | | 481 | |
500,000 | | KP Germany Erste GmbH Term Loan B 1L, (3 mo. EURIBOR + 4.750%) 4.75%,
2/09/26 EUR (c) | | | 594 | |
486,240 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%) 4.50%, 2/05/27 | | | 485 | |
599,252 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%) 3.61%, 10/22/25 | | | 600 | |
460,000 | | Zaxby’s Operating Co. LP Term Loan B 1L, (LIBOR USD 1-Month + 3.750%) 4.41%, 12/28/27 | | | 461 | |
| | | | | | |
Total Bank Loans (Cost - $4,939) | | | 5,056 | |
| | | | | | |
Investment Company (1%) | | | | |
1,743,220 | | Payden Cash Reserves Money Market Fund * | | | 1,743 | |
146,702 | | Payden Floating Rate Fund, SI Class * | | | 1,451 | |
| | | | | | |
Total Investment Company (Cost - $3,212) | | | 3,194 | |
| | | | | | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
Total Investments (Cost - $269,415) (102%) | | $ | 272,501 | |
Liabilities in excess of Other Assets (-2%) | | | (5,889 | ) |
| | | | | | |
Net Assets (100%) | | $ | 266,612 | |
| | | | | | |
| | | | | | |
| (a) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (b) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Principal in foreign currency. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (e) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $1,251 and the total market value of the collateral held by the Fund is $1,305. |
| (f) | Yield to maturity at time ofpurchase. |
| (g) | Perpetual security with no stated maturity date. |
| (h) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (i) | Security was purchased on a delayed delivery basis. |
| (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. |
| (l) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
92 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | | | | |
CAD 2,492 | | USD 2,011 | | | | HSBC Bank USA, N.A. | | | | | 07/26/2021 | | | | $ | 17 | |
EUR 500 | | USD 601 | | | | State Street Bank & Trust Co. | | | | | 05/12/2021 | | | | | 1 | |
EUR 3,478 | | USD 4,145 | | | | State Street Bank & Trust Co. | | | | | 06/15/2021 | | | | | 40 | |
GBP 2,712 | | USD 3,729 | | | | Barclays Bank PLC | | | | | 05/12/2021 | | | | | 16 | |
IDR 19,815,000 | | USD 1,356 | | | | Citibank, N.A. | | | | | 06/24/2021 | | | | | 9 | |
NOK 35,333 | | USD 4,177 | | | | HSBC Bank USA, N.A. | | | | | 06/17/2021 | | | | | 68 | |
SGD 1,849 | | USD 1,376 | | | | Citibank, N.A. | | | | | 06/24/2021 | | | | | 13 | |
THB 15,790 | | USD 506 | | | | HSBC Bank USA, N.A. | | | | | 05/06/2021 | | | | | 1 | |
USD 463 | | MYR 1,881 | | | | Barclays Bank PLC | | | | | 05/06/2021 | | | | | 4 | |
USD 3,845 | | GBP 2,712 | | | | Barclays Bank PLC | | | | | 05/12/2021 | | | | | 99 | |
USD 3,725 | | CHF 3,347 | | | | Barclays Bank PLC | | | | | 05/12/2021 | | | | | 59 | |
USD 453 | | MYR 1,856 | | | | Barclays Bank PLC | | | | | 08/05/2021 | | | | | 1 | |
USD 714 | | PEN 2,646 | | | | Citibank, N.A. | | | | | 06/24/2021 | | | | | 15 | |
USD 525 | | THB 15,790 | | | | HSBC Bank USA, N.A. | | | | | 05/06/2021 | | | | | 18 | |
USD 12,410 | | GBP 8,972 | | | | HSBC Bank USA, N.A. | | | | | 05/12/2021 | | | | | 19 | |
USD 2,509 | | EUR 2,056 | | | | HSBC Bank USA, N.A. | | | | | 05/18/2021 | | | | | 36 | |
USD 740 | | MXN 14,920 | | | | HSBC Bank USA, N.A. | | | | | 07/20/2021 | | | | | 11 | |
USD 375 | | SEK 3,167 | | | | HSBC Bank USA, N.A. | | | | | 07/20/2021 | | | | | 1 | |
USD 2,011 | | JPY 217,600 | | | | HSBC Bank USA, N.A. | | | | | 07/26/2021 | | | | | 18 | |
USD 237 | | RUB 17,890 | | | | HSBC Bank USA, N.A. | | | | | 08/05/2021 | | | | | 2 | |
USD 3,854 | | AUD 4,967 | | | | State Street Bank & Trust Co. | | | | | 07/20/2021 | | | | | 26 | |
USD 2,011 | | JPY 217,600 | | | | State Street Bank & Trust Co. | | | | | 07/21/2021 | | | | | 19 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | 493 | |
| | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | |
CHF 3,347 | | USD 3,693 | | | | Barclays Bank PLC | | | | | 05/12/2021 | | | | | (27 | ) |
COP 2,353,000 | | USD 657 | | | | Citibank, N.A. | | | | | 06/24/2021 | | | | | (32 | ) |
EUR 2,056 | | USD 2,498 | | | | HSBC Bank USA, N.A. | | | | | 05/18/2021 | | | | | (26 | ) |
EUR 3,350 | | USD 4,037 | | | | HSBC Bank USA, N.A. | | | | | 07/22/2021 | | | | | (3 | ) |
MYR 1,881 | | USD 460 | | | | Barclays Bank PLC | | | | | 05/06/2021 | | | | | (1 | ) |
PEN 5,118 | | USD 1,380 | | | | Citibank, N.A. | | | | | 06/24/2021 | | | | | (27 | ) |
RUB 47,350 | | USD 631 | | | | Citibank, N.A. | | | | | 06/24/2021 | | | | | (6 | ) |
RUB 18,430 | | USD 248 | | | | HSBC Bank USA, N.A. | | | | | 05/06/2021 | | | | | (3 | ) |
USD 33,539 | | JPY 3,709,600 | | | | Citibank, N.A. | | | | | 05/12/2021 | | | | | (407 | ) |
USD 1,249 | | CHF 1,149 | | | | Citibank, N.A. | | | | | 07/20/2021 | | | | | (12 | ) |
USD 240 | | PLN 912 | | | | Citibank, N.A. | | | | | 07/20/2021 | | | | | — | |
USD 241 | | RUB 18,430 | | | | HSBC Bank USA, N.A. | | | | | 05/06/2021 | | | | | (4 | ) |
USD 4,159 | | SEK 35,379 | | | | HSBC Bank USA, N.A. | | | | | 06/17/2021 | | | | | (22 | ) |
USD 198 | | DKK 1,226 | | | | HSBC Bank USA, N.A. | | | | | 07/20/2021 | | | | | (1 | ) |
USD 249 | | SGD 333 | | | | HSBC Bank USA, N.A. | | | | | 07/21/2021 | | | | | (1 | ) |
USD 4,036 | | CHF 3,691 | | | | HSBC Bank USA, N.A. | | | | | 07/22/2021 | | | | | (15 | ) |
USD 488 | | THB 15,270 | | | | HSBC Bank USA, N.A. | | | | | 08/05/2021 | | | | | (3 | ) |
USD 67,045 | | EUR 56,924 | | | | State Street Bank & Trust Co. | | | | | 05/12/2021 | | | | | (1,408 | ) |
USD 3,856 | | EUR 3,233 | | | | State Street Bank & Trust Co. | | | | | 06/15/2021 | | | | | (35 | ) |
USD 290 | | EUR 245 | | | | State Street Bank & Trust Co. | | | | | 06/15/2021 | | | | | (4 | ) |
USD 5,988 | | CAD 7,505 | | | | State Street Bank & Trust Co. | | | | | 07/20/2021 | | | | | (119 | ) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | (2,156 | ) |
| | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | $ | (1,663) | |
| | | | | | | | | | | | | | | | | |
Semi-Annual Report 93
Payden Global Fixed Income Fund continued
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
Long Contracts: | | | | | | �� | | | | | | | | | | | | | | | | | | | | | |
Euro-Btp Future | | | | 48 | | | | | | | Jun-21 | | | | $ | 8,488 | | | | $ | (123 | ) | | | | $(123) | |
Euro-Schatz Future | | | | 23 | | | | | | | Jun-21 | | | | | 3,099 | | | | | — | | | | | — | |
Long Gilt Future | | | | 12 | | | | | | | Jun-21 | | | | | 2,116 | | | | | (18 | ) | | | | (18) | |
U.S. Long Bond Future | | | | 2 | | | | | | | Jun-21 | | | | | 315 | | | | | 2 | | | | | 2 | |
U.S. Treasury 10-Year Note Future | | | | 3 | | | | | | | Jun-21 | | | | | 396 | | | | | (4 | ) | | | | (4) | |
U.S. Treasury 2-Year Note Future | | | | 55 | | | | | | | Jun-21 | | | | | 12,142 | | | | | (8 | ) | | | | (8) | |
U.S. Ultra Bond Future | | | | 4 | | | | | | | Jun-21 | | | | | 744 | | | | | 8 | | | | | 8 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | (143 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | | | 21 | | | | | | | Jun-21 | | | | | (3,402 | ) | | | | 12 | | | | | 12 | |
Euro-Bund Future | | | | 40 | | | | | | | Jun-21 | | | | | (8,175 | ) | | | | 40 | | | | | 40 | |
U.S. 10-Year Ultra Future | | | | 73 | | | | | | | Jun-21 | | | | | (10,625 | ) | | | | 153 | | | | | 153 | |
U.S. Treasury 5-Year Note Future | | | | 22 | | | | | | | Jun-21 | | | | | (2,727 | ) | | | | (6 | ) | | | | (6) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | 199 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | | | | | $ 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | Notional Amount (000s) | | Value
(000s) | | Upfront
payments/
receipts (000s) | | Unrealized
Appreciation/
(Depreciation)
(000s) |
10-Year Interest Rate Swap, Receive Fixed 1.125% Quarterly,Pay | | | | 10/07/2029 | | | | KRW | 1,584,200 | | | | $ | (64 | ) | | | $ | — | | | | $ | (64 | ) |
Variable 0.750% (3M KWCDC) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.350% Quarterly,Pay | | | | 07/03/2025 | | | | CNY | 11,800 | | | | | (26 | ) | | | | — | | | | | (26 | ) |
Variable 2.360% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.580% Quarterly,Pay | | | | 02/05/2025 | | | | CNY | 2,350 | | | | | (1 | ) | | | | — | | | | | (1 | ) |
Variable 2.2185% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.635% Quarterly,Pay | | | | 01/08/2026 | | | | CNY | 38,600 | | | | | 20 | | | | | — | | | | | 20 | |
Variable 2.360% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.715% Quarterly,Pay | | | | 09/16/2025 | | | | CNY | 12,200 | | | | | 4 | | | | | — | | | | | 4 | |
Variable 2.2185% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.720% Quarterly,Pay | | | | 10/14/2025 | | | | CNY | 10,000 | | | | | 3 | | | | | — | | | | | 3 | |
Variable 2.2185% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.825% Quarterly,Pay | | | | 04/08/2026 | | | | CNY | 35,000 | | | | | 35 | | | | | — | | | | | 35 | |
Variable 2.300% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.920% Quarterly,Pay | | | | 01/17/2025 | | | | CNY | 11,580 | | | | | 20 | | | | | — | | | | | 20 | |
Variable 2.360% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, Receive Fixed 2.960% Quarterly,Pay | | | | 12/09/2024 | | | | CNY | 28,890 | | | | | 57 | | | | | — | | | | | 57 | |
Variable 2.300% (CNRR007) Quarterly | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 48 | | | | $ | — | | | | $ | 48 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Open OTC Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | Notional
Amount
(000s) | | Value
(000s) | | Upfront
payments/
receipts
(000s) | | Unrealized
Depreciation
(000s) |
5-Year Interest Rate Swap, Receive Fixed 1.850% Quarterly,Pay Variable 2.36% (CNRR007) Quarterly, Counterparty: Goldman Sachs &Co. | | | | 05/08/2025 | | | | | CNY 16,000 | | | | $ | (87 | ) | | | $ | — | | | | $ | (87 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
94 Payden Mutual Funds
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 1,251 | |
Non-cash Collateral2 | | | (1,251 | ) |
| | | | |
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, 2021, 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 95
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 | | | 68% | |
| | Corporate | | | 31% | |
| | Other | | | 1% | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | | | | | | |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Bonds (99%) | | | | |
Angola (USD) (3%) | | | | |
4,350,000 | | Angolan Government International Bond 144A, 8.00%, 11/26/29 (a) | | $ | 4,399 | |
8,195,000 | | Angolan Government International Bond 144A, 8.25%, 5/09/28 (a) | | | 8,441 | |
8,970,000 | | Angolan Government International Bond 144A, 9.38%, 5/08/48 (a) | | | 9,268 | |
3,140,000 | | Angolan Government International Bond 144A, 9.50%, 11/12/25 (a) | | | 3,454 | |
| | | | | 25,562 | |
Argentina (ARS) (0%) | | | | |
44,420,000 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a)(b) | | | 394 | |
Argentina (USD) (2%) | | | | |
7,391,273 | | Argentine Republic Government International Bond, 0.13%, 7/09/30 | | | 2,690 | |
11,007,476 | | Argentine Republic Government International Bond, 0.13%, 7/09/35 | | | 3,490 | |
9,649,090 | | Argentine Republic Government International Bond, 0.13%, 1/09/38 | | | 3,681 | |
4,692,500 | | Argentine Republic Government International Bond, 0.13%, 7/09/41 | | | 1,687 | |
1,798,995 | | Argentine Republic Government International Bond, 1.00%, 7/09/29 | | | 685 | |
2,050,000 | | Provincia de Buenos Aires 144A, 6.50%, 2/15/23 (a) | | | 846 | |
1,625,000 | | Provincia de Buenos Aires 144A, 7.88%, 6/15/27 (a) | | | 707 | |
5,272,678 | | Provincia de Cordoba 144A, 3.00%, 12/10/25 (a) | | | 3,656 | |
| | | | | 17,442 | |
Armenia (USD) (2%) | | | | |
6,290,000 | | Republic of Armenia International Bond 144A, 3.60%, 2/02/31 (a) | | | 5,789 | |
2,300,000 | | Republic of Armenia International Bond 144A, 3.95%, 9/26/29 (a) | | | 2,209 | |
7,595,000 | | Republic of Armenia International Bond 144A, 7.15%, 3/26/25 (a) | | | 8,458 | |
| | | | | 16,456 | |
Austria (USD)(0%) | | | | |
1,040,000 | | Klabin Austria GmbH 144A, 3.20%, 1/12/31 (a) | | | 993 | |
2,120,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49(a) | | | 2,606 | |
| | | | | 3,599 | |
Bahrain (USD) (1%) | | | | |
4,490,000 | | Bahrain Government International Bond 144A, 5.25%, 1/25/33 (a) | | | 4,375 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
2,370,000 | | Bahrain Government International Bond 144A, 5.63%, 9/30/31 (a) | | $ | 2,392 | |
1,840,000 | | Bahrain Government International Bond 144A, 6.75%, 9/20/29 (a) | | | 2,030 | |
| | | | | 8,797 | |
Belarus (USD) (0%) | | | | |
1,730,000 | | Republic of Belarus International Bond 144A, 6.20%, 2/28/30 (a) | | | 1,654 | |
1,410,000 | | Republic of Belarus International Bond 144A, 6.88%, 2/28/23 (a) | | | 1,442 | |
1,020,000 | | Republic of Belarus International Bond 144A, 7.63%,6/29/27 (a) | | | 1,061 | |
| | | | | 4,157 | |
Bermuda (USD) (1%) | | | | |
900,000 | | Bermuda Government International Bond 144A, 2.38%, 8/20/30 (a) | | | 893 | |
2,620,000 | | Bermuda Government International Bond 144A, 3.38%, 8/20/50 (a) | | | 2,583 | |
2,090,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 2,153 | |
685,000 | | Geopark Ltd. 144A, 6.50%, 9/21/24 (a) | | | 714 | |
410,000 | | Geopark Ltd., 6.50%, 9/21/24 (c) | | | 428 | |
4,430,000 | | Star Energy Geothermal Darajat II/Star Energy Geothermal Salak 144A, 4.85%, 10/14/38 (a) | | | 4,912 | |
| | | | | 11,683 | |
Brazil (USD) (2%) | | | | |
4,155,000 | | Brazilian Government International Bond, 4.75%, 1/14/50 | | | 3,910 | |
2,270,000 | | Brazilian Government International Bond, 5.00%, 1/27/45 | | | 2,245 | |
4,060,000 | | BRF SA 144A, 5.75%, 9/21/50 (a) | | | 3,989 | |
1,400,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.446%) 3.88%, 4/15/31 (a)(d) | | | 1,361 | |
3,880,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.822%) 4.50%, 11/21/29 (a)(d)(e) | | | 3,927 | |
4,492,010 | | USJ-Acucar e Alcool S/A 144A, 9.88%,
11/09/23 (a)(f) | | | 1,319 | |
| | | | | 16,751 | |
Cayman Islands (USD) (0%) | | | | |
2,135,000 | | DP World Salaam, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.750%)
6.00%, (c)(d)(g) | | | 2,345 | |
868,000 | | Odebrecht Oil & Gas Finance Ltd. 144A,
0.00%, (a)(g)(h) | | | 12 | |
| | | | | 2,357 | |
96 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Chile (USD) (0%) | | | | |
1,480,000 | | VTR Comunicaciones SpA 144A, 4.38%, 4/15/29 (a) | | $ | 1,492 | |
Colombia (USD) (3%) | | | | |
6,022,000 | | Colombia Government International Bond, 3.13%, 4/15/31 | | | 5,909 | |
3,580,000 | | Colombia Government International Bond, 3.25%, 4/22/32 | | | 3,516 | |
1,440,000 | | Colombia Government International Bond, 4.13%, 2/22/42 | | | 1,413 | |
3,980,000 | | Colombia Government International Bond, 5.00%, 6/15/45 | | | 4,250 | |
4,594,000 | | Colombia Government International Bond, 6.13%, 1/18/41 | | | 5,522 | |
4,735,000 | | Colombia Government International Bond, 7.38%, 9/18/37 | | | 6,305 | |
2,435,000 | | Ecopetrol SA, 6.88%, 4/29/30 | | | 2,956 | |
| | | | | 29,871 | |
Costa Rica (USD)(1%) | | | | |
3,325,000 | | Costa Rica Government International Bond 144A, 4.38%, 4/30/25 (a) | | | 3,387 | |
3,955,000 | | Costa Rica Government International Bond 144A, 6.13%, 2/19/31 (a) | | | 4,138 | |
2,270,000 | | Costa Rica Government International Bond 144A, 7.00%, 4/04/44 (a) | | | 2,338 | |
3,515,000 | | Costa Rica Government International Bond 144A, 7.16%, 3/12/45 (a)(e) | | | 3,647 | |
| | | | | 13,510 | |
Dominica Republic (USD) (4%) | | | | |
2,060,000 | | Dominican Republic International Bond 144A, 4.88%, 9/23/32 (a) | | | 2,161 | |
6,915,000 | | Dominican Republic International Bond 144A, 5.88%, 1/30/60 (a) | | | 6,924 | |
4,805,000 | | Dominican Republic International Bond 144A, 5.95%, 1/25/27 (a) | | | 5,466 | |
8,675,000 | | Dominican Republic International Bond 144A, 6.00%, 7/19/28 (a) | | | 9,911 | |
1,990,000 | | Dominican Republic International Bond 144A, 6.40%, 6/05/49 (a) | | | 2,176 | |
2,200,000 | | Dominican Republic International Bond 144A, 6.50%, 2/15/48 (a) | | | 2,425 | |
4,615,000 | | Dominican Republic International Bond 144A, 6.85%, 1/27/45 (a) | | | 5,261 | |
3,190,000 | | Dominican Republic International Bond 144A, 6.88%, 1/29/26 (a) | | | 3,732 | |
| | | | | 38,056 | |
Ecuador (USD) (2%) | | | | |
1,960,000 | | Ecuador Government International Bond 144A, 0.50%, 7/31/30 (a) | | | 1,646 | |
14,254,458 | | Ecuador Government International Bond 144A, 0.50%, 7/31/35 (a) | | | 9,764 | |
10,297,250 | | Ecuador Government International Bond 144A, 0.50%, 7/31/40 (a) | | | 6,179 | |
1,261,899 | | Ecuador Government International Bond 144A, 6.68%, 7/31/30 (a)(h) | | | 694 | |
| | | | | 18,283 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Egypt (USD) (3%) | | | | |
4,210,000 | | Egypt Government International Bond 144A, 5.88%, 2/16/31 (a) | | $ | 4,072 | |
5,015,000 | | Egypt Government International Bond 144A, 7.50%, 1/31/27 (a) | | | 5,551 | |
4,390,000 | | Egypt Government International Bond 144A,
7.63%, 5/29/32 (a) | | | 4,675 | |
2,300,000 | | Egypt Government International Bond, 7.63%, 5/29/32 (c) | | | 2,450 | |
4,170,000 | | Egypt Government International Bond 144A, 7.90%, 2/21/48 (a) | | | 4,112 | |
3,315,000 | | Egypt Government International Bond 144A, 8.50%, 1/31/47 (a) | | | 3,430 | |
5,290,000 | | Egypt Government International Bond 144A, 8.70%, 3/01/49 (a) | | | 5,528 | |
| | | | | 29,818 | |
El Salvador (USD)(2%) | | | | |
4,110,000 | | El Salvador Government International Bond 144A, 6.38%, 1/18/27 (a) | | | 4,259 | |
2,560,000 | | El Salvador Government International Bond 144A, 7.63%, 2/01/41 (a) | | | 2,638 | |
4,320,000 | | El Salvador Government International Bond 144A, 7.65%, 6/15/35 (a) | | | 4,542 | |
1,525,000 | | El Salvador Government International Bond 144A, 8.25%, 4/10/32 (a) | | | 1,680 | |
5,674,000 | | El Salvador Government International Bond 144A, 8.63%, 2/28/29 (a) | | | 6,370 | |
| | | | | 19,489 | |
Gabon (USD)(0%) | | | | |
2,310,000 | | Gabon Government International Bond 144A, 6.63%, 2/06/31 (a) | | | 2,330 | |
Georgia (USD) (0%) | | | | |
2,180,000 | | Georgia Government International Bond 144A, 2.75%, 4/22/26 (a) | | | 2,191 | |
Ghana (USD)(3%) | | | | |
2,140,000 | | Ghana Government International Bond 144A, 0.00%, 4/07/25 (a) | | | 1,689 | |
2,480,000 | | Ghana Government International Bond 144A, 7.63%, 5/16/29 (a) | | | 2,529 | |
1,330,000 | | Ghana Government International Bond 144A, 7.75%,4/07/29 (a) | | | 1,363 | |
3,720,000 | | Ghana Government International Bond 144A, 8.13%, 3/26/32 (a) | | | 3,762 | |
2,585,000 | | Ghana Government International Bond, 8.13%,
3/26/32 (c) | | | 2,615 | |
1,910,000 | | Ghana Government International Bond 144A, 8.63%,4/07/34 (a) | | | 1,976 | |
7,705,000 | | Ghana Government International Bond 144A, 8.63%, 6/16/49 (a) | | | 7,507 | |
7,205,000 | | Ghana Government International Bond 144A, 10.75%, 10/14/30 (a) | | | 9,127 | |
| | | | | 30,568 | |
Guatemala (USD) (1%) | | | | |
1,931,000 | | Guatemala Government Bond 144A, 4.88%,
2/13/28 (a) | | | 2,167 | |
3,790,000 | | Guatemala Government Bond 144A, 6.13%,
6/01/50 (a) | | | 4,567 | |
| | | | | 6,734 | |
Semi-Annual Report 97
Payden Emerging Markets Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Honduras (USD) (0%) | | | | |
2,520,000 | | Honduras Government International Bond 144A, 5.63%, 6/24/30 (a) | | $ | 2,659 | |
1,796,000 | | Honduras Government International Bond 144A, 6.25%, 1/19/27 (a) | | | 1,980 | |
| | | | | 4,639 | |
India (USD) (2%) | | | | |
1,752,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (a) | | | 1,761 | |
1,405,000 | | Adani Green Energy UP Ltd./Prayatna Developers Pvt. Ltd./Parampujya Solar Energy 144A, 6.25%, 12/10/24 (a) | | | 1,558 | |
4,110,900 | | Adani Transmission Ltd. 144A, 4.25%, 5/21/36 (a) | | | 4,188 | |
1,194,000 | | Muthoot Finance Ltd. 144A, 6.13%, 10/31/22 (a) | | | 1,237 | |
775,000 | | ReNew Power Ltd. 144A, 6.45%, 9/27/22 (a) | | | 804 | |
3,595,000 | | ReNew Power Pvt. Ltd. 144A, 5.88%, 3/05/27 (a) | | | 3,826 | |
4,605,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 4,704 | |
| | | | | 18,078 | |
Indonesia (EUR) (0%) | | | | |
380,000 | | Indonesia Government International Bond, 1.40%, 10/30/31 EUR (b) | | | 465 | |
Indonesia (USD) (3%) | | | | |
2,050,000 | | Cikarang Listrindo Tbk PT 144A, 4.95%, 9/14/26 (a) | | | 2,108 | |
2,805,000 | | Hutama Karya Persero PT 144A, 3.75%, 5/11/30 (a) | | | 2,990 | |
1,260,000 | | Indonesia Asahan Aluminium Persero PT 144A, 4.75%, 5/15/25 (a) | | | 1,371 | |
2,440,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.45%, 5/15/30 (a) | | | 2,812 | |
1,530,000 | | Indonesia Asahan Aluminium Persero PT 144A, 6.53%, 11/15/28 (a) | | | 1,852 | |
3,405,000 | | Indonesia Government International Bond 144A, 7.75%, 1/17/38 (a) | | | 5,067 | |
2,060,000 | | Indonesia Government International Bond, 8.50%, 10/12/35 (c) | | | 3,254 | |
1,075,000 | | Indonesia Government International Bond 144A, 8.50%, 10/12/35 (a) | | | 1,698 | |
910,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (a) | | | 967 | |
3,470,000 | | Pertamina Persero PT 144A, 6.50%, 11/07/48 (a) | | | 4,528 | |
3,110,000 | | Perusahaan Listrik Negara PT 144A, 6.15%, 5/21/48 (a) | | | 3,833 | |
| | | | | 30,480 | |
Isle of Man (USD) (0%) | | | | |
1,655,000 | | AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 | | | 1,720 | |
Israel (USD) (1%) | | | | |
3,895,000 | | 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)(c)(d) | | | 4,031 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,045,000 | | Leviathan Bond Ltd. 144A, 6.75%, 6/30/30 (a)(c) | | $ | 3,426 | |
1,920,000 | | Mizrahi Tefahot Bank Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.250%) 3.08%, 4/07/31 (a)(c)(d) | | | 1,954 | |
| | | | | 9,411 | |
Ivory Coast (EUR) (1%) | | | | |
3,740,000 | | Ivory Coast Government International Bond 144A, 4.88%, 1/30/32 EUR (a)(b) | | | 4,524 | |
2,016,000 | | Ivory Coast Government International Bond 144A, 5.25%, 3/22/30 EUR (a)(b) | | | 2,554 | |
| | | | | 7,078 | |
Jersey (USD) (0%) | | | | |
4,650,000 | | Galaxy Pipeline Assets Bidco Ltd. 144A, 2.63%, 3/31/36 (a) | | | 4,519 | |
Kazakhstan (KZT) (1%) | | | | |
2,098,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a)(b) | | | 4,888 | |
Kazakhstan (USD) (2%) | | | | |
2,960,000 | | Kazakhstan Government International Bond 144A, 6.50%, 7/21/45 (a) | | | 4,286 | |
9,710,000 | | KazMunayGas National Co. JSC 144A, 5.75%, 4/19/47 (a) | | | 11,700 | |
| | | | | 15,986 | |
Kenya (USD) (1%) | | | | |
3,200,000 | | Kenya Government International Bond 144A, 6.88%, 6/24/24 (a) | | | 3,557 | |
2,625,000 | | Kenya Government International Bond 144A, 7.00%, 5/22/27 (a) | | | 2,862 | |
2,420,000 | | Kenya Government International Bond 144A, 8.00%, 5/22/32 (a) | | | 2,658 | |
1,690,000 | | Kenya Government International Bond 144A, 8.25%, 2/28/48 (a) | | | 1,812 | |
| | | | | 10,889 | |
Lebanon (USD) (0%) | | | | |
3,560,000 | | Lebanon Government International Bond, 6.00%, 1/27/23 (c)(f) | | | 452 | |
3,420,000 | | Lebanon Government International Bond, 6.20%, 2/26/25 (c)(f) | | | 443 | |
2,045,000 | | Lebanon Government International Bond, 6.60%, 11/27/26 (c)(f) | | | 265 | |
1,246,000 | | Lebanon Government International Bond, 6.65%, 2/26/30 (c)(f) | | | 160 | |
1,930,000 | | Lebanon Government International Bond, 6.75%, 11/29/27 (c)(f) | | | 249 | |
1,390,000 | | Lebanon Government International Bond, 6.85%, 5/25/29 (f) | | | 176 | |
2,950,000 | | Lebanon Government International Bond, 7.00%, 3/23/32 (c)(f) | | | 383 | |
| | | | | 2,128 | |
Luxembourg (USD) (1%) | | | | |
1,760,000 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (a) | | | 1,835 | |
4,095,000 | | MHP Lux SA 144A, 6.25%, 9/19/29 (a) | | | 3,985 | |
852,000 | | Millicom International Cellular SA 144A, 4.50%, 4/27/31 (a) | | | 906 | |
| | | | | 6,726 | |
Malaysia (USD) (1%) | | | | |
9,700,000 | | 1MDB Energy Ltd., 5.99%, 5/11/22 (c) | | | 10,153 | |
98 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,830,000 | | Petronas Capital Ltd. 144A, 4.55%, 4/21/50 (a) | | $ | 3,367 | |
| | | | | 13,520 | |
Mauritius (USD) (0%) | | | | |
1,085,000 | | Azure Power Solar Energy Pvt. Ltd. 144A, 5.65%, 12/24/24 (a) | | | 1,152 | |
Mexico (MXN) (1%) | | | | |
26,900,000 | | Grupo Televisa SAB, 7.25%, 5/14/43 MXN (b) | | | 971 | |
69,900,000 | | Mexican Bonos, 8.50%, 5/31/29 MXN (b) | | | 3,848 | |
56,000,000 | | Mexican Bonos, 8.50%, 11/18/38 MXN (b) | | | 3,003 | |
| | | | | 7,822 | |
Mexico (USD) (5%) | | | | |
4,981,300 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 (a) | | | 5,655 | |
4,339,598 | | Fermaca EnterprisesS de RL de CV144A, 6.38%, 3/30/38 (a) | | | 4,991 | |
330,000 | | Grupo Bimbo SAB de CV 144A, 4.00%, 9/06/49 (a) | | | 333 | |
2,870,000 | | Grupo Bimbo SAB de CV 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.280%) 5.95%, (a)(d)(g) | | | 3,052 | |
4,140,000 | | Mexico City Airport Trust 144A, 3.88%, 4/30/28 (a) | | | 4,291 | |
3,095,000 | | Mexico City Airport Trust 144A, 5.50%, 7/31/47 (a) | | | 3,146 | |
1,220,000 | | Mexico Government International Bond, 6.05%, 1/11/40 | | | 1,495 | |
4,033,000 | | Petroleos Mexicanos, 6.49%, 1/23/27 | | | 4,270 | |
6,185,000 | | Petroleos Mexicanos, 6.50%, 3/13/27 | | | 6,548 | |
4,450,000 | | Petroleos Mexicanos, 6.50%, 6/02/41 | | | 4,003 | |
2,770,000 | | Petroleos Mexicanos, 6.63%, 6/15/35 | | | 2,681 | |
3,179,000 | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 2,815 | |
4,304,000 | | Petroleos Mexicanos, 6.84%, 1/23/30 | | | 4,428 | |
5,180,000 | | Petroleos Mexicanos, 6.95%, 1/28/60 | | | 4,591 | |
| | | | | 52,299 | |
Mongolia (USD) (1%) | | | | |
5,575,000 | | Development Bank of Mongolia LLC 144A, 7.25%, 10/23/23 (a) | | | 6,013 | |
1,103,000 | | Mongolia Government International Bond 144A, 5.13%, 12/05/22 (a) | | | 1,146 | |
4,290,000 | | Mongolia Government International Bond 144A, 5.13%, 4/07/26 (a) | | | 4,611 | |
1,150,000 | | Mongolia Government International Bond 144A, 5.63%, 5/01/23 (a) | | | 1,213 | |
845,000 | | Mongolia Government International Bond 144A, 8.75%, 3/09/24 (a) | | | 978 | |
| | | | | 13,961 | |
Morocco (EUR) (0%) | | | | |
2,220,000 | | Morocco Government International Bond 144A, 2.00%, 9/30/30 EUR (a)(b) | | | 2,648 | |
Morocco (USD) (0%) | | | | |
3,645,000 | | Morocco Government International Bond 144A, 3.00%, 12/15/32 (a) | | | 3,473 | |
Netherlands (USD) (2%) | | | | |
1,510,000 | | Equate Petrochemical BV 144A, 2.63%, 4/28/28 (a) | | | 1,516 | |
3,535,000 | | Minejesa Capital BV 144A, 5.63%, 8/10/37 (a) | | | 3,756 | |
3,264,804 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (a) | | | 3,467 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,360,000 | | Prosus NV 144A, 3.68%, 1/21/30 (a) | | $ | 2,471 | |
2,550,000 | | Prosus NV 144A, 4.03%, 8/03/50 (a) | | | 2,385 | |
2,160,000 | | VTR Finance NV 144A, 6.38%, 7/15/28 (a) | | | 2,339 | |
| | | | | 15,934 | |
Nigeria (USD) (2%) | | | | |
3,585,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (a) | | | 3,798 | |
2,480,000 | | Nigeria Government International Bond, 6.50%, 11/28/27 (c) | | | 2,627 | |
2,065,000 | | Nigeria Government International Bond 144A, 7.14%, 2/23/30 (a) | | | 2,194 | |
3,270,000 | | Nigeria Government International Bond 144A, 7.63%, 11/28/47 (a) | | | 3,299 | |
3,285,000 | | Nigeria Government International Bond 144A, 7.70%, 2/23/38 (a) | | | 3,385 | |
3,355,000 | | Nigeria Government International Bond 144A, 7.88%, 2/16/32 (a) | | | 3,625 | |
3,805,000 | | Nigeria Government International Bond 144A, 8.75%, 1/21/31 (a) | | | 4,344 | |
| | | | | 23,272 | |
Oman (USD) (2%) | | | | |
3,270,000 | | Oman Government International Bond 144A, 4.75%, 6/15/26 (a)(e) | | | 3,403 | |
6,980,000 | | Oman Government International Bond 144A, 5.38%, 3/08/27 (a) | | | 7,312 | |
1,465,000 | | Oman Government International Bond 144A, 6.25%, 1/25/31 (a)(e) | | | 1,580 | |
6,360,000 | | Oman Government International Bond 144A, 6.50%, 3/08/47 (a) | | | 6,241 | |
5,490,000 | | Oman Government International Bond 144A, 6.75%, 1/17/48 (a) | | | 5,491 | |
| | | | | 24,027 | |
Pakistan (USD) (2%) | | | | |
4,520,000 | | Pakistan Government International Bond 144A, 6.00%, 4/08/26 (a) | | | 4,654 | |
5,410,000 | | Pakistan Government International Bond 144A, 6.88%, 12/05/27 (a) | | | 5,677 | |
3,420,000 | | Pakistan Government International Bond 144A, 7.38%, 4/08/31 (a) | | | 3,600 | |
2,370,000 | | Pakistan Government International Bond 144A, 8.88%, 4/08/51 (a) | | | 2,546 | |
| | | | | 16,477 | |
Panama (USD) (1%) | | | | |
1,882,946 | | Aeropuerto Internacional de Tocumen SA 144A, 6.00%, 11/18/48 (a) | | | 2,024 | |
1,010,000 | | Panama Government International Bond, 4.30%, 4/29/53 | | | 1,088 | |
5,055,000 | | Panama Government International Bond, 6.70%, 1/26/36 | | | 6,800 | |
| | | | | 9,912 | |
Paraguay (USD) (1%) | | | | |
1,675,000 | | Paraguay Government International Bond 144A, 5.40%, 3/30/50 (a) | | | 1,895 | |
Semi-Annual Report 99
Payden Emerging Markets Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,190,000 | | Paraguay Government International Bond 144A, 5.60%, 3/13/48 (a) | | $ | 2,500 | |
2,040,000 | | Paraguay Government International Bond 144A, 6.10%, 8/11/44 (a) | | | 2,458 | |
| | | | | 6,853 | |
Peru (PEN) (2%) | | | | |
6,210,000 | | Fondo MIVIVIENDA SA 144A, 7.00%, 2/14/24 PEN (a)(b) | | | 1,872 | |
53,860,000 | | Peruvian Government International Bond 144A, 6.95%, 8/12/31 PEN (a)(b) | | | 15,949 | |
| | | | | 17,821 | |
Peru (USD) (0%) | | | | |
2,495,000 | | Peruvian Government International Bond, 3.55%, 3/10/51 | | | 2,473 | |
Philippines (EUR) (1%) | | | | |
6,040,000 | | Philippine Government International Bond, 1.75%, 4/28/41 EUR (b) | | | 7,136 | |
Philippines (USD) (0%) | | | | |
1,635,000 | | Philippine Government International Bond, 3.70%, 3/01/41 | | | 1,738 | |
Qatar (USD) (2%) | | | | |
3,260,000 | | Qatar Government International Bond 144A, 4.40%, 4/16/50 (a) | | | 3,800 | |
5,340,000 | | Qatar Government International Bond 144A, 4.82%, 3/14/49 (a) | | | 6,571 | |
3,425,000 | | Qatar Government International Bond 144A, 5.10%, 4/23/48 (a) | | | 4,351 | |
| | | | | 14,722 | |
Romania (EUR) (2%) | | | | |
3,200,000 | | Romanian Government International Bond 144A, 2.00%, 4/14/33 EUR (a)(b) | | | 3,799 | |
4,190,000 | | Romanian Government International Bond 144A, 2.63%, 12/02/40 EUR (a)(b) | | | 4,949 | |
6,325,000 | | Romanian Government International Bond 144A, 3.38%, 1/28/50 EUR (a)(b) | | | 7,968 | |
2,756,000 | | Romanian Government International Bond 144A, 4.63%, 4/03/49 EUR (a)(b) | | | 4,109 | |
| | | | | 20,825 | |
Russian Federation (RUB) (1%) | | | | |
974,500,000 | | Russian Federal Bond - OFZ, 6.90%, 5/23/29 RUB (b) | | | 12,995 | |
Russian Federation (USD) (1%) | | | | |
1,400,000 | | Russian Foreign Bond - Eurobond 144A, 5.10%, 3/28/35 (a) | | | 1,650 | |
400,000 | | Russian Foreign Bond - Eurobond, 5.10%, 3/28/35 (c) | | | 472 | |
3,600,000 | | Russian Foreign Bond - Eurobond, 5.63%, 4/04/42 (c) | | | 4,546 | |
| | | | | 6,668 | |
Saudi Arabia (USD) (2%) | | | | |
2,610,000 | | Saudi Arabian Oil Co. 144A, 3.50%, 11/24/70 (a) | | | 2,389 | |
6,980,000 | | Saudi Arabian Oil Co. 144A, 4.25%, 4/16/39 (a) | | | 7,625 | |
4,390,000 | | Saudi Government International Bond 144A, 2.25%, 2/02/33 (a) | | | 4,149 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
4,200,000 | | Saudi Government International Bond 144A, 3.75%, 1/21/55 (a) | | $ | 4,172 | |
| | | | | 18,335 | |
Senegal (USD) (1%) | | | | |
2,280,000 | | Senegal Government International Bond 144A, 6.25%, 7/30/24 (a) | | | 2,482 | |
6,635,000 | | Senegal Government International Bond 144A, 6.25%, 5/23/33 (a) | | | 6,992 | |
1,543,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (a) | | | 1,544 | |
| | | | | 11,018 | |
South Africa (USD) (2%) | | | | |
2,020,000 | | Eskom Holdings SOC Ltd. 144A, 6.35%, 8/10/28 (a) | | | 2,200 | |
1,975,000 | | Eskom Holdings SOC Ltd. 144A, 6.75%, 8/06/23 (a) | | | 2,065 | |
4,215,000 | | Eskom Holdings SOC Ltd., 7.13%, 2/11/25 (c) | | | 4,424 | |
3,425,000 | | Republic of South Africa Government International Bond, 4.30%, 10/12/28 | | | 3,448 | |
2,850,000 | | Republic of South Africa Government International Bond, 5.65%, 9/27/47 | | | 2,750 | |
3,590,000 | | Republic of South Africa Government International Bond, 5.75%, 9/30/49 | | | 3,469 | |
2,070,000 | | Republic of South Africa Government International Bond, 5.88%, 6/22/30 | | | 2,289 | |
2,415,000 | | Transnet SOC Ltd. 144A, 4.00%, 7/26/22 (a) | | | 2,470 | |
| | | | | 23,115 | |
South Africa (ZAR) (1%) | | | | |
113,800,000 | | Republic of South Africa Government Bond, 8.75%, 2/28/48 ZAR (b) | | | 6,252 | |
Sri Lanka (USD) (2%) | | | | |
9,085,000 | | Sri Lanka Government International Bond 144A, 6.20%, 5/11/27 (a) | | | 6,005 | |
10,260,000 | | Sri Lanka Government International Bond 144A, 6.83%, 7/18/26 (a) | | | 6,836 | |
5,855,000 | | Sri Lanka Government International Bond 144A, 6.85%, 11/03/25 (a) | | | 3,940 | |
1,885,000 | | Sri Lanka Government International Bond 144A, 7.55%, 3/28/30 (a) | | | 1,247 | |
6,025,000 | | Sri Lanka Government International Bond 144A, 7.85%, 3/14/29 (a) | | | 3,984 | |
| | | | | 22,012 | |
Thailand (USD) (0%) | | | | |
3,110,000 | | Bangkok Bank PCL 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.729%) 5.00%, (a)(d)(g) | | | 3,276 | |
Tunisia (EUR) (0%) | | | | |
2,135,000 | | Banque Centrale de Tunisie International Bond 144A, 6.38%, 7/15/26 EUR (a)(b) | | | 2,427 | |
Tunisia (USD) (1%) | | | | |
11,590,000 | | Banque Centrale de Tunisie International Bond 144A, 5.75%, 1/30/25 (a) | | | 10,904 | |
Turkey (USD) (2%) | | | | |
970,000 | | TC Ziraat Bankasi AS 144A, 5.13%, 5/03/22 (a) | | | 983 | |
100 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
4,735,000 | | Turkey Government International Bond, 4.25%, 4/14/26 | | $ | 4,445 | |
4,645,000 | | Turkey Government International Bond, 6.13%, 10/24/28 | | | 4,593 | |
3,595,000 | | Turkey Government International Bond, 7.25%, 12/23/23 | | | 3,819 | |
3,145,000 | | Turkey Government International Bond, 7.38%, 2/05/25 | | | 3,347 | |
| | | | | 17,187 | |
Ukraine (EUR) (1%) | | | | |
1,285,000 | | Ukraine Government International Bond 144A, 4.38%, 1/27/30 EUR (a)(b) | | | 1,420 | |
2,790,000 | | Ukraine Government International Bond 144A, 6.75%, 6/20/26 EUR (a)(b) | | | 3,601 | |
| | | | | 5,021 | |
Ukraine (UAH) (0%) | | | | |
103,920,000 | | Ukraine Government International Bond 144A, 11.67%, 11/22/23 UAH (a)(b) | | | 3,693 | |
Ukraine (USD) (4%) | | | | |
2,895,000 | | Ukraine Government International Bond 144A, 0.00%, 5/31/40 (a)(h)(i) | | | 3,064 | |
9,435,000 | | Ukraine Government International Bond 144A, 7.25%, 3/15/33 (a) | | | 9,470 | |
980,000 | | Ukraine Government International Bond 144A, 7.38%, 9/25/32 (a) | | | 993 | |
1,286,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/23 (a) | | | 1,371 | |
2,345,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/24 (a) | | | 2,522 | |
5,125,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/25 (a) | | | 5,536 | |
3,215,000 | | Ukraine Government International Bond, 7.75%, 9/01/25 (c) | | | 3,473 | |
2,370,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/26 (a) | | | 2,560 | |
8,803,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/27 (a) | | | 9,464 | |
3,150,000 | | Ukraine Government International Bond 144A, 8.99%, 2/01/24 (a) | | | 3,471 | |
| | | | | 41,924 | |
United Arab Emirates (USD) (3%) | | | | |
6,543,000 | | Abu Dhabi Crude Oil Pipeline LLC 144A, 4.60%, 11/02/47 (a) | | | 7,524 | |
1,010,000 | | Abu Dhabi Government International Bond 144A, 3.13%, 9/30/49 (a) | | | 985 | |
2,599,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | | 3,046 | |
825,000 | | DP World PLC 144A, 5.63%, 9/25/48 (a) | | | 1,004 | |
1,690,000 | | DP World PLC 144A, 6.85%, 7/02/37 (a) | | | 2,252 | |
4,130,000 | | Finance Department Government of Sharjah 144A, 3.63%, 3/10/33 (a) | | | 4,078 | |
3,580,000 | | NBK Tier 1 Financing Ltd. 144A, (6 yr. Swap Semi 30/360 US + 2.875%) 3.63%, 8/24/69 (a)(d)(g) | | | 3,579 | |
3,005,000 | | Ruwais Power Co. PJSC 144A, 6.00%, 8/31/36 (a) | | | 3,982 | |
| | | | | 26,450 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
United Kingdom (EGP) (2%) | | | | |
31,299,000 | | HSBC Bank PLC 144A, 14.35%, 7/16/25 EGP (a)(b)(c) | | $ | 1,998 | |
34,600,000 | | HSBC Bank PLC 144A, 14.37%, 10/22/25 EGP (a)(b) | | | 2,212 | |
43,500,000 | | HSBC Bank PLC 144A, 14.56%, 10/18/27 EGP (a)(b)(c) | | | 2,789 | |
47,370,000 | | HSBC Bank PLC 144A, 14.61%, 9/10/25 EGP (a)(b)(c) | | | 3,051 | |
94,860,000 | | HSBC Bank PLC 144A, 14.66%, 10/09/30 EGP (a)(b)(c) | | | 6,052 | |
| | | | | 16,102 | |
United Kingdom (IDR) (1%) | | | | |
89,288,000,000 | | Standard Chartered Bank 144A, 8.25%, 5/19/36 IDR (a)(b) | | | 6,807 | |
United Kingdom (USD) (0%) | | | | |
2,130,000 | | MARB BondCo PLC 144A, 3.95%, 1/29/31 (a) | | | 2,027 | |
United States (EGP) (1%) | | | | |
179,300,000 | | Citigroup Global Markets Holdings Inc. 144A, 0.00%, 9/02/21 EGP (a)(b)(h) | | | 11,000 | |
United States (IDR) (1%) | | | | |
36,100,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.25%, 5/17/36 IDR (a)(b) | | | 2,753 | |
24,925,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.38%, 3/17/34 IDR (a)(b) | | | 1,914 | |
| | | | | 4,667 | |
United States (KZT) (0%) | | | | |
1,097,800,000 | | Citigroup Global Markets Holdings Inc. 144A, 0.00%, 1/24/22 KZT (a)(b) | | | 2,394 | |
United States (UAH) (1%) | | | | |
13,700,000 | | Citigroup Global Markets Holdings Inc. 144A, 14.41%, 10/17/22 UAH (a)(b) | | | 515 | |
134,000,000 | | Citigroup Global Markets Holdings Inc. 144A, 15.92%, 11/19/21 UAH (a)(b) | | | 5,012 | |
26,000,000 | | Citigroup Global Markets Holdings Inc. 144A, 16.42%, 11/19/21 UAH (a)(b) | | | 972 | |
| | | | | 6,499 | |
United States (USD) (1%) | | | | |
1,750,000 | | MercadoLibre Inc., 3.13%, 1/14/31 | | | 1,676 | |
1,730,000 | | NBM U.S. Holdings Inc. 144A, 6.63%, 8/06/29 (a) | | | 1,923 | |
2,010,000 | | NBM U.S. Holdings Inc. 144A, 7.00%, 5/14/26 (a) | | | 2,165 | |
| | | | | 5,764 | |
Uruguay (USD) (0%) | | | | |
1,410,000 | | Uruguay Government International Bond, 4.98%, 4/20/55 | | | 1,755 | |
Uruguay (UYU) (2%) | | | | |
486,553,951 | | Uruguay Government International Bond, 3.88%, 7/02/40 UYU (b) | | | 12,902 | |
157,441,660 | | Uruguay Government International Bond, 4.38%, 12/15/28 UYU (b) | | | 4,287 | |
| | | | | 17,189 | |
Uzbekistan (USD) (1%) | | | | |
4,920,000 | | Republic of Uzbekistan Bond 144A, 3.70%, 11/25/30 (a) | | | 4,912 | |
Semi-Annual Report 101
Payden Emerging Markets Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Venezuela (USD) (0%) | | | | |
6,400,000 | | Petroleos de Venezuela SA, 5.38%, 4/12/27 (c)(f)(j) | | $ | 303 | |
6,055,000 | | Petroleos de Venezuela SA 144A, 6.00%, 11/15/26 (a)(f)(j) | | | 287 | |
1,122,500 | | Petroleos de Venezuela SA 144A, 8.50%, 10/27/20 (a)(f)(j) | | | 317 | |
5,085,000 | | Petroleos de Venezuela SA, 9.00%, 11/17/21 (c)(f)(j) | | | 240 | |
2,420,000 | | Venezuela Government International Bond, 7.00%, 3/31/38 (c)(f)(j) | | | 254 | |
7,789,000 | | Venezuela Government International Bond, 7.65%, 4/21/25 (c)(f)(j) | | | 806 | |
4,020,000 | | Venezuela Government International Bond, 7.75%, 10/13/19 (c)(f)(j) | | | 402 | |
9,060,000 | | Venezuela Government International Bond, 9.25%, 9/15/27 (f)(j) | | | 951 | |
| | | | | 3,560 | |
Virgin Islands (British) (USD) (1%) | | | | |
13,400,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (c) | | | 13,503 | |
Total Bonds (Cost - $1,004,029) | | | 980,068 | |
Investment Company (0%) | | | | |
4,799,101 | | Payden Cash Reserves Money Market Fund * (Cost - $4,799) | | | 4,799 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
Total Investments (Cost - $1,008,828) (99%) | | $ | 984,867 | |
Other Assets, net of Liabilities (1%) | | | 9,529 | |
Net Assets (100%) | | $ | 994,396 | |
| (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) Principal in foreign currency. |
| (c) | 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. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (e) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $2,944 and the total market value of the collateral held by the Fund is $3,088. Amounts in 000s. |
| (f) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (g) | Perpetual security with no stated maturity date. (h) Yield to maturity at time of purchase. |
| (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) | Non-income producing security. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | | | Currency Sold (000s) | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | |
BRL 41,635 | | | | USD 7,478 | | | HSBC Bank USA, N.A. | | | | 06/28/2021 | | | $ | 146 | |
EUR 407 | | | | USD 484 | | | Barclays Bank PLC | | | | 06/22/2021 | | | | 6 | |
INR 763,790 | | | | USD 10,045 | | | HSBC Bank USA, N.A. | | | | 07/16/2021 | | | | 149 | |
USD 10,890 | | | | THB 325,680 | | | Barclays Bank PLC | | | | 05/25/2021 | | | | 432 | |
USD 10,061 | | | | JPY 1,095,500 | | | Barclays Bank PLC | | | | 06/22/2021 | | | | 33 | |
USD 9,108 | | | | PEN 33,665 | | | Barclays Bank PLC | | | | 06/28/2021 | | | | 209 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | 975 | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
COP 18,482,000 | | | | USD 5,079 | | | Barclays Bank PLC | | | | 06/15/2021 | | | | (167 | ) |
EUR 8,332 | | | | USD 10,079 | | | Barclays Bank PLC | | | | 06/22/2021 | | | | (51) | |
MXN 37,240 | | | | USD 1,850 | | | HSBC Bank USA, N.A. | | | | 07/26/2021 | | | | (30) | |
USD 53,248 | | | | EUR 44,551 | | | Barclays Bank PLC | | | | 06/22/2021 | | | | (373) | |
USD 3,777 | | | | EUR 3,165 | | | Barclays Bank PLC | | | | 06/22/2021 | | | | (33) | |
USD 9,788 | | | | PHP 478,940 | | | Barclays Bank PLC | | | | 07/16/2021 | | | | (146) | |
USD 15,981 | | | | ZAR 240,630 | | | BNP PARIBAS | | | | 06/21/2021 | | | | (489) | |
USD 9,775 | | | | CLP 6,950,600 | | | HSBC Bank USA, N.A. | | | | 07/15/2021 | | | | — | |
ZAR 145,840 | | | | USD 10,213 | | | BNP PARIBAS | | | | 06/21/2021 | | | | (230 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (1,519 | ) |
| | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | (544) | |
| | | | | | | | | | | | | | | | |
102 Payden Mutual Funds
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: Republic of Chile), Pay 1% | | | 06/20/2026 | | | $ | 8,725 | | | $ | (216 | ) | | $ | (178 | ) | | $ | (38 | ) |
Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | |
Protection Bought (Relevant Credit: Republic of Peru), Pay 1% | | | 06/20/2026 | | | | 9,700 | | | | 17 | | | | (8 | ) | | | 25 | |
Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | (199 | ) | | $ | (186 | ) | | $ | (13 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 2,944 | |
Non-cash Collateral2 | | | (2,944 | ) |
| | | | |
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, 2021, 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
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 | | | 76% | | | |
| | Corporate | | | 22% | | | |
| | Cash equivalent | | | 2% | | | |
| | | | | | | | |
| | | | | | | | |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Bonds (96%) | | | | |
Argentina (ARS) (0%) | | | | |
8,765,600 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a)(b) | | $ | 78 | |
Brazil (BRL) (2%) | | | | |
715,000 | | Brazil Notas do Tesouro Nacional Serie B, 6.00%, 8/15/26 BRL (a) | | | 525 | |
2,340,747 | | Brazil Notas do Tesouro Nacional Serie B, 6.00%, 8/15/28 BRL (a) | | | 494 | |
1,245,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/25 BRL (a) | | | 245 | |
| | | | | 1,264 | |
| |
Chile (CLP) (2%) | | | | |
755,000,000 | | Bonos de la Tesoreria de la Republica en pesos, 4.50%, 3/01/26 CLP (a) | | | 1,152 | |
170,000,000 | | Bonos de la Tesoreria de la Republica en pesos, 5.00%, 3/01/35 CLP (a) | | | 256 | |
350,000,000 | | Bonos de la Tesoreria de la Republica en pesos, 6.00%, 1/01/43 CLP (a) | | | 585 | |
| | | | | 1,993 | |
| |
China (CNY) (9%) | | | | |
9,250,000 | | China Government Bond, 1.99%, 4/09/25 CNY (a) | | | 1,378 | |
16,550,000 | | China Government Bond, 2.85%, 6/04/27 CNY (a) | | | 2,521 | |
5,100,000 | | China Government Bond, 3.02%, 10/22/25 CNY (a) | | | 790 | |
7,600,000 | | China Government Bond, 3.12%, 12/05/26 CNY (a) | | | 1,182 | |
8,500,000 | | China Government Bond, 3.29%, 5/23/29 CNY (a) | | | 1,322 | |
| | | | | 7,193 | |
| |
Colombia (COP) (7%) | | | | |
2,935,475,550 | | Colombian TES, 3.30%, 3/17/27 COP (a) | | | 823 | |
3,568,000,000 | | Colombian TES, 6.00%, 4/28/28 COP (a) | | | 933 | |
2,400,000,000 | | Colombian TES, 7.50%, 8/26/26 COP (a) | | | 694 | |
1,540,000,000 | | Colombian TES, 7.75%, 9/18/30 COP (a) | | | 433 | |
4,399,000,000 | | Colombian TES, 10.00%, 7/24/24 COP (a) | | | 1,367 | |
1,245,000,000 | | Empresas Publicas de Medellin ESP 144A, 7.63%, 9/10/24 COP (a)(b) | | | 343 | |
1,436,000,000 | | Empresas Publicas de Medellin ESP 144A, 8.38%, 11/08/27 COP (a)(b) | | | 390 | |
1,585,000,000 | | Financiera de Desarrollo Territorial SA Findeter 144A, 7.88%, 8/12/24 COP (a)(b) | | | 453 | |
| | | | | 5,436 | |
| |
Czech Republic (CZK) (3%) | | | | |
16,500,000 | | Czech Republic Government Bond, | | | | |
| | 0.45%, 10/25/23 CZK (a)(c) | | | 758 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
5,300,000 | | Czech Republic Government Bond, 2.40%, 9/17/25 CZK (a)(c) | | $ | 258 | |
20,080,000 | | Czech Republic Government Bond, 2.75%, 7/23/29 CZK (a) | | | 1,014 | |
| | | | | 2,030 | |
| |
Dominica Republic (DOP) (0%) | | | | |
13,900,000 | | Dominican Republic International Bond 144A, 9.75%, 6/05/26 DOP (a)(b) | | | 271 | |
Ghana (USD) (0%) | | | | |
360,000 | | Ghana Government International Bond 144A, 7.75%, 4/07/29 (b) | | | 369 | |
Hungary (HUF) (4%) | | | | |
127,000,000 | | Hungary Government Bond, 2.50%, 10/24/24 HUF (a) | | | 442 | |
94,000,000 | | Hungary Government Bond, 3.00%, 6/26/24 HUF (a) | | | 332 | |
307,000,000 | | Hungary Government Bond, 3.00%, 8/21/30 HUF (a) | | | 1,085 | |
271,000,000 | | Hungary Government Bond, 3.25%, 10/22/31 HUF (a) | | | 970 | |
95,000,000 | | Hungary Government Bond, 5.50%, 6/24/25 HUF (a) | | | 368 | |
| | | | | 3,197 | |
| |
Indonesia (IDR) (4%) | | | | |
17,000,000,000 | | Indonesia Treasury Bond, 6.13%, 5/15/28 IDR (a) | | | 1,172 | |
8,600,000,000 | | Indonesia Treasury Bond, 8.38%, 3/15/24 IDR (a) | | | 646 | |
8,900,000,000 | | Indonesia Treasury Bond, 8.38%, 9/15/26 IDR (a) | | | 688 | |
4,500,000,000 | | Indonesia Treasury Bond, 8.38%, 3/15/34 IDR (a) | | | 345 | |
| | | | | 2,851 | |
| |
Kazakhstan (KZT) (2%) | | | | |
620,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a)(b) | | | 1,444 | |
Luxembourg (BRL) (1%) | | | | |
5,494,877 | | Swiss Insured Brazil Power Finance Sarl 144A, 9.85%, 7/16/32 BRL (a)(b) | | | 1,075 | |
Malaysia (MYR) (4%) | | | | |
1,385,000 | | Malaysia Government Bond, 3.89%, 3/15/27 MYR (a) | | | 358 | |
3,750,000 | | Malaysia Government Bond, 3.89%, 8/15/29 MYR (a) | | | 960 | |
3,950,000 | | Malaysia Government Bond, 3.90%, 11/16/27 MYR (a) | | | 1,021 | |
104 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,805,000 | | Malaysia Government Bond, 4.39%, 4/15/26 MYR (a) | | $ | 477 | |
1,700,000 | | Malaysia Government Bond, 4.76%, 4/07/37 MYR (a) | | | 447 | |
| | | | | 3,263 | |
| |
Mexico (MXN) (9%) | | | | |
72,300 | | America Movil SAB de CV, 6.45%, 12/05/22 MXN (a) | | | 362 | |
10,700,000 | | Comision Federal de Electricidad, 7.35%, 11/25/25 MXN (a) | | | 509 | |
7,270,000 | | Grupo Televisa SAB, 7.25%, 5/14/43 MXN (a) | | | 262 | |
7,570,000 | | Mexican Bonos, 7.75%, 11/23/34 MXN (a) | | | 392 | |
18,420,000 | | Mexican Bonos, 7.75%, 11/13/42 MXN (a) | | | 906 | |
5,300,000 | | Mexican Bonos, 8.00%, 12/07/23 MXN (a) | | | 279 | |
35,500,000 | | Mexican Bonos, 8.00%, 11/07/47 MXN (a) | | | 1,778 | |
10,700,000 | | Mexican Bonos, 8.50%, 5/31/29 MXN (a) | | | 589 | |
6,800,000 | | Mexican Bonos, 8.50%, 11/18/38 MXN (a) | | | 365 | |
18,473,710 | | Mexican Udibonos, 3.50%, 11/16/23 MXN (a) | | | 959 | |
9,200,000 | | Petroleos Mexicanos, 7.19%, 9/12/24 MXN (a) | | | 429 | |
16,240,000 | | Petroleos Mexicanos 144A, 7.65%, 11/24/21 MXN (a)(b) | | | 803 | |
| | | | | 7,633 | |
| |
Pakistan (USD) (1%) | | | | |
430,000 | | Pakistan Government International Bond 144A, 6.00%, 4/08/26 (b) | | | 443 | |
| |
Peru (PEN) (5%) | | | | |
2,520,000 | | Banco de Credito del Peru 144A, 4.65%, 9/17/24 PEN (a)(b) | | | 700 | |
2,545,000 | | Fondo MIVIVIENDA SA 144A, 7.00%, 2/14/24 PEN (a)(b) | | | 767 | |
4,930,000 | | Peru Government Bond, 5.40%, 8/12/34 PEN (a) | | | 1,244 | |
2,210,000 | | Peru Government Bond, 6.15%, 8/12/32 PEN (a) | | | 610 | |
1,250,000 | | Peruvian Government International Bond 144A, 6.35%, 8/12/28 PEN (a)(b) | | | 369 | |
1,700,000 | | Peruvian Government International Bond 144A, 6.95%, 8/12/31 PEN (a)(b) | | | 504 | |
| | | | | 4,194 | |
| |
Philippines (PHP) (1%) | | | | |
17,000,000 | | Philippine Government International Bond, 6.25%, 1/14/36 PHP (a) | | | 432 | |
| |
Poland (PLN) (3%) | | | | |
2,370,000 | | Republic of Poland Government Bond, 2.50%, 4/25/24 PLN (a) | | | 665 | |
3,970,000 | | Republic of Poland Government Bond, 2.50%, 7/25/26 PLN (a) | | | 1,132 | |
3,215,000 | | Republic of Poland Government Bond, 4.00%, 10/25/23 PLN (a) | | | 928 | |
| | | | | 2,725 | |
| |
Romania (RON) (2%) | | | | |
2,455,000 | | Romania Government Bond, 3.65%, 9/24/31 RON (a) | | | 621 | |
1,385,000 | | Romania Government Bond, 5.00%, 2/12/29 RON (a) | | | 387 | |
1,500,000 | | Romania Government Bond, 5.80%, 7/26/27 RON (a) | | | 432 | |
| | | | | 1,440 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Russian Federation (RUB) (9%) | | | | |
45,150,000 | | Russian Federal Bond - OFZ, 6.90%, 5/23/29 RUB (a) | | $ | 602 | |
45,000,000 | | Russian Federal Bond - OFZ, 7.00%, 8/16/23 RUB (a) | | | 613 | |
117,775,000 | | Russian Federal Bond - OFZ, 7.05%, 1/19/28 RUB (a) | | | 1,596 | |
106,000,000 | | Russian Federal Bond - OFZ, 7.15%, 11/12/25 RUB (a) | | | 1,453 | |
46,900,000 | | Russian Federal Bond - OFZ, 7.65%, 4/10/30 RUB (a) | | | 655 | |
33,000,000 | | Russian Federal Bond - OFZ, 7.70%, 3/23/33 RUB (a) | | | 462 | |
149,770,000 | | Russian Federal Bond - OFZ, 8.15%, 2/03/27 RUB (a) | | | 2,139 | |
| | | | | 7,520 | |
| |
South Africa (ZAR) (8%) | | | | |
56,700,000 | | Republic of South Africa Government Bond, 6.50%, 2/28/41 ZAR (a) | | | 2,476 | |
16,230,000 | | Republic of South Africa Government Bond, 8.50%, 1/31/37 ZAR (a) | | | 909 | |
47,600,000 | | Republic of South Africa Government Bond, 8.75%, 2/28/48 ZAR (a) | | | 2,615 | |
11,200,000 | | Transnet SOC Ltd. 144A, 9.50%, 5/13/21 ZAR (a)(b) | | | 773 | |
| | | | | 6,773 | |
| |
South Korea (MXN) (1%) | | | | |
12,000,000 | | Export-Import Bank of Korea, 7.93%, 7/30/26 MXN (a) | | | 632 | |
Thailand (THB) (3%) | | | | |
24,100,000 | | Thailand Government Bond, 3.30%, 6/17/38 THB (a) | | | 877 | |
44,300,000 | | Thailand Government Bond, 3.65%, 6/20/31 THB (a) | | | 1,669 | |
| | | | | 2,546 | |
| |
Turkey (TRY) (1%) | | | | |
3,300,000 | | Turkey Government Bond, 7.10%, 3/08/23 TRY (a) | | | 336 | |
2,320,000 | | Turkey Government Bond, 11.00%, 3/02/22 TRY (a) | | | 267 | |
| | | | | 603 | |
| |
Ukraine (UAH) (1%) | | | | |
11,570,000 | | Ukraine Government International Bond 144A, 11.67%, 11/22/23 UAH (a)(b) | | | 411 | |
United Kingdom (EGP) (2%) | | | | |
6,510,000 | | HSBC Bank PLC 144A, 14.35%, 7/16/25 EGP (a)(b)(c) | | | 416 | |
7,900,000 | | HSBC Bank PLC 144A, 14.56%, 10/18/27 EGP (a)(b)(c) | | | 506 | |
6,840,000 | | HSBC Bank PLC 144A, 14.61%, 9/10/25 EGP (a)(b)(c) | | | 441 | |
| | | | | 1,363 | |
| |
United Kingdom (IDR) (3%) | | | | |
14,600,000,000 | | Standard Chartered Bank 144A, 7.00%, 5/24/27 IDR (a)(b) | | | 1,064 | |
Semi-Annual Report 105
Payden Emerging Markets Local Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
5,000,000,000 | | Standard Chartered Bank 144A, 8.25%, 5/19/36 IDR (a)(b) | | $ | 381 | |
17,200,000,000 | | Standard Chartered Bank 144A, 8.38%, 3/17/34 IDR (a)(b) | | | 1,321 | |
| | | 2,766 | |
| |
United States (EGP) (2%) | | | | |
21,800,000 | | Citigroup Global Markets Holdings Inc. 144A, 12.47%, 9/02/21 EGP (a)(b)(d) | | | 1,337 | |
| |
United States (IDR) (4%) | | | | |
18,200,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.38%, 3/17/34 IDR (a)(b) | | | 1,398 | |
18,994,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 9.50%, 7/17/31 IDR (a)(b) | | | 1,571 | |
| | | 2,969 | |
| |
United States (KZT) (0%) | | | | |
147,200,000 | | Citigroup Global Markets Holdings Inc. 144A, 9.26%, 1/24/22 KZT (a)(b)(d) | | | 321 | |
| |
United States (UAH) (1%) | | | | |
16,500,000 | | Citigroup Global Markets Holdings Inc. 144A, 13.41%, 10/17/22 UAH (a)(b) | | | 620 | |
7,500,000 | | Citigroup Global Markets Holdings Inc. 144A, 15.92%, 11/19/21 UAH (a)(b) | | | 281 | |
7,500,000 | | Citigroup Global Markets Holdings Inc. 144A, 16.42%, 11/19/21 UAH (a)(b) | | | 280 | |
| | | 1,181 | |
| |
Uruguay (UYU) (2%) | | | | |
47,288,967 | | Uruguay Government International Bond, 3.88%, 7/02/40 UYU (a) | | | 1,254 | |
16,595,202 | | Uruguay Government International Bond, 4.38%, 12/15/28 UYU (a) | | | 452 | |
| | | 1,706 | |
Total Bonds (Cost - $83,126) | | | 77,459 | |
Investment Company (2%) | | | | |
1,719,882 | | Payden Cash Reserves Money Market Fund * (Cost - $1,720) | | | 1,720 | |
| |
Total Investments (Cost - $84,846) (98%) | | | 79,179 | |
Other Assets, net of Liabilities (2%) | | | 1,868 | |
| |
Net Assets (100%) | | $ | 81,047 | |
| (a) | Principal in foreign currency. |
| (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 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. |
| (d) | Yield to maturity at time of purchase. |
106 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | | | Counterparty | | | Settlement Date | | | Unrealized Appreciation (Depreciation) (000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
BRL 41,283 | | | USD 7,409 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/28/2021 | | | $ | 151 | |
CNH 31,716 | | | USD 4,857 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/17/2021 | | | | 37 | |
CZK 61,260 | | | USD 2,783 | | | | | | | | BNP PARIBAS | | | | 06/16/2021 | | | | 65 | |
EUR 525 | | | USD 627 | | | | | | | | Barclays Bank PLC | | | | 06/22/2021 | | | | 5 | |
HUF 141,700 | | | USD 470 | | | | | | | | Barclays Bank PLC | | | | 07/27/2021 | | | | 3 | |
INR 101,480 | | | USD 1,335 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/16/2021 | | | | 20 | |
MYR 935 | | | USD 226 | | | | | | | | Barclays Bank PLC | | | | 05/27/2021 | | | | 3 | |
PHP 5,390 | | | USD 111 | | | | | | | | Barclays Bank PLC | | | | 07/16/2021 | | | | 1 | |
PLN 14,963 | | | USD 3,946 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/28/2021 | | | | 1 | |
RON 4,745 | | | USD 1,153 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/27/2021 | | | | 1 | |
USD 150 | | | TRY 1,248 | | | | | | | | Barclays Bank PLC | | | | 05/26/2021 | | | | 1 | |
USD 1,676 | | | COP 6,103,000 | | | | | | | | Barclays Bank PLC | | | | 06/15/2021 | | | | 54 | |
USD 1,225 | | | JPY 133,400 | | | | | | | | Barclays Bank PLC | | | | 06/22/2021 | | | | 4 | |
USD 2,000 | | | PEN 7,410 | | | | | | | | Barclays Bank PLC | | | | 06/28/2021 | | | | 41 | |
ZAR 7,860 | | | USD 533 | | | | | | | | BNP PARIBAS | | | | 06/21/2021 | | | | 5 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 392 | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
CLP 358,847 | | | USD 507 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/15/2021 | | | | (2 | ) |
COP 1,244,000 | | | USD 339 | | | | | | | | Barclays Bank PLC | | | | 06/15/2021 | | | | (8 | ) |
EUR 1,253 | | | USD 1,515 | | | | | | | | Barclays Bank PLC | | | | 06/22/2021 | | | | (7 | ) |
MXN 11,290 | | | USD 561 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/26/2021 | | | | (9 | ) |
MYR 12,294 | | | USD 3,037 | | | | | | | | Barclays Bank PLC | | | | 05/27/2021 | | | | (39 | ) |
PEN 756 | | | USD 209 | | | | | | | | Barclays Bank PLC | | | | 06/28/2021 | | | | (9 | ) |
PEN 609 | | | USD 164 | | | | | | | | Barclays Bank PLC | | | | 06/28/2021 | | | | (3 | ) |
THB 139,330 | | | USD 4,646 | | | | | | | | Barclays Bank PLC | | | | 05/25/2021 | | | | (172 | ) |
TRY 8,625 | | | USD 1,183 | | | | | | | | Barclays Bank PLC | | | | 05/26/2021 | | | | (154 | ) |
USD 799 | | | THB 25,270 | | | | | | | | Barclays Bank PLC | | | | 05/25/2021 | | | | (13 | ) |
USD 329 | | | THB 10,340 | | | | | | | | Barclays Bank PLC | | | | 05/25/2021 | | | | (3 | ) |
USD 232 | | | TRY1,954 | | | | | | | | Barclays Bank PLC | | | | 05/26/2021 | | | | (1 | ) |
USD 648 | | | MYR 2,682 | | | | | | | | Barclays Bank PLC | | | | 05/27/2021 | | | | (6 | ) |
USD 248 | | | MYR 1,022 | | | | | | | | Barclays Bank PLC | | | | 05/27/2021 | | | | (1 | ) |
USD 3,335 | | | EUR 2,796 | | | | | | | | Barclays Bank PLC | | | | 06/22/2021 | | | | (30 | ) |
USD 1,649 | | | PHP 80,670 | | | | | | | | Barclays Bank PLC | | | | 07/16/2021 | | | | (25 | ) |
USD 1,415 | | | CZK 30,930 | | | | | | | | BNP PARIBAS | | | | 06/16/2021 | | | | (22 | ) |
USD 2,574 | | | ZAR 38,760 | | | | | | | | BNP PARIBAS | | | | 06/21/2021 | | | | (79 | ) |
USD 4,774 | | | CNH 31,181 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/17/2021 | | | | (37 | ) |
USD 1,868 | | | BRL 10,570 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/28/2021 | | | | (68 | ) |
USD 2,295 | | | CLP 1,631,800 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/15/2021 | | | | — | |
USD 112 | | | INR 8,570 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/16/2021 | | | | (2 | ) |
ZAR 22,250 | | | USD 1,554 | | | | | | | | BNP PARIBAS | | | | 06/21/2021 | | | | (31 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (721 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | (329 | ) |
| | | | | | | | | | | | | | | | | | | | |
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: Federative Republic of Peru), | | 06/20/2026 | | $1,065 | | $ | (71 | ) | | $ | (74 | ) | | $ | 3 | |
| | | | | | | | | | | | | | | | |
Pay 1% Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 107
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 | | | 83% | |
| | Bank Loans | | | 3% | |
| | Mortgage Backed | | | 2% | |
| | Foreign Government | | | 2% | |
| | Cash equivalent | | | 10% | |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Bonds (94%) | | | | |
Argentina (ARS) (0%) | | | | |
2,000,000 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a)(b) | | $ | 18 | |
Argentina (USD ) (1%) | | | | |
230,000 | | Capex SA 144A, 6.88%, 5/15/24 (b) | | | 209 | |
225,000 | | Pampa Energia SA 144A, 7.38%, 7/21/23 (b) | | | 211 | |
255,000 | | Provincia de Buenos Aires 144A, 6.50%, 2/15/23 (b) | | | 105 | |
70,000 | | Tecpetrol SA 144A, 4.88%, 12/12/22 (b) | | | 69 | |
| | | | | 594 | |
| |
Austria (USD) (1%) | | | | |
230,000 | | Klabin Austria GmbH 144A, 3.20%, 1/12/31 (b) | | | 219 | |
200,000 | | Klabin Austria GmbH 144A, 5.75%, 4/03/29 (b) | | | 223 | |
200,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49 (b) | | | 246 | |
| | | | | 688 | |
| |
Bahamas (USD) (1%) | | | | |
245,000 | | Intercorp Peru Ltd. 144A, 3.88%, 8/15/29 (b) | | | 240 | |
| |
Bermuda (USD) (3%) | | | | |
34,003 | | Digicel Group Holdings Ltd. 144A, 8.00%, 4/01/25 (b) | | | 28 | |
108,960 | | Digicel Group Holdings Ltd./JM, 10.00%, 4/01/24 | | | 107 | |
440,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (b) | | | 453 | |
200,000 | | Ooredoo International Finance Ltd. 144A, 5.00%, 10/19/25 (b) | | | 231 | |
320,000 | | Star Energy Geothermal Darajat II/Star Energy Geothermal Salak 144A, 4.85%, 10/14/38 (b) | | | 355 | |
285,000 | | Tengizchevroil Finance Co. International Ltd. 144A, 4.00%, 8/15/26 (b) | | | 308 | |
| | | | | 1,482 | |
| |
Brazil (USD) (3%) | | | | |
220,000 | | Banco BTG Pactual SA 144A, 2.75%, 1/11/26 (b) | | | 210 | |
430,000 | | BRF SA 144A, 5.75%, 9/21/50 (b) | | | 423 | |
310,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity +3.446%), 3.88%, 4/15/31 (b)(c) | | | 301 | |
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 (b)(c) | | | 202 | |
351,113 | | Prumo Participacoes e Investimentos S/A 144A, 7.50%, 12/31/31 (b) | | | 393 | |
456,905 | | USJ-Acucar e Alcool S/A 144A, 9.88%, 11/09/23 (b)(d) | | | 134 | |
| | | | | 1,663 | |
| |
Canada (USD) (2%) | | | | |
235,000 | | Baytex Energy Corp. 144A, 8.75%, 4/01/27 (b) | | | 218 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
400,000 | | First Quantum Minerals Ltd. 144A, 6.88%, 10/15/27 (b) | | $ | 439 | |
200,000 | | First Quantum Minerals Ltd. 144A, 7.25%, 4/01/23 (b) | | | 204 | |
240,000 | | IAMGOLD Corp. 144A, 5.75%, 10/15/28 (b) | | | 250 | |
200,000 | | Teine Energy Ltd. 144A, 6.88%, 4/15/29 (b) | | | 203 | |
| | | | | 1,314 | |
| |
Cayman Islands (USD) (8%) | | | | |
196,815 | | Bioceanico Sovereign Certificate Ltd. 144A, 3.02%, 6/05/34 (b)(e) | | | 145 | |
200,000 | | Country Garden Holdings Co. Ltd., 5.63%, 1/14/30 (f) | | | 217 | |
420,000 | | CSN Inova Ventures 144A, 6.75%, 1/28/28 (b) | | | 457 | |
340,000 | | Dar Al-Arkan Sukuk Co. Ltd., 6.75%, 2/15/25 (f) | | | 353 | |
305,000 | | Dar Al-Arkan Sukuk Co. Ltd., 6.88%, 4/10/22 (f) | | | 317 | |
400,000 | | DP World Salaam, (5 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity + 5.750%), 6.00%, (c)(f)(g) | | | 440 | |
200,000 | | Energuate Trust 144A, 5.88%, 5/03/27 (b) | | | 211 | |
200,000 | | Kaisa Group Holdings Ltd., 7.88%, 6/30/21 (f) | | | 201 | |
200,000 | | Kaisa Group Holdings Ltd., 8.50%, 6/30/22 (f) | | | 205 | |
200,000 | | Kaisa Group Holdings Ltd., 11.50%, 1/30/23 (f) | | | 208 | |
270,000 | | Melco Resorts Finance Ltd. 144A, 5.38%, 12/04/29 (b) | | | 288 | |
310,000 | | Melco Resorts Finance Ltd. 144A, 5.75%, 7/21/28 (b) | | | 334 | |
98,900 | | Odebrecht Oil & Gas Finance Ltd. 144A, 0.00%, (b)(e)(g) | | | 1 | |
210,000 | | Sands China Ltd., 5.40%, 8/08/28 | | | 239 | |
220,000 | | Saudi Electricity Global Sukuk Co. 4, 4.72%, 9/27/28 (f) | | | 259 | |
430,000 | | Wynn Macau Ltd. 144A, 5.63%, 8/26/28 (b) | | | 453 | |
| | | | | 4,328 | |
| |
Chile (USD) (2%) | | | | |
194,068 | | Celeo Redes Operacion Chile SA 144A, 5.20%, 6/22/47(b) | | | 228 | |
260,000 | | Chile Electricity PEC SpA 144A, 3.12%, 1/25/28 (b)(e) | | | 213 | |
240,000 | | Empresa Electrica Guacolda SA 144A, 4.56%, 4/30/25 (b) | | | 189 | |
200,000 | | VTR Comunicaciones SpA 144A, 4.38%, 4/15/29 (b) | | | 202 | |
| | | | | 832 | |
| |
Colombia (USD) (3%) | | | | |
210,000 | | Banco Davivienda SA 144A, (10 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.097%), 6.65%, (b)(c)(g) | | | 215 | |
108 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
215,000 | | Banco de Bogota SA 144A, 4.38%, 8/03/27 (b) | | $ | 229 | |
215,000 | | Banco de Bogota SA 144A, 6.25%, 5/12/26 (b) | | | 241 | |
210,000 | | Colombia Telecomunicaciones SA ESP 144A, 4.95%, 7/17/30 (b) | | | 222 | |
200,000 | | Grupo de Inversiones Suramericana SA 144A, 5.50%, 4/29/26 (b) | | | 223 | |
420,000 | | Oleoducto Central SA 144A, 4.00%, 7/14/27 (b) | | | 446 | |
| | | | | 1,576 | |
| |
Cyprus (USD) (0%) | | | | |
200,000 | | MHP SE 144A, 7.75%, 5/10/24 (b) | | | 212 | |
| |
Egypt (USD) (0%) | | | | |
200,000 | | Egypt Government International Bond 144A, 7.63%, 5/29/32 (b) | | | 213 | |
| |
Georgia (USD) (1%) | | | | |
210,000 | | Georgia Global Utilities JSC 144A, 7.75%, 7/30/25 (b) | | | 222 | |
200,000 | | Silknet JSC, 11.00%, 4/02/24 (f) | | | 218 | |
| | | | | 440 | |
| |
India (USD) (5%) | | | | |
440,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (b) | | | 442 | |
305,000 | | Adani Green Energy UP Ltd./Prayatna Developers Pvt. Ltd./Parampujya Solar Energy 144A, 6.25%, 12/10/24 (b) | | | 338 | |
200,000 | | Adani International Container Terminal Pvt. Ltd. 144A, 3.00%, 2/16/31 (b) | | | 190 | |
198,450 | | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt. Ltd./Wardha Solar Maharash 144A, 4.63%, 10/15/39 (b) | | | 202 | |
241,250 | | Adani Transmission Ltd. 144A, 4.25%, 5/21/36 (b) | | | 246 | |
210,000 | | ReNew Power Ltd. 144A, 6.45%, 9/27/22 (b) | | | 218 | |
210,000 | | ReNew Power Pvt. Ltd. 144A, 5.88%, 3/05/27 (b) | | | 224 | |
210,000 | | Shriram Transport Finance Co. Ltd. 144A, 4.40%, 3/13/24 (b) | | | 209 | |
420,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (b) | | | 429 | |
| | | | | 2,498 | |
| |
Indonesia (USD) (0%) | | | | |
200,000 | | Cikarang Listrindo Tbk PT, 4.95%, 9/14/26 (f) | | | 206 | |
| |
Ireland (USD) (1%) | | | | |
600,000 | | C&W Senior Financing DAC 144A, 7.50%, 10/15/26 (b) | | | 635 | |
| |
Isle of Man (USD) (1%) | | | | |
400,000 | | AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 | | | 416 | |
70,000 | | AngloGold Ashanti Holdings PLC, 6.50%, 4/15/40 | | | 85 | |
| | | | | 501 | |
| |
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 (b)(c)(f) | | | 424 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
210,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (b)(f) | | $ | 217 | |
210,000 | | Leviathan Bond Ltd. 144A, 6.75%, 6/30/30 (b)(f) | | | 236 | |
250,000 | | Mizrahi Tefahot Bank Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.250%), 3.08%, 4/07/31 (b)(c)(f) | | | 255 | |
| | | | | 1,132 | |
| |
Jersey (USD) (1%) | | | | |
420,000 | | Galaxy Pipeline Assets Bidco Ltd. 144A, 2.63%, 3/31/36 (b) | | | 408 | |
210,000 | | Oriflame Investment Holding PLC 144A, 5.13%, 5/04/26 (b) | | | 211 | |
| | | | | 619 | |
| |
Kazakhstan (KZT) (0%) | | | | |
70,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a)(b) | | | 163 | |
Luxembourg (USD) (5%) | | | | |
220,000 | | B2W Digital Lux Sarl 144A, 4.38%, 12/20/30 (b) | | | 217 | |
420,000 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (b) | | | 438 | |
230,000 | | Hidrovias International Finance SARL 144A, 4.95%, 2/08/31 (b) | | | 234 | |
304,561 | | JBS USA LUX SA Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.11%, 5/01/26 (h) | | | 304 | |
210,000 | | MHP Lux SA 144A, 6.25%, 9/19/29 (b) | | | 204 | |
200,000 | | Millicom International Cellular SA 144A, 4.50%, 4/27/31 (b) | | | 213 | |
180,000 | | Millicom International Cellular SA 144A, 5.13%, 1/15/28 (b) | | | 190 | |
210,000 | | Rumo Luxembourg Sarl 144A, 5.25%, 1/10/28 (b) | | | 224 | |
270,000 | | Tupy Overseas SA 144A, 4.50%, 2/16/31 (b) | | | 269 | |
260,000 | | Unigel Luxembourg SA 144A, 8.75%, 10/01/26 (b) | | | 282 | |
| | | | | 2,575 | |
| |
Marshall Islands (USD) (1%) | | | | |
350,000 | | Nakilat Inc. 144A, 6.07%, 12/31/33 (b) | | | 433 | |
| |
Mauritius (USD) (3%) | | | | |
200,000 | | Azure Power Energy Ltd. 144A, 5.50%, 11/03/22 (b) | | | 204 | |
200,000 | | Azure Power Solar Energy Pvt. Ltd. 144A, 5.65%, 12/24/24 (b) | | | 212 | |
200,000 | | Clean Renewable Power Mauritius Pte Ltd. 144A, 4.25%, 3/25/27 (b) | | | 202 | |
250,000 | | Cliffton Ltd. 144A, 6.25%, 10/25/25 (b) | | | 250 | |
260,000 | | India Green Power Holdings 144A, 4.00%, 2/22/27 (b) | | | 260 | |
260,000 | | India Toll Roads 144A, 5.50%, 8/19/24 (b) | | | 249 | |
410,000 | | Network i2i Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.277%), 5.65%, (b)(c)(g) | | | 438 | |
| | | | | 1,815 | |
| |
Mexico (MXN) (0%) | | | | |
2,200,000 | | Mexican Bonos, 8.50%, 5/31/29 MXN (a) | | | 121 | |
1,600,000 | | Mexican Bonos, 8.50%, 11/18/38 MXN (a) | | | 86 | |
| | | | | 207 | |
Semi-Annual Report 109
Payden Emerging Markets Corporate Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Mexico (USD) (9%) | | | | |
415,000 | | Banco Mercantil del Norte SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.035%), 6.88%, (b)(c)(g) | | $ | 429 | |
200,000 | | Banco Mercantil del Norte SA 144A, (10 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.470%), 7.50%, (b)(c)(g) | | | 222 | |
400,000 | | 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 (b)(c)(i) | | | 435 | |
205,000 | | BBVA Bancomer SA 144A, 6.75%, 9/30/22 (b) | | | 221 | |
220,000 | | Cemex SAB de CV 144A, 5.20%, 9/17/30 (b) | | | 240 | |
400,000 | | Cibanco SA Ibm/PLA Administradora Industrial S de RL de CV 144A, 4.96%, 7/18/29 (b) | | | 444 | |
274,200 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 (b) | | | 311 | |
433,460 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (b) | | | 498 | |
200,000 | | Grupo Bimbo SAB de CV 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.280%), 5.95%, (b)(c)(g) | | | 213 | |
205,000 | | Mexico City Airport Trust 144A, 3.88%, 4/30/28 (b) | | | 212 | |
217,678 | | Mexico Generadora de Energia S de rl 144A, 5.50%, 12/06/32 (b) | | | 248 | |
60,000 | | Petroleos Mexicanos, 6.49%, 1/23/27 | | | 64 | |
141,000 | | Petroleos Mexicanos, 6.84%, 1/23/30 | | | 145 | |
400,000 | | Trust Fibra Uno 144A, 4.87%, 1/15/30 (b) | | | 440 | |
217,000 | | Trust Fibra Uno 144A, 5.25%, 1/30/26 (b)(i) | | | 245 | |
210,000 | | Trust Fibra Uno 144A, 6.39%, 1/15/50 (b) | | | 240 | |
| | | | | 4,607 | |
| |
Netherlands (USD) (8%) | | | | |
320,000 | | AES Andres BV 144A, 5.70%, 5/04/28 (b) | | | 320 | |
210,000 | | Equate Petrochemical BV 144A, 2.63%, 4/28/28 (b) | | | 211 | |
200,000 | | Lukoil Securities BV 144A, 3.88%, 5/06/30 (b) | | | 210 | |
435,000 | | Minejesa Capital BV 144A, 5.63%, 8/10/37 (b) | | | 462 | |
189,264 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (b) | | | 201 | |
130,000 | | Petrobras Global Finance BV, 5.60%, 1/03/31 | | | 141 | |
380,000 | | Petrobras Global Finance BV, 6.00%, 1/27/28 | | | 430 | |
90,000 | | Petrobras Global Finance BV, 8.75%, 5/23/26 | | | 115 | |
640,000 | | Prosus NV 144A, 4.03%, 8/03/50 (b) | | | 599 | |
890,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.75%, 3/01/28 (i) | | | 971 | |
560,000 | | VTR Finance NV 144A, 6.38%, 7/15/28 (b) | | | 606 | |
| | | | | 4,266 | |
| |
Nigeria (USD) (0%) | | | | |
216,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (b) | | | 229 | |
| |
Panama (USD) (1%) | | | | |
220,000 | | AES Panama Generation Holdings SRL 144A, 4.38%, 5/31/30 (b) | | | 228 | |
210,000 | | Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd. 144A, 8.38%, 5/10/20 (b)(d) | | | 2 | |
226,773 | | UEP Penonome II SA 144A, 6.50%, 10/01/38 (b) | | | 228 | |
| | | | | 458 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
Peru (USD) (1%) | | | | |
220,000 | | Auna SAA 144A, 6.50%, 11/20/25 (b) | | $ | 222 | |
200,000 | | Kallpa Generacion SA 144A, 4.88%, 5/24/26 (b) | | | 211 | |
200,000 | | SAN Miguel Industrias Pet SA 144A, 4.50%, 9/18/22 (b) | | | 202 | |
| | | | | 635 | |
| |
Qatar (USD) (1%) | | | | |
288,330 | | Ras Laffan Liquefied Natural Gas Co. Ltd. 3 144A, 5.84%, 9/30/27 (b) | | | 331 | |
| |
Russian Federation (RUB) (0%) | | | | |
9,150,000 | | Russian Federal Bond - OFZ, 6.90%, 5/23/29 RUB (a) | | | 122 | |
| |
Saudi Arabia (USD) (0%) | | | | |
220,000 | | Saudi Arabian Oil Co. 144A, 2.25%, 11/24/30 (b) | | | 213 | |
| |
Singapore (USD) (1%) | | | | |
200,000 | | Continuum Energy Levanter Pte Ltd. 144A, 4.50%, 2/09/27 (b) | | | 204 | |
200,000 | | Marble II Pte Ltd. 144A, 5.30%, 6/20/22 (b) | | | 201 | |
| | | | | 405 | |
| |
Spain (USD) (1%) | | | | |
250,000 | | AI Candelaria Spain SLU 144A, 7.50%, 12/15/28 (b) | | | 286 | |
430,000 | | EnfraGen Energia Sur SA/EnfraGen Spain SA/Prime Energia SpA 144A, 5.38%, 12/30/30 (b) | | | 428 | |
| | | | | 714 | |
| |
Sri Lanka (USD) (0%) | | | | |
250,000 | | Sri Lanka Government International Bond 144A, 6.85%, 11/03/25 (b) | | | 168 | |
| |
SUPRANATIONAL (USD) (1%) | | | | |
200,000 | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc. 144A, 5.25%, 8/15/27 (b) | | | 205 | |
210,000 | | ATP Tower Holdings LLC/Andean Tower Partners Colombia SAS/Andean Telecom Par 144A, 4.05%, 4/27/26 (b) | | | 207 | |
| | | | | 412 | |
| |
Thailand (USD) (1%) | | | | |
200,000 | | Bangkok Bank PCL 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.900%), 3.73%, 9/25/34 (b) (c) | | | 204 | |
420,000 | | Bangkok Bank PCL 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.729%), 5.00%, (b) (c) (g) | | | 442 | |
| | | | | 646 | |
| |
Turkey (USD) (3%) | | | | |
400,000 | | Turkcell Iletisim Hizmetleri AS 144A, 5.80%, 4/11/28 (b) | | | 420 | |
255,000 | | Turkiye Garanti Bankasi AS 144A, (5 yr. Swap Semi 30/360 USD + 4.220%), 6.13%, 5/24/27 (b) (c) | | | 254 | |
420,000 | | Turkiye Sise ve Cam Fabrikalari AS 144A, 6.95%, 3/14/26 (b) | | | 465 | |
200,000 | | Ulker Biskuvi Sanayi AS 144A, 6.95%, 10/30/25 (b) | | | 216 | |
| | | | | 1,355 | |
110 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Ukraine (USD) (0%) | | | | |
225,000 | | Ukraine Government International Bond 144A, 7.25%, 3/15/33 (b) | | $ | 226 | |
| |
United Arab Emirates (USD) (5%) | | | | |
730,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (b) | | | 855 | |
200,000 | | DP World PLC 144A, 6.85%, 7/02/37 (b) | | | 267 | |
280,000 | | Emirates Semb Corp. Water & Power Co. PJSC 144A, 4.45%, 8/01/35 (b)(i) | | | 322 | |
415,000 | | NBK Tier 1 Financing 2 Ltd., (6 yr. Swap Semi 30/360 US + 2.832%), 4.50%, (c)(f)(g) | | | 435 | |
290,000 | | NBK Tier 1 Financing Ltd. 144A, (6 yr. Swap Semi 30/360 US + 2.875%), 3.63%, (b)(c)(g) | | | 289 | |
200,000 | | Ruwais Power Co. PJSC 144A, 6.00%, 8/31/36 (b) | | | 265 | |
| | | | | 2,433 | |
| |
United Kingdom (EGP) (0%) | | | | |
1,600,000 | | HSBC Bank PLC 144A, 14.37%, 10/22/25 EGP (a)(b) | | | 102 | |
| |
United Kingdom (USD) (2%) | | | | |
300,000 | | MARB BondCo PLC 144A, 3.95%, 1/29/31 (b) | | | 286 | |
640,000 | | Vedanta Resources Finance II PLC 144A, 8.95%, 3/11/25 (b) | | | 636 | |
340,000 | | Vedanta Resources Finance II PLC 144A, 13.88%, 1/21/24 (b) | | | 373 | |
| | | | | 1,295 | |
| |
United States (EGP) (1%) | | | | |
4,000,000 | | Citigroup Global Markets Holdings Inc. 144A, 0.00%, 9/02/21 EGP (a)(b)(e) | | | 245 | |
| |
United States (IDR) (1%) | | | | |
6,700,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.25%, 5/17/36 IDR (a)(b) | | | 511 | |
| |
United States (USD) (12%) | | | | |
125,000 | | American Airlines Inc. Term Loan 1L, (LIBOR USD 1-Month + 4.750%), 5.50%, 3/24/28 | | | 129 | |
426,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.00%, 11/01/25 (h) | | | 474 | |
350,000 | | California Resources Corp. 144A, 7.13%, 2/01/26 (b) | | | 359 | |
250,000 | | Callon Petroleum Co. 144A, 9.00%, 4/01/25 (b) | | | 260 | |
230,000 | | Centennial Resource Production LLC 144A, 6.88%, 4/01/27 (b)(i) | | | 217 | |
82,451 | | Connecticut Avenue Securities Trust 2018-R07 144A, (1 mo. LIBOR USD + 2.400%), 2.51%, 4/25/31 (b)(c) | | | 83 | |
160,836 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.150%), 2.26%, 10/25/30 (c) | | | 163 | |
90,454 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 2.31%, 8/25/30 (c) | | | 92 | |
145,154 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.550%), 2.66%, 12/25/30 (c) | | | 148 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
190,639 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 2.76%, 1/25/49 (b)(c) | | $ | 195 | |
72,392 | | Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 2.350%), 2.46%, 2/25/49 (b)(c) | | | 73 | |
76,176 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 4/25/49 (b)(c) | | | 77 | |
167,861 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%), 2.41%, 9/25/30 (c) | | | 170 | |
235,000 | | General Motors Financial Co. Inc., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.997%), 5.70%, (c)(g) | | | 263 | |
200,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 3.598%), 5.75%, (c)(g) | | | 218 | |
200,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26 (b) | | | 201 | |
200,000 | | IRB Holding Corp. 144A, 6.75%, 2/15/26 (b) | | | 207 | |
235,000 | | K-MAC Holdings Corp. Term Loan 2L, (LIBOR USD 1-Month + 6.750%), 6.86%, 3/16/26 (h) | | | 234 | |
120,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 124 | |
250,000 | | Macy’s Retail Holdings LLC 144A, 5.88%, 4/01/29 (b)(i) | | | 257 | |
230,000 | | MercadoLibre Inc., 3.13%, 1/14/31 | | | 220 | |
200,000 | | NBM U.S. Holdings Inc. 144A, 7.00%, 5/14/26 (b) | | | 215 | |
285,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 3.86%, 4/25/43 (b)(c) | | | 293 | |
200,000 | | Stillwater Mining Co. 144A, 6.13%, 6/27/22 (b) | | | 201 | |
510,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD 1-Month + 7.500%), 8.25%, 2/05/28 (h) | | | 510 | |
400,000 | | Terraform Global Operating LLC 144A, 6.13%, 3/01/26 (b) | | | 411 | |
242,625 | | United Airlines 2020-1 Class B Pass-Through Trust, 4.88%, 1/15/26 | | | 257 | |
250,000 | | Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC 144A, 6.50%, 2/15/29 (b) | | | 249 | |
| | | | | 6,300 | |
| |
Virgin Islands (British) (USD) (2%) | | | | |
100,000 | | Arcos Dorados Holdings Inc. 144A, 6.63%, 9/27/23 (b) | | | 109 | |
200,000 | | Gold Fields Orogen Holdings BVI Ltd. 144A, 6.13%, 5/15/29 (b) | | | 237 | |
205,000 | | Huarong Finance 2019 Co. Ltd., 3.88%, 11/13/29 (f) | | | 153 | |
200,000 | | Sino-Ocean Land Treasure Finance II Ltd., 5.95%, 2/04/27 (f) | | | 223 | |
230,000 | | Studio City Finance Ltd. 144A, 5.00%, 1/15/29 (b) | | | 235 | |
| | | | | 957 | |
| |
Total Bonds (Cost - $49,939) | | | 51,014 | |
Investment Company (11%) | | | | |
5,835,600 | | Payden Cash Reserves Money Market Fund * (Cost - $5,836) | | | 5,836 | |
Semi-Annual Report 111
Payden Emerging Markets Corporate Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Total Investments (Cost - $55,775) (105%) | | $ | 56,850 | |
Liabilities in excess of Other Assets (-5%) | | | (2,673 | ) |
| | | | | | |
Net Assets (100%) | | $ | 54,177 | |
| | | | | | |
| (a) | Principal in foreign currency. |
| (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, 2021. |
| (d) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (e) | Yield to maturity at time of purchase. |
| (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) | Perpetual security with no stated maturity date. |
| (h) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (i) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $1,943 and the total market value of the collateral held by the Fund is $2,015. Amounts in 000s. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
USD 392 | | | THB 11,730 | | | | | | | | Barclays Bank PLC | | | | 05/25/2021 | | | $ | 15 | |
USD 225 | | | MXN 4,520 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/26/2021 | | | | 4 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 19 | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
RUB 9,300 | | | USD 125 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/19/2021 | | | | (1 | ) |
USD 299 | | | IDR 4,408,000 | | | | | | | | Barclays Bank PLC | | | | 06/14/2021 | | | | (5 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (6 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | 13 | |
| | | | | | | | | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | Expiration Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(000s) | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 10-Year Note Future | | | 17 | | | | Jun-21 | | | $ | (2,245 | ) | | $ | 23 | | | $ | 23 | |
| | | | | | | | | | | | | | | | | | | | |
112 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) | |
Bought (Relevant Credit: Federative Republic of Brazil), Pay 1% Quarterly, Receive upon credit default | | | 06/22/2026 | | | $ | 870 | | | $ | 37 | | | $ | 52 | | | $ | (15 | ) |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 1,943 | |
Non-cash Collateral2 | | | (1,943 | ) |
| | | | |
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, 2021, 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 113
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 | | | 25% | |
| | Healthcare | | | 15% | |
| | Industrials | | | 10% | |
| | Energy | | | 10% | |
| | Technology | | | 9% | |
| | Other | | | 31% | |
| | | | | | | | |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Stocks (97%) | | | | |
Common Stock (90%) | | | | |
Communication Services (4%) | | | | |
706,900 | | Comcast Corp., Class A | | $ | 39,692 | |
536,700 | | Verizon Communications Inc. | | | 31,016 | |
| | | | | 70,708 | |
Consumer Discretionary (6%) | | | | |
125,300 | | Advance Auto Parts Inc. | | | 25,080 | |
73,700 | | Home Depot Inc. | | | 23,854 | |
77,900 | | McDonald’s Corp. | | | 18,391 | |
158,000 | | Starbucks Corp. | | | 18,089 | |
252,700 | | TJX Cos. Inc. | | | 17,942 | |
| | | | | 103,356 | |
Consumer Staples (8%) | | | | |
491,600 | | Coca-Cola Co. | | | 26,537 | |
453,700 | | Conagra Brands Inc. | | | 16,828 | |
75,800 | | Constellation Brands Inc., Class A | | | 18,216 | |
69,400 | | Costco Wholesale Corp. | | | 25,823 | |
125,700 | | PepsiCo Inc. | | | 18,121 | |
186,200 | | Walmart Inc. | | | 26,051 | |
| | | | | 131,576 | |
Energy (10%) | | | | |
570,500 | | Canadian Natural Resources Ltd. (a) | | | 17,317 | |
302,800 | | Chevron Corp. | | | 31,210 | |
480,100 | | Exxon Mobil Corp. | | | 27,481 | |
328,300 | | NextEra Energy Inc. | | | 25,446 | |
912,300 | | Tourmaline Oil Corp. (a) | | | 19,684 | |
312,800 | | Valero Energy Corp. | | | 23,135 | |
1,111,600 | | Williams Cos. Inc. | | | 27,078 | |
| | | | | 171,351 | |
Financials (19%) | | | | |
112,900 | | Ameriprise Financial Inc. | | | 29,173 | |
877,600 | | Bank of America Corp. | | | 35,569 | |
22,100 | | BlackRock Inc. | | | 18,107 | |
545,200 | | Citigroup Inc. | | | 38,840 | |
405,900 | | Citizens Financial Group Inc. | | | 18,785 | |
803,400 | | Fifth Third Bancorp | | | 32,570 | |
105,400 | | Goldman Sachs Group Inc. | | | 36,727 | |
224,000 | | JPMorgan Chase & Co. | | | 34,453 | |
434,300 | | Morgan Stanley | | | 35,852 | |
168,200 | | PNC Financial Services Group Inc. | | | 31,445 | |
388,200 | | Truist Financial Corp. | | | 23,024 | |
| | | | | 334,545 | |
Healthcare (15%) | | | | |
140,900 | | Abbott Laboratories | | | 16,919 | |
177,900 | | AbbVie Inc. | | | 19,836 | |
117,100 | | Amgen Inc. | | | 28,062 | |
51,900 | | Anthem Inc. | | | 19,690 | |
368,700 | | Bristol Myers Squibb Co. | | | 23,014 | |
332,700 | | CVS Health Corp. | | | 25,418 | |
90,300 | | Eli Lilly and Co. | | | 16,504 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
147,800 | | Johnson & Johnson | | $ | 24,052 | |
175,900 | | Medtronic PLC | | | 23,029 | |
330,900 | | Merck & Co. Inc. | | | 24,652 | |
424,900 | | Pfizer Inc. | | | 16,422 | |
35,300 | | UnitedHealth Group Inc. | | | 14,078 | |
| | | | | 251,676 | |
Industrials (10%) | | | | |
186,900 | | Dover Corp. | | | 27,884 | |
373,500 | | Emerson Electric Co. | | | 33,798 | |
66,500 | | FedEx Corp. | | | 19,306 | |
137,100 | | Honeywell International Inc. | | | 30,579 | |
163,500 | | PACCAR Inc. | | | 14,695 | |
95,400 | | Stanley Black & Decker Inc. | | | 19,726 | |
121,700 | | Union Pacific Corp. | | | 27,028 | |
| | | | | 173,016 | |
Materials (5%) | | | | |
406,600 | | DuPont de Nemours Inc. | | | 31,353 | |
107,900 | | Eastman Chemical Co. | | | 12,450 | |
393,200 | | Newmont Corp. | | | 24,540 | |
333,900 | | Westrock Co. | | | 18,615 | |
| | | | | 86,958 | |
Technology (9%) | | | | |
174,000 | | Apple Inc. | | | 22,874 | |
57,600 | | Broadcom Inc. | | | 26,277 | |
109,900 | | International Business Machines Corp. | | | 15,593 | |
71,700 | | Microsoft Corp. | | | 18,081 | |
187,200 | | Paychex Inc. | | | 18,250 | |
164,100 | | QUALCOMM Inc. | | | 22,777 | |
90,400 | | Texas Instruments Inc. | | | 16,318 | |
78,200 | | Visa Inc., Class A | | | 18,265 | |
| | | | | 158,435 | |
Utilities (4%) | | | | |
287,900 | | American Electric Power Co. Inc. | | | 25,540 | |
136,800 | | DTE Energy Co. | | | 19,155 | |
303,200 | | Duke Energy Corp. | | | 30,529 | |
| | | | | 75,224 | |
Total Common Stock | | | 1,556,845 | |
Preferred Stock (0%) | | | | |
130,000 | | Selective Insurance Group Inc., 4.60% (b) | | | 3,251 | |
Total Preferred Stock | | | 3,251 | |
Real Estate Investment Trust (7%) | | | | |
101,500 | | Alexandria Real Estate Equities Inc. | | | 18,382 | |
68,400 | | American Tower Corp. | | | 17,426 | |
114,700 | | Digital Realty Trust Inc. | | | 17,699 | |
563,900 | | Healthcare Trust of America Inc., Class A | | | 16,562 | |
878,900 | | Kimco Realty Corp. | | | 18,457 | |
182,800 | | Prologis Inc. | | | 21,302 | |
152,600 | | Simon Property Group Inc. | | | 18,577 | |
Total Real Estate Investment Trust | | | 128,405 | |
Total Stocks (Cost - $1,357,763) | | | 1,688,501 | |
114 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Corporate Bond (1%) | | | | |
6,000,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 3.436%) 6.50% (c)(d) | | $ | 6,671 | |
2,800,000 | | Land O’ Lakes Inc. 144A, 7.00% (c)(e) | | | 2,874 | |
| |
Total Corporate Bond (Cost - $8,222) | | | 9,545 | |
| |
Investment Company (2%) | | | | |
38,144,133 | | Payden Cash Reserves Money Market Fund *
(Cost - $38,144) | | $ | 38,144 | |
| |
Total Investments (Cost - $1,404,129) (100%) | | | 1,736,190 | |
Other Assets, net of Liabilities (0%) | | | 1,542 | |
| |
Net Assets (100%) | | $ | 1,737,732 | |
| (a) | Principal in foreign currency. |
| (b) | Non-income producing security. |
| (c) | Perpetual security with no stated maturity date. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. |
| (e) | 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: | | | | | | | | | | | | | | | | | | | | |
CAD 28,368 | | | USD 22,650 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/22/2021 | | | $ | 432 | |
USD 160 | | | GBP 115 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/22/2021 | | | | 1 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 433 | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
USD 60,781 | | | CAD 75,900 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/22/2021 | | | | (977 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | (544 | ) |
| | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 115
| | |
Statements of Assets & Liabilities | | |
April 30, 2021 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | Payden | | | | | | Payden | | | | | | | | | | |
| | | Cash Reserves | | | | | | Limited | | | | | | Payden | | | | |
| | | Money Market | | | | | | Maturity | | | | | | Low Duration | | | | |
| | | Fund | | | | | | Fund | | | | | | Fund | | | | |
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value * | | $ | 239,139 | | | | | | | $ | 2,256,263 | | | | | | | $ | 1,680,573 | | | | | |
Affiliated investments, at value ** | | | — | | | | | | | | 10,052 | | | | | | | | 4,215 | | | | | |
Repurchase agreements, at value *** | | | 110,000 | | | | | | | | — | | | | | | | | — | | | | | |
Foreign cash **** | | | — | | | | | | | | 39 | | | | | | | | 19 | | | | | |
Cash. | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Cash pledged for financial futures contracts | | | — | | | | | | | | 2,100 | | | | | | | | 51 | | | | | |
Cash pledged for centrally cleared swaps | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Cash pledged for OTC derivatives | | | — | | | | | | | | — | | | | | | | | 610 | | | | | |
Receivable for: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest and dividends | | | 55 | | | | | | | | 5,608 | | | | | | | | 3,953 | | | | | |
Investments sold | | | — | | | | | | | | 339 | | | | | | | | 28,815 | | | | | |
Fund shares sold | | | 13 | | | | | | | | 19 | | | | | | | | 1,217 | | | | | |
Futures | | | — | | | | | | | | — | | | | | | | | 5 | | | | | |
Forward currency contracts | | | — | | | | | | | | 62 | | | | | | | | 15 | | | | | |
Variation margin on centrally cleared swaps | | | — | | | | | | | | — | | | | | | | | 1 | | | | | |
Receivable from Advisor (Note 3) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Other assets | | | 329 | | | | | | | | 15 | | | | | | | | 13 | | | | | |
Total Assets | | | 349,536 | | | | | | | | 2,274,497 | | | | | | | | 1,719,487 | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for: | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | — | | | | | | | | 882 | | | | | | | | 326 | | | | | |
Forward currency contracts | | | — | | | | | | | | 2,209 | | | | | | | | 522 | | | | | |
Investments purchased | | | — | | �� | | | | | | 52,804 | | | | | | | | 40,826 | | | | | |
Fund shares redeemed | | | — | | | | | | | | 475 | | | | | | | | 645 | | | | | |
Futures | | | — | | | | | | | | 13 | | | | | | | | 42 | | | | | |
Variation margin on centrally cleared swaps | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Distributions payable | | | 6 | | | | | | | | 24 | | | | | | | | 66 | | | | | |
Liability for securities on loan (Note 2) | | | — | | | | | | | | 314 | | | | | | | | 991 | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | 4 | | | | | | | | 85 | | | | | | | | 250 | | | | | |
Administration fees (Note 3) | | | 38 | | | | | | | | 258 | | | | | | | | 199 | | | | | |
Distribution fees (Note 3) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Trustee fees and expenses | | | 10 | | | | | | | | 52 | | | | | | | | 63 | | | | | |
Other liabilities | | | 79 | | | | | | | | 263 | | | | | | | | 444 | | | | | |
Total Liabilities | | | 137 | | | | | | | | 57,379 | | | | | | | | 44,374 | | | | | |
NET ASSETS | | $ | 349,399 | | | | | | | $ | 2,217,118 | | | | | | | $ | 1,675,113 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | $ | 349,396 | | | | | | | $ | 2,211,900 | | | | | | | $ | 1,658,282 | | | | | |
Distributable earnings (loss) | | | 3 | | | | | | | | 5,218 | | | | | | | | 16,831 | | | | | |
NET ASSETS. | | $ | 349,399 | | | | | | | $ | 2,217,118 | | | | | | | $ | 1,675,113 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | $ | 349,399 | | | | | | | $ | 2,217,118 | | | | | | | $ | 1,675,113 | | | | | |
Shares Outstanding | | | 349,390 | | | | | | | | 232,711 | | | | | | | | 164,518 | | | | | |
Net Asset Value Per Share | | $ | 1.00 | | | | | | | $ | 9.53 | | | | | | | $ | 10.18 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Shares Outstanding | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Net Asset Value Per Share | | | — | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* Investments, at cost | | $ | 239,139 | | | | | | | $ | 2,247,430 | | | | | | | $ | 1,670,686 | | | | | |
** Affiliated investments, at cost | | | — | | | | | | | | 10,052 | | | | | | | | 4,215 | | | | | |
*** Repurchase agreements, at cost | | | 110,000 | | | | | | | | — | | | | | | | | — | | | | | |
**** Foreign cash, at cost | | | — | | | | | | | | 39 | | | | | | | | 19 | | | | | |
See notes to financial statements.
116 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Payden | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| U.S. | | | | | | | | | Payden | | | | | | | | | Payden | | | | | | | | | Payden | | | | | | | | | Payden | | | | | | | | | Payden | | | | | | Payden | |
| Government | | | | | | | | | GNMA | | | | | | | | | Core Bond | | | | | | | | | Corporate Bond | | | | | | | | | Strategic Income | | | | | | | | | Absolute Return | | | | | | Floating Rate | |
| Fund | | | | | | | | | Fund | | | | | | | | | Fund | | | | | | | | | Fund | | | | | | | | | Fund | | | | | | | | | Bond Fund | | | | | | Fund | |
| | | | $ | 31,513 | | | | | | | | | | | | | | | $ | 156,475 | | | | | | | | | | | $ | 1,253,785 | | | | | | | | | | | $ | 437,649 | | | | | | | | | | | $ | 183,763 | | | | | | | | | | | $ | 953,188 | | | | | | | | | | | $ | 102,545 | | | | | |
| | | | | 143 | | | | | | | | | | | | | | | | 1,840 | | | | | | | | | | | | 3,456 | | | | | | | | | | | | 7,032 | | | | | | | | | | | | 2,632 | | | | | | | | | | | | 10,204 | | | | | | | | | | | | 12,647 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 3,289 | | | | | | | | | | | | — | | | | | | | | | | | | 462 | | | | | | | | | | | | 12 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 80 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 83 | | | | | | | | | | | | — | | | | | |
| | | | | 6 | | | | | | | | | | | | | | | | 88 | | | | | | | | | | | | — | | | | | | | | | | | | 270 | | | | | | | | | | | | — | | | | | | | | | | | | 1,530 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 897 | | | | | | | | | | | | — | | | | | | | | | | | | 608 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 845 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1,790 | | | | | | | | | | | | — | | | | | |
| | | | | 68 | | | | | | | | | | | | | | | | 274 | | | | | | | | | | | | 6,493 | | | | | | | | | | | | 3,779 | | | | | | | | | | | | 1,077 | | | | | | | | | | | | 3,709 | | | | | | | | | | | | 200 | | | | | |
| | | | | 73 | | | | | | | | | | | | | | | | 26 | | | | | | | | | | | | 10,369 | | | | | | | | | | | | — | | | | | | | | | | | | 1,275 | | | | | | | | | | | | 2,164 | | | | | | | | | | | | — | | | | | |
| | | | | 201 | | | | | | | | | | | | | | | | 21 | | | | | | | | | | | | 1,985 | | | | | | | | | | | | 331 | | | | | | | | | | | | — | | | | | | | | | | | | 227 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 39 | | | | | | | | | | | | 13 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 129 | | | | | | | | | | | | — | | | | | | | | | | | | 20 | | | | | | | | | | | | 27 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 17 | | | | | | | | | | | | — | | | | | | | | | | | | 14 | | | | | | | | | | | | 28 | | | | | | | | | | | | — | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 13 | | | | | | | | | | | | | | | | 2 | | | | | | | | | | | | 65 | | | | | | | | | | | | 20 | | | | | | | | | | | | 19 | | | | | | | | | | | | 34 | | | | | | | | | | | | 40 | | | | | |
| | | | | | 32,020 | | | | | | | | | | | | | | | | 158,726 | | | | | | | | | | | | 1,280,552 | | | | | | | | | | | | 449,991 | | | | | | | | | | | | 189,262 | | | | | | | | | | | | 973,604 | | | | | | | | | | | | 115,432 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 12 | | | | | | | | | | | | — | | | | | | | | | | | | 373 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 932 | | | | | | | | | | | | — | | | | | | | | | | | | 163 | | | | | | | | | | | | 1,081 | | | | | | | | | | | | 14 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 46,571 | | | | | | | | | | | | 93,397 | | | | | | | | | | | | 2,050 | | | | | | | | | | | | 5,581 | | | | | | | | | | | | 20,290 | | | | | | | | | | | | 23,472 | | | | | |
| | | | | 4 | | | | | | | | | | | | | | | | 331 | | | | | | | | | | | | 102 | | | | | | | | | | | | 233 | | | | | | | | | | | | 11 | | | | | | | | | | | | 11 | | | | | | | | | | | | 16 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 3 | | | | | | | | | | | | 157 | | | | | | | | | | | | 28 | | | | | | | | | | | | 2 | | | | | | | | | | | | 72 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 87 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 23 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 1,365 | | | | | | | | | | | | 954 | | | | | | | | | | | | — | | | | | | | | | | | | 2,020 | | | | | | | | | | | | 94 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 213 | | | | | | | | | | | | 131 | | | | | | | | | | | | 51 | | | | | | | | | | | | 213 | | | | | | | | | | | | 13 | | | | | |
| | | | | 4 | | | | | | | | | | | | | | | | 14 | | | | | | | | | | | | 148 | | | | | | | | | | | | 58 | | | | | | | | | | | | 22 | | | | | | | | | | | | 114 | | | | | | | | | | | | 9 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 20 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | 5 | | | | | | | | | | | | 40 | | | | | | | | | | | | 21 | | | | | | | | | | | | 6 | | | | | | | | | | | | 35 | | | | | | | | | | | | 3 | | | | | |
| | | | | 41 | | | | | | | | | | | | | | | | 125 | | | | | | | | | | | | 277 | | | | | | | | | | | | 195 | | | | | | | | | | | | 78 | | | | | | | | | | | | 121 | | | | | | | | | | | | 61 | | | | | |
| | | | | | 56 | | | | | | | | | | | | | | | | 47,072 | | | | | | | | | | | | 96,651 | | | | | | | | | | | | 3,757 | | | | | | | | | | | | 5,926 | | | | | | | | | | | | 23,957 | | | | | | | | | | | | 24,055 | | | | | |
| | | | $ | 31,963 | | | | | | | | | | | | | | | $ | 111,654 | | | | | | | | | | | $ | 1,183,901 | | | | | | | | | | | $ | 446,234 | | | | | | | | | | | $ | 183,336 | | | | | | | | | | | $ | 949,647 | | | | | | | | | | | $ | 91,377 | | | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 39,205 | | | | | | | | | | | | | | | $ | 148,603 | | | | | | | | | | | $ | 1,171,624 | | | | | | | | | | | $ | 418,869 | | | | | | | | | | | $ | 178,610 | | | | | | | | | | | $ | 941,270 | | | | | | | | | | | $ | 94,756 | | | | | |
| | | | | | (7,242 | ) | | | | | | | | | | | | | | | (36,949 | ) | | | | | | | | | | | 12,277 | | | | | | | | | | | | 27,365 | | | | | | | | | | | | 4,726 | | | | | | | | | | | | 8,377 | | | | | | | | | | | | (3,379 | ) | | | | |
| | | | $ | 31,963 | | | | | | | | | | | | | | | $ | 111,654 | | | | | | | | | | | $ | 1,183,901 | | | | | | | | | | | $ | 446,234 | | | | | | | | | | | $ | 183,336 | | | | | | | | | | | $ | 949,647 | | | | | | | | | | | $ | 91,377 | | | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 48,574 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 4,496 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 10.80 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | |
| | | | $ | 31,963 | | | | | | | | | | | | | | | $ | 111,654 | | | | | | | | | | | $ | 351,594 | | | | | | | | | | | $ | 446,234 | | | | | | | | | | | $ | 123,326 | | | | | | | | | | | $ | 136,738 | | | | | | | | | | | $ | 20,336 | | | | | |
| | | | | 3,054 | | | | | | | | | | | | | | | | 11,947 | | | | | | | | | | | | 32,453 | | | | | | | | | | | | 37,878 | | | | | | | | | | | | 11,778 | | | | | | | | | | | | 13,559 | | | | | | | | | | | | 2,058 | | | | | |
| | | | $ | 10.46 | | | | | | | | | | | | | | | $ | 9.35 | | | | | | | | | | | $ | 10.83 | | | | | | | | | | | $ | 11.78 | | | | | | | | | | | $ | 10.47 | | | | | | | | | | | $ | 10.08 | | | | | | | | | | | $ | 9.88 | | | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 783,733 | | | | | | | | | | | | — | | | | | | | | | | | $ | 60,010 | | | | | | | | | | | $ | 812,909 | | | | | | | | | | | $ | 71,041 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 72,422 | | | | | | | | | | | | — | | | | | | | | | | | | 5,731 | | | | | | | | | | | | 80,532 | | | | | | | | | | | | 7,185 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 10.82 | | | | | | | | | | | | — | | | | | | | | | | | $ | 10.47 | | | | | | | | | | | $ | 10.09 | | | | | | | | | | | $ | 9.89 | | | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 31,397 | | | | | | | | | | | | | | | $ | 154,556 | | | | | | | | | | | $ | 1,243,457 | | | | | | | | | | | $ | 420,738 | | | | | | | | | | | $ | 179,664 | | | | | | | | | | | $ | 941,017 | | | | | | | | | | | $ | 101,951 | | | | | |
| | | | | 143 | | | | | | | | | | | | | | | | 1,840 | | | | | | | | | | | | 3,456 | | | | | | | | | | | | 7,032 | | | | | | | | | | | | 2,632 | | | | | | | | | | | | 10,204 | | | | | | | | | | | | 12,647 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 3,292 | | | | | | | | | | | | — | | | | | | | | | | | | 464 | | | | | | | | | | | | 12 | | | | | | | | | | | | — | | | | | |
See notes to financial statements.
Semi-Annual Report 117
| | |
Statements of Assets & Liabilities continued | | |
April 30, 2021 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Payden | | | | | | | | | | |
| | | Payden | | | | | | California Municipal | | | | | | Payden | | | | |
| | | High Income | | | | | | Social Impact | | | | | | Global Low | | | | |
| | | Fund | | | | | | Fund | | | | | | Duration Fund | | | | |
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value * | | $ | 646,840 | | | | | | | $ | 71,424 | | | | | | | $ | 86,968 | | | | | |
Affiliated investments, at value ** | | | 23,747 | | | | | | | | — | | | | | | | | 114 | | | | | |
Foreign cash *** | | | 1,917 | | | | | | | | — | | | | | | | | 9 | | | | | |
Cash | | | — | | | | | | | | 440 | | | | | | | | — | | | | | |
Cash pledged for financial futures contracts | | | — | | | | | | | | 95 | | | | | | | | 3 | | | | | |
Cash pledged as collateral for OTC derivatives | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Cash pledged for centrally cleared swaps | | | 194 | | | | | | | | — | | | | | | | | — | | | | | |
Receivable for: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest and dividends | | | 6,894 | | | | | | | | 656 | | | | | | | | 309 | | | | | |
Investments sold | | | — | | | | | | | | 1,773 | | | | | | | | 914 | | | | | |
Fund shares sold | | | 442 | | | | | | | | — | | | | | | | | 19 | | | | | |
Futures | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Forward currency contracts. | | | — | | | | | | | | — | | | | | | | | 5 | | | | | |
Variation margin on centrally cleared swaps | | | 1 | | | | | | | | — | | | | | | | | — | | | | | |
Other assets | | | 38 | | | | | | | | 5 | | | | | | | | 4 | | | | | |
Total Assets | | | 680,073 | | | | | | | | 74,393 | | | | | | | | 88,345 | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for: | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | — | | | | | | | | — | | | | | | | | 3 | | | | | |
Forward currency contracts | | | 150 | | | | | | | | — | | | | | | | | 73 | | | | | |
Investments purchased | | | 14,739 | | | | | | | | 3,033 | | | | | | | | 834 | | | | | |
Fund shares redeemed | | | 237 | | | | | | | | 16 | | | | | | | | — | | | | | |
Futures. | | | — | | | | | | | | — | | | | | | | | 3 | | | | | |
Variation margin on centrally cleared swaps | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Distributions payable | | | — | | | | | | | | 22 | | | | | | | | — | | | | | |
Liability for securities on loan (Note 2) | | | 8,254 | | | | | | | | — | | | | | | | | — | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | 187 | | | | | | | | 6 | | | | | | | | 5 | | | | | |
Administration fees (Note 3) | | | 80 | | | | | | | | 9 | | | | | | | | 11 | | | | | |
Distribution fees (Note 3) | | | | | | | | | | | | | | | | | | | | | | | | |
Trustee fees and expenses | | | 22 | | | | | | | | 3 | | | | | | | | 4 | | | | | |
Other liabilities | | | 149 | | | | | | | | 42 | | | | | | | | 94 | | | | | |
Total Liabilities | | | 23,818 | | | | | | | | 3,131 | | | | | | | | 1,027 | | | | | |
NET ASSETS | | $ | 656,255 | | | | | | | $ | 71,262 | | | | | | | $ | 87,318 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | $ | 643,178 | | | | | | | $ | 68,374 | | | | | | | $ | 86,012 | | | | | |
Distributable earnings (loss) | | | 13,077 | | | | | | | | 2,888 | | | | | | | | 1,306 | | | | | |
NET ASSETS | | $ | 656,255 | | | | | | | $ | 71,262 | | | | | | | $ | 87,318 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | $ | 656,255 | | | | | | | $ | 71,262 | | | | | | | $ | 87,318 | | | | | |
Shares Outstanding | | | 96,191 | | | | | | | | 6,769 | | | | | | | | 8,588 | | | | | |
Net Asset Value Per Share | | $ | 6.82 | | | | | | | $ | 10.53 | | | | | | | $ | 10.17 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Shares Outstanding | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Net Asset Value Per Share | | | — | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* Investments, at cost. | | $ | 617,634 | | | | | | | $ | 68,969 | | | | | | | $ | 86,053 | | | | | |
** Affiliated investments, at cost | | | 23,747 | | | | | | | | — | | | | | | | | 114 | | | | | |
*** Foreign cash, at cost | | | 1,899 | | | | | | | | — | | | | | | | | 9 | | | | | |
See notes to financial statements.
118 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $269,307 | | | | | | | | | | | | | | | | $980,068 | | | | | | | | | | | | $77,459 | | | | | | | | | | | | $51,014 | | | | | | | | | | | | $1,698,046 | | | | | |
| | | | | 3,194 | | | | | | | | | | | | | | | | 4,799 | | | | | | | | | | | | 1,720 | | | | | | | | | | | | 5,836 | | | | | | | | | | | | 38,144 | | | | | |
| | | | | 1,289 | | | | | | | | | | | | | | | | 480 | | | | | | | | | | | | 312 | | | | | | | | | | | | 12 | | | | | | | | | | | | 695 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 718 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 94 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 27 | | | | | | | | | | | | — | | | | | |
| | | | | 2,630 | | | | | | | | | | | | | | | | 1,180 | | | | | | | | | | | | 280 | | | | | | | | | | | | — | | | | | | | | | | | | 300 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 391 | | | | | | | | | | | | 26 | | | | | | | | | | | | 45 | | | | | | | | | | | | — | | | | | |
| | | | | 1,443 | | | | | | | | | | | | | | | | 14,179 | | | | | | | | | | | | 1,478 | | | | | | | | | | | | 636 | | | | | | | | | | | | 2,355 | | | | | |
| | | | | 2,482 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 475 | | | | | | | | | | | | — | | | | | |
| | | | | 134 | | | | | | | | | | | | | | | | 14,280 | | | | | | | | | | | | 3 | | | | | | | | | | | | — | | | | | | | | | | | | 56 | | | | | |
| | | | | 8 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 493 | | | | | | | | | | | | | | | | 975 | | | | | | | | | | | | 392 | | | | | | | | | | | | 19 | | | | | | | | | | | | 433 | | | | | |
| | | | | 21 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 24 | | | | | | | | | | | | | | | | 56 | | | | | | | | | | | | 38 | | | | | | | | | | | | 21 | | | | | | | | | | | | 15 | | | | | |
| | | | | | 281,119 | | | | | | | | | | | | | | | | 1,016,408 | | | | | | | | | | | | 82,426 | | | | | | | | | | | | 58,085 | | | | | | | | | | | | 1,740,044 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 7 | | | | | | | | | | | | | | | | 268 | | | | | | | | | | | | — | | | | | | | | | | | | 13 | | | | | | | | | | | | — | | | | | |
| | | | | 2,156 | | | | | | | | | | | | | | | | 1,519 | | | | | | | | | | | | 721 | | | | | | | | | | | | 6 | | | | | | | | | | | | 977 | | | | | |
| | | | | 10,569 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1,791 | | | | | | | | | | | | — | | | | | |
| | | | | 174 | | | | | | | | | | | | | | | | 16,097 | | | | | | | | | | | | 491 | | | | | | | | | | | | — | | | | | | | | | | | | 76 | | | | | |
| | | | | 18 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 99 | | | | | | | | | | | | 2 | | | | | | | | | | | | 3 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 1,305 | | | | | | | | | | | | | | | | 3,088 | | | | | | | | | | | | — | | | | | | | | | | | | 2,015 | | | | | | | | | | | | — | | | | | |
| | | | | 79 | | | | | | | | | | | | | | | | 350 | | | | | | | | | | | | 47 | | | | | | | | | | | | 18 | | | | | | | | | | | | 648 | | | | | |
| | | | | 33 | | | | | | | | | | | | | | | | 123123 | | | | | | | | | | | | 12 | | | | | | | | | | | | 6 | | | | | | | | | | | | 214 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 23 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 7 | | | | | |
| | | | | 7 | | | | | | | | | | | | | | | | 42 | | | | | | | | | | | | 5 | | | | | | | | | | | | 2 | | | | | | | | | | | | 58 | | | | | |
| | | | | 159 | | | | | | | | | | | | | | | | 403 | | | | | | | | | | | | 101 | | | | | | | | | | | | 53 | | | | | | | | | | | | 332 | | | | | |
| | | | | | 14,507 | | | | | | | | | | | | | | | | 22,012 | | | | | | | | | | | | 1,379 | | | | | | | | | | | | 3,908 | | | | | | | | | | | | 2,312 | | | | | |
| | | | | $266,612 | | | | | | | | | | | | | | | | $994,396 | | | | | | | | | | | | $81,047 | | | | | | | | | | | | $54,177 | | | | | | | | | | | | $1,737,732 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $265,657 | | | | | | | | | | | | | | | | $1,040,432 | | | | | | | | | | | | $109,765 | | | | | | | | | | | | $52,687 | | | | | | | | | | | | $1,237,255 | | | | | |
| | | | | 955 | | | | | | | | | | | | | | | | (46,036 | ) | | | | | | | | | | | (28,718 | ) | | | | | | | | | | | 1,490 | | | | | | | | | | | | 500,477 | | | | | |
| | | | | | $266,612 | | | | | | | | | | | | | | | | $994,396 | | | | | | | | | | | | $81,047 | | | | | | | | | | | | $54,177 | | | | | | | | | | | | $1,737,732 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $52,591 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | $17,092 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 3,931 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 850 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $13.38 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | $20.11 | | | | | |
| | | | | | | |
| | | | | $266,612 | | | | | | | | | | | | | | | | $302,183 | | | | | | | | | | | | $81,047 | | | | | | | | | | | | $5,781 | | | | | | | | | | | | $514,458 | | | | | |
| | | | | 29,034 | | | | | | | | | | | | | | | | 22,604 | | | | | | | | | | | | 13,585 | | | | | | | | | | | | 562 | | | | | | | | | | | | 25,550 | | | | | |
| | | | | $9.18 | | | | | | | | | | | | | | | | $13.37 | | | | | | | | | | | | $5.97 | | | | | | | | | | | | $10.29 | | | | | | | | | | | | $20.14 | | | | | |
| | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $639,622 | | | | | | | | | | | | — | | | | | | | | | | | | $48,396 | | | | | | | | | | | | $1,206,182 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 47,919 | | | | | | | | | | | | — | | | | | | | | | | | | 4,695 | | | | | | | | | | | | 59,870 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $13.35 | | | | | | | | | | | | — | | | | | | | | | | | | $10.31 | | | | | | | | | | | | $20.15 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $266,203 | | | | | | | | | | | | | | | | $1,004,029 | | | | | | | | | | | | $83,126 | | | | | | | | | | | | $49,939 | | | | | | | | | | | | $1,365,985 | | | | | |
| | | | | 3,212 | | | | | | | | | | | | | | | | 4,799 | | | | | | | | | | | | 1,720 | | | | | | | | | | | | 5,836 | | | | | | | | | | | | 38,144 | | | | | |
| | | | | 1,289 | | | | | | | | | | | | | | | | 478 | | | | | | | | | | | | 317 | | | | | | | | | | | | 12 | | | | | | | | | | | | 691 | | | | | |
See notes to financial statements.
Semi-Annual Report 119
Period ended April 30, 2021 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Payden
Cash Reserves
Money Market
Fund | | | | Payden
Limited
Maturity
Fund | | | | Payden
Low Duration
Fund | | |
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest income (Note 2) | | $ | 142 | | | | | | | $ | 7,745 | | | | | | | $ | 10,715 | | | | | |
Dividend income | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Dividend income from affiliated investment (Note 2) | | | — | | | | | | | | 17 | | | | | | | | 1 | | | | | |
Income from securities lending | | | — | | | | | | | | 6 | | | | | | | | — | | | | | |
Investment Income | | | 142 | | | | | | | | 7,768 | | | | | | | | 10,716 | | | | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | 218 | | | | | | | | 2,191 | | | | | | | | 2,182 | | | | | |
Administration fees (Note 3) | | | 218 | | | | | | | | 1,174 | | | | | | | | 1,169 | | | | | |
Shareholder servicing fees. | | | — | | | | | | | | 191 | | | | | | | | 255 | | | | | |
Distribution fees (Note 3) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Custodian fees | | | 8 | | | | | | | | 20 | | | | | | | | 29 | | | | | |
Transfer agent fees | | | 14 | | | | | | | | 31 | | | | | | | | 77 | | | | | |
Registration and filing fees | | | 22 | | | | | | | | 19 | | | | | | | | 33 | | | | | |
Trustee fees and expenses | | | 17 | | | | | | | | 70 | | | | | | | | 94 | | | | | |
Printing and mailing costs | | | 7 | | | | | | | | 31 | | | | | | | | 41 | | | | | |
Loan commitment fees | | | — | | | | | | | | 8 | | | | | | | | 11 | | | | | |
Legal fees | | | 3 | | | | | | | | 10 | | | | | | | | 14 | | | | | |
Publication expense | | | 3 | | | | | | | | 10 | | | | | | | | 15 | | | | | |
Pricing fees | | | 2 | | | | | | | | 23 | | | | | | | | 22 | | | | | |
Fund accounting fees | | | 34 | | | | | | | | 83 | | | | | | | | 109 | | | | | |
Insurance | | | 4 | | | | | | | | 13 | | | | | | | | 18 | | | | | |
Audit fees | | | 16 | | | | | | | | 18 | | | | | | | | 18 | | | | | |
Gross Expenses. | | | 566 | | | | | | | | 3,892 | | | | | | | | 4,087 | | | | | |
Expense subsidy (Note 3) | | | (444 | ) | | | | | | | (1,936 | ) | | | | | | | (736 | ) | | | | |
Net Expenses | | | 122 | | | | | | | | 1,956 | | | | | | | | 3,351 | | | | | |
Net Investment Income | | | 20 | | | | | | | | 5,812 | | | | | | | | 7,365 | | | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | 3 | | | | | | | | 1,078 | | | | | | | | 6,079 | | | | | |
Foreign currency transactions | | | — | | | | | | | | (375 | ) | | | | | | | 26 | | | | | |
Forward foreign exchange contracts | | | — | | | | | | | | (2,216 | ) | | | | | | | (563 | ) | | | | |
Futures contracts | | | — | | | | | | | | 102 | | | | | | | | 1,414 | | | | | |
Swap contracts | | | — | | | | | | | | — | | | | | | | | 885 | | | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | — | | | | | | | | 6,151 | | | | | | | | 1,848 | | | | | |
Translation of assets and liabilities in foreign currencies | | | — | | | | | | | | 18 | | | | | | | | — | | | | | |
Forward foreign exchange contracts | | | — | | | | | | | | (2,390 | ) | | | | | | | (553 | ) | | | | |
Futures contracts | | | — | | | | | | | | (38 | ) | | | | | | | 568 | | | | | |
Swap contracts | | | — | | | | | | | | — | | | | | | | | (785 | ) | | | | |
Net Realized and Unrealized Gains (Losses) | | | 3 | | | | | | | | 2,330 | | | | | | | | 8,919 | | | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 23 | | | | | | | $ | 8,142 | | | | | | | $ | 16,284 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
120 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 | |
| | | | $ | 375 | | | | | | | | | | | | | | | $ | 1,120 | | | | | | | | | | | $ | 15,571 | | | | | | | | | | | $ | 7,690 | | | | | | | | | | | $ | 2,481 | | | | | | | | | | | $ | 11,735 | | | | | | | | | | | $ | 1,318 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 32 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 5 | | | | | | | | | | | | 10 | | | | | | | | | | | | — | | | | | | | | | | | | 3 | | | | | | | | | | | | 2 | | | | | |
| | | | | | 375 | | | | | | | | | | | | | | | | 1,120 | | | | | | | | | | | | 15,577 | | | | | | | | | | | | 7,700 | | | | | | | | | | | | 2,513 | | | | | | | | | | | | 11,739 | | | | | | | | | | | | 1,320 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 61 | | | | | | | | | | | | | | | | 160 | | | | | | | | | | | | 1,869 | | | | | | | | | | | | 856 | | | | | | | | | | | | 409 | | | | | | | | | | | | 2,197 | | | | | | | | | | | | 187 | | | | | |
| | | | | 33 | | | | | | | | | | | | | | | | 89 | | | | | | | | | | | | 1,001 | | | | | | | | | | | | 367 | | | | | | | | | | | | 112 | | | | | | | | | | | | 659 | | | | | | | | | | | | 51 | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 83 | | | | | | | | | | | | 181 | | | | | | | | | | | | 170 | | | | | | | | | | | | 4 | | | | | | | | | | | | 3 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 59 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | 4 | | | | | | | | | | | | 28 | | | | | | | | | | | | 12 | | | | | | | | | | | | 8 | | | | | | | | | | | | 25 | | | | | | | | | | | | 5 | | | | | |
| | | | | 8 | | | | | | | | | | | | | | | | 13 | | | | | | | | | | | | 43 | | | | | | | | | | | | 22 | | | | | | | | | | | | 14 | | | | | | | | | | | | 27 | | | | | | | | | | | | 13 | | | | | |
| | | | | 9 | | | | | | | | | | | | | | | | 10 | | | | | | | | | | | | 40 | | | | | | | | | | | | 27 | | | | | | | | | | | | 15 | | | | | | | | | | | | 38 | | | | | | | | | | | | 19 | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 8 | | | | | | | | | | | | 62 | | | | | | | | | | | | 30 | | | | | | | | | | | | 9 | | | | | | | | | | | | 50 | | | | | | | | | | | | 4 | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 3 | | | | | | | | | | | | 27 | | | | | | | | | | | | 13 | | | | | | | | | | | | 4 | | | | | | | | | | | | 22 | | | | | | | | | | | | 2 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 7 | | | | | | | | | | | | 4 | | | | | | | | | | | | 1 | | | | | | | | | | | | 6 | | | | | | | | | | | | 1 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 9 | | | | | | | | | | | | 4 | | | | | | | | | | | | 1 | | | | | | | | | | | | 7 | | | | | | | | | | | | 1 | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 2 | | | | | | | | | | | | 12 | | | | | | | | | | | | 5 | | | | | | | | | | | | 3 | | | | | | | | | | | | 5 | | | | | | | | | | | | 2 | | | | | |
| | | | | 4 | | | | | | | | | | | | | | | | 8 | | | | | | | | | | | | 23 | | | | | | | | | | | | 15 | | | | | | | | | | | | 21 | | | | | | | | | | | | 60 | | | | | | | | | | | | 9 | | | | | |
| | | | | 10 | | | | | | | | | | | | | | | | 15 | | | | | | | | | | | | 78 | | | | | | | | | | | | 40 | | | | | | | | | | | | 15 | | | | | | | | | | | | 62 | | | | | | | | | | | | 11 | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 2 | | | | | | | | | | | | 13 | | | | | | | | | | | | 6 | | | | | | | | | | | | 2 | | | | | | | | | | | | 9 | | | | | | | | | | | | 1 | | | | | |
| | | | | | 19 | | | | | | | | | | | | | | | | 20 | | | | | | | | | | | | 20 | | | | | | | | | | | | 20 | | | | | | | | | | | | 20 | | | | | | | | | | | | 22 | | | | | | | | | | | | 27 | | | | | |
| | | | | 155 | | | | | | | | | | | | | | | | 419 | | | | | | | | | | | | 3,472 | | | | | | | | | | | | 1,591 | | | | | | | | | | | | 638 | | | | | | | | | | | | 3,192 | | | | | | | | | | | | 333 | | | | | |
| | | | | | (60 | ) | | | | | | | | | | | | | | | (132 | ) | | | | | | | | | | | (308 | ) | | | | | | | | | | | (1 | ) | | | | | | | | | | | (168 | ) | | | | | | | | | | | (974 | ) | | | | | | | | | | | (108 | ) | | | | |
| | | | | 95 | | | | | | | | | | | | | | | | 287 | | | | | | | | | | | | 3,164 | | | | | | | | | | | | 1,590 | | | | | | | | | | | | 470 | | | | | | | | | | | | 2,218 | | | | | | | | | | | | 225 | | | | | |
| | | | | | 280 | | | | | | | | | | | | | | | | 833 | | | | | | | | | | | | 12,413 | | | | | | | | | | | | 6,110 | | | | | | | | | | | | 2,043 | | | | | | | | | | | | 9,521 | | | | | | | | | | | | 1,095 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 254 | | | | | | | | | | | | | | | | (91 | ) | | | | | | | | | | | 1,863 | | | | | | | | | | | | 9,755 | | | | | | | | | | | | 747 | | | | | | | | | | | | 2,486 | | | | | | | | | | | | 511 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 290 | | | | | | | | | | | | — | | | | | | | | | | | | 38 | | | | | | | | | | | | (54 | ) | | | | | | | | | | | (3 | ) | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (581 | ) | | | | | | | | | | | — | | | | | | | | | | | | (50 | ) | | | | | | | | | | | 372 | | | | | | | | | | | | (2 | ) | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 3,744 | | | | | | | | | | | | 659 | | | | | | | | | | | | 26 | | | | | | | | | | | | 1,197 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 154 | | | | | | | | | | | | (1,306 | ) | | | | | | | | | | | 139 | | | | | | | | | | | | 1,069 | | | | | | | | | | | | — | | | | | |
| | | | | (427 | ) | | | | | | | | | | | | | | | (728 | ) | | | | | | | | | | | (19,286 | ) | | | | | | | | | | | (14,676 | ) | | | | | | | | | | | 1,842 | | | | | | | | | | | | 13,136 | | | | | | | | | | | | 2,128 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (94 | ) | | | | | | | | | | | — | | | | | | | | | | | | (11 | ) | | | | | | | | | | | (17 | ) | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (1,538 | ) | | | | | | | | | | | — | | | | | | | | | | | | (305 | ) | | | | | | | | | | | (2,309 | ) | | | | | | | | | | | (14 | ) | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | (15 | ) | | | | | | | | | | | 902 | | | | | | | | | | | | 430 | | | | | | | | | | | | 3 | | | | | | | | | | | | 495 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (92 | ) | | | | | | | | | | | 1,062 | | | | | | | | | | | | 54 | | | | | | | | | | | | (617 | ) | | | | | | | | | | | — | | | | | |
| | | | | | (170 | ) | | | | | | | | | | | | | | | (834 | ) | | | | | | | | | | | (14,638 | ) | | | | | | | | | | | (4,076 | ) | | | | | | | | | | | 2,483 | | | | | | | | | | | | 15,758 | | | | | | | | | | | | 2,620 | | | | | |
| | | | $ | 110 | | | | | | | | | | | | | | | $ | (1 | ) | | | | | | | | | | $ | (2,225 | ) | | | | | | | | | | $ | 2,034 | | | | | | | | | | | $ | 4,526 | | | | | | | | | | | $ | 25,279 | | | | | | | | | | | $ | 3,715 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 121
| | |
Statements of Operations continued | | |
Period ended April 30, 2021 (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) | | | $ | 16,184 | | | | | | | | | $ | 726 | | | | | | | | | $ | 778 | | | | | | |
Dividend income | | | | 15 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Dividend income from affiliated investment (Note 2) | | | | 2 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Income from securities lending | | | | 23 | | | | | | | | | | — | | | | | | | | | | 1 | | | | | | |
Foreign tax withholdings | | | | (1 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investment Income | | | | 16,223 | | | | | | | | | | 726 | | | | | | | | | | 779 | | | | | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | 1,042 | | | | | | | | | | 107 | | | | | | | | | | 133 | | | | | | |
Administration fees (Note 3) | | | | 447 | | | | | | | | | | 50 | | | | | | | | | | 66 | | | | | | |
Shareholder servicing fees. | | | | 72 | | | | | | | | | | 14 | | | | | | | | | | 37 | | | | | | |
Distribution fees (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Custodian fees | | | | 12 | | | | | | | | | | 2 | | | | | | | | | | 7 | | | | | | |
Transfer agent fees | | | | 19 | | | | | | | | | | 8 | | | | | | | | | | 10 | | | | | | |
Registration and filing fees | | | | 13 | | | | | | | | | | 1 | | | | | | | | | | 10 | | | | | | |
Trustee fees and expenses | | | | 30 | | | | | | | | | | 4 | | | | | | | | | | 6 | | | | | | |
Printing and mailing costs | | | | 14 | | | | | | | | | | 2 | | | | | | | | | | 3 | | | | | | |
Loan commitment fees | | | | 4 | | | | | | | | | | — | | | | | | | | | | 1 | | | | | | |
Legal fees | | | | 4 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | |
Publication expense | | | | 5 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | |
Pricing fees | | | | 16 | | | | | | | | | | 7 | | | | | | | | | | 18 | | | | | | |
Fund accounting fees | | | | 40 | | | | | | | | | | 10 | | | | | | | | | | 13 | | | | | | |
Insurance | | | | 5 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | |
Audit fees | | | | 22 | | | | | | | | | | 18 | | | | | | | | | | 20 | | | | | | |
Interest expense | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Gross Expenses. | | | | 1,745 | | | | | | | | | | 226 | | | | | | | | | | 327 | | | | | | |
Expense subsidy (Note 3) | | | | — | | | | | | | | | | (59 | ) | | | | | | | | | (93 | ) | | | | | |
Net Expenses | | | | 1,745 | | | | | | | | | | 167 | | | | | | | | | | 234 | | | | | | |
Net Investment Income | | | | 14,478 | | | | | | | | | | 559 | | | | | | | | | | 545 | | | | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | 13,201 | | | | | | | | | | 416 | | | | | | | | | | 433 | | | | | | |
Foreign currency transactions | | | | (54 | ) | | | | | | | | | — | | | | | | | | | | 18 | | | | | | |
Forward foreign exchange contracts | | | | (48 | ) | | | | | | | | | — | | | | | | | | | | (72 | ) | | | | | |
Futures contracts | | | | — | | | | | | | | | | 22 | | | | | | | | | | 158 | | | | | | |
Swap contracts | | | | (26 | ) | | | | | | | | | — | | | | | | | | | | 52 | | | | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | 18,762 | | | | | | | | | | 307 | | | | | | | | | | 176 | | | | | | |
Translation of assets and liabilities in foreign currencies | | | | 20 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Forward foreign exchange contracts | | | | (278 | ) | | | | | | | | | — | | | | | | | | | | (152 | ) | | | | | |
Affiliated investments | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Futures contracts | | | | — | | | | | | | | | | — | | | | | | | | | | 50 | | | | | | |
Swap contracts | | | | (29 | ) | | | | | | | | | — | | | | | | | | | | (48 | ) | | | | | |
Net Realized and Unrealized Gains (Losses) | | | | 31,548 | | | | | | | | | | 745 | | | | | | | | | | 615 | | | | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | 46,026 | | | | | | | | | $ | 1,304 | | | | | | | | | $ | 1,160 | | | | | | |
| | | | | |
See notes to financial statements.
122 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 |
| | | | | | | | | |
| | $ | 2,082 | | | | | | | | | $ | 30,319 | | | | | | | | | $ | 3,489 | | | | | | | | | $ | 1,286 | | | | | | | | | | | | | | $ | 527 | |
| | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 19,925 | |
| | | 23 | | | | | | | | | | 1 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 1 | |
| | | — | | | | | | | | | | 9 | | | | | | | | | | — | | | | | | | | | | 3 | | | | | | | | | | | | | | | — | |
| | | (2 | ) | | | | | | | | | (58 | ) | | | | | | | | | (119 | ) | | | | | | | | | — | | | | | | | | | | | | | | | (155 | ) |
| | | 2,103 | | | | | | | | | | 30,271 | | | | | | | | | | 3,370 | | | | | | | | | | 1,289 | | | | | | | | | | | | | | | 20,298 | |
| | | | | | | | | |
| | | 346 | | | | | | | | | | 2,326 | | | | | | | | | | 370 | | | | | | | | | | 197 | | | | | | | | | | | | | | | 4,031 | |
| | | 173 | | | | | | | | | | 776 | | | | | | | | | | 92 | | | | | | | | | | 37 | | | | | | | | | | | | | | | 1,209 | |
| | | 121 | | | | | | | | | | 197 | | | | | | | | | | 8 | | | | | | | | | | — | | | | | | | | | | | | | | | 165 | |
| | | — | | | | | | | | | | 69 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 19 | |
| | | 17 | | | | | | | | | | 42 | | | | | | | | | | 31 | | | | | | | | | | 5 | | | | | | | | | | | | | | | 29 | |
| | | 12 | | | | | | | | | | 96 | | | | | | | | | | 9 | | | | | | | | | | 12 | | | | | | | | | | | | | | | 50 | |
| | | 17 | | | | | | | | | | 48 | | | | | | | | | | 15 | | | | | | | | | | 18 | | | | | | | | | | | | | | | 31 | |
| | | 10 | | | | | | | | | | 63 | | | | | | | | | | 9 | | | | | | | | | | 3 | | | | | | | | | | | | | | | 87 | |
| | | 5 | | | | | | | | | | 28 | | | | | | | | | | 4 | | | | | | | | | | 2 | | | | | | | | | | | | | | | 38 | |
| | | 1 | | | | | | | | | | 7 | | | | | | | | | | 1 | | | | | | | | | | — | | | | | | | | | | | | | | | 10 | |
| | | 2 | | | | | | | | | | 9 | | | | | | | | | | 1 | | | | | | | | | | — | | | | | | | | | | | | | | | 13 | |
| | | 2 | | | | | | | | | | 13 | | | | | | | | | | 2 | | | | | | | | | | 1 | | | | | | | | | | | | | | | 15 | |
| | | 26 | | | | | | | | | | 15 | | | | | | | | | | 10 | | | | | | | | | | 9 | | | | | | | | | | | | | | | 2 | |
| | | 18 | | | | | | | | | | 77 | | | | | | | | | | 16 | | | | | | | | | | 9 | | | | | | | | | | | | | | | 103 | |
| | | 2 | | | | | | | | | | 13 | | | | | | | | | | 2 | | | | | | | | | | 1 | | | | | | | | | | | | | | | 16 | |
| | | 20 | | | | | | | | | | 22 | | | | | | | | | | 22 | | | | | | | | | | 22 | | | | | | | | | | | | | | | 18 | |
| | | — | | | | | | | | | | — | | | | | | | | | | 1 | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | 772 | | | | | | | | | | 3,801 | | | | | | | | | | 593 | | | | | | | | | | 316 | | | | | | | | | | | | | | | 5,836 | |
| | | 36 | | | | | | | | | | (109 | ) | | | | | | | | | — | | | | | | | | | | (105 | ) | | | | | | | | | | | | | | (386 | ) |
| | | 808 | | | | | | | | | | 3,692 | | | | | | | | | | 593 | | | | | | | | | | 211 | | | | | | | | | | | | | | | 5,450 | |
| | | 1,295 | | | | | | | | | | 26,579 | | | | | | | | | | 2,777 | | | | | | | | | | 1,078 | | | | | | | | | | | | | | | 14,848 | |
| | | | | | | | | |
| | | 1,729 | | | | | | | | | | 20,093 | | | | | | | | | | (342 | ) | | | | | | | | | 491 | | | | | | | | | | | | | | | 168,692 | |
| | | 144 | | | | | | | | | | (92 | ) | | | | | | | | | 73 | | | | | | | | | | 1 | | | | | | | | | | | | | | | (208 | ) |
| | | 1,004 | | | | | | | | | | (2,099 | ) | | | | | | | | | 110 | | | | | | | | | | (52 | ) | | | | | | | | | | | | | | (669 | ) |
| | | 359 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | 50 | | | | | | | | | | | | | | | — | |
| | | (50 | ) | | | | | | | | | (1,375 | ) | | | | | | | | | (36 | ) | | | | | | | | | (52 | ) | | | | | | | | | | | | | | — | |
| | | (3,107 | ) | | | | | | | | | 12,696 | | | | | | | | | | 3,910 | | | | | | | | | | 661 | | | | | | | | | | | | | | | 197,076 | |
| | | (28 | ) | | | | | | | | | 45 | | | | | | | | | | 66 | | | | | | | | | | (1 | ) | | | | | | | | | | | | | | 11 | |
| | | (1,837 | ) | | | | | | | | | (1,756 | ) | | | | | | | | | 316 | | | | | | | | | | 39 | | | | | | | | | | | | | | | (1,012 | ) |
| | | 55 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | 94 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | 19 | | | | | | | | | | | | | | | — | |
| | | (54 | ) | | | | | | | | | 522 | | | | | | | | | | 16 | | | | | | | | | | 1 | | | | | | | | | | | | | | | — | |
| | | (1,691 | ) | | | | | | | | | 28,034 | | | | | | | | | | 4,113 | | | | | | | | | | 1,157 | | | | | | | | | | | | | | | 363,890 | |
| | $ | (396 | ) | | | | | | | | $ | 54,613 | | | | | | | | | $ | 6,890 | | | | | | | | | $ | 2,235 | | | | | | | | | | | | | | $ | 378,738 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 123
| | |
Statements of Changes in Net Assets | | |
For the period ended April 30, 2021 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Cash Reserves
Money Market Fund | | | | | | Payden Limited
Maturity Fund | | |
| | | 2021 | | | | 2020 | | | | | | 2021 | | | | 2020 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 20 | | | | | | | | | $ | 1,579 | | | | | | | | | | | | | | $ | 5,812 | | | | | | | | | $ | 14,671 | | | | | | |
Net realized gains (losses) | | | | 3 | | | | | | | | | | 16 | | | | | | | | | | | | | | | (1,411 | ) | | | | | | | | | (229 | ) | | | | | |
Change in net unrealized appreciation/(depreciation) | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 3,741 | | | | | | | | | | 1,233 | | | | | | |
Change in Net Assets Resulting from Operations. | | | | 23 | | | | | | | | | | 1,595 | | | | | | | | | | | | | | | 8,142 | | | | | | | | | | 15,675 | | | | | | |
| | | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | (34 | ) | | | | | | | | | (1,606 | ) | | | | | | | | | | | | | | (5,687 | ) | | | | | | | | | (15,044 | ) | | | | | |
Institutional Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Change in Net Assets from Distributions to Shareholders | | | | (34 | ) | | | | | | | | | (1,606 | ) | | | | | | | | | | | | | | (5,687 | ) | | | | | | | | | (15,044 | ) | | | | | |
| | | | | | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | 16,262,263 | | | | | | | | | | 34,344,324 | | | | | | | | | | | | | | | 1,252,392 | | | | | | | | | | 1,178,243 | | | | | | |
Institutional Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Reinvestment of distributions: | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | 11 | | | | | | | | | | 367 | | | | | | | | | | | | | | | 5,586 | | | | | | | | | | 14,818 | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investor Class | | | | (16,264,461 | ) | | | | | | | | | (34,268,040 | ) | | | | | | | | | | | | | | (262,829 | ) | | | | | | | | | (757,823 | ) | | | | | |
Institutional Class | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Change in Net Assets from Capital Transactions | | | | (2,187 | ) | | | | | | | | | 76,651 | | | | | | | | | | | | | | | 995,149 | | | | | | | | | | 435,238 | | | | | | |
Total Change in Net Assets | | | | (2,198 | ) | | | | | | | | | 76,640 | | | | | | | | | | | | | | | 997,604 | | | | | | | | | | 435,869 | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | 351,597 | | | | | | | | | | 274,957 | | | | | | | | | | | | | | | 1,219,514 | | | | | | | | | | 783,645 | | | | | | |
End of period | | | $ | 349,399 | | | | | | | | | $ | 351,597 | | | | | | | | | | | | | | $ | 2,217,118 | | | | | | | | | $ | 1,219,514 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | | 351,577 | | | | | | | | | | 274,926 | | | | | | | | | | | | | | | 128,347 | | | | | | | | | | 82,556 | | | | | | |
Shares sold | | | | 16,262,263 | | | | | | | | | | 34,344,324 | | | | | | | | | | | | | | | 131,375 | | | | | | | | | | 124,443 | | | | | | |
Shares issued in reinvestment of distributions | | | | 11 | | | | | | | | | | 367 | | | | | | | | | | | | | | | 586 | | | | | | | | | | 1,569 | | | | | | |
Shares redeemed | | | | (16,264,461 | ) | | | | | | | | | (34,268,040 | ) | | | | | | | | | | | | | | (27,597 | ) | | | | | | | | | (80,221 | ) | | | | | |
Change in shares outstanding. | | | | (2,187 | ) | | | | | | | | | 76,651 | | | | | | | | | | | | | | | 104,364 | | | | | | | | | | 45,791 | | | | | | |
Outstanding shares at end of period | | | | 349,390 | | | | | | | | | | 351,577 | | | | | | | | | | | | | | | 232,711 | | | | | | | | | | 128,347 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 959,717 | | | | | | | | | | 797,979 | | | | | | |
Sale of investments (excluding government) | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 367,426 | | | | | | | | | | 379,249 | | | | | | |
Purchase of government securities. | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 73,433 | | | | | | | | | | 182,067 | | | | | | |
Sale of government securities | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 67,335 | | | | | | | | | | 162,500 | | | | | | |
See notes to financial statements.
124 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden
Low Duration Fund | | | | | Payden
U.S. Government Fund | | | | | | Payden
GNMA Fund | | | | | Payden
Core Bond Fund | |
| 2021 | | | 2020 | | | | | 2021 | | | 2020 | | | | | | 2021 | | | 2020 | | | | | 2021 | | | 2020 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 7,365 | | | $ | 25,516 | | | | | $ | 280 | | | $ | 773 | | | | | | | $ | 833 | | | $ | 2,674 | | | | | $ | 12,413 | | | $ | 24,798 | |
| | 7,841 | | | | 17,426 | | | | | | 254 | | | | 344 | | | | | | | | (91) | | | | 1,470 | | | | | | 5,470 | | | | 25,180 | |
| | 1,078 | | | | (1,860) | | | | | | (424) | | | | 660 | | | | | | | | (743) | | | | 198 | | | | | | (20,108) | | | | (5,527) | |
| | 16,284 | | | | 41,082 | | | | | | 110 | | | | 1,777 | | | | | | | | (1) | | | | 4,342 | | | | | | (2,225) | | | | 44,451 | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (1,173) | | | | (1,005) | |
| | (22,128) | | | | (26,184) | | | | | | (445) | | | | (1,001) | | | | | | | | (1,555) | | | | (3,703) | | | | | | (14,019) | | | | (14,865) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (20,630) | | | | (10,915) | |
| | (22,128) | | | | (26,184) | | | | | | (445) | | | | (1,001) | | | | | | | | (1,555) | | | | (3,703) | | | | | | (35,822) | | | | (26,785) | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 6,578 | | | | 11,434 | |
| | 418,055 | | | | 631,230 | | | | | | 4,198 | | | | 11,759 | | | | | | | | 10,141 | | | | 26,570 | | | | | | 50,947 | | | | 114,687 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 124,666 | | | | 492,322 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 1,172 | | | | 1,001 | |
| | 21,129 | | | | 25,016 | | | | | | 430 | | | | 980 | | | | | | | | 1,405 | | | | 3,344 | | | | | | 12,296 | | | | 13,050 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 20,628 | | | | 10,914 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (3,634) | | | | (6,521) | |
| | (291,209) | | | | (661,199) | | | | | | (19,690) | | | | (5,456) | | | | | | | | (20,845) | | | | (40,499) | | | | | | (286,607) | | | | (244,767) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (97,899) | | | | (74,582) | |
| | 147,975 | | | | (4,953) | | | | | | (15,062) | | | | 7,283 | | | | | | | | (9,299) | | | | (10,585) | | | | | | (171,853) | | | | 317,538 | |
| | | | | | | | | | |
| | 142,131 | | | | 9,945 | | | | | | (15,397) | | | | 8,059 | | | | | | | | (10,855) | | | | (9,946) | | | | | | (209,900) | | | | 335,204 | |
| | 1,532,982 | | | | 1,523,037 | | | | | | 47,360 | | | | 39,301 | | | | | | | | 122,509 | | | | 132,455 | | | | | | 1,393,801 | | | | 1,058,597 | |
| $ | 1,675,113 | | | $ | 1,532,982 | | | | | $ | 31,963 | | | $ | 47,360 | | | | | | | $ | 111,654 | | | $ | 122,509 | | | | | $ | 1,183,901 | | | $ | 1,393,801 | |
| | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 4,122 | | | | 3,585 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 598 | | | | 1,046 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 106 | | | | 92 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (330) | | | | (601) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 374 | | | | 537 | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 4,496 | | | | 4,122 | |
| | |
| | 150,001 | | | | 150,787 | | | | | | 4,491 | | | | 3,798 | | | | | | | | 12,940 | | | | 14,058 | | | | | | 52,925 | | | | 63,832 | |
| | | | | | | | | | |
| | 40,997 | | | | 62,314 | | | | | | 399 | | | | 1,120 | | | | | | | | 1,073 | | | | 2,806 | | | | | | 4,623 | | | | 10,462 | |
| | 2,074 | | | | 2,475 | | | | | | 41 | | | | 93 | | | | | | | | 149 | | | | 353 | | | | | | 1,110 | | | | 1,189 | |
| | (28,554) | | | | (65,575) | | | | | | (1,877) | | | | (520) | | | | | | | | (2,215) | | | | (4,277) | | | | | | (26,205) | | | | (22,558) | |
| | 14,517 | | | | (786) | | | | | | (1,437) | | | | 693 | | | | | | | | (993) | | | | (1,118) | | | | | | (20,472) | | | | (10,907) | |
| | 164,518 | | | | 150,001 | | | | | | 3,054 | | | | 4,491 | | | | | | | | 11,947 | | | | 12,940 | | | | | | 32,453 | | | | 52,925 | |
| | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 68,256 | | | | 29,745 | |
| | | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 11,261 | | | | 44,255 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 1,868 | | | | 994 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (8,963) | | | | (6,738) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 4,166 | | | | 38,511 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 72,422 | | | | 68,256 | |
| | |
| | 469,606 | | | | 733,040 | | | | | | 246 | | | | — | | | | | | | | — | | | | — | | | | | | 374,161 | | | | 525,058 | |
| | 498,482 | | | | 603,129 | | | | | | 988 | | | | 785 | | | | | | | | 30 | | | | 446 | | | | | | 396,801 | | | | 382,458 | |
| | 803,266 | | | | 2,304,470 | | | | | | 3,697 | | | | 26,809 | | | | | | | | 22,816 | | | | 43,215 | | | | | | 373,909 | | | | 1,039,794 | |
| | 695,210 | | | | 2,422,965 | | | | | | 15,878 | | | | 19,455 | | | | | | | | 32,486 | | | | 53,812 | | | | | | 420,933 | | | | 951,342 | |
See notes to financial statements.
Semi-Annual Report 125
| | |
Statements of Changes in Net Assets continued | | |
For the period ended April 30, 2021 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Corporate
Bond Fund | | | | | | Payden Strategic
Income Fund | | |
| | | 2021 | | | | 2020 | | | | | | 2021 | | | | 2020 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 6,110 | | | | | $ | 13,417 | | | | | | | | | | | $ | 2,043 | | | | | $ | 4,208 | | | | | |
Net realized gains (losses) | | | 9,108 | | | | | | 7,424 | | | | | | | | | | | | 900 | | | | | | 501 | | | | | |
Change in net unrealized appreciation/(depreciation) | | | (13,184) | | | | | | 626 | | | | | | | | | | | | 1,583 | | | | | | (1,116) | | | | | |
Change in Net Assets Resulting from Operations | | | 2,034 | | | | | | 21,467 | | | | | | | | | | | | 4,526 | | | | | | 3,593 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Adviser Class | | | — | | | | | | | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | (12,777) | | | | | | (13,669) | | | | | | | | | | | | (1,316) | | | | | | (2,863) | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | (764) | | | | | | (1,518) | | | | | |
Return of capital: | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Sl Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (12,777) | | | | | | (13,669) | | | | | | | | | | | | (2,080) | | | | | | (4,381) | | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 79,287 | | | | | | 177,669 | | | | | | | | | | | | 70,244 | | | | | | 7,047 | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | 9,273 | | | | | | — | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 12,045 | | | | | | 12,767 | | | | | | | | | | | | 1,278 | | | | | | 2,782 | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | 755 | | | | | | 1,500 | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | (114,306) | | | | | | (181,486) | | | | | | | | | | | | (34,622) | | | | | | (39,424) | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | (253) | | | | | | (1,535) | | | | | |
Change in Net Assets from Capital Transactions | | | (22,974) | | | | | | 8,950 | | | | | | | | | | | | 46,675 | | | | | | (29,630) | | | | | |
Total Change in Net Assets | | | (33,717) | | | | | | 16,748 | | | | | | | | | | | | 49,121 | | | | | | (30,418) | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 479,951 | | | | | | 463,203 | | | | | | | | | | | | 134,215 | | | | | | 164,633 | | | | | |
End of period | | $ | 446,234 | | | | | $ | 479,951 | | | | | | | | | | | $ | 183,336 | | | | | $ | 134,215 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | 39,873 | | | | | | 39,474 | | | | | | | | | | | | 8,260 | | | | | | 11,322 | | | | | |
Shares sold | | | 6,595 | | | | | | 14,980 | | | | | | | | | | | | 6,698 | | | | | | 697 | | | | | |
Shares issued in reinvestment of distributions | | | 998 | | | | | | 1,081 | | | | | | | | | | | | 122 | | | | | | 276 | | | | | |
Shares redeemed | | | (9,588) | | | | | | (15,662) | | | | | | | | | | | | (3,302) | | | | | | (4,035) | | | | | |
Change in shares outstanding | | | (1,995) | | | | | | 399 | | | | | | | | | | | | 3,518 | | | | | | (3,062) | | | | | |
Outstanding shares at end of period | | | 37,878 | | | | | | 39,873 | | | | | | | | | | | | 11,778 | | | | | | 8,260 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | — | | | | | | — | | | | | | | | | | | | 4,802 | | | | | | 4,811 | | | | | |
Shares sold | | | — | | | | | | — | | | | | | | | | | | | 881 | | | | | | — | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | — | | | | | | | | | | | | 72 | | | | | | 149 | | | | | |
Shares redeemed | | | — | | | | | | — | | | | | | | | | | | | (24) | | | | | | (158) | | | | | |
Change in shares outstanding | | | — | | | | | | — | | | | | | | | | | | | 929 | | | | | | (9) | | | | | |
Outstanding shares at end of period | | | — | | | | | | — | | | | | | | | | | | | 5,731 | | | | | | 4,802 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | 151,220 | | | | | | 272,593 | | | | | | | | | | | | 70,378 | | | | | | 64,071 | | | | | |
Sale of investments (excluding government) | | | 173,635 | | | | | | 268,141 | | | | | | | | | | | | 39,645 | | | | | | 75,981 | | | | | |
Purchase of government securities | | | 2,027 | | | | | | — | | | | | | | | | | | | 40,735 | | | | | | 25,921 | | | | | |
Sale of government securities | | | 357 | | | | | | — | | | | | | | | | | | | 23,003 | | | | | | 40,736 | | | | | |
See notes to financial statements.
126 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Absolute Return
Bond Fund | | | | | Payden Floating Rate
Fund | | | | | Payden High Income
Fund | | | | | Payden California
Municipal Social Impact
Fund |
| 2021 | | 2020 | | | | | 2021 | | 2020 | | | | | 2021 | | 2020 | | | | | 2021 | | 2020 |
| | | | | | | | | | |
| $ | 9,521 | | | $ | 19,346 | | | | | | | $ | 1,095 | | | $ | 2,469 | | | | | | | $ | 14,478 | | | $ | 23,122 | | | | | | | $ | 559 | | | $ | 1,276 | |
| | 5,070 | | | | (6,518) | | | | | | | | 506 | | | | (984) | | | | | | | | 13,073 | | | | (3,642) | | | | | | | | 438 | | | | 1,103 | |
| | 10,688 | | | | (3,930) | | | | | | | | 2,114 | | | | (2,255) | | | | | | | | 18,475 | | | | (2,274) | | | | | | | | 307 | | | | (145) | |
| | 25,279 | | | | 8,898 | | | | | | | | 3,715 | | | | (770) | | | | | | | | 46,026 | | | | 17,206 | | | | | | | | 1,304 | | | | 2,234 | |
| | | | | | | | | | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | (1,559) | | | | (3,152) | | | | | | | | (290) | | | | (699) | | | | | | | | (14,673) | | | | (23,451) | | | | | | | | (1,663) | | | | (2,559) | |
| | (9,592) | | | | (16,949) | | | | | | | | (810) | | | | (1,799) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | | | | | | | | | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | (11,151) | | | | (20,101) | | | | | | | | (1,100) | | | | (2,498) | | | | | | | | (14,673) | | | | (23,451) | | | | | | | | (1,663) | | | | (2,559) | |
| | | | | | | | | | |
| | 32,885 | | | | 84,527 | | | | | | | | 2,455 | | | | 2,932 | | | | | | | | 146,285 | | | | 203,007 | | | | | | | | 9,200 | | | | 9,466 | |
| | 124,178 | | | | 257,326 | | | | | | | | 22,500 | | | | 1,730 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | | | | | | | | | |
| | 1,543 | | | | 3,123 | | | | | | | | 281 | | | | 679 | | | | | | | | 13,864 | | | | 21,599 | | | | | | | | 1,327 | | | | 2,179 | |
| | 9,179 | | | | 16,307 | | | | | | | | 644 | | | | 1,448 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | | | | | | | | | |
| | (32,250) | | | | (82,938) | | | | | | | | (2,729) | | | | (5,012) | | | | | | | | (60,443) | | | | (133,571) | | | | | | | | (2,994) | | | | (9,098) | |
| | (18,712) | | | | (87,072) | | | | | | | | (1,564) | | | | (8,220) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | 116,823 | | | | 191,273 | | | | | | | | 21,587 | | | | (6,443) | | | | | | | | 99,706 | | | | 91,035 | | | | | | | | 7,533 | | | | 2,547 | |
| | 130,951 | | | | 180,070 | | | | | | | | 24,202 | | | | (9,711) | | | | | | | | 131,059 | | | | 84,790 | | | | | | | | 7,174 | | | | 2,222 | |
| | 818,696 | | | | 638,626 | | | | | | | | 67,175 | | | | 76,886 | | | | | | | | 525,196 | | | | 440,406 | | | | | | | | 64,088 | | | | 61,866 | |
| $ | 949,647 | | | $ | 818,696 | | | | | | | $ | 91,377 | | | $ | 67,175 | | | | | | | $ | 656,255 | | | $ | 525,196 | | | | | | | $ | 71,262 | | | $ | 64,088 | |
| | |
| | | | | | | | | | |
| | 13,340 | | | | 12,360 | | | | | | | | 2,058 | | | | 2,220 | | | | | | | | 81,419 | | | | 67,422 | | | | | | | | 6,056 | | | | 5,824 | |
| | 3,266 | | | | 9,072 | | | | | | | | 248 | | | | 315 | | | | | | | | 21,667 | | | | 31,897 | | | | | | | | 870 | | | | 898 | |
| | 153 | | | | 319 | | | | | | | | 29 | | | | 71 | | | | | | | | 2,050 | | | | 3,423 | | | | | | | | 125 | | | | 209 | |
| | (3,200) | | | | (8,411) | | | | | | | | (277) | | | | (548) | | | | | | | | (8,945) | | | | (21,323) | | | | | | | | (282) | | | | (875) | |
| | 219 | | | | 980 | | | | | | | | — | | | | (162) | | | | | | | | 14,772 | | | | 13,997 | | | | | | | | 713 | | | | 232 | |
| | 13,559 | | | | 13,340 | | | | | | | | 2,058 | | | | 2,058 | | | | | | | | 96,191 | | | | 81,419 | | | | | | | | 6,769 | | | | 6,056 | |
| | |
| | 69,145 | | | | 51,092 | | | | | | | | 5,003 | | | | 5,547 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | 12,333 | | | | 25,730 | | | | | | | | 2,275 | | | | 179 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | 912 | | | | 1,667 | | | | | | | | 65 | | | | 153 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | (1,858) | | | | (9,344) | | | | | | | | (158) | | | | (876) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | 11,387 | | | | 18,053 | | | | | | | | 2,182 | | | | (544) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | 80,532 | | | | 69,145 | | | | | | | | 7,185 | | | | 5,003 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | |
| | 438,803 | | | | 523,552 | | | | | | | | 44,244 | | | | 35,328 | | | | | | | | 321,172 | | | | 594,617 | | | | | | | | 32,283 | | | | 123,452 | |
| | 329,364 | | | | 327,428 | | | | | | | | 22,302 | | | | 43,419 | | | | | | | | 199,448 | | | | 522,438 | | | | | | | | 36,151 | | | | 122,703 | |
| | 35,922 | | | | 107,573 | | | | | | | | — | | | | 300 | | | | | | | | — | | | | 5,800 | | | | | | | | 6,013 | | | | 987 | |
| | 18,723 | | | | 114,591 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 927 | | | | 1,036 | |
See notes to financial statements.
Semi-Annual Report 127
| | |
Statements of Changes in Net Assets continued | | |
For the period ended April 30, 2021 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Low
Duration Fund | | | | | | | | Payden Global Fixed
Income Fund | | | |
| | | 2021 | | | | | 2020 | | | | | | | | 2021 | | | | | 2020 | | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 545 | | | | | | | $ | 1,845 | | | | | | | | | | | $ | 1,295 | | | | | | | $ | 2,334 | | | | | |
Net realized gains (losses) | | | 589 | | | | | | | | 217 | | | | | | | | | | | | 3,186 | | | | | | | | 885 | | | | | |
Change in net unrealized appreciation/(depreciation) | | | 26 | | | | | | | | 357 | | | | | | | | | | | | (4,877) | | | | | | | | 2,249 | | | | | |
Change in Net Assets Resulting from Operations. | | | 1,160 | | | | | | | | 2,419 | | | | | | | | | | | | (396) | | | | | | | | 5,468 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | (570) | | | | | | | | (1,832) | | | | | | | | | | | | (4,045) | | | | | | | | (4,236) | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | — | | | | | | | | (59) | | | | | | | | | | | | — | | | | | | | | — | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (570) | | | | | | | | (1,891) | | | | | | | | | | | | (4,045) | | | | | | | | (4,236) | | | | | |
FROM CAPITALTRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fundshares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | 20,016 | | | | | | | | 45,171 | | | | | | | | | | | | 110,162 | | | | | | | | 68,961 | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | 567 | | | | | | | | 1,880 | | | | | | | | | | | | 4,024 | | | | | | | | — | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Investor Class | | | (30,166) | | | | | | | | (42,296) | | | | | | | | | | | | (23,207) | | | | | | | | (32,695) | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Change in Net Assets from Capital Transactions | | | (9,583) | | | | | | | | 4,755 | | | | | | | | | | | | 90,979 | | | | | | | | 40,455 | | | | | |
Total Change in Net Assets | | | (8,993) | | | | | | | | 5,283 | | | | | | | | | | | | 86,538 | | | | | | | | 41,687 | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 96,311 | | | | | | | | 91,028 | | | | | | | | | | | | 180,074 | | | | | | | | 138,387 | | | | | |
End of period | | $ | 87,318 | | | | | | | $ | 96,311 | | | | | | | | | | | $ | 266,612 | | | | | | | $ | 180,074 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 9,534 | | | | | | | | 9,069 | | | | | | | | | | | | 19,306 | | | | | | | | 14,973 | | | | | |
Shares sold | | | 1,968 | | | | | | | | 4,529 | | | | | | | | | | | | 11,809 | | | | | | | | 7,475 | | | | | |
Shares issued in reinvestment of distributions | | | 56 | | | | | | | | 188 | | | | | | | | | | | | 431 | | | | | | | | 458 | | | | | |
Shares redeemed | | | (2,970) | | | | | | | | (4,252) | | | | | | | | | | | | (2,512) | | | | | | | | (3,600) | | | | | |
Change in shares outstanding | | | (946) | | | | | | | | 465 | | | | | | | | | | | | 9,728 | | | | | | | | 4,333 | | | | | |
Outstanding shares at end of period | | | 8,588 | | | | | | | | 9,534 | | | | | | | | | | | | 29,034 | | | | | | | | 19,306 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | | | 23,569 | | | | | | | | 65,144 | | | | | | | | | | | | 138,123 | | | | | | | | 120,482 | | | | | |
Sale of investments (excluding government) | | | 37,718 | | | | | | | | 63,540 | | | | | | | | | | | | 59,718 | | | | | | | | 96,146 | | | | | |
Purchase of government securities | | | 66,553 | | | | | | | | 127,621 | | | | | | | | | | | | 25,838 | | | | | | | | 40,215 | | | | | |
Sale of government securities | | | 62,014 | | | | | | | | 118,182 | | | | | | | | | | | | 8,628 | | | | | | | | 40,478 | | | | | |
See notes to financial statements.
128 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Emerging Markets
Bond Fund | | | | | Payden Emerging
Markets Local Bond
Fund | | | | | Payden Emerging
Markets
Corporate Bond Fund | | | | | Payden Equity
Income Fund |
| 2021 | | 2020 | | | | | 2021 | | 2020 | | | | | 2021 | | 2020 | | | | | 2021 | | 2020 |
| $ | 26,579 | | | $ | 52,194 | | | | | | | $ | 2,777 | | | $ | 8,573 | | | | | | | $ | 1,078 | | | $ | 1,820 | | | | | | | $ | 14,848 | | | $ | 30,207 | |
| | 16,527 | | | | (10,258) | | | | | | | | (195) | | | | (21,695) | | | | | | | | 438 | | | | 91 | | | | | | | | 167,815 | | | | (4,827) | |
| | 11,507 | | | | (40,355) | | | | | | | | 4,308 | | | | (4,731) | | | | | | | | 719 | | | | (75) | | | | | | | | 196,075 | | | | (129,009) | |
| | 54,613 | | | | 1,581 | | | | | | | | 6,890 | | | | (17,853) | | | | | | | | 2,235 | | | | 1,836 | | | | | | | | 378,738 | | | | (103,629) | |
| | | | | | | | | | |
| | (1,345) | | | | (2,835) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (105) | | | | (737) | |
| | (7,633) | | | | (16,160) | | | | | | | | (2,779) | | | | — | | | | | | | | (96) | | | | (152) | | | | | | | | (4,093) | | | | (25,072) | |
| | (17,491) | | | | (31,855) | | | | | | | | — | | | | — | | | | | | | | (975) | | | | (1,575) | | | | | | | | (9,000) | | | | (42,324) | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | (26) | |
| | — | | | | — | | | | | | | | — | | | | (8,579) | | | | | | | | — | | | | (8) | | | | | | | | — | | | | (884) | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | (79) | | | | | | | | — | | | | (1,492) | |
| | (26,469) | | | | (50,850) | | | | | | | | (2,779) | | | | (8,579) | | | | | | | | (1,071) | | | | (1,814) | | | | | | | | (13,198) | | | | (70,535) | |
| | | | | | | | | | |
| | 17,127 | | | | 14,201 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 3,515 | | | | 6,231 | |
| | 86,622 | | | | 129,084 | | | | | | | | 2,035 | | | | 8,840 | | | | | | | | 1,826 | | | | 75 | | | | | | | | 33,613 | | | | 108,313 | |
| | 78,724 | | | | 238,366 | | | | | | | | — | | | | — | | | | | | | | 8,752 | | | | 15,287 | | | | | | | | 101,196 | | | | 252,772 | |
| | 1,301 | | | | 2,778 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 104 | | | | 748 | |
| | 6,651 | | | | 13,754 | | | | | | | | 2,439 | | | | 7,525 | | | | | | | | 96 | | | | 160 | | | | | | | | 3,503 | | | | 24,305 | |
| | 14,976 | | | | 29,860 | | | | | | | | — | | | | — | | | | | | | | 902 | | | | 1,534 | | | | | | | | 8,064 | | | | 38,047 | |
| | (19,506) | | | | (28,311) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (3,445) | | | | (7,393) | |
| | (81,363) | | | | (239,834) | | | | | | | | (55,750) | | | | (78,089) | | | | | | | | (81) | | | | (77) | | | | | | | | (126,204) | | | | (157,248) | |
| | (133,722) | | | | (173,797) | | | | | | | | — | | | | — | | | | | | | | (1,671) | | | | (14,318) | | | | | | | | (61,604) | | | | (74,071) | |
| | (29,190) | | | | (13,899) | | | | | | | | (51,276) | | | | (61,724) | | | | | | | | 9,824 | | | | 2,661 | | | | | | | | (41,258) | | | | 191,704 | |
| | (1,046) | | | | (63,168) | | | | | | | | (47,165) | | | | (88,156) | | | | | | | | 10,988 | | | | 2,683 | | | | | | | | 324,282 | | | | 17,540 | |
| | | | | | | | | | |
| | 995,442 | | | | 1,058,610 | | | | | | | | 128,212 | | | | 216,368 | | | | | | | | 43,189 | | | | 40,506 | | | | | | | | 1,413,450 | | | | 1,395,910 | |
| $ | 994,396 | | | $ | 995,442 | | | | | | | $ | 81,047 | | | $ | 128,212 | | | | | | | $ | 54,177 | | | $ | 43,189 | | | | | | | $ | 1,737,732 | | | $ | 1,413,450 | |
| | |
| | | | | | | | | | |
| | 4,023 | | | | 4,937 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 845 | | | | 885 | |
| | 1,266 | | | | 1,071 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 186 | | | | 373 | |
| | 96 | | | | 214 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 5 | | | | 43 | |
| | (1,454) | | | | (2,199) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (186) | | | | (456) | |
| | (92) | | | | (914) | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 5 | | | | (40) | |
| | 3,931 | | | | 4,023 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 850 | | | | 845 | |
| | |
| | | | | | | | | | |
| | 21,749 | | | | 30,158 | | | | | | | | 21,947 | | | | 33,265 | | | | | | | | 385 | | | | 368 | | | | | | | | 30,281 | | | | 31,449 | |
| | 6,423 | | | | 9,756 | | | | | | | | 331 | | | | 1,436 | | | | | | | | 176 | | | | 8 | | | | | | | | 1,837 | | | | 6,797 | |
| | 493 | | | | 1,053 | | | | | | | | 395 | | | | 1,252 | | | | | | | | 9 | | | | 17 | | | | | | | | 188 | | | | 1,399 | |
| | (6,061) | | | | (19,218) | | | | | | | | (9,088) | | | | (14,006) | | | | | | | | (8) | | | | (8) | | | | | | | | (6,756) | | | | (9,364) | |
| | 855 | | | | (8,409) | | | | | | | | (8,362) | | | | (11,318) | | | | | | | | 177 | | | | 17 | | | | | | | | (4,731) | | | | (1,168) | |
| | 22,604 | | | | 21,749 | | | | | | | | 13,585 | | | | 21,947 | | | | | | | | 562 | | | | 385 | | | | | | | | 25,550 | | | | 30,281 | |
| | |
| | | | | | | | | | |
| | 50,931 | | | | 42,924 | | | | | | | | — | | | | — | | | | | | | | 3,929 | | | | 3,680 | | | | | | | | 57,334 | | | | 44,568 | |
| | 5,838 | | | | 19,072 | | | | | | | | — | | | | — | | | | | | | | 839 | | | | 1,519 | | | | | | | | 5,396 | | | | 15,025 | |
| | 1,110 | | | | 2,308 | | | | | | | | — | | | | — | | | | | | | | 87 | | | | 156 | | | | | | | | 430 | | | | 2,203 | |
| | (9,960) | | | | (13,373) | | | | | | | | — | | | | — | | | | | | | | (160) | | | | (1,426) | | | | | | | | (3,290) | | | | (4,462) | |
| | (3,012) | | | | 8,007 | | | | | | | | — | | | | — | | | | | | | | 766 | | | | 249249 | | | | | | | | 2,536 | | | | 12,766 | |
| | 47,919 | | | | 50,931 | | | | | | | | — | | | | — | | | | | | | | 4,695 | | | | 3,929 | | | | | | | | 59,870 | | | | 57,334 | |
| | |
| | | | | | | | | | |
| | 314,293 | | | | 799,264 | | | | | | | | 21,897 | | | | 87,107 | | | | | | | | 26,325 | | | | 43,421 | | | | | | | | 820,910 | | | | 961,458 | |
| | 354,581 | | | | 783,937 | | | | | | | | 73,537 | | | | 145,584 | | | | | | | | 18,116 | | | | 41,313 | | | | | | | | 837,960 | | | | 842,974 | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | 528 | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 31 | | | | 332 | | | | | | | | — | | | | — | |
Semi-Annual Report 129
| | |
Notes to Financial Statements | | |
April 30, 2021 (Unaudited)
1. Organization and Related Matters
The Payden & Rygel Investment Group (the “Group” or “Paydenfunds”) is a no-load, open-end registered investment company organized as a Massachusetts business trust on January 22, 1992 and registered under the Investment Company Act of 1940 (the “1940 Act”), as amended. Each of its nineteen funds (each a “Fund,” collectively the “Funds”) is a series of the Group, and is authorized to issue unlimited shares at $0.001 par value. Each of the Funds, other than the Emerging Markets Local Bond Fund, has been classified as diversified.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. Each Fund’s financial statements are prepared in accordance with GAAP.
The Funds are considered investment companies under FASB ASC 946, Financial Services - Investment Companies.
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Securities Valuation
Domestic and foreign fixed income securities and other assets for which market quotations are readily available (other than obligations with original maturities of sixty days or less) are valued on the basis of quotes obtained from brokers and dealers or pricing services. Such quotations take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data. Debt securities with original maturities of sixty days or less and securities in the 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 the over-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 of open-end investment companies are valued at their respective net asset value.
Fair value pricing adjustments may occur when (1) developments occur (a “significant event”) that will affect the value of a Fund’s holdings, and (2) the significant event occurs after the close of the markets on which the securities trade, but before the time when the net asset value is computed for a Fund. A significant event may relate to a single issuer or an entire market.
130 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 the ex-dividend date. Realized gains or losses on investment transactions are determined on the identified cost basis.
Bank Loans
Floating-Rate Loan Interests (“Bank Loans”) in which the Funds invest generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Bank Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. The interest rate shown on the Schedule of Investments reflects the rate in effect at April 30st. 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 131
| | |
Notes to Financial Statements continued | | |
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 for tri-party agreements where an independent custodian takes possession. On a daily basis the Fund or the tri-party custodian mark-to-market such securities to ensure that the value, including accrued interest, is at least equal to the amount to be repaid to the Fund under the agreement. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Fund may be delayed or limited.
Master Repurchase Agreements (“MRA”) permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
The 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
132 Payden Mutual Funds
(“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation) and realized gain/(loss) is recorded at termination of the contract.
Upon entering into a centrallycleared 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 in non-U.S. securities, or asanefficient 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 133
| | |
Notes to Financial Statements continued | | |
call or put option, an amount equal to the premium received is reflected as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the cost of the security acquired is decreased by the premium originally received. As writer of an option, the Fund has no control over whether the underlying securities are subsequently sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the security underlying the written option.
When the Fund purchases a call or put option, an amount equal to the premium paid is included in the Fund’s Statements of Assets and Liabilities as an investment, and is subsequently marked-to-market to reflect the current value of the option. If an option expires on the stipulated expiration date or if a Fund enters into a closing sale transaction, a gain or loss is realized. If the Fund exercises a call option, the cost of the security acquired is increased by the premium paid for the call. If the Fund exercises a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities.
Derivative Financial Instruments
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to economically hedge its exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
The following tables show the Funds’ exposure to different types of market risks as it relates to derivative investments in the Statements of Assets and Liabilities and the Statements of Operations.
Statements of Assets and Liabilities
Fair Values of Derivative Instruments as of April 30, 2021 (000s)
| | | | | | | | |
Underlying Risk | | Derivative
Assets ($) | | | Derivative
Liabilities ($) | |
Limited Maturity | | | | | | | | |
Interest rate1 | | | — | | | | (6 | ) |
Foreign currency2,3 | | | 62 | | | | (2,209 | ) |
| | | | | | | | |
Total | | | 62 | | | | (2,215 | ) |
| | | | | | | | |
Low Duration | | | | | | | | |
Interest rate1 | | | 1,015 | | | | (222 | ) |
Foreign currency2,3 | | | 15 | | | | (522 | ) |
| | | | | | | | |
Total | | | 1,030 | | | | (744 | ) |
| | | | | | | | |
U.S. Government | | | | | | | | |
Interest rate1 | | | 3 | | | | — | |
| | | | | | | | |
GNMA | | | | | | | | |
Interest rate1 | | | — | | | | (15 | ) |
| | | | | | | | |
Core Bond | | | | | | | | |
Interest rate1 | | | 1,758 | | | | (1,163 | ) |
Foreign currency2,3 | | | 129 | | | | (932 | ) |
| | | | | | | | |
Total | | | 1,887 | | | | (2,095 | ) |
| | | | | | | | |
Corporate Bond | | | | | | | | |
Credit1 | | | 155 | | | | — | |
Interest rate1 | | | 598 | | | | (374 | ) |
| | | | | | | | |
Total | | | 753 | | | | (374 | ) |
| | | | | | | | |
Strategic Income | | | | | | | | |
Credit 1 | | | 60 | | | | — | |
Interest rate1 | | | 14 | | | | — | |
Foreign currency2,3 | | | 20 | | | | (163 | ) |
| | | | | | | | |
Total | | | 94 | | | | (163 | ) |
| | | | | | | | |
Absolute Return Bond | | | | | | | | |
Equity4 | | | 25 | | | | — | |
Interest rate1 | | | 881 | | | | (18 | ) |
Foreign currency2,3 | | | 27 | | | | (1,081 | ) |
| | | | | | | | |
Total | | | 933 | | | | (1,099 | ) |
| | | | | | | | |
Floating Rate | | | | | | | | |
Foreign currency3 | | | — | | | | (14 | ) |
High Income | | | | | | | | |
Interest rate1 | | | 1,177 | | | | (65 | ) |
Foreign currency3 | | | — | | | | (150 | ) |
| | | | | | | | |
Total | | | 1,177 | | | | (215 | ) |
| | | | | | | | |
Global Low Duration | | | | | | | | |
Interest rate1 | | | 95 | | | | (18 | ) |
Foreign currency2,3 | | | 5 | | | | (73 | ) |
| | | | | | | | |
Total | | | 100 | | | | (91 | ) |
| | | | | | | | |
Global Fixed Income | | | | | | | | |
Interest rate1 | | | 354 | | | | (337 | ) |
Foreign currency2,3 | | | 493 | | | | (2,156 | ) |
| | | | | | | | |
Total | | | 847 | | | | (2,493 | ) |
| | | | | | | | |
Emerging Markets Bond | | | | | | | | |
Credit1 | | | 25 | | | | (38 | ) |
Foreign currency2,3 | | | 975 | | | | (1,519 | ) |
| | | | | | | | |
Total | | | 1,000 | | | | (1,557 | ) |
| | | | | | | | |
134 Payden Mutual Funds
| | | | | | | | |
Underlying Risk | | Derivative
Assets ($) | | | Derivative
Liabilities ($) | |
Emerging Markets Local Bond | | | | | | | | |
Credit1 | | | 3 | | | | — | |
Foreign currency2,3 | | | 392 | | | | (721 | ) |
| | | | | | | | |
Total | | | 395 | | | | (721 | ) |
| | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | |
Credit1 | | | — | | | | (15 | ) |
Interest rate1 | | | 23 | | | | — | |
Foreign currency2,3 | | | 19 | | | | (6 | ) |
| | | | | | | | |
Total | | | 42 | | | | (21 | ) |
| | | | | | | | |
Equity Income | | | | | | | | |
Foreign currency2,3 | | | 433 | | | | (977 | ) |
| | | | | | | | |
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 | Includes options purchased at fair value as reported in the Schedule of Investments. |
The Effect of Derivative Instruments on the Statements of Operations For the Period Ended April 30, 2021 (000s)
| | | | | | | | | | | | | | | | | | | | |
Amount of Net Realized Gain or (Loss) on Derivatives Recognized in
Income | |
Underlying risk | | Futures1 | | | Forward
Currency
Contracts2 | | | Options3 | | | Swaps4 | | | Total | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | |
Interest rate | | $ | 102 | | | | — | | | | — | | | | — | | | $ | 102 | |
Foreign exchange | | | — | | | $ | (2,216 | ) | | | — | | | | — | | | | (2,216 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 102 | | | | (2,216 | ) | | | — | | | | — | | | | (2,114 | ) |
| | | | | | | | | | | | | | | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 1,414 | | | | — | | | | — | | | $ | 885 | | | | 2,299 | |
Foreign exchange | | | — | | | | (563 | ) | | | — | | | | — | | | | (563 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 1,414 | | | | (563 | ) | | | — | | | | 885 | | | | 1,736 | |
| | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | — | | | | — | | | $ | 33 | | | | — | | | | 33 | |
| | | | | | | | | | | | | | | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 154 | | | | 154 | |
Interest rate | | | 3,744 | | | | — | | | | — | | | | — | | | | 3,744 | |
Foreign exchange | | | — | | | | (581 | ) | | | — | | | | — | | | | (581 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 3,744 | | | | (581 | ) | | | — | | | | 154 | | | | 3,317 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (1,306 | ) | | | (1,306 | ) |
Interest rate | | | 659 | | | | — | | | | — | | | | — | | | | 659 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 659 | | | | — | | | | — | | | | (1,306 | ) | | | (647 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Amount of Net Realized Gain or (Loss) on Derivatives Recognized in
Income | |
Underlying risk | | Futures1 | | | Forward
Currency
Contracts2 | | | Options3 | | | Swaps4 | | | Total | |
Strategic Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | $ | 139 | | | $ | 139 | |
Interest rate | | $ | 26 | | | | — | | | | — | | | | — | | | | 26 | |
Foreign exchange | | | — | | | $ | (50 | ) | | | — | | | | — | | | | (50 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 26 | | | | (50 | ) | | | — | | | | 139 | | | | 115 | |
| | | | | | | | | | | | | | | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 343 | | | | 343 | |
Equity | | | — | | | | — | | | $ | (185 | ) | | | — | | | | (185 | ) |
Interest rate | | | 1,197 | | | | — | | | | — | | | | 726 | | | | 1,923 | |
Foreign exchange | | | — | | | | 372 | | | | — | | | | — | | | | 372 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 1,197 | | | | 372 | | | | (185 | ) | | | 1,069 | | | | 2,453 | |
| | | | | | | | | | | | | | | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | (2 | ) | | | — | | | | — | | | | (2 | ) |
High Income | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | — | | | | — | | | | — | | | | (26 | ) | | | (26 | ) |
Foreign exchange | | | — | | | | (48 | ) | | | — | | | | — | | | | (48 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | (48 | ) | | | — | | | | (26 | ) | | | (74 | ) |
| | | | | | | | | | | | | | | | | | | | |
California Municipal Social | | | | | | | | | | | | | | | | | | | | |
Impact | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 22 | | | | — | | | | — | | | | — | | | | 22 | |
| | | | | | | | | | | | | | | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 158 | | | | — | | | | — | | | | 52 | | | | 210 | |
Foreign exchange | | | — | | | | (72 | ) | | | — | | | | — | | | | (72 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 158 | | | | (72 | ) | | | — | | | | 52 | | | | 138 | |
| | | | | | | | | | | | | | | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 19 | | | | 19 | |
Interest rate | | | 359 | | | | — | | | | — | | | | (69 | ) | | | 290 | |
Foreign exchange | | | — | | | | 1,004 | | | | — | | | | — | | | | 1,004 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 359 | | | | 1,004 | | | | — | | | | (50 | ) | | | 1,313 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (1,375 | ) | | | (1,375 | ) |
Equity | | | — | | | | — | | | | (257 | ) | | | — | | | | (257 | ) |
Foreign exchange | | | — | | | | (2,099 | ) | | | — | | | | — | | | | (2,099 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | (2,099 | ) | | | (257 | ) | | | (1,375 | ) | | | (3,731 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (2 | ) | | | (2 | ) |
Equity | | | — | | | | — | | | | (33 | ) | | | — | | | | (33 | ) |
Interest rate | | | — | | | | — | | | | — | | | | (34 | ) | | | (34 | ) |
Foreign exchange | | | — | | | | 110 | | | | — | | | | — | | | | 110 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 110 | | | | (33 | ) | | | (36 | ) | | | 41 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Corporate | | | | | | | | | | | | | | | | | | | | |
Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (52 | ) | | | (52 | ) |
Equity | | | — | | | | — | | | | (11 | ) | | | — | | | | (11 | ) |
Interest rate | | | 50 | | | | — | | | | — | | | | — | | | | 50 | |
Foreign exchange | | | — | | | | (52 | ) | | | — | | | | — | | | | (52 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 50 | | | | (52 | ) | | | (11 | ) | | | (52 | ) | | | (65 | ) |
| | | | | | | | | | | | | | | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | |
| Foreign exchange | | | — | | | | (669 | ) | | | — | | | | — | | | | (669 | ) |
| | | | | | | | | | | | | | | | | | | | |
| 1 | Net realized gains (losses) from futures contracts. |
| 2 | Net realized gains (losses) from forward foreign exchange contracts. |
Semi-Annual Report 135
| | |
Notes to Financial Statements continued | | |
| 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, 2021 (000s)
| | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation or (Depreciation) on Derivatives
Recognized in Income | |
Underlying risk | | Futures5 | | | Forward
Currency
Contracts6 | | | Options7 | | | Swaps8 | | | Total | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | |
Interest rate | | $ | (38 | ) | | | — | | | | — | | | | — | | | $ | (38 | ) |
Foreign exchange | | | — | | | $ | (2,390 | ) | | | — | | | | — | | | | (2,390 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (38 | ) | | | (2,390 | ) | | | — | | | | — | | | | (2,428 | ) |
| | | | | | | | | | | | | | | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 568 | | | | — | | | | — | | | $ | (785 | ) | | | (217 | ) |
Foreign exchange | | | — | | | | (553 | ) | | | — | | | | — | | | | (553 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 568 | | | | (553 | ) | | | — | | | | (785 | ) | | | (770 | ) |
| | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 3 | | | | — | | | | — | | | | — | | | | 3 | |
GNMA | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (15 | ) | | | — | | | | — | | | | — | | | | (15 | ) |
Core Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (92 | ) | | | (92 | ) |
Interest rate | | | 902 | | | | — | | | | — | | | | — | | | | 902 | |
Foreign exchange | | | — | | | | (1,538 | ) | | | — | | | | — | | | | (1,538 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 902 | | | | (1,538 | ) | | | — | | | | (92 | ) | | | (728 | ) |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 1,062 | | | | 1,062 | |
Interest rate | | | 430 | | | | — | | | | — | | | | — | | | | 430 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 430 | | | | — | | | | — | | | | 1,062 | | | | 1,492 | |
| | | | | | | | | | | | | | | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 54 | | | | 54 | |
Interest rate | | | 3 | | | | — | | | | — | | | | — | | | | 3 | |
Foreign exchange | | | — | | | | (305 | ) | | | — | | | | — | | | | (305 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 3 | | | | (305 | ) | | | — | | | | 54 | | | | (248 | ) |
| | | | | | | | | | | | | | | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (14 | ) | | | (14 | ) |
Equity | | | — | | | | — | | | $ | (66 | ) | | | — | | | | (66 | ) |
Interest rate | | | 495 | | | | — | | | | — | | | | (603 | ) | | | (108 | ) |
Foreign exchange | | | — | | | | (2,309 | ) | | | — | | | | — | | | | (2,309 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 495 | | | | (2,309 | ) | | | (66 | ) | | | (617 | ) | | | (2,497 | ) |
| | | | | | | | | | | | | | | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | (14 | ) | | | — | | | | — | | | | (14 | ) |
| | | | | | | | | | | | | | | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | — | | | | — | | | | — | | | | (29 | ) | | | (29 | ) |
Foreign exchange | | | — | | | | (278 | ) | | | — | | | | — | | | | (278 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | (278 | ) | | | — | | | | (29 | ) | | | (307 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 50 | | | | — | | | | — | | | | (48 | ) | | | 2 | |
Foreign exchange | | | — | | | | (152 | ) | | | — | | | | — | | | | (152 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 50 | | | | (152 | ) | | | — | | | | (48 | ) | | | (150 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation or (Depreciation) on Derivatives
Recognized in Income | |
Underlying risk | | Futures5 | | | Forward
Currency
Contracts6 | | | Options7 | | | Swaps8 | | | Total | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | |
Interest rate | | $ | 94 | | | | — | | | | — | | | $ | (54 | ) | | $ | 40 | |
Foreign exchange | | | — | | | $ | (1,837 | ) | | | — | | | | — | | | | (1,837 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 94 | | | | (1,837 | ) | | | — | | | | (54 | ) | | | (1,797 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 522 | | | | 522 | |
Equity | | | — | | | | — | | | $ | (94 | ) | | | — | | | | (94 | ) |
Foreign exchange | | | — | | | | (1,756 | ) | | | — | | | | — | | | | (1,756 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | (1,756 | ) | | | (94 | ) | | | 522 | | | | (1,328 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 3 | | | | 3 | |
Equity | | | — | | | | — | | | | (11 | ) | | | — | | | | (11 | ) |
Interest rate | | | — | | | | — | | | | — | | | | 13 | | | | 13 | |
Foreign exchange | | | — | | | | 316 | | | | — | | | | — | | | | 316 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 316 | | | | (11 | ) | | | 16 | | | | 321 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 1 | | | | 1 | |
Equity | | | — | | | | — | | | | (4 | ) | | | — | | | | (4 | ) |
Interest rate | | | 19 | | | | — | | | | — | | | | — | | | | 19 | |
Foreign exchange | | | — | | | | 39 | | | | — | | | | — | | | | 39 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 19 | | | | 39 | | | | (4 | ) | | | 1 | | | | 55 | |
| | | | | | | | | | | | | | | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | (1,012 | ) | | | — | | | | — | | | | (1,012 | ) |
| | | | | | | | | | | | | | | | | | | | |
| 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, 2021, the average notional amount of derivatives as a percent of average net assets were as follows:
| | | | | | | | |
| | | Foreign
currency | | Credit | | Interest
rate | | Equity |
Limited Maturity | | 7% | | 0% | | 0% | | 0% |
Low Duration | | 2% | | 0% | | 1% | | 0% |
Core Bond | | 4% | | 0% | | 0% | | 0% |
Corporate Bond | | 0% | | 2% | | 0% | | 0% |
Strategic Income | | 9% | | 1% | | 0% | | 0% |
Absolute Return Bond | | 11% | | 0% | | 2% | | 0% |
High Income | | 1% | | 0% | | 0% | | 0% |
Global Low Duration | | 7% | | 0% | | 1% | | 0% |
Global Fixed Income | | 76% | | 0% | | 734% | | 0% |
Emerging Markets Bond | | 11% | | 0% | | 0% | | 0% |
Emerging Markets Local Bond | | 33% | | 0% | | 6% | | 0% |
Emerging Markets Corporate Bond | | 3% | | 1% | | 0% | | 0% |
Equity Income | | 2% | | 0% | | 0% | | 0% |
136 Payden Mutual Funds
Counterparty Credit Risk
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by a Fund. For OTC options purchased, a Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Fund 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.
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/ortermination event. UnderanISDA 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-pledgeoruse the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
Semi-Annual Report 137
| | |
Notes to Financial Statements continued | | |
At April 30, 2021, the Funds’ derivative assets and liabilities (by type) on a gross basis are as follows (000s):
| | | | | | | | |
| | | Assets | | | Liabilities | |
Global Fixed Income | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Centrally Cleared Swaps | | $ | 21 | | | | — | |
Futures Contracts | | | 8 | | | $ | 18 | |
Forward Currency Contracts | | | 493 | | | | 2,156 | |
OTC Swaps | | | — | | | | 87 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities. | | | 522 | | | | 2,261 | |
| | | | | | | | |
| Derivatives not subject toaMNA | | | (66 | ) | | | (502 | ) |
| | | | | | | | |
| Total derivative assets and liabilities subject toaMNA | | $ | 456 | | | $ | 1,759 | |
| | | | | | | | |
| | | | | | | | |
| | | Assets | | | Liabilities | |
Emerging Markets Local Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Centrally Cleared Swaps | | | — | | | $ | 2 | |
Forward Currency Contracts | | $ | 392 | | | | 721 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities. | | | 392 | | | | 723 | |
| | | | | | | | |
| Derivatives not subject toaMNA | | | — | | | | (2 | ) |
| | | | | | | | |
| Total derivative assets and liabilities subject toaMNA | | $ | 392 | | | $ | 721 | |
| | | | | | | | |
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, 2021 (000s):
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Global Fixed Income | | | | | | | | | | | | | | | |
| | | | | |
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 | | $ | 179 | | | $ | (28 | ) | | | — | | | | — | | | $ | 151 | |
HSBC Bank USA, N.A | | | 191 | | | | (78 | ) | | | — | | | | — | | | | 113 | |
State Street Bank & Trust Co | | | 86 | | | | (86 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 456 | | | $ | (192 | ) | | | — | | | | — | | | $ | 264 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Liabilities
Subject to MNA by
Counterparty | | | Derivatives
Available
for Offset1 | | | Non-Cash
Collateral
Pledged | | | Cash
Collateral
Pledged | | | Net Amount of
Derivative
Liabilities3 | |
Barclays Bank PLC | | $ | 28 | | | $ | (28 | ) | | | — | | | | — | | | | — | |
Goldman Sachs & Co | | | 87 | | | | — | | | | — | | | | — | | | $ | 87 | |
HSBC Bank USA, N.A | | | 78 | | | | (78 | ) | | | — | | | | — | | | | — | |
StateStreet Bank& Trust Co | | | 1,566 | | | | (86 | ) | | | — | | | | — | | | | 1,480 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,759 | | | $ | (192 | ) | | | — | | | | — | | | $ | 1,567 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
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 | | $ | 112 | | | $ | (112 | ) | | | — | | | | — | | | | — | |
BNP PARIBAS | | | 70 | | | | (70 | ) | | | — | | | | — | | | | — | |
HSBC Bank USA, N.A | | | 210 | | | | (118 | ) | | | — | | | | — | | | $ | 92 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 392 | | | $ | (300 | ) | | | — | | | | — | | | $ | 92 | |
| | | | | | | | | | | | | | | | | | | | |
138 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Liabilities
Subject to MNA by
Counterparty | | | Derivatives
Available
for Offset1 | | | Non-Cash
Collateral
Pledged | | | Cash
Collateral
Pledged | | | Net Amount of
Derivative
Liabilities3 | |
Barclays Bank PLC | | $ | 471 | | | $ | (112 | ) | | | — | | | | — | | | $ | 359 | |
BNP PARIBAS | | | 132 | | | | (70 | ) | | | — | | | | — | | | | 62 | |
HSBC Bank USA, N.A | | | 118 | | | | (118 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total . | | $ | 721 | | | $ | (300 | ) | | | — | | | | — | | | $ | 421 | |
| | | | | | | | | | | | | | | | | | | | |
| 1 | The amount of derivatives for offset is limited to the amount of assets and/or liabilities that are subject to a MNA. |
| 2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
| 3 | Net amount represents the net amount payable 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.
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 off setting 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 the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, a Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and a Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.
The Fund’s securities lending agreements by counterparty, which are subject to offset under a MSLA, if applicable, is included within each Fund’s Schedule of Investments under the heading “Offsetting Assets and Liabilities”. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to MSLA on the Statements of Assets and Liabilities.
Semi-Annual Report 139
| | |
Notes to Financial Statements continued | | |
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. Dividends from net investment income and net realized gains on foreign currency transactions are declared and paid monthly for all Funds except the Cash Reserves Money Market, Limited Maturity, Short Bond, U.S. Government, GNMA and California Municipal 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, 2021, the Funds did not record any liability for uncertain tax positions. Accordingly, no provision for Federal income or excise tax is necessary
Each Fund files a tax return annually using tax accounting methods required under provisions of the Code, which may differ from GAAP, the basis on which these financial statements
are prepared. The differences arise primarily from the treatment of foreign currency transactions and futures contracts and the deferral of certain losses under Federal income tax regulations. Accordingly, the amounts of net investment income and net realized gains or losses reported in these financial statements may differ from those reported in each Fund’s tax return.
Return of capital distributions and net investment losses for tax purposes, if any, are reclassified to paid in capital.
As of and during the period ended April 30, 2021, 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, 2020 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, 2020 | | | Purchases | | | Sales | | | Dividends | | | Value
April 30, 2021 | | | Net Change in
Unrealized Appreciation
(Depreciation) | |
| | | | | | |
Investments in Cash Reserves Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Limited Maturity | | $ | 9,893,718 | | | $ | 481,289,833 | | | $ | 488,631,291 | | | $ | 1,096 | | | $ | 2,552,260 | | | | — | |
Low Duration | | | 2,565,601 | | | | 357,824,163 | | | | 356,175,016 | | | | 671 | | | | 4,214,748 | | | | — | |
U.S. Government | | | 1,857,730 | | | | 38,227,583 | | | | 39,942,671 | | | | 192 | | | | 142,642 | | | | — | |
GNMA | | | 2,352,255 | | | | 34,528,286 | | | | 35,040,501 | | | | 145 | | | | 1,840,040 | | | | — | |
Core Bond. | | | 15,715,615 | | | | 422,925,735 | | | | 435,185,439 | | | | 582 | | | | 3,455,911 | | | | — | |
Corporate Bond. | | | 11,713,077 | | | | 103,810,345 | | | | 108,490,996 | | | | 417 | | | | 7,032,426 | | | | — | |
Strategic Income. | | | 2,039,994 | | | | 106,821,115 | | | | 106,228,931 | | | | 190 | | | | 2,632,178 | | | | — | |
Absolute Return Bond | | | 5,913,275 | | | | 267,325,533 | | | | 263,035,063 | | | | 625 | | | | 10,203,745 | | | | — | |
Floating Rate | | | 4,906,720 | | | | 39,465,714 | | | | 31,725,079 | | | | 397 | | | | 12,647,355 | | | | — | |
High Income | | | 33,021,275 | | | | 215,730,504 | | | | 225,004,284 | | | | 1,531 | | | | 23,747,495 | | | | — | |
Global Low Duration | | | 756,144 | | | | 33,174,379 | | | | 33,816,157 | | | | 65 | | | | 114,366 | | | | — | |
Global Fixed Income | | | 9,848,803 | | | | 117,954,851 | | | | 126,060,434 | | | | 575 | | | | 1,743,220 | | | | — | |
Emerging Markets Bond | | | 23,105,311 | | | | 211,152,427 | | | | 229,458,637 | | | | 507 | | | | 4,799,101 | | | | — | |
Emerging Markets Local Bond | | | 1,595,347 | | | | 30,591,687 | | | | 30,467,152 | | | | 233 | | | | 1,719,882 | | | | — | |
140 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Value
October 31, 2020 | | | Purchases | | | Sales | | | Dividends | | | Value
April 30, 2021 | | | Net Change in
Unrealized Appreciation
(Depreciation) | |
Emerging Markets Corporate Bond | | $ | 1,575,389 | | | $ | 14,917,039 | | | $ | 10,656,828 | | | $ | 87 | | | $ | 5,835,600 | | | | — | |
Equity Income | | | 67,522,347 | | | | 210,492,057 | | | | 239,870,271 | | | | 1,408 | | | | 38,144,133 | | | | — | |
| | | | | | |
Investments in Floating Rate Fund — SI Class | | | | | | | | | | | | | | | | | | | | | | | | |
Limited Maturity | | | — | | | | 7,500,000 | | | | — | | | | 15,849 | | | | 7,500,000 | | | | — | |
Global Fixed Income | | | 1,395,138 | | | | — | | | | — | | | | 22,710 | | | | 1,450,885 | | | $ | 55,747 | |
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, 2021.
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. During the period the Payden Emerging Markets Local Bond Fund borrowed to meet redemption requests. No other 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.
Accounting Standards
In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The guidance is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of the ASU on the Funds’ financial statements.
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 2019 | | | FY 2020 | | | FY 2021 | |
Cash Reserves Money | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Market | | | 0.15% | | | | 0.15% | | | | 0.15% | | | | 0.15% | | | | 0.50% | | | | 0.25% | | | | n/a | | | $ | 356,789 | | | $ | 425,137 | | | $ | 202,647 | |
Limited Maturity | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | | 0.25% | | | | n/a | | | | 2,419,489 | | | | 2,779,713 | | | | 1,935,751 | |
Low Duration | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | | 0.43% | | | | n/a | | | | 1,537,992 | | | | 1,421,862 | | | | 736,064 | |
U.S. Government | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | | 0.43% | | | | n/a | | | | 113,838 | | | | 127,100 | | | | 59,871 | |
GNMA | | | 0.27% | | | | 0.27% | | | | 0.27% | | | | 0.27% | | | | 0.50% | | | | 0.15% | | | | n/a | | | | 267,982 | | | | 264,362 | | | | 132,318 | |
Core Bond | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | | 0.53% | | | | 0.42% | | | | 377,482 | | | | 492,210 | | | | 307,712 | |
Corporate Bond | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 1.00% | | | | 0.65% | | | | n/a | | | | — | | | | 56,398 | | | | 1,142 | |
Semi-Annual Report 141
| | |
Notes to Financial Statements continued | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 2019 | | | FY 2020 | | | FY 2021 | |
Strategic Income | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | n/a | | | | 0.65% | | | | 0.55% | | | $ | 372,006 | | | $ | 334,464 | | | $ | 167,986 | |
Absolute Return Bond | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | n/a | | | | 0.70% | | | | 0.47% | | | | 906,573 | | | | 1,703,932 | | | | 973,888 | |
Floating Rate | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | n/a | | | | 0.70% | | | | 0.60% | | | | 235,705 | | | | 204,662 | | | | 108,113 | |
High Income | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.75% | | | | n/a | | | | n/a | | | | — | | | | — | | | | n/a | |
California Municipal | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Social Impact | | | 0.32% | | | | 0.32% | | | | 0.25% | | | | 0.25% | | | | 0.80% | | | | 0.45% | | | | n/a | | | | 101,892 | | | | 174,738 | | | | 58,993 | |
Global Low Duration | | | 0.30% | | | | 0.30% | | | | 0.30% | | | | 0.25% | | | | 0.70% | | | | 0.53% | | | | n/a | | | | 144,077 | | | | 178,826 | | | | 92,538 | |
Global Fixed Income | | | 0.30% | | | | 0.30% | | | | 0.30% | | | | 0.25% | | | | 0.70% | | | | n/a | | | | n/a | | | | 95,259 | | | | 123,205 | | | | — | |
Emerging Markets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bond | | | 0.45% | | | | 0.45% | | | | 0.45% | | | | 0.45% | | | | 1.25% | | | | n/a | | | | 0.69% | | | | 219,014 | | | | 276,554 | | | | 108,708 | |
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% | | | | 196,502 | | | | 213,678 | | | | 104,543 | |
Equity Income | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.30% | | | | 0.80% | | | | n/a | | | | 0.65% | | | | 680,157 | | | | 732,844 | | | | 385,756 | |
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, 2022 (exclusive of interest and taxes).
Each Fund remains liable to the Adviser for expenses subsidized in any fiscal year up to a maximum of three years from the end of the period in which the expenses were subsidized as long as any reimbursement will not cause the annual expense ratio for the year in which it is made to exceed the amount of the expense guarantee or voluntary expense limit (whichever is in effect at the time of waiver or reimbursement).
The deferred expense subsidies represent the cumulative amount of expenses subsidized for the Funds through the end of the period. Such amount is not considered a liability of each respective Fund, and, therefore, is not recorded as liabilities in the Statements of Assets and Liabilities, but will be recognized as net expense in the Statements of Operations as expense previously deferred in future periods, if expense limits permit.
Treasury Plus, Inc., a wholly owned subsidiary of Payden & Rygel, serves as administrator to the Funds. Under the terms of the administration agreement, Treasury Plus, Inc. receives fees monthly, computed on the average daily net assets of the Funds at an annualized rate of 0.15%.
Under a distribution agreement with the Funds, the Core Bond, Emerging Markets Bond and Equity Income Funds adopted a plan pursuant to SEC rule 12b-1 by which Payden & Rygel Distributors receives fee monthly, computed on the average net assets of the Adviser class at an annualized rate of 0.25%. Payden & Rygel Distributors is not entitled to receive any fees from the Investor or SI classes of the Funds.
Certain officers and/or trustees of the Funds are affiliated with Payden & Rygel, Payden & Rygel Distributors and/or Treasury Plus, Inc. Such officers and trustees receive no fees from the Funds for serving as officers and/or trustees of the Funds.
The Funds may purchase securities from or sell securities to an affiliated fund or portfolio provided that the affiliation is due solely to having a common investment advisor, common officers or common trustees.
Indemnifications
Under the Group’s organizational documents, its trustees and officers are indemnified by the Funds against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. A Fund’s maximum exposure under these agreements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently the Funds expect this risk of loss to be remote.
142 Payden Mutual Funds
4. Fair Value Measurement
Various inputs are used in determining the value of each 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Repurchase Agreement | | | — | | | | — | | | $ | 110,000 | | | | — | | | | — | | | | — | | | $ | 110,000 | |
U.S. Government. | | | — | | | | — | | | | 51,551 | | | | — | | | | — | | | | — | | | | 51,551 | |
U.S. Treasury | | | — | | | | — | | | | 177,929 | | | | — | | | | — | | | | — | | | | 177,929 | |
Investment Company | | $ | 9,659 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 9,659 | |
| | | | | | | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 571,916 | | | | — | | | | — | | | | — | | | | 571,916 | |
Commercial Paper | | | — | | | | — | | | | 242,391 | | | | — | | | | — | | | | — | | | | 242,391 | |
Corporate Bond | | | — | | | | — | | | | 1,029,035 | | | | — | | | | — | | | | — | | | | 1,029,035 | |
Foreign Government | | | — | | | | — | | | | 13,469 | | | | — | | | | — | | | | — | | | | 13,469 | |
Mortgage Backed. | | | — | | | | — | | | | 167,559 | | | | — | | | | — | | | | — | | | | 167,559 | |
Municipal. | | | — | | | | — | | | | 1,950 | | | | — | | | | — | | | | — | | | | 1,950 | |
U.S. Government. | | | — | | | | — | | | | 229,943 | | | | — | | | | — | | | | — | | | | 229,943 | |
Investment Company | | | 2,552 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,552 | |
Investments Valued at NAV1 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,500 | |
| | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 380,824 | | | | — | | | | — | | | | — | | | | 380,824 | |
Commercial Paper | | | — | | | | — | | | | 16,000 | | | | — | | | | — | | | | — | | | | 16,000 | |
Corporate Bond | | | — | | | | — | | | | 579,446 | | | | — | | | | — | | | | — | | | | 579,446 | |
Foreign Government | | | — | | | | — | | | | 4,848 | | | | — | | | | — | | | | — | | | | 4,848 | |
Mortgage Backed | | | — | | | | — | | | | 289,081 | | | | — | | | | — | | | | — | | | | 289,081 | |
Municipal | | | — | | | | — | | | | 1,431 | | | | — | | | | — | | | | — | | | | 1,431 | |
U.S. Government | | | — | | | | — | | | | 408,943 | | | | — | | | | — | | | | — | | | | 408,943 | |
Investment Company | | | 4,215 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,215 | |
| | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 1,083 | | | | — | | | | — | | | | — | | | | 1,083 | |
Mortgage Backed | | | — | | | | — | | | | 28,620 | | | | — | | | | — | | | | — | | | | 28,620 | |
U.S. Government | | | — | | | | — | | | | 1,810 | | | | — | | | | — | | | | — | | | | 1,810 | |
Investment Company | | | 143 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 143 | |
Semi-Annual Report 143
| | |
Notes to Financial Statements continued | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
GNMA | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed | | | — | | | | — | | | $ | 152,277 | | | | — | | | | — | | | | — | | | $ | 152,277 | |
U.S. Government | | | — | | | | — | | | | 4,198 | | | | — | | | | — | | | | — | | | | 4,198 | |
Investment Company | | $ | 1,840 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,840 | |
| | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 111,042 | | | | — | | | | — | | | | — | | | | 111,042 | |
Bank Loans | | | — | | | | — | | | | 40,519 | | | | — | | | | — | | | | — | | | | 40,519 | |
Commercial Paper | | | — | | | | — | | | | 25,000 | | | | — | | | | — | | | | — | | | | 25,000 | |
Corporate Bond | | | — | | | | — | | | | 445,871 | | | | — | | | | — | | | | — | | | | 445,871 | |
Foreign Government | | | — | | | | — | | | | 33,775 | | | | — | | | | — | | | | — | | | | 33,775 | |
Mortgage Backed | | | — | | | | — | | | | 294,566 | | | | — | | | | — | | | | — | | | | 294,566 | |
Municipal | | | — | | | | — | | | | 25,189 | | | | — | | | | — | | | | — | | | | 25,189 | |
U.S. Government | | | — | | | | — | | | | 277,823 | | | | — | | | | — | | | | — | | | | 277,823 | |
Investment Company | | | 3,456 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,456 | |
| | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 4,912 | | | | — | | | | — | | | | — | | | | 4,912 | |
Corporate Bond | | | — | | | | | | | | 419,365 | | | | — | | | | — | | | | — | | | | 419,365 | |
Foreign Government | | | — | | | | — | | | | 1,810 | | | | — | | | | — | | | | — | | | | 1,810 | |
Mortgage Backed | | | — | | | | — | | | | 5,668 | | | | — | | | | — | | | | — | | | | 5,668 | |
Municipal | | | — | | | | — | | | | 5,894 | | | | — | | | | — | | | | — | | | | 5,894 | |
Investment Company | | | 7,032 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,032 | |
| | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 20,830 | | | | — | | | | — | | | | — | | | | 20,830 | |
Bank Loans | | | — | | | | — | | | | 6,485 | | | | — | | | | — | | | | — | | | | 6,485 | |
Corporate Bond | | | — | | | | — | | | | 85,485 | | | | — | | | | — | | | | — | | | | 85,485 | |
Foreign Government | | | — | | | | — | | | | 7,051 | | | | — | | | | — | | | | — | | | | 7,051 | |
Mortgage Backed | | | — | | | | — | | | | 13,493 | | | | — | | | | — | | | | — | | | | 13,493 | |
Municipal | | | — | | | | — | | | | 5,745 | | | | — | | | | — | | | | — | | | | 5,745 | |
U.S. Government | | | — | | | | — | | | | 37,217 | | | | — | | | | — | | | | — | | | | 37,217 | |
Common Stock | | | 7,364 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,364 | |
Preferred Stock | | | 93 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 93 | |
Investment Company | | | 2,632 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,632 | |
144 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) | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 253,656 | | | | — | | | | — | | | | — | | | $ | 253,656 | |
Bank Loans | | | — | | | | — | | | | 17,673 | | | | — | | | | — | | | | — | | | | 17,673 | |
Corporate Bond | | | — | | | | — | | | | 310,287 | | | | — | | | | — | | | | — | | | | 310,287 | |
Foreign Government | | | — | | | | — | | | | 72,534 | | | | — | | | | — | | | | — | | | | 72,534 | |
Mortgage Backed | | | — | | | | — | | | | 249,514 | | | | — | | | | — | | | | — | | | | 249,514 | |
Options Purchased | | $ | 25 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 25 | |
U.S. Government | | | — | | | | — | | | | 49,499 | | | | — | | | | — | | | | — | | | | 49,499 | |
Investment Company | | | 10,204 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 10,204 | |
| | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 1,189 | | | | — | | | | — | | | | — | | | | 1,189 | |
Bank Loans | | | — | | | | — | | | | 74,139 | | | | — | | | | — | | | | — | | | | 74,139 | |
Corporate Bond | | | — | | | | — | | | | 7,558 | | | | — | | | | — | | | | — | | | | 7,558 | |
Mortgage Backed | | | — | | | | — | | | | 4,659 | | | | — | | | | — | | | | — | | | | 4,659 | |
U.S. Government | | | — | | | | — | | | | 15,000 | | | | — | | | | — | | | | — | | | | 15,000 | |
Investment Company | | | 12,647 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 12,647 | |
| | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 4,479 | | | | — | | | | — | | | | — | | | | 4,479 | |
Bank Loans | | | — | | | | — | | | | 21,770 | | | | — | | | | — | | | | — | | | | 21,770 | |
Common Stock | | | 6,949 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,949 | |
Corporate Bond | | | — | | | | — | | | | 595,053 | | | | — | | | | — | | | | — | | | | 595,053 | |
Mortgage Backed | | | — | | | | — | | | | 18,589 | | | | — | | | | — | | | | — | | | | 18,589 | |
Investment Company | | | 23,747 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 23,747 | |
| | | | | | | |
California Municipal Social Impact | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 1,559 | | | | — | | | | — | | | | — | | | | 1,559 | |
Municipal | | | — | | | | — | | | | 64,996 | | | | — | | | | — | | | | — | | | | 64,996 | |
U.S. Government | | | — | | | | — | | | | 4,869 | | | | — | | | | — | | | | — | | | | 4,869 | |
| | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 18,502 | | | | — | | | | — | | | | — | | | | 18,502 | |
Corporate Bond | | | — | | | | — | | | | 38,400 | | | | — | | | | — | | | | — | | | | 38,400 | |
Foreign Government | | | — | | | | — | | | | 1,188 | | | | — | | | | — | | | | — | | | | 1,188 | |
Mortgage Backed | | | — | | | | — | | | | 10,096 | | | | — | | | | — | | | | — | | | | 10,096 | |
Municipal | | | — | | | | — | | | | 91 | | | | — | | | | — | | | | — | | | | 91 | |
U.S. Government | | | — | | | | — | | | | 18,691 | | | | — | | | | — | | | | — | | | | 18,691 | |
Investment Company | | | 114 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 114 | |
Semi-Annual Report 145
| | |
Notes to Financial Statements continued | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 31,286 | | | | — | | | | — | | | | — | | | $ | 31,286 | |
Bank Loans | | | — | | | | — | | | | 5,056 | | | | — | | | | — | | | | — | | | | 5,056 | |
Corporate Bond | | | — | | | | — | | | | 79,712 | | | | — | | | | — | | | | — | | | | 79,712 | |
Foreign Government | | | — | | | | — | | | | 100,979 | | | | — | | | | — | | | | — | | | | 100,979 | |
Mortgage Backed | | | — | | | | — | | | | 25,122 | | | | — | | | | — | | | | — | | | | 25,122 | |
U.S. Government | | | — | | | | — | | | | 27,152 | | | | — | | | | — | | | | — | | | | 27,152 | |
Investment Company | | $ | 1,743 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,743 | |
Investments Valued at NAV1 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,451 | |
| | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 308,235 | | | | — | | | | — | | | | — | | | | 308,235 | |
Foreign Government | | | — | | | | — | | | | 671,833 | | | | — | | | | — | | | | — | | | | 671,833 | |
Investment Company | | | 4,799 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,799 | |
| | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 17,106 | | | | — | | | | — | | | | — | | | | 17,106 | |
Foreign Government | | | — | | | | — | | | | 60,353 | | | | — | | | | — | | | | — | | | | 60,353 | |
Investment Company | | | 1,720 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,720 | |
| | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | — | | | | 1,522 | | | | — | | | | — | | | | — | | | | 1,522 | |
Corporate Bond | | | — | | | | — | | | | 46,929 | | | | — | | | | — | | | | — | | | | 46,929 | |
Foreign Government | | | — | | | | — | | | | 1,270 | | | | — | | | | — | | | | — | | | | 1,270 | |
Mortgage Backed | | | — | | | | — | | | | 1,293 | | | | — | | | | — | | | | — | | | | 1,293 | |
Investment Company | | | 5,836 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,836 | |
| | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 9,545 | | | | — | | | | — | | | | — | | | | 9,545 | |
Common Stock | | | 1,556,845 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,556,845 | |
Preferred Stock | | | 3,251 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,251 | |
Real Estate Investment Trust | | | 128,405 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 128,405 | |
Investment Company | | | 38,144 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 38,144 | |
| 1 | As of April 30, 2021, 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. |
146 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Other Financial Instruments 1 | |
| | | 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) | |
| | | | | | | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | $ | 62 | | | $ | (2,209 | ) | | | — | | | | — | | | $ | (2,147 | ) |
Futures | | | — | | | $ | (6 | ) | | | — | | | | — | | | | — | | | | — | | | | (6 | ) |
| | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 15 | | | | (522 | ) | | | — | | | | — | | | | (507 | ) |
Futures | | $ | 1,015 | | | | (219 | ) | | | — | | | | — | | | | — | | | | — | | | | 796 | |
Swaps | | | — | | | | — | | | | — | | | | (3 | ) | | | — | | | | — | | | | (3 | ) |
| | | | | | | |
U.S Government | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 3 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3 | |
| | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | — | | | | (15 | ) | | | — | | | | — | | | | — | | | | — | | | | (15 | ) |
| | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 129 | | | | (932 | ) | | | — | | | | — | | | | (803 | ) |
Futures | | | 1,758 | | | | (1,163 | ) | | | — | | | | — | | | | — | | | | — | | | | 595 | |
| | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 598 | | | | (374 | ) | | | — | | | | — | | | | — | | | | — | | | | 224 | |
Swaps | | | — | | | | — | | | | 155 | | | | — | | | | — | | | | — | | | | 155 | |
| | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 20 | | | | (163 | ) | | | — | | | | — | | | | (143 | ) |
Futures | | | 14 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 14 | |
Swaps | | | — | | | | — | | | | 60 | | | | — | | | | — | | | | — | | | | 60 | |
| | | | | | | |
Absolute Return | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 27 | | | | (1,081 | ) | | | — | | | | — | | | | (1,054 | ) |
Futures | | | 759 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 759 | |
Swaps | | | — | | | | — | | | | 122 | | | | (18 | ) | | | — | | | | — | | | | 104 | |
| | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | — | | | | (14 | ) | | | — | | | | — | | | | (14 | ) |
| | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | — | | | | (150 | ) | | | — | | | | — | | | | (150 | ) |
Swaps | | | — | | | | — | | | | 1,177 | | | | (65 | ) | | | — | | | | — | | | | 1,112 | |
Semi-Annual Report 147
| | |
Notes to Financial Statements continued | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Other Financial Instruments 1 | |
| | | 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) | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | $ | 5 | | | $ | (73 | ) | | | — | | | | — | | | $ | (68 | ) |
Futures | | $ | 95 | | | $ | (18 | ) | | | — | | | | — | | | | — | | | | — | | | | 77 | |
| | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 493 | | | | (2,156 | ) | | | — | | | | — | | | | (1,663 | ) |
Futures | | | 215 | | | | (159 | ) | | | — | | | | — | | | | — | | | | — | | | | 56 | |
Swaps | | | — | | | | — | | | | 139 | | | | (178 | ) | | | — | | | | — | | | | (39 | ) |
| | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 975 | | | | (1,519 | ) | | | — | | | | — | | | | (544 | ) |
Swaps | | | — | | | | — | | | | 25 | | | | (38 | ) | | | — | | | | — | | | | (13 | ) |
| | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 392 | | | | (721 | ) | | | — | | | | — | | | | (329 | ) |
Swaps | | | — | | | | — | | | | 3 | | | | — | | | | — | | | | — | | | | 3 | |
| | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 19 | | | | (6 | ) | | | — | | | | — | | | | 13 | |
Futures | | | 23 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 23 | |
Swaps | | | — | | | | — | | | | — | | | | (15 | ) | | | — | | | | — | | | | (15 | ) |
| | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 433 | | | | (977 | ) | | | — | | | | — | | | | (544 | ) |
| 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)
Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to distributable earnings and paid-in capital, as appropriate, in the period that the differences arise.
At October 31, 2020, the following Funds had available for Federal income tax purposes unused capital losses as follows (000’s):
| | | | |
| | | Total | |
Limited Maturity | | $ | 313 | |
U.S. Government | | | 7,452 | |
GNMA | | | 38,123 | |
Absolute Return | | | 7,381 | |
Floating Rate | | | 4,463 | |
High Income | | | 29,204 | |
Emerging Markets Bond | | | 24,098 | |
Emerging Markets Local Bond | | | 20,624 | |
Emerging Markets Corporate Bond | | | 47 | |
148 Payden Mutual Funds
At April 30, 2021, 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 | | $ | 349,139 | | | | — | | | | — | | | | — | |
Limited Maturity | | | 2,257,523 | | | $ | 9,223 | | | $ | (2,881 | ) | | $ | 6,342 | |
Low Duration | | | 1,675,978 | | | | 11,762 | | | | (2,666 | ) | | | 9,096 | |
U.S. Government | | | 31,540 | | | | 880 | | | | (761 | ) | | | 119 | |
GNMA | | | 156,397 | | | | 3,682 | | | | (1,779 | ) | | | 1,903 | |
Core Bond | | | 1,246,305 | | | | 29,539 | | | | (20,297 | ) | | | 9,242 | |
Corporate Bond | | | 428,539 | | | | 22,096 | | | | (4,806 | ) | | | 38,995 | |
Strategic Income | | | 182,506 | | | | 5,063 | | | | (1,259 | ) | | | 3,804 | |
Absolute Return Bond | | | 953,154 | | | | 14,367 | | | | (4,325 | ) | | | 10,042 | |
Floating Rate | | | 114,598 | | | | 1,132 | | | | (552 | ) | | | 580 | |
High Income | | | 643,328 | | | | 31,971 | | | | (3,731 | ) | | | 28,240 | |
California Municipal Income | | | 68,980 | | | | 3,009 | | | | (565 | ) | | | 2,444 | |
Global Low Duration | | | 86,350 | | | | 1,192 | | | | (451 | ) | | | 741 | |
Global Fixed Income | | | 273,305 | | | | 4,259 | | | | (6,741 | ) | | | (2,482 | ) |
Emerging Markets Bond | | | 1,023,873 | | | | 41,142 | | | | (80,914 | ) | | | (39,772 | ) |
Emerging Markets Local Bond | | | 86,639 | | | | 1,758 | | | | (9,657 | ) | | | (7,899 | ) |
Emerging Markets Corporate Bond | | | 55,830 | | | | 2,224 | | | | (1,132 | ) | | | 1,092 | |
Equity Income | | | 1,404,660 | | | | 334,189 | | | | (3,177 | ) | | | 331,012 | |
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.
Semi-Annual Report 149
For the share outstanding for the periods ended April 30, 2021 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Cash Reserves Money Market Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.00 | (1) | | | 0.01 | | | | 0.02 | | | | 0.01 | | | | 0.01 | |
Net realized and unrealized gains (losses) | | | 0.00 | (1) | | | 0.00 | (1) | | | 0.00 | | | | 0.00 | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | — | | | | 0.01 | | | | 0.02 | | | | 0.01 | | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.00 | )(1) | | | (0.01 | ) | | | (0.02 | ) | | | (0.01 | ) | | | (0.01 | ) |
From net realized gains | | | — | | | | (0.00 | )(1) | | | (0.00 | )(1) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.00 | )(1) | | | (0.01 | ) | | | (0.02 | ) | | | (0.01 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.01 | %(2) | | | 0.57 | % | | | 2.10 | % | | | 1.43 | % | | | 0.53 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 349,399 | | | $ | 351,597 | | | $ | 274,957 | | | $ | 329,996 | | | $ | 447,563 | |
Ratio of gross expense to average net assets | | | 0.39 | %(3) | | | 0.39 | % | | | 0.38 | % | | | 0.38 | % | | | 0.38 | % |
Ratio of net expense to average net assets | | | 0.08 | %(3) | | | 0.23 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % |
Ratio of investment income less gross expenses to average net assets | | | (0.29 | )%(3) | | | 0.35 | % | | | 1.94 | % | | | 1.26 | % | | | 0.40 | % |
Ratio of net investment income to average net assets | | | 0.01 | %(3) | | | 0.51 | % | | | 2.07 | % | | | 1.39 | % | | | 0.52 | % |
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 | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.50 | | | $ | 9.49 | | | $ | 9.46 | | | $ | 9.48 | | | $ | 9.46 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.04 | | | | 0.15 | | | | 0.25 | | | | 0.20 | | | | 0.12 | |
Net realized and unrealized gains (losses) | | | 0.03 | | | | 0.01 | | | | 0.03 | | | | (0.02 | ) | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.07 | | | | 0.16 | | | | 0.28 | | | | 0.18 | | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.04 | ) | | | (0.15 | ) | | | (0.25 | ) | | | (0.20 | ) | | | (0.08 | ) |
From net realized gains. | | | — | | | | (0.00 | )(1) | | | (0.00 | )(1) | | | — | | | | — | |
Return of capital | | | — | | | | — | �� | | | — | | | | — | | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.04 | ) | | | (0.15 | ) | | | (0.25 | ) | | | (0.20 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.53 | | | $ | 9.50 | | | $ | 9.49 | | | $ | 9.46 | | | $ | 9.48 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.70 | %(2) | | | 1.75 | % | | | 2.99 | % | | | 1.92 | % | | | 1.52 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 2,217,118 | | | $ | 1,219,514 | | | $ | 783,645 | | | $ | 784,821 | | | $ | 707,930 | |
Ratio of gross expense to average net assets | | | 0.50 | %(3) | | | 0.54 | % | | | 0.55 | % | | | 0.55 | % | | | 0.56 | % |
Ratio of net expense to average net assets | | | 0.25 | %(3) | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % |
Ratio of investment income less gross expenses to average net assets | | | 0.50 | %(3) | | | 1.24 | % | | | 2.29 | % | | | 1.82 | % | | | 1.06 | % |
Ratio of net investment income to average net assets | | | 0.74 | %(3) | | | 1.53 | % | | | 2.59 | % | | | 2.12 | % | | | 1.37 | % |
Portfolio turnover rate | | | 32 | %(2) | | | 63 | % | | | 74 | % | | | 72 | % | | | 51 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on April 29, 1994.
| (1) | Amount is less than $0.005. |
See notes to financial statements.
150 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Low Duration Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.22 | | | $ | 10.10 | | | $ | 9.91 | | | $ | 10.09 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.18 | | | | 0.24 | | | | 0.22 | | | | 0.16 | |
Net realized and unrealized gains (losses) | | | 0.06 | | | | 0.12 | | | | 0.19 | | | | (0.18 | ) | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.20 | | | | 0.30 | | | | 0.43 | | | | 0.04 | | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.18 | ) | | | (0.24 | ) | | | (0.22 | ) | | | (0.12 | ) |
From net realized gains | | | (0.09 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (0.00 | )(1) | | | (0.00 | )(1) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.24 | ) | | | (0.18 | ) | | | (0.24 | ) | | | (0.22 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.18 | | | $ | 10.22 | | | $ | 10.10 | | | $ | 9.91 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 1.03 | %(2) | | | 3.00 | % | | | 4.39 | % | | | 0.39 | % | | | 1.37 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 1,675,113 | | | $ | 1,532,982 | | | $ | 1,523,037 | | | $ | 1,212,308 | | | $ | 1,061,436 | |
Ratio of gross expense to average net assets | | | 0.53 | %(3) | | | 0.53 | % | | | 0.54 | % | | | 0.54 | % | | | 0.54 | % |
Ratio of net expense to average net assets | | | 0.43 | %(3) | | | 0.43 | % | | | 0.43 | % | | | 0.43 | % | | | 0.44 | % |
Ratio of investment income less gross expenses to average net assets | | | 0.85 | %(3) | | | 1.64 | % | | | 2.27 | % | | | 2.06 | % | | | 1.44 | % |
Ratio of net investment income to average net assets | | | 0.95 | %(3) | | | 1.74 | % | | | 2.38 | % | | | 2.17 | % | | | 1.55 | % |
Portfolio turnover rate | | | 78 | %(2) | | | 211 | % | | | 166 | % | | | 85 | % | | | 118 | % |
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 | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.54 | | | $ | 10.35 | | | $ | 10.11 | | | $ | 10.42 | | | $ | 10.61 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.07 | | | | 0.19 | | | | 0.24 | | | | 0.15 | | | | 0.11 | |
Net realized and unrealized gains (losses) | | | (0.04 | ) | | | 0.25 | | | | 0.30 | | | | (0.24 | ) | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.03 | | | | 0.44 | | | | 0.54 | | | | (0.09 | ) | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.11 | ) | | | (0.25 | ) | | | (0.30 | ) | | | (0.22 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | — | | | | (0.25 | ) | | | (0.30 | ) | | | (0.22 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.46 | | | $ | 10.54 | | | $ | 10.35 | | | $ | 10.11 | | | $ | 10.42 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.27 | %(2) | | | 4.26 | % | | | 5.36 | % | | | (0.86 | )% | | | (0.16 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 31,963 | | | $ | 47,360 | | | $ | 39,301 | | | $ | 37,678 | | | $ | 135,454 | |
Ratio of gross expense to average net assets | | | 0.71 | %(3) | | | 0.73 | % | | | 0.73 | % | | | 0.62 | % | | | 0.56 | % |
Ratio of net expense to average net assets | | | 0.43 | %(3) | | | 0.43 | % | | | 0.43 | % | | | 0.41 | % | | | 0.45 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.02 | %(3) | | | 1.51 | % | | | 2.00 | % | | | 1.28 | % | | | 0.89 | % |
Ratio of net investment income to average net assets | | | 1.30 | %(3) | | | 1.81 | % | | | 2.30 | % | | | 1.49 | % | | | 1.00 | % |
Portfolio turnover rate | | | 9 | %(2) | | | 48 | % | | | 49 | % | | | 28 | % | | | 27 | % |
The Fund commenced operations on January 3, 1995.
| (1) | Based on average shares outstanding. |
See notes to financial statements.
Semi-Annual Report 151
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2021 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden GNMA Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.47 | | | $ | 9.42 | | | $ | 8.97 | | | $ | 9.49 | | | $ | 9.80 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.03 | | | | 0.18 | | | | 0.20 | | | | 0.16 | | | | 0.14 | |
Net realized and unrealized gains (losses) | | | (0.03 | ) | | | 0.15 | | | | 0.56 | | | | (0.38 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | — | | | | 0.33 | | | | 0.76 | | | | (0.22 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | (0.28 | ) | | | (0.31 | ) | | | (0.30 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.35 | | | $ | 9.47 | | | $ | 9.42 | | | $ | 8.97 | | | $ | 9.49 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.03 | %(1) | | | 3.52 | % | | | 8.63 | % | | | (2.34 | )% | | | (0.12 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 111,654 | | | $ | 122,509 | | | $ | 132,455 | | | $ | 159,393 | | | $ | 235,225 | |
Ratio of gross expense to average net assets | | | 0.71 | %(2) | | | 0.71 | % | | | 0.69 | % | | | 0.68 | % | | | 0.69 | % |
Ratio of net expense to average net assets | | | 0.48 | %(2) | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.18 | %(2) | | | 1.92 | % | | | 2.51 | % | | | 1.74 | % | | | 1.27 | % |
Ratio of net investment income to average net assets | | | 1.40 | %(2) | | | 2.13 | % | | | 2.70 | % | | | 1.93 | % | | | 1.46 | % |
Portfolio turnover rate | | | 14 | %(1) | | | 25 | % | | | 18 | % | | | 20 | % | | | 17 | % |
The Fund commenced operations on August 27, 1999. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund - Adviser Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 11.10 | | | $ | 10.87 | | | $ | 10.17 | | | $ | 10.70 | | | $ | 10.83 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.09 | (3) | | | 0.24 | (3) | | | 0.30 | (3) | | | 0.28 | (3) | | | 0.27 | (3) |
Net realized and unrealized gains (losses) | | | 0.06 | | | | 0.25 | | | | 0.72 | | | | (0.50 | ) | | | 0.00 | (4) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.15 | | | | 0.49 | | | | 1.02 | | | | (0.22 | ) | | | 0.27 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.28 | ) | | | (0.26 | ) | | | (0.30 | ) | | | (0.31 | ) | | | (0.32 | ) |
From net realized gains | | | (0.17 | ) | | | — | | | | — | | | | — | | | | (0.08 | ) |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(4) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.45 | ) | | | (0.26 | ) | | | (0.32 | ) | | | (0.31 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.80 | | | $ | 11.10 | | | $ | 10.87 | | | $ | 10.17 | | | $ | 10.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.23 | )%(1) | | | 4.52 | % | | | 10.13 | % | | | (2.12 | )% | | | 2.60 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 48,574 | | | $ | 45,755 | | | $ | 38,979 | | | $ | 29,799 | | | $ | 25,993 | |
Ratio of gross expense to average net assets | | | 0.78 | %(2) | | | 0.79 | % | | | 0.78 | % | | | 0.78 | % | | | 0.78 | % |
Ratio of net expense to average net assets | | | 0.78 | %(2) | | | 0.78 | % | | | 0.78 | % | | | 0.78 | % | | | 0.78 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.58 | %(2) | | | 2.14 | % | | | 2.83 | % | | | 2.71 | % | | | 2.55 | % |
Ratio of net investment income to average net assets | | | 1.57 | %(2) | | | 2.15 | % | | | 2.83 | % | | | 2.71 | % | | | 2.55 | % |
Portfolio turnover rate | | | 55 | %(1) | | | 125 | % | | | 86 | % | | | 67 | % | | | 87 | % |
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.
See notes to financial statements.
152 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund - Investor Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 11.13 | | | $ | 10.90 | | | $ | 10.20 | | | $ | 10.73 | | | $ | 10.85 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.10 | (1) | | | 0.26 | (1) | | | 0.33 | (1) | | | 0.31 | (1) | | | 0.30 | (1) |
Net realized and unrealized gains (losses) | | | 0.06 | | | | 0.25 | | | | 0.71 | | | | (0.51 | ) | | | 0.00 | (2) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.16 | | | | 0.51 | | | | 1.04 | | | | (0.20 | ) | | | 0.30 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.29 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.33 | ) | | | (0.34 | ) |
From net realized gains | | | (0.17 | ) | | | — | | | | — | | | | — | | | | (0.08 | ) |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(2) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.46 | ) | | | (0.28 | ) | | | (0.34 | ) | | | (0.33 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.83 | | | $ | 11.13 | | | $ | 10.90 | | | $ | 10.20 | | | $ | 10.73 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.11 | )%(3) | | | 4.76 | % | | | 10.36 | % | | | (1.88 | )% | | | 2.94 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 351,594 | | | $ | 589,061 | | | $ | 695,683 | | | $ | 604,289 | | | $ | 719,847 | |
Ratio of gross expense to average net assets | | | 0.53 | %(4) | | | 0.54 | % | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % |
Ratio of net expense to average net assets | | | 0.53 | %(4) | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.80 | %(4) | | | 2.40 | % | | | 3.10 | % | | | 2.95 | % | | | 2.80 | % |
Ratio of net investment income to average net assets | | | 1.79 | %(4) | | | 2.40 | % | | | 3.10 | % | | | 2.95 | % | | | 2.80 | % |
Portfolio turnover rate | | | 55 | %(3) | | | 125 | % | | | 86 | % | | | 67 | % | | | 87 | % |
The Fund commenced operations on December 31, 1993. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund — SI Class | | | | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | | |
Net asset value — beginning of period | | $ | 11.12 | | | $ | 10.89 | | | $ | 10.19 | | | $ | 10.66 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | (1) | | | 0.27 | (1) | | | 0.34 | (1) | | | 0.25 | (1) | | | | |
Net realized and unrealized gains (losses) | | | 0.06 | | | | 0.25 | | | | 0.71 | | | | (0.43 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.17 | | | | 0.52 | | | | 1.05 | | | | (0.18 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.30 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.29 | ) | | | | |
From net realized gains | | | (0.17 | ) | | | — | | | | — | | | | — | | | | | |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(2) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.47 | ) | | | (0.29 | ) | | | (0.35 | ) | | | (0.29 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.82 | | | $ | 11.12 | | | $ | 10.89 | | | $ | 10.19 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.05 | )%(3) | | | 4.88 | % | | | 10.49 | % | | | (1.75 | )%(3) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 783,733 | | | $ | 758,985 | | | $ | 323,935 | | | $ | 296,239 | | | | | |
Ratio of gross expense to average net assets | | | 0.51 | %(4) | | | 0.54 | % | | | 0.54 | % | | | 0.53 | %(4) | | | | |
Ratio of net expense to average net assets | | | 0.42 | %(4) | | | 0.42 | % | | | 0.54 | % | | | 0.42 | %(4) | | | | |
Ratio of investment income less gross expenses to average net assets | | | 1.83 | %(4) | | | 2.37 | % | | | 3.10 | % | | | 3.03 | %(4) | | | | |
Ratio of net investment income to average net assets | | | 1.92 | %(4) | | | 2.48 | % | | | 3.21 | % | | | 3.14 | %(4) | | | | |
Portfolio turnover rate | | | 55 | %(3) | | | 125 | % | | | 86 | % | | | 67 | % | | | | |
The Class commenced operations on January 22, 2018.
| (1) | Based on average shares outstanding. |
| (2) | Amount is less than $0.005. |
See notes to financial statements.
Semi-Annual Report 153
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2021 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Corporate Bond Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 12.04 | | | $ | 11.73 | | | $ | 10.63 | | | $ | 11.38 | | | $ | 11.37 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.31 | | | | 0.34 | | | | 0.38 | | | | 0.39 | | | | 0.38 | |
Net realized and unrealized gains (losses) | | | (0.10 | ) | | | 0.31 | | | | 1.10 | | | | (0.68 | ) | | | 0.25 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.21 | | | | 0.65 | | | | 1.48 | | | | (0.29 | ) | | | 0.63 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.31 | ) | | | (0.33 | ) | | | (0.38 | ) | | | (0.39 | ) | | | (0.38 | ) |
From net realized gains | | | (0.16 | ) | | | (0.01 | ) | | | — | | | | (0.07 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.47 | ) | | | (0.34 | ) | | | (0.38 | ) | | | (0.46 | ) | | | (0.62 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 11.78 | | | $ | 12.04 | | | $ | 11.73 | | | $ | 10.63 | | | $ | 11.38 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.40 | %(1) | | | 5.65 | % | | | 14.20 | % | | | (2.61 | )% | | | 5.83 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 446,234 | | | $ | 479,951 | | | $ | 463,203 | | | $ | 298,708 | | | $ | 207,305 | |
Ratio of gross expense to average net assets | | | 0.65 | %(2) | | | 0.66 | % | | | 0.66 | % | | | 0.72 | % | | | 0.70 | % |
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 | | | 2.50 | %(2) | | | 2.82 | % | | | 3.43 | % | | | 3.52 | % | | | 3.32 | % |
Ratio of net investment income to average net assets | | | 2.50 | %(2) | | | 2.83 | % | | | 3.43 | % | | | 3.59 | % | | | 3.37 | % |
Portfolio turnover rate | | | 32 | %(1) | | | 58 | % | | | 49 | % | | | 85 | % | | | 93 | % |
The Fund commenced operations on March 12, 2009. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Strategic Income Fund - Investor Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.28 | | | $ | 10.21 | | | $ | 9.77 | | | $ | 10.11 | | | $ | 10.12 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.29 | | | | 0.33 | | | | 0.31 | | | | 0.28 | |
Net realized and unrealized gains (losses) | | | 0.20 | | | | 0.08 | | | | 0.45 | | | | (0.34 | ) | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.34 | | | | 0.37 | | | | 0.78 | | | | (0.03 | ) | | | 0.30 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.31 | ) | | | (0.30 | ) |
From net realized gains | | | (0.01 | ) | | | — | | | | — | | | | — | | | | (0.01 | ) |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(3) | | | (0.00 | )(3) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.30 | ) | | | (0.34 | ) | | | (0.31 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.47 | | | $ | 10.28 | | | $ | 10.21 | | | $ | 9.77 | | | $ | 10.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 3.23 | %(1) | | | 3.74 | % | | | 8.09 | % | | | (0.33 | )% | | | 3.09 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 123,326 | | | $ | 84,881 | | | $ | 115,545 | | | $ | 146,823 | | | $ | 135,024 | |
Ratio of gross expense to average net assets | | | 0.86 | %(2) | | | 0.88 | % | | | 0.87 | % | | | 0.85 | % | | | 0.86 | % |
Ratio of net expense to average net assets | | | 0.68 | %(2) | | | 0.70 | % | | | 0.70 | % | | | 0.72 | % | | | 0.77 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.51 | %(2) | | | 2.68 | % | | | 3.14 | % | | | 2.90 | % | | | 2.60 | % |
Ratio of net investment income to average net assets | | | 2.69 | %(2) | | | 2.86 | % | | | 3.30 | % | | | 3.04 | % | | | 2.70 | % |
Portfolio turnover rate | | | 43 | %(1) | | | 65 | % | | | 72 | % | | | 66 | % | | | 78 | % |
The Fund commenced operations on May 8, 2014.
(1) Not annualized.
(2) Annualized.
(3) Amount is less than $0.005.
See notes to financial statements.
154 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Strategic Income Fund -SI Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.27 | | | $ | 10.20 | | | $ | 9.77 | | | $ | 10.11 | | | $ | 10.12 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.31 | | | | 0.35 | | | | 0.32 | | | | 0.27 | |
Net realized and unrealized gains (losses) | | | 0.21 | | | | 0.08 | | | | 0.43 | | | | (0.34 | ) | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.36 | | | | 0.39 | | | | 0.78 | | | | (0.02 | ) | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.32 | ) | | | (0.33 | ) | | | (0.32 | ) | | | (0.31 | ) |
From net realized gains | | | (0.01 | ) | | | — | | | | — | | | | — | | | | (0.01 | ) |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(1) | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.16 | ) | | | (0.32 | ) | | | (0.35 | ) | | | (0.32 | ) | | | (0.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.47 | | | $ | 10.27 | | | $ | 10.20 | | | $ | 9.77 | | | $ | 10.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 3.40 | %(2) | | | 3.90 | % | | | 8.14 | % | | | (0.20 | )% | | | 3.21 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 60,010 | | | $ | 49,334 | | | $ | 49,088 | | | $ | 58,071 | | | $ | 90,619 | |
Ratio of gross expense to average net assets | | | 0.86 | %(3) | | | 0.88 | % | | | 0.87 | % | | | 0.85 | % | | | 0.85 | % |
Ratio of net expense to average net assets | | | 0.55 | %(3) | | | 0.55 | % | | | 0.55 | % | | | 0.59 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.54 | %(3) | | | 2.67 | % | | | 3.13 | % | | | 2.86 | % | | | 2.59 | % |
Ratio of net investment income to average net assets | | | 2.85 | %(3) | | | 3.00 | % | | | 3.45 | % | | | 3.11 | % | | | 2.79 | % |
Portfolio turnover rate | | | 43 | %(2) | | | 65 | % | | | 72 | % | | | 66 | % | | | 78 | % |
The Fund commenced operations on May 8, 2014. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Absolute Return Bond Fund - Investor Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.92 | | | $ | 10.06 | | | $ | 9.93 | | | $ | 10.09 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.10 | | | | 0.25 | | | | 0.32 | | | | 0.28 | | | | 0.25 | |
Net realized and unrealized gains (losses) | | | 0.18 | | | | (0.13 | ) | | | 0.16 | | | | (0.14 | ) | | | 0.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.28 | | | | 0.12 | | | | 0.48 | | | | 0.14 | | | | 0.34 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | (0.26 | ) | | | (0.35 | ) | | | (0.30 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.08 | | | $ | 9.92 | | | $ | 10.06 | | | $ | 9.93 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 2.79 | %(2) | | | 1.23 | % | | | 4.93 | % | | | 1.40 | % | | | 3.42 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 136,738 | | | $ | 132,299 | | | $ | 124,347 | | | $ | 105,026 | | | $ | 86,883 | |
Ratio of gross expense to average net assets | | | 0.73 | %(3) | | | 0.74 | % | | | 0.75 | % | | | 0.84 | % | | | 0.89 | % |
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 | | | 1.95 | %(3) | | | 2.44 | % | | | 3.21 | % | | | 2.63 | % | | | 2.27 | % |
Ratio of net investment income to average net assets | | | 1.97 | %(3) | | | 2.48 | % | | | 3.26 | % | | | 2.77 | % | | | 2.46 | % |
Portfolio turnover rate | | | 42 | %(2) | | | 67 | % | | | 82 | % | | | 145 | % | | | 112 | % |
The Fund commenced operations on November 6, 2014.
(1) Amount is less than $0.005.
(2) Not annualized.
(3) Annualized.
See notes to financial statements.
Semi-Annual Report 155
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2021 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Absolute Return Bond Fund - SI Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.93 | | | $ | 10.07 | | | $ | 9.93 | | | $ | 10.09 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | | | | 0.27 | | | | 0.37 | | | | 0.26 | | | | 0.25 | |
Net realized and unrealized gains (losses) | | | 0.18 | | | | (0.13 | ) | | | 0.15 | | | | (0.11 | ) | | | 0.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.29 | | | | 0.14 | | | | 0.52 | | | | 0.15 | | | | 0.34 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.28 | ) | | | (0.38 | ) | | | (0.31 | ) | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.09 | | | $ | 9.93 | | | $ | 10.07 | | | $ | 9.93 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 2.90 | %(1) | | | 1.45 | % | | | 5.30 | % | | | 1.55 | % | | | 3.47 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 812,909 | | | $ | 686,397 | | | $ | 514,279 | | | $ | 34,229 | | | $ | 17,050 | |
Ratio of gross expense to average net assets | | | 0.73 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.84 | % | | | 0.90 | % |
Ratio of net expense to average net assets | | | 0.47 | %(2) | | | 0.47 | % | | | 0.47 | % | | | 0.55 | % | | | 0.55 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.94 | %(2) | | | 2.44 | % | | | 3.13 | % | | | 2.67 | % | | | 2.27 | % |
Ratio of net investment income to average net assets | | | 2.20 | %(2) | | | 2.71 | % | | | 3.40 | % | | | 2.96 | % | | | 2.61 | % |
Portfolio turnover rate | | | 42 | %(1) | | | 67 | % | | | 82 | % | | | 145 | % | | | 112 | % |
The Fund commenced operations on November 6, 2014. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Floating Rate Fund - Investor Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.51 | | | $ | 9.89 | | | $ | 9.93 | | | $ | 10.00 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.33 | | | | 0.48 | | | | 0.39 | | | | 0.34 | |
Net realized and unrealized gains (losses) | | | 0.37 | | | | (0.38 | ) | | | (0.06 | ) | | | (0.08 | ) | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.52 | | | | (0.05 | ) | | | 0.42 | | | | 0.31 | | | | 0.35 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.33 | ) | | | (0.46 | ) | | | (0.38 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | |
Return of capital | | | — | | | | — | | | | (0.00 | )(3) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.33 | ) | | | (0.46 | ) | | | (0.38 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.88 | | | $ | 9.51 | | | $ | 9.89 | | | $ | 9.93 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.47 | %(1) | | | (0.41 | )% | | | 4.33 | % | | | 3.15 | % | | | 3.51 | % |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 20,336 | | | $ | 19,569 | | | $ | 21,962 | | | $ | 51,467 | | | $ | 63,804 | |
Ratio of gross expense to average net assets | | | 0.98 | %(2) | | | 0.97 | % | | | 0.89 | % | | | 0.85 | % | | | 0.83 | % |
Ratio of net expense to average net assets | | | 0.73 | %(2) | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.90 | %(2) | | | 3.22 | % | | | 4.22 | % | | | 3.65 | % | | | 3.25 | % |
Ratio of net investment income to average net assets | | | 3.15 | %(2) | | | 3.44 | % | | | 4.36 | % | | | 3.75 | % | | | 3.34 | % |
Portfolio turnover rate | | | 33 | %(1) | | | 53 | % | | | 29 | % | | | 91 | % | | | 107 | % |
The Fund commenced operations on November 11, 2013. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized.
(2) Annualized.
(3) Amount is less than $0.005.
See notes to financial statements.
156 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Floating Rate Fund -SI Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.51 | | | $ | 9.90 | | | $ | 9.94 | | | $ | 10.01 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.16 | | | | 0.33 | | | | 0.44 | | | | 0.39 | | | | 0.35 | |
Net realized and unrealized gains (losses) | | | 0.37 | | | | (0.38 | ) | | | (0.01 | ) | | | (0.07 | ) | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.53 | | | | (0.05 | ) | | | 0.43 | | | | 0.32 | | | | 0.36 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.34 | ) | | | (0.47 | ) | | | (0.39 | ) | | | (0.35 | ) |
Return of capital | | | — | | | | — | | | | (0.00 | )(1) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.34 | ) | | | (0.47 | ) | | | (0.39 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.89 | | | $ | 9.51 | | | $ | 9.90 | | | $ | 9.94 | | | $ | 10.01 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.64 | %(2) | | | (0.41 | )% | | | 4.48 | % | | | 3.25 | % | | | 3.73 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 71,041 | | | $ | 47,606 | | | $ | 54,924 | | | $ | 104,837 | | | $ | 128,586 | |
Ratio of gross expense to average net assets | | | 0.98 | %(3) | | | 0.97 | % | | | 0.89 | % | | | 0.85 | % | | | 0.83 | % |
Ratio of net expense to average net assets | | | 0.63 | %(3) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.89 | %(3) | | | 3.23 | % | | | 4.23 | % | | | 3.66 | % | | | 3.25 | % |
Ratio of net investment income to average net assets | | | 3.24 | %(3) | | | 3.55 | % | | | 4.48 | % | | | 3.86 | % | | | 3.43 | % |
Portfolio turnover rate | | | 33 | %(2) | | | 53 | % | | | 29 | % | | | 91 | % | | | 107 | % |
The Fund commenced operations on November 11, 2013. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden High Income Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 6.45 | | | $ | 6.53 | | | $ | 6.25 | | | $ | 6.59 | | | $ | 6.46 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.16 | | | | 0.34 | | | | 0.35 | | | | 0.35 | | | | 0.34 | |
Net realized and unrealized gains (losses) | | | 0.37 | | | | (0.08 | ) | | | 0.28 | | | | (0.34 | ) | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.53 | | | | 0.26 | | | | 0.63 | | | | 0.01 | | | | 0.48 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.34 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.35 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.16 | ) | | | (0.34 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 6.82 | | | $ | 6.45 | | | $ | 6.53 | | | $ | 6.25 | | | $ | 6.59 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 8.34 | %(2) | | | 4.23 | % | | | 10.37 | % | | | 0.16 | % | | | 7.60 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 656,255 | | | $ | 525,196 | | | $ | 440,406 | | | $ | 449,939 | | | $ | 533,635 | |
Ratio of gross expense to average net assets | | | 0.59 | %(3) | | | 0.62 | % | | | 0.62 | % | | | 0.62 | % | | | 0.65 | % |
Ratio of net expense to average net assets | | | 0.59 | %(3) | | | 0.62 | % | | | 0.62 | % | | | 0.62 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 4.86 | %(3) | | | 5.28 | % | | | 5.41 | % | | | 5.36 | % | | | 5.14 | % |
Ratio of net investment income to average net assets | | | 4.86 | %(3) | | | 5.28 | % | | | 5.41 | % | | | 5.36 | % | | | 5.14 | % |
Portfolio turnover rate | | | 35 | %(2) | | | 124 | % | | | 74 | % | | | 62 | % | | | 67 | % |
The Fund commenced operations on December 30, 1997. | | | | | | | | | | | | | | | | | | | | |
(1) Amount is less than $0.005.
(2) Not annualized.
(3) Annualized.
See notes to financial statements.
Semi-Annual Report 157
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2021 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden California Municipal Social Impact Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.58 | | | $ | 10.62 | | | $ | 9.98 | | | $ | 10.28 | | | $ | 10.41 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.27 | | | | 0.22 | | | | 0.26 | | | | 0.22 | | | | 0.19 | |
Net realized and unrealized gains (losses) | | | 0.13 | | | | 0.18 | | | | 0.65 | | | | (0.26 | ) | | | 0.03 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.40 | | | | 0.40 | | | | 0.91 | | | | (0.04 | ) | | | 0.22 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.22 | ) | | | (0.26 | ) | | | (0.22 | ) | | | (0.19 | ) |
From net realized gains | | | (0.18 | ) | | | (0.22 | ) | | | (0.01 | ) | | | (0.04 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.45 | ) | | | (0.44 | ) | | | (0.27 | ) | | | (0.26 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.53 | | | $ | 10.58 | | | $ | 10.62 | | | $ | 9.98 | | | $ | 10.28 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 2.07 | %(1) | | | 3.90 | % | | | 9.22 | % | | | (0.39 | )% | | | 2.28 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 71,262 | | | $ | 64,088 | | | $ | 61,866 | | | $ | 57,140 | | | $ | 57,645 | |
Ratio of gross expense to average net assets | | | 0.68 | %(2) | | | 0.81 | % | | | 0.70 | % | | | 0.68 | % | | | 0.70 | % |
Ratio of net expense to average net assets | | | 0.50 | %(2) | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % | | | 0.54 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.50 | %(2) | | | 1.80 | % | | | 2.29 | % | | | 2.05 | % | | | 1.72 | % |
Ratio of net investment income to average net assets | | | 1.67 | %(2) | | | 2.08 | % | | | 2.46 | % | | | 2.20 | % | | | 1.89 | % |
Portfolio turnover rate | | | 61 | %(1) | | | 209 | % | | | 132 | % | | | 161 | % | | | 157 | % |
The Fund commenced operations on December 17, 1998. | |
| |
| | | Payden Global Low Duration Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.10 | | | $ | 10.04 | | | $ | 9.87 | | | $ | 10.06 | | | $ | 10.05 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.07 | | | | 0.19 | | | | 0.28 | | | | 0.23 | | | | 0.17 | |
Net realized and unrealized gains (losses) | | | 0.06 | | | | 0.07 | | | | 0.17 | | | | (0.19 | ) | | | (0.00 | )(3) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.13 | | | | 0.26 | | | | 0.45 | | | | 0.04 | | | | 0.17 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.06 | ) | | | (0.20 | ) | | | (0.28 | ) | | | (0.23 | ) | | | (0.08 | ) |
Return of capital | | | — | | | | (0.00 | )(3) | | | (0.00 | )(3) | | | (0.00 | )(3) | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.06 | ) | | | (0.20 | ) | | | (0.28 | ) | | | (0.23 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.17 | | | $ | 10.10 | | | $ | 10.04 | | | $ | 9.87 | | | $ | 10.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 1.33 | %(1) | | | 2.63 | % | | | 4.61 | % | | | 0.42 | % | | | 1.66 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 87,318 | | | $ | 91,311 | | | $ | 91,028 | | | $ | 93,737 | | | $ | 113,405 | |
Ratio of gross expense to average net assets | | | 0.74 | %(2) | | | 0.72 | % | | | 0.69 | % | | | 0.67 | % | | | 0.66 | % |
Ratio of net expense to average net assets | | | 0.53 | %(2) | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % | | | 0.54 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.02 | %(2) | | | 1.76 | % | | | 2.63 | % | | | 2.13 | % | | | 1.49 | % |
Ratio of net investment income to average net assets | | | 1.23 | %(2) | | | 1.95 | % | | | 2.78 | % | | | 2.28 | % | | | 1.61 | % |
Portfolio turnover rate | | | 102 | %(1) | | | 197 | % | | | 107 | % | | | 55 | % | | | 108 | % |
The Fund commenced operations on September 18, 1996. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized.
(2) Annualized.
(3) Amount is less than $0.005.
See notes to financial statements.
158 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Fixed Income Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.33 | | | $ | 9.24 | | | $ | 8.89 | | | $ | 9.11 | | | $ | 9.04 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.25 | | | | 0.23 | | | | 0.19 | | | | 0.16 | | | | 0.14 | |
Net realized and unrealized gains (losses) | | | (0.15 | ) | | | 0.12 | | | | 0.63 | | | | (0.19 | ) | | | 0.08 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.10 | | | | 0.35 | | | | 0.82 | | | | (0.03 | ) | | | 0.22 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.26 | ) | | | (0.47 | ) | | | (0.19 | ) | | | (0.15 | ) |
From net realized gains | | | (0.08 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.25 | ) | | | (0.26 | ) | | | (0.47 | ) | | | (0.19 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.18 | | | $ | 9.33 | | | $ | 9.24 | | | $ | 8.89 | | | $ | 9.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.16 | %(1) | | | 3.87 | % | | | 9.56 | % | | | (0.39 | )% | | | 2.48 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 266,612 | | | $ | 180,074 | | | $ | 138,387 | | | $ | 129,003 | | | $ | 124,647 | |
Ratio of gross expense to average net assets | | | 0.70 | %(2) | | | 0.78 | % | | | 0.78 | % | | | 0.76 | % | | | 0.78 | % |
Ratio of net expense to average net assets | | | 0.70 | %(2) | | | 0.70 | % | | | 0.70 | % | | | 0.69 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.15 | %(2) | | | 1.43 | % | | | 1.81 | % | | | 1.70 | % | | | 1.48 | % |
Ratio of net investment income to average net assets | | | 1.12 | %(2) | | | 1.51 | % | | | 1.88 | % | | | 1.78 | % | | | 1.60 | % |
Portfolio turnover rate | | | 31 | %(1) | | | 88 | % | | | 67 | % | | | 49 | % | | | 58 | % |
The Fund commenced operations on September 1, 1992. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Bond Fund - Adviser Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 13.00 | | | $ | 13.59 | | | $ | 12.69 | | | $ | 14.22 | | | $ | 13.96 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.33 | (3) | | | 0.64 | (3) | | | 0.73 | | | | 0.72 | | | | 0.75 | |
Net realized and unrealized gains (losses) | | | 0.38 | | | | (0.61 | ) | | | 0.90 | | | | (1.53 | ) | | | 0.26 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.71 | | | | 0.03 | | | | 1.63 | | | | (0.81 | ) | | | 1.01 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.33 | ) | | | (0.62 | ) | | | (0.73 | ) | | | (0.66 | ) | | | (0.72 | ) |
Return of capital | | | — | | | | — | | | | — | | | | (0.06 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.33 | ) | | | (0.62 | ) | | | (0.73 | ) | | | (0.72 | ) | | | (0.75 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 13.38 | | | $ | 13.00 | | | $ | 13.59 | | | $ | 12.69 | | | $ | 14.22 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.45 | %(1) | | | 0.33 | % | | | 13.14 | % | | | (5.86 | )% | | | 7.50 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 52,591 | | | $ | 52,306 | | | $ | 67,090 | | | $ | 82,007 | | | $ | 131,677 | |
Ratio of gross expense to average net assets | | | 0.97 | %(2) | | | 0.98 | % | | | 0.97 | % | | | 1.00 | % | | | 1.00 | % |
Ratio of net expense to average net assets | | | 0.97 | %(2) | | | 0.98 | % | | | 0.97 | % | | | 1.00 | % | | | 1.00 | % |
Ratio of investment income less gross expenses to average net assets | | | 4.89 | %(2) | | | 4.86 | % | | | 5.40 | % | | | 5.31 | % | | | 5.36 | % |
Ratio of net investment income to average net assets | | | 4.89 | %(2) | | | 4.86 | % | | | 5.40 | % | | | 5.31 | % | | | 5.36 | % |
Portfolio turnover rate | | | 31 | %(1) | | | 79 | % | | | 73 | % | | | 63 | % | | | 48 | % |
The Class commenced operations on November 2, 2009.
(1) Not annualized.
(2) Annualized.
(3) Based on average shares outstanding.
See notes to financial statements.
Semi-Annual Report 159
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2021 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Bond Fund - Investor Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 12.99 | | | $ | 13.58 | | | $ | 12.68 | | | $ | 14.21 | | | $ | 13.95 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.34 | (1) | | | 0.68 | (1) | | | 0.75 | | | | 0.77 | | | | 0.77 | |
Net realized and unrealized gains (losses) | | | 0.38 | | | | (0.62 | ) | | | 0.91 | | | | (1.54 | ) | | | 0.27 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.72 | | | | 0.06 | | | | 1.66 | | | | (0.77 | ) | | | 1.04 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.34 | ) | | | (0.65 | ) | | | (0.76 | ) | | | (0.70 | ) | | | (0.75 | ) |
Return of capital | | | — | | | | — | | | | — | | | | (0.06 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.34 | ) | | | (0.65 | ) | | | (0.76 | ) | | | (0.76 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 13.37 | | | $ | 12.99 | | | $ | 13.58 | | | $ | 12.68 | | | $ | 14.21 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.59 | %(2) | | | 0.58 | % | | | 13.45 | % | | | (5.64 | )% | | | 7.76 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 302,183 | | | $ | 282,521 | | | $ | 409,458 | | | $ | 404,580 | | | $ | 538,525 | |
Ratio of gross expense to average net assets | | | 0.72 | %(3) | | | 0.73 | % | | | 0.72 | % | | | 0.75 | % | | | 0.75 | % |
Ratio of net expense to average net assets | | | 0.72 | %(3) | | | 0.73 | % | | | 0.72 | % | | | 0.75 | % | | | 0.75 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.13 | %(3) | | | 5.16 | % | | | 5.65 | % | | | 5.56 | % | | | 5.60 | % |
Ratio of net investment income to average net assets | | | 5.13 | %(3) | | | 5.16 | % | | | 5.65 | % | | | 5.56 | % | | | 5.60 | % |
Portfolio turnover rate | | | 31 | %(2) | | | 79 | % | | | 73 | % | | | 63 | % | | | 48 | % |
The Fund commenced operations on December 17, 1998. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Bond Fund - SI Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value ��� beginning of period | | $ | 12.97 | | | $ | 13.56 | | | $ | 12.67 | | | $ | 14.19 | | | $ | 13.93 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.35 | (1) | | | 0.67 | (1) | | | 0.81 | | | | 0.77 | | | | 0.78 | |
Net realized and unrealized gains (losses) | | | 0.38 | | | | (0.60 | ) | | | 0.85 | | | | (1.52 | ) | | | 0.27 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.73 | | | | 0.07 | | | | 1.66 | | | | (0.75 | ) | | | 1.05 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.35 | ) | | | (0.66 | ) | | | (0.77 | ) | | | (0.71 | ) | | | (0.75 | ) |
Return of capital | | | — | | | | — | | | | — | | | | (0.06 | ) | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.35 | ) | | | (0.66 | ) | | | (0.77 | ) | | | (0.77 | ) | | | (0.79 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 13.35 | | | $ | 12.97 | | | $ | 13.56 | | | $ | 12.67 | | | $ | 14.19 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.61 | %(2) | | | 0.64 | % | | | 13.41 | % | | | (5.51 | )% | | | 7.83 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 639,622 | | | $ | 660,615 | | | $ | 582,062 | | | $ | 792,357 | | | $ | 693,577 | |
Ratio of gross expense to average net assets | | | 0.72 | %(3) | | | 0.74 | % | | | 0.73 | % | | | 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 | | | 5.13 | %(3) | | | 5.06 | % | | | 5.68 | % | | | 5.61 | % | | | 5.59 | % |
Ratio of net investment income to average net assets | | | 5.17 | %(3) | | | 5.11 | % | | | 5.72 | % | | | 5.67 | % | | | 5.65 | % |
Portfolio turnover rate | | | 31 | %(2) | | | 79 | % | | | 73 | % | | | 63 | % | | | 48 | % |
The Class commenced operations on April 9, 2012.
(1) Based on average shares outstanding.
(2) Not annualized.
(3) Annualized.
See notes to financial statements.
160 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Local Bond Fund | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 5.84 | | | $ | 6.50 | | | $ | 5.97 | | | $ | 6.90 | | | $ | 6.95 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | (1) | | | 0.58 | | | | 0.37 | | | | 0.42 | | | | 0.43 | |
Net realized and unrealized gains (losses) | | | 0.14 | | | | (0.93 | ) | | | 0.52 | | | | (0.93 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.28 | | | | (0.35 | ) | | | 0.89 | | | | (0.51 | ) | | | 0.38 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | — | | | | (0.15 | ) | | | (0.08 | ) | | | (0.40 | ) |
Return of capital | | | — | | | | (0.31 | ) | | | (0.21 | ) | | | (0.34 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.31 | ) | | | (0.36 | ) | | | (0.42 | ) | | | (0.43 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 5.97 | | | $ | 5.84 | | | $ | 6.50 | | | $ | 5.97 | | | $ | 6.90 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 4.68 | %(2) | | | (5.41 | )% | | | 15.34 | % | | | (7.98 | )% | | | 5.63 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 81,047 | | | $ | 128,212 | | | $ | 216,368 | | | $ | 203,978 | | | $ | 180,942 | |
Ratio of gross expense to average net assets | | | 0.96 | %(3) | | | 0.93 | % | | | 0.91 | % | | | 0.84 | % | | | 1.08 | % |
Ratio of net expense to average net assets | | | 0.96 | %(3) | | | 0.93 | % | | | 0.91 | % | | | 0.92 | % | | | 0.98 | % |
Ratio of investment income less gross expenses to average net assets | | | 4.51 | %(3) | | | 5.08 | % | | | 5.71 | % | | | 6.25 | % | | | 6.14 | % |
Ratio of net investment income to average net assets | | | 4.51 | %(3) | | | 5.08 | % | | | 5.71 | % | | | 6.17 | % | | | 6.25 | % |
Portfolio turnover rate | | | 19 | %(2) | | | 54 | % | | | 62 | % | | | 69 | % | | | 61 | % |
The Fund commenced operations on November 2, 2011. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Corporate Bond Fund -
Investor Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.99 | | | $ | 9.99 | | | $ | 9.59 | | | $ | 10.33 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.22 | (1) | | | 0.42 | (1) | | | 0.48 | (1) | | | 0.49 | (1) | | | 0.46 | (1) |
Net realized and unrealized gains (losses) | | | 0.30 | | | | 0.00 | (4) | | | 0.41 | | | | (0.72 | ) | | | 0.24 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.52 | | | | 0.42 | | | | 0.89 | | | | (0.23 | ) | | | 0.70 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.40 | ) | | | (0.49 | ) | | | (0.46 | ) | | | (0.46 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | (0.03 | ) | | | — | |
Return of capital | | | — | | | | (0.02 | ) | | | — | | | | (0.02 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.22 | ) | | | (0.42 | ) | | | (0.49 | ) | | | (0.51 | ) | | | (0.46 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.29 | | | $ | 9.99 | | | $ | 9.99 | | | $ | 9.59 | | | $ | 10.33 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.08 | %(2) | | | 4.53 | % | | | 9.46 | % | | | (2.26 | )% | | | 7.12 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 5,781 | | | $ | 3,845 | | | $ | 3,681 | | | $ | 4,208 | | | $ | 4,051 | |
Ratio of gross expense to average net assets | | | 1.28 | %(3) | | | 1.38 | % | | | 1.32 | % | | | 1.30 | % | | | 1.33 | % |
Ratio of net expense to average net assets | | | 0.95 | %(3) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % |
Ratio of investment income less gross expenses to average net assets | | | 3.96 | %(3) | | | 3.89 | % | | | 4.55 | % | | | 4.49 | % | | | 4.14 | % |
Ratio of net investment income to average net assets | | | 4.30 | %(3) | | | 4.31 | % | | | 4.92 | % | | | 4.84 | % | | | 4.52 | % |
Portfolio turnover rate | | | 38 | %(2) | | | 105 | % | | | 94 | % | | | 79 | % | | | 63 | % |
The Fund commenced operations on November 11, 2013.
(1) Based on average shares outstanding.
(2) Not annualized.
(3) Annualized.
(4) Amount is less than $0.005.
See notes to financial statements.
Semi-Annual Report 161
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2021 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Corporate Bond Fund — SI Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.01 | | | $ | 10.01 | | | $ | 9.60 | | | | 10.34 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.23 | (1) | | | 0.43 | (1) | | | 0.49 | (1) | | | 0.49 | (1) | | | 0.47 | (1) |
Net realized and unrealized gains (losses) | | | 0.29 | | | | 0.00 | (2) | | | 0.42 | | | | (0.71 | ) | | | 0.24 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.52 | | | | 0.43 | | | | 0.91 | | | | (0.22 | ) | | | 0.71 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.41 | ) | | | (0.50 | ) | | | (0.47 | ) | | | (0.47 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | (0.03 | ) | | | — | |
Return of capital | | | — | | | | (0.02 | ) | | | — | | | | (0.02 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.22 | ) | | | (0.43 | ) | | | (0.50 | ) | | | (0.52 | ) | | | (0.47 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.31 | | | $ | 10.01 | | | $ | 10.01 | | | | 9.60 | | | $ | 10.34 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.22 | %(3) | | | 4.52 | % | | | 9.67 | % | | | (2.16 | )% | | | 7.22 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 48,396 | | | $ | 39,344 | | | $ | 36,825 | | | $ | 41,213 | | | $ | 36,576 | |
Ratio of gross expense to average net assets | | | 1.28 | %(4) | | | 1.38 | % | | | 1.32 | % | | | 1.31 | % | | | 1.33 | % |
Ratio of net expense to average net assets | | | 0.85 | %(4) | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % |
Ratio of investment income less gross expenses to average net assets | | | 3.96 | %(4) | | | 3.89 | % | | | 4.54 | % | | | 4.49 | % | | | 4.13 | % |
Ratio of net investment income to average net assets | | | 4.40 | %(4) | | | 4.41 | % | | | 5.01 | % | | | 4.95 | % | | | 4.61 | % |
Portfolio turnover rate | | | 38 | %(3) | | | 105 | % | | | 94 | % | | | 79 | % | | | 63 | % |
The Fund commenced operations on November 11, 2013. (1) Based on average shares outstanding. (2) Amount is less than $0.005. (3) Not annualized. (4) Annualized. | | | | | | | | | | | | | | | | | |
| |
| | | Payden Equity Income Fund—Adviser Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 15.96 | | | $ | 18.13 | | | $ | 16.19 | | | $ | 16.68 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.32 | | | | 0.36 | | | | 0.33 | | | | 0.32 | |
Net realized and unrealized gains (losses) | | | 4.14 | | | | (1.65 | ) | | | 2.02 | | | | 0.30 | | | | 2.08 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 4.28 | | | | (1.33 | ) | | | 2.38 | | | | 0.63 | | | | 2.40 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.30 | ) | | | (0.33 | ) |
From net realized gains | | | — | | | | (0.52 | ) | | | (0.11 | ) | | | (0.82 | ) | | | (0.08 | ) |
Return of capital | | | — | | | | (0.03 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.13 | ) | | | (0.84 | ) | | | (0.44 | ) | | | (1.12 | ) | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 20.11 | | | $ | 15.96 | | | $ | 18.13 | | | $ | 16.19 | | | $ | 16.68 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 26.88 | %(1) | | | (7.66 | )% | | | 15.05 | % | | | 3.69 | % | | | 16.59 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 17,092 | | | $ | 13,486 | | | $ | 16,039 | | | $ | 13,580 | | | $ | 14,529 | |
Ratio of gross expense to average net assets | | | 0.97 | %(2) | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % | | | 1.05 | % |
Ratio of net expense to average net assets | | | 0.97 | %(2) | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % | | | 1.05 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.55 | %(2) | | | 1.91 | % | | | 2.11 | % | | | 1.95 | % | | | 2.18 | % |
Ratio of net investment income to average net assets | | | 1.55 | %(2) | | | 1.91 | % | | | 2.11 | % | | | 1.95 | % | | | 2.15 | % |
Portfolio turnover rate | | | 52 | %(1) | | | 63 | % | | | 49 | % | | | 42 | % | | | 60 | % |
The Class commenced operations on December 1, 2011.
See notes to financial statements.
162 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Equity Income Fund - Investor Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 15.97 | | | $ | 18.15 | | | $ | 16.20 | | | $ | 16.69 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.20 | | | | 0.36 | | | | 0.40 | | | | 0.38 | | | | 0.39 | |
Net realized and unrealized gains (losses) | | | 4.12 | | | | (1.66 | ) | | | 2.03 | | | | 0.29 | | | | 2.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 4.32 | | | | (1.30 | ) | | | 2.43 | | | | 0.67 | | | | 2.45 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.33 | ) | | | (0.37 | ) | | | (0.34 | ) | | | (0.37 | ) |
From net realized gains | | | — | | | | (0.52 | ) | | | (0.11 | ) | | | (0.82 | ) | | | (0.08 | ) |
Return of capital | | | — | | | | (0.03 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.88 | ) | | | (0.48 | ) | | | (1.16 | ) | | | (0.45 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 20.14 | | | $ | 15.97 | | | $ | 18.15 | | | $ | 16.20 | | | $ | 16.69 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 27.11 | %(1) | | | (7.49 | )% | | | 15.39 | % | | | 3.92 | % | | | 16.91 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 514,458 | | | $ | 483,678 | | | $ | 570,662 | | | $ | 476,071 | | | $ | 564,547 | |
Ratio of gross expense to average net assets | | | 0.72 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 0.80 | % |
Ratio of net expense to average net assets | | | 0.72 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 0.80 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.81 | %(2) | | | 2.17 | % | | | 2.36 | % | | | 2.20 | % | | | 2.48 | % |
Ratio of net investment income to average net assets | | | 1.81 | %(2) | | | 2.17 | % | | | 2.36 | % | | | 2.20 | % | | | 2.45 | % |
Portfolio turnover rate | | | 52 | %(1) | | | 63 | % | | | 49 | % | | | 42 | % | | | 60 | % |
The Fund commenced operations on November 1, 1996. (1) Not annualized. (2) Annualized. | | | | | | | | | |
| |
| | | Payden Equity Income Fund — SI Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 15.98 | | | $ | 18.16 | | | $ | 16.21 | | | $ | 16.70 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.17 | | | | 0.36 | | | | 0.41 | | | | 0.39 | | | | 0.42 | |
Net realized and unrealized gains (losses) | | | 4.15 | | | | (1.64 | ) | | | 2.03 | | | | 0.29 | | | | 2.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 4.32 | | | | (1.28 | ) | | | 2.44 | | | | 0.68 | | | | 2.48 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.35 | ) | | | (0.38 | ) | | | (0.35 | ) | | | (0.39 | ) |
From net realized gains | | | — | | | | (0.52 | ) | | | (0.11 | ) | | | (0.82 | ) | | | (0.08 | ) |
Return of capital | | | — | | | | (0.03 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.90 | ) | | | (0.49 | ) | | | (1.17 | ) | | | (0.47 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 20.15 | | | $ | 15.98 | | | $ | 18.16 | | | $ | 16.21 | | | $ | 16.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 27.14 | %(1) | | | (7.40 | )% | | | 15.47 | % | | | 4.01 | % | | | 17.13 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 1,206,182 | | | $ | 916,286 | | | $ | 809,209 | | | $ | 703,181 | | | $ | 385,988 | |
Ratio of gross expense to average net assets | | | 0.72 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 0.80 | % |
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 | | | 1.79 | %(2) | | | 2.16 | % | | | 2.36 | % | | | 2.19 | % | | | 2.48 | % |
Ratio of net investment income to average net assets | | | 1.86 | %(2) | | | 2.24 | % | | | 2.45 | % | | | 2.29 | % | | | 2.59 | % |
Portfolio turnover rate | | | 52 | %(1) | | | 63 | % | | | 49 | % | | | 42 | % | | | 60 | % |
The Class commenced operations on August 1, 2014.
(1) Not annualized.
(2) Annualized.
See notes to financial statements.
Semi-Annual Report 163
| | |
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 the six-month period ended April 30, 2021. It uses each Fund’s actual return and expense ratio for the period (181/365 days) to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000. To estimate the actual expense that you paid over the period, divide your beginning account value by 1,000 and multiply the quotient by the number in the Expenses Paid During the Period column.
| | | | | | | | | | | | | | | | | | | | |
| | | Value | | | Value | | | 6-Month | | | Expense | | | Expenses | |
| | | November 1, 2020 | | | April 30, 2021 | | | Return | | | Ratio | | | Paid | |
Cash Reserves Money Market | | $ | 1,000.00 | | | $ | 1,000.10 | | | | 0.01 | % | | | 0.08 | % | | $ | 0.40 | |
Limited Maturity | | | 1,000.00 | | | | 1,007.00 | | | | 0.70 | % | | | 0.25 | % | | | 1.24 | |
Low Duration | | | 1,000.00 | | | | 1,010.30 | | | | 1.03 | % | | | 0.43 | % | | | 2.14 | |
U.S. Government | | | 1,000.00 | | | | 1,002.70 | | | | 0.27 | % | | | 0.43 | % | | | 2.14 | |
GNMA | | | 1,000.00 | | | | 1,000.30 | | | | 0.03 | % | | | 0.48 | % | | | 2.38 | |
Core Bond Adviser Class | | | 1,000.00 | | | | 997.70 | | | | (0.23 | )% | | | 0.78 | % | | | 3.86 | |
Core Bond Investor Class | | | 1,000.00 | | | | 998.90 | | | | (0.11 | )% | | | 0.53 | % | | | 2.63 | |
Core BondSI Class | | | 1,000.00 | | | | 999.50 | | | | (0.05 | )% | | | 0.42 | % | | | 2.08 | |
Corporate Bond | | | 1,000.00 | | | | 1,004.00 | | | | 0.40 | % | | | 0.65 | % | | | 3.23 | |
Strategic Income Investor Class | | | 1,000.00 | | | | 1,032.30 | | | | 3.23 | % | | | 0.68 | % | | | 3.43 | |
Strategic Income SI Class | | | 1,000.00 | | | | 1,034.00 | | | | 3.40 | % | | | 0.55 | % | | | 2.77 | |
Absolute Return Bond Investor Class | | | 1,000.00 | | | | 1,027.90 | | | | 2.79 | % | | | 0.70 | % | | | 3.52 | |
Absolute Return Bond SI Class | | | 1,000.00 | | | | 1,029.00 | | | | 2.90 | % | | | 0.47 | % | | | 2.36 | |
Floating Rate Bond Investor Class | | | 1,000.00 | | | | 1,054.70 | | | | 5.47 | % | | | 0.73 | % | | | 3.72 | |
Floating Rate Bond SI Class | | | 1,000.00 | | | | 1,056.40 | | | | 5.64 | % | | | 0.63 | % | | | 3.21 | |
High Income | | | 1,000.00 | | | | 1,083.40 | | | | 8.34 | % | | | 0.59 | % | | | 3.05 | |
California Municipal Social Impact | | | 1,000.00 | | | | 1,020.70 | | | | 2.07 | % | | | 0.50 | % | | | 2.51 | |
Global Low Duration | | | 1,000.00 | | | | 1,013.30 | | | | 1.33 | % | | | 0.53 | % | | | 2.65 | |
Global Fixed Income | | | 1,000.00 | | | | 1,001.60 | | | | 0.16 | % | | | 0.70 | % | | | 3.47 | |
Emerging Markets Bond Adviser Class | | | 1,000.00 | | | | 1,054.50 | | | | 5.45 | % | | | 0.97 | % | | | 4.94 | |
Emerging Markets Bond Investor Class | | | 1,000.00 | | | | 1,055.90 | | | | 5.59 | % | | | 0.72 | % | | | 3.67 | |
Emerging Markets Bond SI Class | | | 1,000.00 | | | | 1,056.10 | | | | 5.61 | % | | | 0.69 | % | | | 3.52 | |
Emerging Markets Local Bond | | | 1,000.00 | | | | 1,046.80 | | | | 4.68 | % | | | 0.96 | % | | | 4.87 | |
Emerging Markets Corporate Bond Investor Class | | | 1,000.00 | | | | 1,050.80 | | | | 5.08 | % | | | 0.95 | % | | | 4.83 | |
Emerging Markets Corporate Bond SI Class | | | 1,000.00 | | | | 1,052.20 | | | | 5.22 | % | | | 0.85 | % | | | 4.33 | |
Equity Income Adviser Class | | | 1,000.00 | | | | 1,268.80 | | | | 26.88 | % | | | 0.97 | % | | | 5.46 | |
Equity Income Investor Class | | | 1,000.00 | | | | 1,271.10 | | | | 27.11 | % | | | 0.72 | % | | | 4.05 | |
Equity Income SI Class | | | 1,000.00 | | | | 1,271.40 | | | | 27.14 | % | | | 0.65 | % | | | 3.66 | |
164 Payden Mutual Funds
Hypothetical Expenses
The table below is provided so that you can compare a Fund’s ongoing expenses with those of another fund. It uses a hypothetical gross annual return of 5%, which is not the Fund’s actual return, and each Fund’s actual expense ratio (181/365 days) for the six-month period ended April 30, 2021 to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000.
| | | | | | | | | | | | | | | | | | | | |
| | | Value | | | Value | | | 6-Month | | | Expenses | | | Expense | |
| | | November 1, 2020 | | | April 30, 2021 | | | Return | | | Ratio | | | Paid | |
Cash Reserves Money Market | | $ | 1,000.00 | | | $ | 1,024.40 | | | | 2.44 | % | | | 0.08 | % | | $ | 0.40 | |
Limited Maturity | | | 1,000.00 | | | | 1,023.55 | | | | 2.36 | % | | | 0.25 | % | | | 1.25 | |
Low Duration | | | 1,000.00 | | | | 1,022.66 | | | | 2.27 | % | | | 0.43 | % | | | 2.16 | |
U.S. Government | | | 1,000.00 | | | | 1,022.66 | | | | 2.27 | % | | | 0.43 | % | | | 2.16 | |
GNMA | | | 1,000.00 | | | | 1,022.41 | | | | 2.24 | % | | | 0.48 | % | | | 2.41 | |
Core Bond Adviser Class | | | 1,000.00 | | | | 1,020.93 | | | | 2.09 | % | | | 0.78 | % | | | 3.91 | |
Core Bond Investor Class | | | 1,000.00 | | | | 1,022.17 | | | | 2.22 | % | | | 0.53 | % | | | 2.66 | |
Core Bond SI Class | | | 1,000.00 | | | | 1,022.71 | | | | 2.27 | % | | | 0.42 | % | | | 2.11 | |
Corporate Bond | | | 1,000.00 | | | | 1,021.57 | | | | 2.16 | % | | | 0.65 | % | | | 3.26 | |
Strategic Income Investor Class | | | 1,000.00 | | | | 1,021.42 | | | | 2.14 | % | | | 0.68 | % | | | 3.41 | |
Strategic Income SI Class | | | 1,000.00 | | | | 1,022.07 | | | | 2.21 | % | | | 0.55 | % | | | 2.76 | |
Absolute Return Bond Investor Class | | | 1,000.00 | | | | 1,021.32 | | | | 2.13 | % | | | 0.70 | % | | | 3.51 | |
Absolute Return Bond SI Class | | | 1,000.00 | | | | 1,022.46 | | | | 2.25 | % | | | 0.47 | % | | | 2.36 | |
Floating Rate Bond Investor Class | | | 1,000.00 | | | | 1,021.17 | | | | 2.12 | % | | | 0.73 | % | | | 3.66 | |
Floating Rate Bond SI Class | | | 1,000.00 | | | | 1,021.67 | | | | 2.17 | % | | | 0.63 | % | | | 3.16 | |
High Income | | | 1,000.00 | | | | 1,021.87 | | | | 2.19 | % | | | 0.59 | % | | | 2.96 | |
California Municipal Social Impact | | | 1,000.00 | | | | 1,022.32 | | | | 2.23 | % | | | 0.50 | % | | | 2.51 | |
Global Low Duration | | | 1,000.00 | | | | 1,022.17 | | | | 2.22 | % | | | 0.53 | % | | | 2.66 | |
Global Fixed Income | | | 1,000.00 | | | | 1,021.32 | | | | 2.13 | % | | | 0.70 | % | | | 3.51 | |
Emerging Markets Bond Adviser Class | | | 1,000.00 | | | | 1,019.98 | | | | 2.00 | % | | | 0.97 | % | | | 4.86 | |
Emerging Markets Bond Investor Class | | | 1,000.00 | | | | 1,021.22 | | | | 2.12 | % | | | 0.72 | % | | | 3.61 | |
Emerging Markets Bond SI Class | | | 1,000.00 | | | | 1,021.37 | | | | 2.14 | % | | | 0.69 | % | | | 3.46 | |
Emerging Markets Local Bond | | | 1,000.00 | | | | 1,020.03 | | | | 2.00 | % | | | 0.96 | % | | | 4.81 | |
Emerging Markets Corporate Bond Investor Class | | | 1,000.00 | | | | 1,020.08 | | | | 2.01 | % | | | 0.95 | % | | | 4.76 | |
Emerging Markets Corporate Bond SI Class | | | 1,000.00 | | | | 1,020.58 | | | | 2.06 | % | | | 0.85 | % | | | 4.26 | |
Equity Income Adviser Class | | | 1,000.00 | | | | 1,019.98 | | | | 2.00 | % | | | 0.97 | % | | | 4.86 | |
Equity Income Investor Class | | | 1,000.00 | | | | 1,021.22 | | | | 2.12 | % | | | 0.72 | % | | | 3.61 | |
Equity Income SI Class | | | 1,000.00 | | | | 1,021.57 | | | | 2.16 | % | | | 0.65 | % | | | 3.26 | |
Semi-Annual Report 165
| | |
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 | | 63 | | | | Independent Trustee | | 2020 | | 19 | | Retired, Senior Managing Director, TIAA | | |
W. D. Hilton, Jr. | | 74 | | | | Chariman, Independent Trustee | | 1993 | | 19 | | Trustee/Administrator, Asbestos Bankruptcy Trusts; General Partner, Mendenhall Partners Ltd.; Private Investor | | |
Thomas V. McKernan, Jr. | | 76 | | | | Independent Trustee | | 1993 | | 19 | | Vice Chair, Automobile Club of Southern California; Director, Forest Lawn Memorial Parks | | |
Rosemarie T. Nassif | | 79 | | | | Independent Trustee | | 2008 | | 19 | | Executive Director, Center for Catholic Education, Loyola Marymount University, President Emerita, Holy Names University | | |
Andrew J. Policano | | 71 | | | | Independent Trustee | | 2008 | | 19 | | Former Dean, The Paul Merage School of Business, University of California, Irvine | | |
Dennis C. Poulsen | | 78 | | | | Independent Trustee | | 1992 | | 19 | | Chairman, Clean Energy Enterprises; Private Investor | | |
Stender E. Sweeney | | 82 | | | | Independent Trustee | | 1992 | | 19 | | Private Investor | | |
Jordan H.Lopez | | 40 | | | | Interested Trustee | | 2020 | | 19 | | Director, Payden & Rygel | | |
Michael E. Salvay | | 59 | | | | Interested Trustee | | 2009 | | 19 | | Managing Director, Payden & Rygel | | |
Officers (2) | | | | | | | | | | | | | | |
Mary Beth Syal | | | | | | Chief Operating Officer | | 2021 | | | | Managing Director, 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. |
166 Payden Mutual Funds
IMPORTANT INFORMATION: The information contained in this report is intended for shareholders of the Payden Mutual Funds only. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus which provides further details.
The performance numbers presented in this report are derived from historical market data. There is no guarantee of future performance nor are Fund shares guaranteed. Investment return and principal value of an investment in a Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund shares are sold through Payden & Rygel Distributors, member FINRA.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov or the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800 SEC-0330.
To view the Fund’s proxy voting guidelines and proxy voting record, visit the SEC’s web site at http://www.sec.gov. You may also call 800 572-9336 to request a free copy of the proxy voting guidelines.
IMPORTANT INFORMATION: The information contained in this report is intended for shareholders of the Payden Mutual Funds only. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus which provides further details.
The performance numbers presented in this report are derived from historical market data. There is no guarantee of future performance nor are Fund shares guaranteed. Investment return and principal value of an investment in a Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund shares are sold through Payden & Rygel Distributors, member FINRA.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www. sec.gov or the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800 SEC-0330. To view the Fund’s proxy voting guidelines and proxy voting record for the period ended June 30th, visit the SEC’s web site at http://www.sec.gov. You may also call 800 572-9336 to request a free copy of the proxy voting guidelines.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.payden.com), and you will be notified by U.S. mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically by contacting your financial intermediary (such as a broker-dealer, bank, or retirement plan), or by calling 1-800-572-9336 if you invest directly with the Funds.
You may elect to receive all future reports in paper free of charge. Contact your financial intermediary or, if you invest directly with the Funds, call 1-800-572-9336, to request that you continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held through your financial intermediary or directly with Paydenfunds.
Semi-Annual Report
| | |
Management Discussion & Analysis | | |
For the six months ended April 30, 2021, the Payden/Kravitz Cash Balance Plan Fund, SI Class (PKBIX) returned 5.26%, the
Adviser Class (PKCBX) returned 5.04%, the Retirement Class (PKCRX) returned 5.00% and the Institutional Class (PKCIX) returned 5.36%. The Fund’s benchmark, the 30-year US Treasury Bond Yield from December 31st, returned 0.93%. Going into year-end 2020, the strategy was optimistic given strong market technicals and recovering fundamentals as global growth expectations improved and promising news on Covid-19 vaccines. In the new year, inflation expectations in the U.S. came to the forefront of investor concern as the economic growth trajectory was positive, yet the Federal Reserve Board continued to maintain its commitment to “lower for longer” rates. Fiscal policy also remained accommodative with a $1.9T stimulus package passed in early March.
Considering the positive view on growth coupled with dovish fiscal and monetary policy, the strategy reduced interest rate duration throughout the six-month period, from a height of just above 2 mid-2020, down to 1 early in 2021. In March, the strategy added 5% to equities as expected accelerated corporate earnings growth supported higher equity prices. Furthermore, the strategy added across several emerging markets’ names given macroeconomic tailwinds and value proposition, particularly in BB-rated sovereigns. The strategy maintained its preference for securitized product given the attractive valuations and structural protection relative to corporate credit. Notably, the strategy increased exposure modestly in select areas of commercial real estate mortgage-backed securities which were well positioned to recover as economic activity picks up. These additions have been positive contributors to performance for the period as credit risk premia for all asset classes the Fund invests in declined. 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 0.01% to the Fund over the period.
1 Payden Mutual Funds
Portfolio Highlights & Investments
The Fund seeks a return equal to the yield on the 30-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 | | | 27 | % |
Corporate Bond | | | 26 | % |
Asset Backed | | | 23 | % |
Investment Company | | | 10 | % |
Foreign Government | | | 7 | % |
Other | | | 7 | % |
Schedule of Investments - April 30, 2021 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (23%) | | | | |
397,000 | | Arbys Funding LLC 144A, 3.24%, 7/30/50 (a) | | $ | 410 | |
370,000 | | Barings CLO Ltd. 2016-II 144A, (3 mo. LIBOR USD + 3.250%), 3.44%, 7/20/28 (a)(b) | | | 373 | |
600,000 | | BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 2.87%, 2/16/37 (a)(b) | | | 593 | |
1,050,000 | | Blackrock European CLO III DAC 144A, (3 mo. EURIBOR + 0.850%), 0.85%, 4/15/30 EUR (a)(b)(c) | | | 1,262 | |
250,000 | | Blackrock European CLO IV DAC 144A, (3 mo. EURIBOR + 1.300%), 1.30%, 7/15/30 EUR (a)(b)(c) | | | 298 | |
350,000 | | Blackrock European CLO IV DAC 144A, (3 mo. EURIBOR + 2.650%), 2.65%, 7/15/30 EUR (a)(b)(c) | | | 412 | |
500,000 | | Blackrock European CLO V DAC, (3 mo. EURIBOR + 1.100%), 1.10%, 7/16/31 EUR (b)(c)(d) | | | 595 | |
500,000 | | BlueMountain CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 2.750%), 2.94%, 7/18/27 (a)(b) | | | 483 | |
850,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 1.41%, 9/15/35 (a)(b) | | | 851 | |
700,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 1.71%, 9/15/35 (a)(b) | | | 699 | |
550,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 9/15/35 (a)(b) | | | 549 | |
500,000 | | BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 2.86%, 9/15/35 (a)(b) | | | 498 | |
741,468 | | Carlyle Global Market Strategies Euro CLO 2015-2 DAC 144A, (3 mo. EURIBOR + 0.730%), 0.73%, 9/21/29 EUR (a)(b)(c) | | | 892 | |
500,000 | | Carlyle Global Market Strategies Euro CLO 2015-2 DAC 144A, (3 mo. EURIBOR + 2.700%), 2.70%, 9/21/29 EUR (a)(b)(c) | | | 599 | |
800,000 | | CARS-DB4 LP 144A, 4.17%, 2/15/50 (a) | | | 826 | |
200,000 | | CARS-DB4 LP 144A, 4.52%, 2/15/50 (a) | | | 206 | |
300,000 | | CARS-DB4 LP 144A, 4.95%, 2/15/50 (a) | | | 302 | |
350,000 | | CHCP 2021-FL1 Ltd. 144A, (1 mo. LIBOR USD + 3.000%), 3.12%, 2/15/38 (a)(b) | | | 351 | |
300,000 | | CIFC Funding 2013-III-R Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 3.08%, 4/24/31 (a)(b) | | | 300 | |
491,774 | | CLI Funding VIII LLC 144A, 2.38%, 2/18/46 (a) | | | 489 | |
350,000 | | Columbia Cent CLO 27 Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 1.78%, 10/25/28 (a)(b) | | | 351 | |
493,750 | | Domino’s Pizza Master Issuer LLC 144A, 3.67%, 10/25/49 (a) | | | 525 | |
879,750 | | Driven Brands Funding 2019-1A LLC 144A, 4.64%, 4/20/49 (a) | | | 952 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
149,625 | | Driven Brands Funding 2020-2A LLC 144A, 3.24%, 1/20/51 (a) | | $ | 155 | |
1,300,000 | | Dryden 39 Euro CLO 2015 BV 144A, (3 mo. EURIBOR + 0.870%), 0.87%, 10/15/31 EUR (a)(b)(c) | | | 1,565 | |
400,000 | | GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 1.41%, 2/22/36 (a)(b) | | | 401 | |
500,000 | | GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 1.71%, 2/22/36 (a)(b) | | | 501 | |
800,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 1.66%, 9/15/28 (a)(b) | | | 799 | |
350,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 9/15/28 (a)(b) | | | 349 | |
500,000 | | Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.650%), 2.76%, 9/15/28 (a)(b) | | | 498 | |
600,000 | | Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.400%), 2.51%, 9/15/37 (a)(b) | | | 597 | |
600,000 | | Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 2.86%, 9/15/37 (a)(b) | | | 598 | |
500,000 | | Halcyon Loan Advisors Funding 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 1.83%, 7/25/27 (a)(b) | | | 500 | |
750,000 | | Hunt CRE 2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.350%), 2.46%, 8/15/28 (a)(b) | | | 752 | |
84,405 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 1.64%, 4/21/25 (a)(b) | | | 84 | |
550,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 2.37%, 9/25/28 (a) | | | 550 | |
550,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 4.28%, 9/25/28 (a) | | | 550 | |
400,000 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.350%), 1.47%, 6/15/36 (a)(b) | | | 401 | |
250,000 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 1.72%, 6/15/36 (a)(b) | | | 251 | |
250,000 | | KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 2.000%), 2.12%, 6/15/36 (a)(b) | | | 251 | |
48,180 | | L.A. Arena Funding 0-1 LLC 144A, 7.66%, 12/15/26 (a) | | | 48 | |
Semi-Annual Report 2
Portfolio Highlights & Investments continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
500,000 | | LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 1.61%, 5/15/36 (a)(b) | | $ | 501 | |
250,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 3.04%, 4/19/30 (a)(b) | | | 248 | |
300,000 | | Madison Park Funding XXI Ltd. 144A, (3 mo. LIBOR USD + 5.720%), 5.90%, 10/15/32 (a)(b) | | | 300 | |
250,000 | | Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 1.67%, 6/15/28 (a)(b) | | | 250 | |
700,000 | | Marble Point CLO XVIII Ltd. 144A, (3 mo. LIBOR USD + 5.410%), 5.59%, 10/15/31 (a)(b) | | | 702 | |
500,000 | | Oak Street Investment Grade Net Lease Fund Series 2020-1 144A, 3.39%, 11/20/50 (a) | | | 515 | |
694,914 | | Oak Street Investment Grade Net Lease Fund Series 2020-1A 144A, 1.85%, 11/20/50 (a) | | | 703 | |
300,000 | | Oak Street Investment Grade Net Lease Fund Series 2021-1 144A, 2.80%, 1/20/51 (a) | | | 306 | |
700,000 | | OZLM XII Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 1.79%, 4/30/27 (a)(b) | | | 701 | |
950,000 | | Palmer Square CLO 2015-1 Ltd. 144A, (3 mo. LIBOR USD + 3.150%), 3.33%, 5/21/29 (a)(b) | | | 939 | |
321,750 | | Planet Fitness Master Issuer 2018-1A LLC 144A, 4.26%, 9/05/48 (a) | | | 324 | |
271,563 | | Planet Fitness Master Issuer 2019-1A LLC 144A, 3.86%, 12/05/49 (a) | | | 264 | |
1,094,329 | | Regatta VII Funding Ltd. 144A, (3 mo. LIBOR USD + 1.060%), 1.25%, 12/20/28 (a)(b) | | | 1,095 | |
781,735 | | Shackleton 2015-VIII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.920%), 1.11%, 10/20/27 (a)(b) | | | 781 | |
500,000 | | Stack Infrastructure Issuer 2020-1A LLC 144A, 1.89%, 8/25/45 (a) | | | 500 | |
1,221,875 | | Taco Bell Funding 2018-1A LLC 144A, 4.32%, 11/25/48 (a) | | | 1,230 | |
300,000 | | Textainer Marine Containers VII Ltd. 144A, 2.82%, 4/20/46 (a) | | | 302 | |
200,000 | | TPG Real Estate Finance 2018-FL2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.300%), 2.42%, 11/15/37 (a)(b) | | | 200 | |
400,000 | | VB-S1 Issuer 2020-1A LLC 144A, 3.03%, 6/15/50 (a) | | | 422 | |
300,000 | | VB-S1 Issuer 2020-1A LLC 144A, 4.09%, 6/15/50 (a) | | | 316 | |
762,619 | | Venture XVII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.880%), 1.06%, 4/15/27 (a)(b) | | | 761 | |
550,000 | | Wingstop Funding 2020-1A LLC 144A, 2.84%, 12/05/50 (a) | | | 562 | |
Total Asset Backed (Cost—$33,293) | | | 33,588 | |
| |
Bank Loans(e) (4%) | | | | |
543,125 | | 1011778 BC ULC Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 11/19/26 | | | 536 | |
591,304 | | Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD 3-Month + 1.750%), 1.95%, 6/01/24 | | | 588 | |
496,856 | | Change Healthcare Holdings LLC Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.50%, 3/01/24 | | | 497 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
250,000 | | Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%), 2.63%, 1/31/27 EUR (c) | | $ | 298 | |
200,000 | | Froneri U.S. Inc. Term Loan 2L, (LIBOR USD 1-Month + 5.750%), 5.86%, 1/31/28 | | | 203 | |
276,500 | | Grifols SA Term Loan B 1L, (3 mo. EURIBOR + 2.250%), 2.25%, 11/15/27 EUR (c) | | | 332 | |
545,780 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 2.95%, 2/05/25 | | | 542 | |
490,875 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.50%, 2/05/27 | | | 490 | |
400,000 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 3.61%, 10/22/25 | | | 400 | |
672,750 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 1.86%, 5/30/25 | | | 667 | |
300,000 | | Zaxby’s Operating Co. LP Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.50%, 12/28/27 | | | 301 | |
Total Bank Loans (Cost—$4,762) | | | 4,854 | |
| |
Corporate Bond (26%) | | | | |
1,000,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (d) | | | 1,008 | |
100,000 | | AA Bond Co. Ltd. 144A, 6.50%, 1/31/26 GBP (a)(c) | | | 144 | |
700,000 | | AES Andres BV 144A, 5.70%, 5/04/28 (a) | | | 700 | |
250,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.25%, 3/15/26 (a) | | | 250 | |
200,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 3/15/29 (a) | | | 192 | |
350,000 | | Altice France SA 144A, 5.13%, 7/15/29 (a) | | | 351 | |
200,000 | | Banco Davivienda SA 144A, (10 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.097%), 6.65%, (a)(b)(f) | | | 205 | |
200,000 | | Banco de Sabadell SA, (5 yr. Euro Swap + 6.414%), 6.50%, EUR (b)(c)(d)(f) | | | 245 | |
388,000 | | Banco Internacional del Peru SAA Interbank 144A, 3.25%, 10/04/26 (a) | | | 394 | |
450,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.960%), 1.73%, 7/22/27 (b) | | | 454 | |
200,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (a) | | | 187 | |
150,000 | | Bellis Finco PLC 144A, 4.00%, 2/16/27 GBP (a)(c) | | | 208 | |
350,000 | | Boeing Co., 2.20%, 2/04/26 | | | 351 | |
350,000 | | BRF GmbH, 4.35%, 9/29/26 (d) | | | 362 | |
500,000 | | C&W Senior Financing DAC, 6.88%, 9/15/27 (d) | | | 531 | |
400,000 | | CaixaBank SA, 0.38%, 2/03/25 EUR (c)(d) | | | 486 | |
350,000 | | CANPACK SA/Eastern PA Land Investment Holding LLC 144A, 3.13%, 11/01/25 (a) | | | 356 | |
305,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 337 | |
450,000 | | Cemex SAB de CV, 7.38%, 6/05/27 (d) | | | 511 | |
3 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
250,000 | | Centene Corp., 3.38%, 2/15/30 | | $ | 251 | |
450,000 | | ContourGlobal Power Holdings SA 144A, 3.13%, 1/01/28 EUR (a)(c) | | | 547 | |
400,000 | | CTP NV, 2.13%, 10/01/25 EUR (c)(d) | | | 511 | |
350,000 | | El Corte Ingles SA 144A, 3.63%, 3/15/24 EUR (a)(c) | | | 439 | |
157,000 | | EQM Midstream Partners LP, 4.75%, 7/15/23 | | | 165 | |
550,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.38%, 4/01/31 (a) | | | 572 | |
250,000 | | FMG Resources August 2006 Pty Ltd. 144A, 5.13%, 5/15/24 (a) | | | 273 | |
350,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 356 | |
200,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 204 | |
350,000 | | Ford Motor Credit Co. LLC, 3.35%, 11/01/22 | | | 359 | |
400,000 | | Ford Motor Credit Co. LLC, 3.37%, 11/17/23 | | | 412 | |
30,000 | | Freeport-McMoRan Inc., 4.13%, 3/01/28 | | | 32 | |
170,000 | | Freeport-McMoRan Inc., 4.38%, 8/01/28 | | | 181 | |
600,000 | | FS KKR Capital Corp., 4.75%, 5/15/22 | | | 621 | |
350,000 | | FS KKR Capital Corp. II 144A, 4.25%, 2/14/25 (a) | | | 362 | |
400,000 | | General Motors Co., 6.13%, 10/01/25 | | | 475 | |
250,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (a) | | | 250 | |
350,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 360 | |
400,000 | | Glencore Funding LLC 144A, 1.63%, 4/27/26 (a) | | | 398 | |
200,000 | | HCA Inc., 5.38%, 2/01/25 | | | 223 | |
350,000 | | HSE Finance Sarl 144A, 5.63%, 10/15/26 EUR (a)(c) | | | 430 | |
300,000 | | Hyundai Capital America 144A, 1.80%, 1/10/28 (a) | | | 291 | |
500,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 525 | |
200,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27 | | | 204 | |
300,000 | | Independence Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 302 | |
400,000 | | Indonesia Asahan Aluminium Persero PT 144A, 4.75%, 5/15/25 (a) | | | 435 | |
400,000 | | International Flavors & Fragrances Inc., 1.80%, 9/25/26 EUR (c) | | | 516 | |
300,000 | | International Game Technology PLC 144A, 4.13%, 4/15/26 (a) | | | 309 | |
50,000 | | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 144A, 4.75%, 6/01/27 (a) | | | 53 | |
300,000 | | Kraft Heinz Foods Co., 3.88%, 5/15/27 | | | 327 | |
100,000 | | Laboratoire Eimer Selas 144A, 5.00%, 2/01/29 EUR (a)(c) | | | 122 | |
300,000 | | Life Storage LP, 2.20%, 10/15/30 | | | 290 | |
450,000 | | Logicor Financing Sarl, 1.63%, 7/15/27 EUR (c)(d) | | | 572 | |
400,000 | | Mattel Inc. 144A, 3.38%, 4/01/26 (a) | | | 415 | |
300,000 | | Melco Resorts Finance Ltd., 5.38%, 12/04/29 (d) | | | 320 | |
220,000 | | MercadoLibre Inc., 2.38%, 1/14/26 | | | 220 | |
250,000 | | Meritage Homes Corp. 144A, 3.88%, 4/15/29 (a) | | | 257 | |
550,000 | | Mizrahi Tefahot Bank Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.250%), 3.08%, 4/07/31 (a)(b)(d) | | | 560 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
350,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.698%), 0.41%, 10/29/27 EUR (b)(c) | | $ | 421 | |
300,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.616%), 0.73%, 4/05/24 (b) | | | 301 | |
200,000 | | MPT Operating Partnership LP/MPT Finance Corp., 2.50%, 3/24/26 GBP (c) | | | 280 | |
640,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 742 | |
350,000 | | Natwest Group PLC, (1 yr. GBP interest rate swap + 1.490%), 2.88%, 9/19/26 GBP (b)(c)(d) | | | 514 | |
450,000 | | NBM U.S. Holdings Inc., 7.00%, 5/14/26 (d) | | | 485 | |
300,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 310 | |
400,000 | | Novelis Sheet Ingot GmbH 144A, 3.38%, 4/15/29 EUR (a)(c) | | | 496 | |
200,000 | | Owl Rock Capital Corp., 3.40%, 7/15/26 | | | 208 | |
700,000 | | Owl Rock Capital Corp., 4.00%, 3/30/25 | | | 746 | |
400,000 | | Penske Automotive Group Inc., 3.50%, 9/01/25 | | | 411 | |
300,000 | | Petrobras Global Finance BV, 8.75%, 5/23/26 | | | 384 | |
200,000 | | Petroleos Mexicanos, 2.50%, 8/21/21 EUR (c)(d) | | | 242 | |
400,000 | | Petroleos Mexicanos, 4.88%, 1/18/24 (g) | | | 416 | |
450,000 | | Petroleos Mexicanos, 5.13%, 3/15/23 EUR (c)(d) | | | 569 | |
500,000 | | Prosus NV 144A, 1.54%, 8/03/28 EUR (a)(c) | | | 624 | |
450,000 | | Q-Park Holding I BV 144A, 2.00%, 3/01/27 EUR (a)(c) | | | 509 | |
150,000 | | SBA Communications Corp. 144A, 3.13%, 2/01/29 (a) | | | 144 | |
200,000 | | Seagate HDD Cayman 144A, 3.13%, 7/15/29 (a) | | | 193 | |
300,000 | | Sprint Corp., 7.88%, 9/15/23 | | | 342 | |
350,000 | | Standard Industries Inc. 144A, 2.25%, 11/21/26 EUR (a)(c) | | | 415 | |
400,000 | | Stellantis NV, 3.88%, 1/05/26 EUR (c)(d) | | | 554 | |
235,000 | | Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A, 4.00%, 1/15/32 (a) | | | 231 | |
200,000 | | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc. 144A, 5.63%, 3/01/24 (a) | | | 217 | |
300,000 | | Teine Energy Ltd. 144A, 6.88%, 4/15/29 (a) | | | 304 | |
250,000 | | Tempur Sealy International Inc. 144A, 4.00%, 4/15/29 (a) | | | 254 | |
200,000 | | Terega SASU, 0.63%, 2/27/28 EUR (c)(d) | | | 240 | |
300,000 | | Teva Pharmaceutical Finance Netherlands II BV, 1.25%, 3/31/23 EUR (c)(d) | | | 353 | |
395,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 395 | |
250,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | | | 248 | |
150,000 | | T-Mobile USA Inc., 2.63%, 2/15/29 | | | 146 | |
550,000 | | Transnet SOC Ltd., 4.00%, 7/26/22 (d) | | | 562 | |
400,000 | | U.S. Foods Inc. 144A, 4.75%, 2/15/29 (a) | | | 404 | |
520,000 | | U.S. Foods Inc. 144A, 6.25%, 4/15/25 (a) | | | 553 | |
291,150 | | United Airlines 2020-1 Class B Pass-Through Trust, 4.88%, 1/15/26 | | | 308 | |
200,000 | | VEREIT Operating Partnership LP, 2.85%, 12/15/32 | | | 206 | |
350,000 | | Verisure Midholding AB 144A, 5.25%, 2/15/29 EUR (a)(c)(g) | | | 435 | |
250,000 | | Vermilion Energy Inc. 144A, 5.63%, 3/15/25 (a) | | | 239 | |
Semi-Annual Report 4
Portfolio Highlights & Investments continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
300,000 | | Via Celere Desarrollos Inmobiliarios SA 144A, 5.25%, 4/01/26 EUR (a)(c) | | $ | 377 | |
450,000 | | Volkswagen Leasing GmbH, 1.63%, 8/15/25 EUR (c)(d) | | | 574 | |
370,000 | | VTR Comunicaciones SpA 144A, 4.38%, 4/15/29 (a) | | | 373 | |
550,000 | | Yum! Brands Inc., 4.63%, 1/31/32 | | | 576 | |
Total Corporate Bond (Cost—$35,926) | | | 36,712 | |
| |
Foreign Government (7%) | | | | |
650,000 | | Brazilian Government International Bond, 4.50%, 5/30/29 | | | 686 | |
1,650,000 | | Brazilian Government International Bond, 8.50%, 1/05/24 BRL (c) | | | 318 | |
300,000 | | Colombia Government International Bond, 3.88%, 3/22/26 EUR (c) | | | 407 | |
400,000 | | Corp. Financiera de Desarrollo SA 144A, 2.40%, 9/28/27 (a) | | | 384 | |
150,000 | | Dominican Republic International Bond 144A, 4.88%, 9/23/32 (a) | | | 157 | |
100,000 | | Dominican Republic International Bond, 5.50%, 1/27/25 (d) | | | 111 | |
350,000 | | Dominican Republic International Bond, 6.00%, 7/19/28 (d) | | | 400 | |
200,000 | | Dominican Republic International Bond, 6.60%, 1/28/24 (d) | | | 225 | |
400,000 | | Egypt Government International Bond 144A, 5.75%, 5/29/24 (a) | | | 424 | |
200,000 | | Egypt Government International Bond, 5.75%, 5/29/24 (d) | | | 212 | |
300,000 | | Egypt Government International Bond 144A, 6.20%, 3/01/24 (a) | | | 321 | |
200,000 | | Egypt Government International Bond, 7.50%, 1/31/27 (d) | | | 221 | |
550,000 | | Guatemala Government Bond, 4.50%, 5/03/26 (d) | | | 606 | |
400,000 | | Guatemala Government Bond, 4.90%, 6/01/30 (d) | | | 448 | |
500,000 | | Kenya Government International Bond, 6.88%, 6/24/24 (d) | | | 556 | |
570,000 | | Mexico Government International Bond, 4.50%, 4/22/29 | | | 641 | |
300,000 | | Mongolia Government International Bond 144A, 5.13%, 4/07/26 (a) | | | 323 | |
390,000 | | Mongolia Government International Bond 144A, 5.63%, 5/01/23 (a) | | | 411 | |
100,000 | | Morocco Government International Bond 144A, 1.38%, 3/30/26 EUR (a)(c) | | | 121 | |
590,000 | | Morocco Government International Bond, 2.38%, 12/15/27 (d) | | | 575 | |
600,000 | | Nigeria Government International Bond, 6.38%, 7/12/23 (d) | | | 646 | |
100,000 | | Republic of South Africa Government International Bond, 4.67%, 1/17/24 | | | 107 | |
280,000 | | Republic of South Africa Government International Bond, 4.88%, 4/14/26 | | | 299 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
270,000 | | Republic of South Africa Government International Bond, 5.88%, 9/16/25 | | $ | 301 | |
400,000 | | Romanian Government International Bond, 2.38%, 4/19/27 EUR (c)(d) | | | 523 | |
350,000 | | Senegal Government International Bond, 4.75%, 3/13/28 EUR (c)(d) | | | 438 | |
308,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (a) | | | 308 | |
Total Foreign Government (Cost—$10,178) | | | 10,169 | |
| |
Mortgage Backed (27%) | | | | |
100,000 | | ACRE Commercial Mortgage 2021-FL4 Ltd. 144A, (1 mo. LIBOR USD + 1.750%), 1.87%, 12/18/37 (a)(b) | | | 100 | |
200,000 | | ACRE Commercial Mortgage 2021-FL4 Ltd. 144A, (1 mo. LIBOR USD + 2.600%), 2.72%, 12/18/37 (a)(b) | | | 200 | |
400,000 | | BPCRE 2021-FL1 Ltd. 144A, (1 mo. LIBOR USD + 2.600%), 2.71%, 2/15/37 (a)(b) | | | 401 | |
376,204 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.800%), 1.92%, 10/15/36 (a)(b) | | | 377 | |
611,332 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.000%), 2.12%, 10/15/36 (a)(b) | | | 612 | |
752,409 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 2.42%, 10/15/36 (a)(b) | | | 753 | |
299,393 | | BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 2.000%), 2.12%, 12/15/36 (a)(b) | | | 300 | |
400,000 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 10/15/37 (a)(b) | | | 402 | |
400,000 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 2.750%), 2.86%, 10/15/37 (a)(b) | | | 402 | |
700,000 | | BX Trust 2018-GW 144A, (1 mo. LIBOR USD + 2.420%), 2.54%, 5/15/35 (a)(b) | | | 699 | |
546,756 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 2.47%, 6/15/34 (a)(b) | | | 529 | |
347,936 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.608%), 2.72%, 6/15/34 (a)(b) | | | 304 | |
393,196 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 11/15/37 (a)(b) | | | 395 | |
196,598 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 2.766%), 2.88%, 11/15/37 (a)(b) | | | 198 | |
589,794 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 3.492%), 3.61%, 11/15/37 (a)(b) | | | 597 | |
500,000 | | COMM 2021-LBA Mortgage Trust 144A, (1 mo. LIBOR USD + 2.350%), 2.47%, 3/15/38 (a)(b) | | | 500 | |
1,391,570 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.26%, 11/25/39 (a)(b) | | | 1,386 | |
5 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
164,863 | | Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 2.450%), 2.56%, 7/25/31 (a)(b) | | $ | 166 | |
500,000 | | Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 4.350%), 4.46%, 7/25/31 (a)(b) | | | 519 | |
1,000,000 | | Connecticut Avenue Securities Trust 2019-R02 144A, (1 mo. LIBOR USD + 4.150%), 4.26%, 8/25/31 (a)(b) | | | 1,034 | |
550,000 | | Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 4.100%), 4.21%, 9/25/31 (a)(b) | | | 569 | |
300,000 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 3.400%), 3.51%, 10/25/39 (a)(b) | | | 302 | |
200,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 2.000%), 2.11%, 1/25/40 (a)(b) | | | 201 | |
350,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.11%, 1/25/40 (a)(b) | | | 343 | |
950,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.150%), 2.27%, 5/15/36 (a)(b) | | | 953 | |
750,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 2.77%, 5/15/36 (a)(b) | | | 751 | |
750,000 | | CSMC Trust 2017-MOON 144A, 3.30%, 7/10/34 (a)(h) | | | 736 | |
679,905 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%), 4.36%, 1/25/29 (b) | | | 713 | |
600,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 3.000%), 3.11%, 9/25/49 (a)(b) | | | 607 | |
250,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 7.500%), 7.61%, 9/25/49 (a)(b) | | | 260 | |
200,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 1.96%, 2/25/50 (a)(b) | | | 202 | |
400,000 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.800%), 2.81%, 10/25/50 (a)(b) | | | 407 | |
200,000 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 4.800%), 4.81%, 10/25/50 (a)(b) | | | 212 | |
383,389 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.01%, 1/25/50 (a)(b) | | | 386 | |
300,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 7.600%), 7.71%, 3/25/50 (a)(b) | | | 304 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
500,000 | | Freddie Mac STACR REMIC Trust 2020-HQA3 144A, (1 mo. LIBOR USD + 5.750%), 5.86%, 7/25/50 (a)(b) | | $ | 535 | |
300,000 | | Freddie Mac STACR REMIC Trust 2020-HQA4 144A, (1 mo. LIBOR USD + 3.150%), 3.26%, 9/25/50 (a)(b) | | | 304 | |
900,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.41%, 10/25/48 (a)(b) | | | 914 | |
532,016 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 2.76%, 1/25/49 (a)(b) | | | 544 | |
668,828 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 2.450%), 2.56%, 3/25/49 (a)(b) | | | 681 | |
260,254 | | Freddie Mac STACR Trust 2019-DNA3 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 7/25/49 (a)(b) | | | 264 | |
200,000 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 2.700%), 2.81%, 10/25/49 (a)(b) | | | 201 | |
200,000 | | Freddie Mac STACR Trust 2019-FTR3 144A, (1 mo. LIBOR USD + 4.800%), 4.91%, 9/25/47 (a)(b) | | | 197 | |
200,000 | | Freddie Mac STACR Trust 2019-FTR4 144A, (1 mo. LIBOR USD + 5.000%), 5.11%, 11/25/47 (a)(b) | | | 199 | |
361,960 | | Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 2.350%), 2.46%, 2/25/49 (a)(b) | | | 366 | |
685,582 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 4/25/49 (a)(b) | | | 694 | |
498,735 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 1.51%, 2/25/49 (a)(b) | | | 499 | |
675,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.250%), 2.36%, 2/25/49 (a)(b) | | | 674 | |
450,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.500%), 9.61%, 2/25/49 (a)(b) | | | 448 | |
812,930 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.800%), 1.91%, 7/25/30 (b) | | | 814 | |
780,748 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%), 2.41%, 9/25/30 (b) | | | 789 | |
47,376 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (a)(h) | | | 47 | |
1,250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 4.71%, 12/25/42 (b) | | | 1,282 | |
Semi-Annual Report 6
Portfolio Highlights & Investments continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
200,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 6.000%), 6.01%, 8/25/33 (a)(b) | | $ | 203 | |
298,191 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 9.000%), 9.11%, 3/25/29 (b) | | | 320 | |
450,000 | | InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 3.350%), 3.47%, 1/15/33 (a)(b) | | | 453 | |
40,247 | | JP Morgan Mortgage Trust 2014-IVR3 144A, 2.45%, 9/25/44 (a)(h) | | | 41 | |
1,001,103 | | JP Morgan Mortgage Trust 2017-5 144A, 3.11%, 10/26/48 (a)(h) | | | 1,032 | |
350,000 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 1.550%), 1.66%, 12/15/37 (a)(b) | | | 350 | |
400,000 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 2.050%), 2.16%, 12/15/37 (a)(b) | | | 400 | |
550,000 | | Life 2021-BMR Mortgage Trust 144A, (1 mo. LIBOR USD + 2.950%), 3.07%, 3/15/38 (a)(b) | | | 552 | |
300,000 | | MF1 2020-FL3 Ltd. 144A, (1 mo. LIBOR USD + 4.500%), 4.61%, 7/15/35 (a)(b) | | | 307 | |
3,937,208 | | Morgan Stanley Capital I Trust 2018-H3, 0.99%, 7/15/51 (h) | | | 180 | |
240,734 | | Motel 6 Trust 2017-MTL6 144A, (1 mo. LIBOR USD + 3.250%), 3.37%, 8/15/34 (a)(b) | | | 242 | |
240,734 | | Motel 6 Trust 2017-MTL6 144A, (1 mo. LIBOR USD + 4.250%), 4.37%, 8/15/34 (a)(b) | | | 242 | |
300,000 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.36%, 10/15/49 (a)(b) | | | 302 | |
400,000 | | ONE 2021-PARK Mortgage Trust 144A, (1 mo. LIBOR USD + 1.500%), 1.62%, 3/15/36 (a)(b) | | | 400 | |
300,000 | | ONE 2021-PARK Mortgage Trust 144A, (1 mo. LIBOR USD + 1.750%), 1.87%, 3/15/36 (a)(b) | | | 300 | |
900,000 | | Palisades Center Trust 2016-PLSD 144A, 3.36%, 4/13/33 (a) | | | 648 | |
450,000 | | PFP 2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 1.54%, 4/14/36 (a)(b) | | | 451 | |
110,000 | | Sage AR Funding No 1 PLC 144A, (Sterling Overnight Index Average 3mo. + 3.000%), 3.05%, 11/17/30 GBP (a)(b)(c) | | | 153 | |
500,000 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 2.100%), 2.21%, 9/25/48 (a)(b) | | | 506 | |
1,284,823 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 1.76%, 4/25/43 (a)(b) | | | 1,287 | |
1,400,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 3.86%, 4/25/43 (a)(b) | | | 1,439 | |
967,755 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 11.86%, 5/25/43 (a)(b) | | | 1,108 | |
700,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 10.61%, 2/25/47 (a)(b) | | | 797 | |
300,000 | | TTAN 2021-MHC 144A, (1 mo. LIBOR USD + 2.400%), 2.51%, 3/15/38 (a)(b) | | | 300 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
400,000 | | Wells Fargo Commercial Mortgage Trust 2017-SMP 144A, (1 mo. LIBOR USD + 1.775%), 1.89%, 12/15/34 (a)(b) | | $ | 396 | |
10,643,045 | | Wells Fargo Commercial Mortgage Trust 2018-C46, 1.10%, 8/15/51 (h) | | | 491 | |
Total Mortgage Backed (Cost—$38,904) | | | 39,172 | |
Stocks (4%) | | | | |
Common Stock (4%) | | | | |
2,900 | | Apple Inc. | | | 381 | |
500 | | BlackRock Inc. | | | 410 | |
2,200 | | Chevron Corp. | | | 227 | |
3,700 | | ConocoPhillips | | | 189 | |
2,000 | | Dover Corp. | | | 298 | |
5,600 | | DuPont de Nemours Inc. | | | 432 | |
3,100 | | Emerson Electric Co. | | | 281 | |
4,700 | | Exxon Mobil Corp. | | | 269 | |
1,200 | | Home Depot Inc. | | | 388 | |
3,200 | | Medtronic PLC | | | 419 | |
4,300 | | Merck & Co. Inc. | | | 320 | |
1,600 | | Microsoft Corp. | | | 404 | |
4,100 | | NextEra Energy Inc. | | | 318 | |
2,500 | | Simon Property Group Inc. | | | 304 | |
1,800 | | Union Pacific Corp. | | | 400 | |
1,700 | | Visa Inc., Class A | | | 397 | |
2,900 | | Waste Management Inc. | | | 400 | |
4,300 | | Wyndham Hotels & Resorts Inc. | | | 314 | |
| | | | | 6,151 | |
Total Stocks (Cost—$5,290) | | | 6,151 | |
Investment Company (10%) | | | | |
16,000 | | Invesco QQQ Trust Series 1 (g) | | | 5,408 | |
6,579,873 | | Payden Cash Reserves Money Market Fund * | | | 6,580 | |
40,000 | | SPDR S&P Bank ETF | | | 2,145 | |
Total Investment Company (Cost—$13,633) | | | 14,133 | |
Purchase Options (0%) | | | | |
Total Purchased Options (Cost—$14) | | | 4 | |
Total Investments (Cost—$142,000) (101%) | | | 144,783 | |
Liabilities in excess of Other Assets (-1%) | | | (1,066 | ) |
| |
Net Assets (100%) | | $ | 143,717 | |
| (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, 2021. |
| (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) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2021. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (f) | Perpetual security with no stated maturity date. |
| (g) | All or a portion of these securities are on loan. At April 30, 2021, the total market value of the Fund’s securities on loan is $3,352 and the total market value of the collateral held by the Fund is $3,380. Amounts in 000s. |
| (h) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
7 Payden Mutual Funds
Purchase Options
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Notional
Amount
(000s) | | | Exercise
Price | | | Maturity Date | | | Value
(000s) | | | Call/Put | |
S & P 500 Index | | | 35 | | | $ | 14,634 | | | | 3500.00 | | | | 05/14/2021 | | | $ | 4 | | | | Put | |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
EUR 363 | | | USD 431 | | | | | | | | Citibank, N.A. | | | | 06/22/2021 | | | $ | 6 | |
EUR 305 | | | USD 366 | | | | | | | | Citibank, N.A. | | | | 06/22/2021 | | | | 1 | |
USD 1,312 | | | GBP 946 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/22/2021 | | | | 5 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 12 | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
EUR 603 | | | USD 726 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/24/2021 | | | | (1) | |
GBP 1,041 | | | USD 1,451 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/24/2021 | | | | (13) | |
USD 312 | | | BRL 1,760 | | | | | | | | Barclays Bank PLC | | | | 06/24/2021 | | | | (10) | |
USD 16,846 | | | EUR 14,120 | | | | | | | | Citibank, N.A. | | | | 06/22/2021 | | | | (149) | |
USD 1,250 | | | EUR 1,050 | | | | | | | | Citibank, N.A. | | | | 06/22/2021 | | | | (13) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (186) | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | (174 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | | 2 | | | | | | Jun-21 | | | $ | 314 | | | $ | (3 | ) | | $ | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | | 46 | | | | | | Jun-21 | | | | (7,451 | ) | | | 16 | | | | 16 | |
Euro-Bund Future | | | 4 | | | | | | Jun-21 | | | | (818 | ) | | | 8 | | | | 8 | |
Euro-Schatz Future | | | 34 | | | | | | Jun-21 | | | | (4,581 | ) | | | 1 | | | | 1 | |
U.S. 10-Year Ultra Future | | | 25 | | | | | | Jun-21 | | | | (3,639 | ) | | | 68 | | | | 68 | |
U.S. Treasury 10-Year Note Future | | | 24 | | | | | | Jun-21 | | | | (3,169 | ) | | | 6 | | | | 6 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 99 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | $ | 96 | |
| | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Upfront | | | Unrealized | |
| | | | | | Notional | | | | | | payments/ | | | Appreciation | |
| | | Maturity | | | Amount | | | Value | | | receipts | | | (Depreciation) | |
| Description | | Date | | | (000s) | | | (000s) | | | (000s) | | | (000s) | |
| 3-Year Interest Rate Swap, Receive Fixed 0.86% Semi-Annually, Pay Variable 0.17563% (3-Month USD LIBOR) Quarterly | | | 04/28/2024 | | | $ | 33,612 | | | $ | (4 | ) | | $ | — | | | $ | (4 | ) |
| 5-Year Interest Rate Swap, Pay Fixed 1.80% Semi-Annually, Receive Variable 0.17563% (3-Month USD LIBOR) Quarterly | | | 04/28/2026 | | | | 34,567 | | | | 26 | | | | — | | | | 26 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 22 | | | $ | — | | | $ | 22 | |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 8
Portfolio Highlights & Investments continued
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 | | $ | 3,352 | |
Non-cash Collateral2 | | | (3,352 | ) |
| | | | |
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, 2021, 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.
9 Payden Mutual Funds
| | |
Statement of Assets & Liabilities | | |
April 30, 2021 (Unaudited)
Numbers in 000s
| | | | | | | | |
ASSETS: | | | | | | | | |
Investments, at value * | | | | $ | 138,203 | | | |
Affiliated investments, at value ** | | | | | 6,580 | | | |
Foreign cash *** | | | | | 405 | | | |
Cash. | | | | | 1 | | | |
Cash pledged for financial futures contracts | | | | | 273 | | | |
Cash pledged as collateral for OTC derivatives | | | | | 260 | | | |
Cash pledged for centrally cleared swaps | | | | | 137 | | | |
Receivable for: | | | | | | | | |
Interest and dividends | | | | | 586 | | | |
Investments sold | | | | | 5,750 | | | |
Fund shares sold | | | | | 4 | | | |
Forward currency contracts | | | | | 12 | | | |
Variation margin on centrally cleared contracts | | | | | 4 | | | |
Other assets | | | | | 7 | | | |
Total Assets | | | | | 152,222 | | | |
LIABILITIES: | | | | | | | | |
Payable for: | | | | | | | | |
Forward currency contracts | | | | | 186 | | | |
Investments purchased | | | | | 4,618 | | | |
Fund shares redeemed | | | | | 1 | | | |
Futures | | | | | 10 | | | |
Liability for securities on loan (Note 2) | | | | | 3,380 | | | |
Accrued expenses: | | | | | | | | |
Investment advisory fees (Note 3) | | | | | 99 | | | |
Administration fees (Note 3) | | | | | 18 | | | |
Distribution fees (Note 3) | | | | | 35 | | | |
Trustee fees and expenses | | | | | 7 | | | |
Other liabilities | | | | | 151 | | | |
Total Liabilities | | | | | 8,505 | | | |
NET ASSETS. | | | | $ | 143,717 | | | |
NET ASSETS: | | | | | | | | |
Paid in capital | | | | $ | 147,910 | | | |
Total distributable earnings | | | | | (4,193 | ) | | |
NET ASSETS. | | | | $ | 143,717 | | | |
NET ASSET VALUE — offering and redemption price per share in whole dollars | | | | | | | | |
Institutional Class | | | | | | | | |
Net Assets | | | | $ | 556 | | | |
Shares Outstanding | | | | | 52 | | | |
Net Asset Value Per Share | | | | $ | 10.69 | | | |
SI Class | | | | | | | | |
Net Assets | | | | $ | 94,489 | | | |
Shares Outstanding | | | | | 8,951 | | | |
Net Asset Value Per Share | | | | $ | 10.56 | | | |
Adviser Class | | | | | | | | |
Net Assets | | | | $ | 16,321 | | | |
Shares Outstanding | | | | | 1,589 | | | |
Net Asset Value Per Share | | | | $ | 10.27 | | | |
Retirement Class | | | | | | | | |
Net Assets | | | | $ | 32,351 | | | |
Shares Outstanding | | | | | 3,331 | | | |
Net Asset Value Per Share | | | | $ | 9.71 | | | |
| | | | | | | | |
* Investments, at cost | | | | $ | 135,420 | | | |
** Affiliated investments, at cost | | | | | 6,580 | | | |
*** Foreign cash, at cost | | | | | 407 | | | |
See notes to financial statements.
Semi-Annual Report 10
Period ended April 30, 2021 (Unaudited)
Numbers in 000s
| | | | | | | | |
INVESTMENT INCOME: | | | | | | | | |
Interest income (Note 2) | | | | $ | 2,405 | | | |
Dividend income. | | | | | 54 | | | |
Income from securities lending | | | | | 2 | | | |
Investment Income | | | | | 2,461 | | | |
EXPENSES: | | | | | | | | |
Investment advisory fees (Note 3) | | | | | 800 | | | |
Administration fees (Note 3) | | | | | 109 | | | |
Shareholder servicing fees. | | | | | 6 | | | |
Distribution fees (Note 3) | | | | | 107 | | | |
Custodian fees | | | | | 11 | | | |
Transfer agent fees | | | | | 24 | | | |
Registration and filing fees | | | | | 27 | | | |
Trustee fees and expenses | | | | | 10 | | | |
Printing and mailing costs. | | | | | 13 | | | |
Loan commitment fees | | | | | 1 | | | |
Legal fees | | | | | 2 | | | |
Publication expense | | | | | 4 | | | |
Pricing fees | | | | | 29 | | | |
Fund accounting fees | | | | | 41 | | | |
Insurance | | | | | 2 | | | |
Audit fees | | | | | 22 | | | |
Gross Expenses | | | | | 1,208 | | | |
Expense subsidy (Note 3) | | | | | (192 | ) | | |
Net Expenses. | | | | | 1,016 | | | |
Net Investment Income | | | | | 1,445 | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | |
Investments | | | | | 1,654 | | | |
Foreign currency transactions | | | | | 7 | | | |
Forward foreign exchange contracts | | | | | 10 | | | |
Futures contracts | | | | | 232 | | | |
Swap contracts | | | | | 292 | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | |
Investments | | | | | 4,441 | | | |
Forward foreign exchange contracts | | | | | (479 | ) | | |
Futures contracts | | | | | 64 | | | |
Swap contracts | | | | | (189 | ) | | |
Net Realized and Unrealized Gains | | | | | 6,032 | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS. | | | | $ | 7,477 | | | |
| | | | | | | | |
See notes to financial statements.
11 Payden Mutual Funds
| | |
Statements of Changes in Net Assets | | |
For the period ended April 30, 2021 (Unaudited) and the year ended October 31, 2020
Numbers in 000s
| | | | | | | | | | | | | | |
| | | | | |
| | | | | 2021 | | | | | 2020 | | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | |
Net investment income | | | | $ | 1,445 | | | | | $ | 4,734 | | | |
Net realized gains (losses) on investments | | | | | 2,195 | | | | | | (4,647 | ) | | |
Change in net unrealized appreciation (depreciation) | | | | | 3,837 | | | | | | (2,825 | ) | | |
Change in Net Assets Resulting from Operations | | | | | 7,477 | | | | | | (2,738 | ) | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | |
Institutional Class | | | | | (19 | ) | | | | | (220 | ) | | |
SI Class | | | | | (3,253 | ) | | | | | (4,067 | ) | | |
Adviser Class | | | | | (466 | ) | | | | | (596 | ) | | |
Retirement Class | | | | | (1,341 | ) | | | | | (1,248 | ) | | |
Change in Net Assets from Distributions to Shareholders | | | | | (5,079 | ) | | | | | (6,131 | ) | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | |
Institutional Class | | | | | — | | | | | | 263 | | | |
SI Class | | | | | 5,589 | | | | | | 17,396 | | | |
Adviser Class | | | | | 3,249 | | | | | | 2,365 | | | |
Retirement Class | | | | | 1,155 | | | | | | 8,437 | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | |
Institutional Class | | | | | 19 | | | | | | 220 | | | |
SI Class | | | | | 3,253 | | | | | | 4,055 | | | |
Adviser Class | | | | | 462 | | | | | | 596 | | | |
Retirement Class | | | | | 1,342 | | | | | | 1,248 | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | |
Institutional Class | | | | | (3 | ) | | | | | (6,528 | ) | | |
SI Class | | | | | (14,980 | ) | | | | | (46,202 | ) | | |
Adviser Class | | | | | (3,206 | ) | | | | | (9,119 | ) | | |
Retirement Class | | | | | (6,958 | ) | | | | | (7,598 | ) | | |
Change in Net Assets from Capital Transactions | | | | | (10,078 | ) | | | | | (34,867 | ) | | |
Total Change in Net Assets | | | | | (7,680 | ) | | | | | (43,736 | ) | | |
NET ASSETS: | | | | | | | | | | | | | | |
Beginning of period | | | | | 151,397 | | | | | | 195,133 | | | |
End of period | | | | $ | 143,717 | | | | | $ | 151,397 | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | |
Institutional Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 50 | | | | | | 629 | | | |
Shares sold | | | | | — | | | | | | 25 | | | |
Shares issued in reinvestment of distributions | | | | | 2 | | | | | | 21 | | | |
Shares redeemed. | | | | | — | | | | | | (625 | ) | | |
Change in shares outstanding. | | | | | 2 | | | | | | (579 | ) | | |
Outstanding shares at end of period | | | | | 52 | | | | | | 50 | | | |
SI Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 9,523 | | | | | | 12,067 | | | |
Shares sold | | | | | 535 | | | | | | 1,702 | | | |
Shares issued in reinvestment of distributions | | | | | 316 | | | | | | 388 | | | |
Shares redeemed. | | | | | (1,423 | ) | | | | | (4,634 | ) | | |
Change in shares outstanding. | | | | | (572 | ) | | | | | (2,544 | ) | | |
Outstanding shares at end of period | | | | | 8,951 | | | | | | 9,523 | | | |
Adviser Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 1,534 | | | | | | 2,145 | | | |
Shares sold | | | | | 320 | | | | | | 238 | | | |
Shares issued in reinvestment of distributions | | | | | 46 | | | | | | 58 | | | |
Shares redeemed. | | | | | (311 | ) | | | | | (907 | ) | | |
Change in shares outstanding. | | | | | 55 | | | | | | (611 | ) | | |
Outstanding shares at end of period | | | | | 1,589 | | | | | | 1,534 | | | |
Retirement Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 3,791 | | | | | | 3,558 | | | |
Shares sold | | | | | 120 | | | | | | 899 | | | |
Shares issued in reinvestment of distributions | | | | | 141 | | | | | | 128 | | | |
Shares redeemed. | | | | | (721 | ) | | | | | (794 | ) | | |
Change in shares outstanding. | | | | | (460 | ) | | | | | 233 | | | |
Outstanding shares at end of period | | | | | 3,331 | | | | | | 3,791 | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | | $ | 98,117 | | | | | $ | 109,969 | | | |
Sale of investments (excluding government) | | | | | 114,165 | | | | | | 128,098 | | | |
Purchase of government securities | | | | | 200 | | | | | | 8,229 | | | |
Sale of government securities | | | | | 5,731 | | | | | | 13,464 | | | |
See notes to financial statements.
Semi-Annual Report 12
| | |
Notes to Financial Statements | | |
April 30, 2021 (Unaudited)
1. Organization and Related Matters
The Payden & Rygel Investment Group (the “Group”) is a no-load, open-end registered investment company organized as a Massachusetts business trust on January 22, 1992 and registered under the Investment Company Act of 1940 (the “1940 Act”), as amended. Each of its nineteen funds (each a “Fund,” collectively the “Funds”) is a series of the Group, and is authorized to issue unlimited shares at $0.001 par value. This report contains only the Payden/Kravitz Cash Balance Plan Fund. The other eighteen Funds are contained in a separate report.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The Fund’s financial statements are prepared in accordance with GAAP.
The Fund is considered an investment company under FASB ASC 946, Financial Services—Investment Companies.
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Securities Valuation
Domestic and foreign fixed income securities and other assets for which market quotations are readily available (other than obligations with original maturities of sixty days or less) are valued on the basis of quotes obtained from brokers and dealers or pricing services. Such quotations take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data. Debt securities with original maturities of sixty days or less are valued at amortized cost, which approximates fair value.
Publicly traded equity securities, whether in the U.S. or outside the U.S., for which market quotations are readily available generally will be valued at the official closing price or the last sale price on the exchange or market where they are principally traded, or if there have been no sales during the day, at the last bid price. Securities traded only on the over-the-counter (“OTC”) market are valued at the latest bid price. Investments in 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 of open-end investment companies are valued at their respective net asset value.
Fair value pricing adjustments may occur when (1) developments occur (a “significant event”) that will affect the value of a Fund’s holdings, and (2) the significant event occurs after the close of the markets on which the securities trade, but before the time when the net asset value is computed for a Fund. A significant event may relate to a single issuer or an entire market.
Risks
Unforeseen events in the markets may at times result in an unusually high degree of volatility in the markets, which could adversely affect the fund causing a decline in value.
13 Payden Mutual Funds
Investing in debt securities may include failure of an issuer to make timely interest or principal payments, or a decline or the perception of a decline in credit quality. In addition, the value of the debt security may decline due to general market conditions that are not specifically related to a particular company including industry earnings outlook, changes in interest or currency rates or perception of a specific industry.
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities.
An investment in the Payden Cash Reserves Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
Investment Transactions and Related Income
Investment transactions are accounted for on the date the security is purchased or sold (trade date) for financial reporting purposes. Interest income is recognized on an accrual basis. Premiums and discounts are amortized or accreted over the expected life of the security using the effective interest method. Dividend income is recorded on the ex-dividend date. Realized gains or losses on investment transactions are determined on the identified cost basis.
Bank Loans
Floating-Rate Loan Interests (“Bank Loans”) in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Bank Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. The interest rate shown on the Schedule of Investments reflects the rate in effect at 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.
Semi-Annual Report 14
| | |
Notes to Financial Statements Continued | | |
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 are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation) and realized gain (loss) is recorded at termination of the contract.
Upon entering into a centrally cleared swap, the Fund is required to deposit and maintain initial margin deposit of cash or securities as required by the exchange on which the contract is traded. Pursuant to a centrally cleared swap, the Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margin and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of the underlying securities may not correlate to the change in value of the contracts.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, credit spreads and/or market values associated with these transactions.
The Fund may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
15 Payden Mutual Funds
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 in non-U.S. securities, or as an efficient means of adjusting exposure to the bond, equity and currency markets. In addition, the Fund may enter into such transactions to enhance potential gain in circumstances where hedging is not involved. When a Fund writes a covered call or put option, an amount equal to the premium received is reflected as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the cost of the security acquired is decreased by the premium originally received. As writer of an option, the Fund has no control over whether the underlying securities are subsequently sold (call) or purchased (put) and, as a result, bears
the market risk of an unfavorable change in the price of the security underlying the written option.
When the Fund purchases a call or put option, an amount equal to the premium paid is included in the Fund’s Statement of Assets and Liabilities as an investment, and is subsequently marked-to-market to reflect the current value of the option. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If the Fund exercises a call option, the cost of the security acquired is increased by the premium paid for the call. If the Fund exercises a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities.
Derivative Financial Instruments
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to economically hedge its exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
The following tables show the Fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations.
Statement of Assets and Liabilities
Fair Values of Derivative Instruments as of April 30, 2021 (000s)
| | | | | | | | | | |
Underlying Risk | | Derivative
Assets | | Derivative
Liabilities |
Equity1 | | | $ | 4 | | | | | — | |
Interest rate2 | | | | 125 | | | | $ | (7 | ) |
Foreign currency3,4 | | | | 12 | | | | | (186 | ) |
| | | | | | | | | | |
Total | | | $ | 141 | | | | $ | (193 | ) |
| | | | | | | | | | |
| 1 | Includes options purchased at value as reported in the Schedule of Investments. |
| 2 | 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. |
| 3 | Receivable for forward currency contracts. |
| 4 | Payable for forward currency contracts. |
Semi-Annual Report 16
| | |
Notes to Financial Statements Continued | | |
The Effect of Derivative Instruments on the Statement of Operations For the Period Ended April 30, 2021
| | | | | | | | | | | | | | | | | | | | |
Amount of Net Realized Gain (Loss) on Derivatives Recognized in Income
(000s) | |
Underlying risk | | Futures1 | | | Forward
Currency
Contracts2 | | | Options3 | | | Swaps4 | | | Total | |
Credit. | | $ | — | | | $ | — | | | $ | — | | | $ | 80 | | | $ | 80 | |
Equity | | | — | | | | — | | | | (14 | ) | | | — | | | | (14 | ) |
Foreign exchange | | | — | | | | 10 | | | | — | | | | — | | | | 10 | |
Interest rate | | | 232 | | | | — | | | | — | | | | 212 | | | | 444 | |
| | | | | | | | | | | | | | | | | | | | |
Total. | | $ | 232 | | | $ | 10 | | | $ | (14 | ) | | $ | 292 | | | $ | 520 | |
| | | | | | | | | | | | | | | | | | | | |
| 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, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income (000s) |
Underlying risk | | Futures5 | | Forward
Foreign
Exchange
Contracts6 | | Options7 | | Swaps8 | | Total |
Credit | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (3 | ) | | | $ | (3 | ) |
Equity | | | | — | | | | | — | | | | | (10 | ) | | | | — | | | | | (10 | ) |
Foreign exchange | | | | — | | | | | (479 | ) | | | | — | | | | | — | | | | | (479 | ) |
Interest rate | | | | 64 | | | | | — | | | | | — | | | | | (186 | ) | | | | (122 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 64 | | | | $ | (479 | ) | | | $ | (10 | ) | | | $ | (189 | ) | | | $ | (614 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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, 2021, the average notional amount of derivatives as a percent of average net assets were as follows:
| | | | | | |
Foreign currency | | Credit | | Interest rate | | Equity |
12% | | 0% | | 3% | | 0% |
Counterparty Credit Risk
A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain
netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty to perform.
With exchange traded purchased options, futures and centrally cleared swaps, there is decreased counterparty credit risk to the Fund since the exchange or clearinghouse guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC
17 Payden Mutual Funds
derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g. $500,000) before a transfer is required, which is determined at the close of business of the Fund and additional required collateral is delivered to/ pledged by the Fund on the next business day. Typically, the Fund and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Securities Lending
Pursuant to a securities lending agreement with The Bank of New York Mellon, the Fund may lend securities to qualified institutions. All loans are secured by collateral of at least 102% of the value of the U.S. securities loaned and 105% of the value of the foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. The collateral is maintained by the custodian. Cash collateral is reinvested in the Payden Cash Reserves Money Market Fund. The Fund is entitled to receive all of the income
on the securities loaned, in addition to income earned as a result of the lending transaction. Although each security is fully collateralized, the Fund bears the risk of delay in receiving additional collateral or in recovery of or loss of rights in the securities loaned should the borrower fail to return the securities in a timely manner. The Fund maintains the right to recall the securities on loan for voting purposes. The income earned is disclosed in the Statement of Operations.
Securities lending transactions are entered into by the Fund under Master Securities Lending Agreements (“MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.
The Fund’s securities lending agreements by counterparty which are subject to offset under a MSLA, is included within the Fund’s Schedule of Investments under the heading “Offsetting Assets and Liabilities.” For financial reporting purposes, the Fund does not offset financial assets and financial liabilities that are subject to a MSLA on the Statement of Assets and Liabilities.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. Dividends from net investment income and net realized gains on foreign currency transactions are declared and paid annually. Net realized gains on investments, if any, are declared and distributed at least annually. All distributions are paid in the form of additional shares unless cash payment is requested.
Distributions to shareholders are determined in accordance with income tax regulations, which may differ from GAAP.
Federal Income Taxes
It is the policy of the Fund to meet the requirements for qualification as a regulated investment company as defined in
Semi-Annual Report 18
| | |
Notes to Financial Statements continued | | |
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, 2021, 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, 2021, 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, 2021 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, 2020 | | Purchases | | Sales | | Dividends | | Value April 30, 2021 |
| $324,427 | | $46,448,535 | | $40,193,089 | | $99 | | $6,579,873 |
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, 2021.
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.
Accounting Standards
In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The guidance is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of the ASU on the Fund’s financial statements.
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, 2022 (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).
19 Payden Mutual Funds
The deferred expense subsidies represent the cumulative amount of expenses subsidized for the Fund through the end of the year. The amount $1,050,263 ($388,987 for 2019, $468,884 for 2020 and $192,392 for 2021) is not considered a liability of the Fund, and therefore is not recorded as a liability in the Statement of Assets and Liabilities, but will be recognized as net expense in the Statement of Operations as expense previously deferred in future periods, if expense limits permit.
Treasury Plus, Inc., a wholly owned subsidiary of Payden & Rygel, serves as administrator to the Fund. Under the terms of the administration agreement, Treasury Plus, Inc. receives fees monthly, computed on the average daily net assets of the Fund at an annualized rate of 0.15%.
The Fund has adopted a plan pursuant to SEC rule 12b-1 by which Payden & Rygel Distributors receives fees monthly, computed on the average net assets of the Adviser class at an annualized rate of 0.25% and of the Retirement class at an annualized rate of 0.50%. Payden & Rygel Distributors does not receive a fee from the Institutional 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 | |
| | | | | | |
| | | | | | | | | Level 2-Other | | | | | | | | | | |
| | | | | | | | | Significant | | | Level 3-Significant | | | | |
| | | Level 1-Quoted Prices | | | Observable Inputs | | | Unobservable Inputs | | | | |
| | | | | | | |
| | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Total | |
| | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | |
Asset Backed | | | — | | | | — | | | $ | 33,588 | | | | — | | | | — | | | | — | | | $ | 33,588 | |
Bank Loans | | | — | | | | — | | | | 4,854 | | | | — | | | | — | | | | — | | | | 4,854 | |
Corporate Bond | | | — | | | | — | | | | 36,712 | | | | — | | | | — | | | | — | | | | 36,712 | |
Foreign Government | | | — | | | | — | | | | 10,169 | | | | — | | | | — | | | | — | | | | 10,169 | |
Mortgage Backed. | | | — | | | | — | | | | 39,172 | | | | — | | | | — | | | | — | | | | 39,172 | |
Options Purchased | | $ | 4 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4 | |
Common Stock | | | 6,151 | | | | | | | | — | | | | — | | | | — | | | | — | | | | 6,151 | |
Investment Company | | | 14,133 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 14,133 | |
Semi-Annual Report 20
| | |
Notes to Financial Statements continued | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Other Financial Instruments1 | |
| | | | | | |
| | | | | | | | | Level 2-Other | | | | | | | | | | |
| | | | | | | | | Significant | | | Level 3-Significant | | | | |
| | | Level 1-Quoted Prices | | | Observable Inputs | | | Unobservable Inputs | | | | |
| | | | | | | |
| | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Total | |
| | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | |
Forward currency contracts | | | — | | | | — | | | | $12 | | | | $(186) | | | | — | | | | — | | | | $(174 | ) |
Futures | | | $99 | | | | $(3) | | | | — | | | | — | | | | — | | | | — | | | | 96 | |
Swaps. | | | — | | | | — | | | | 26 | | | | (4 | ) | | | — | | | | — | | | | 22 | |
| 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)
Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to distributable earnings and paid-in capital, as appropriate, in the period that the differences arise.
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. As of October 31, 2020, the fund did not utilize any capital loss carryforwards.
As of October 31, 2020, the Fund had available for Federal income tax purposes unused capital losses of $9,581.
At April 30, 2021, net unrealized appreciation (depreciation) on investments for Federal income tax purposes is as follows (000’s):
| | | | | | |
Cost of Investments
Federal Income Tax Purposes | | Gross
Unrealized
Appreciation
on Investments | | Gross
Unrealized
Depreciation
on Investments | | Net
Unrealized
Appreciation
on Investments |
$142,481 | | $3,168 | | $(922) | | $2,246 |
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.
21 Payden Mutual Funds
For the share outstanding for each of the period ended April 30, 2021 and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Institutional Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.51 | | | $ | 10.87 | | | $ | 10.64 | | | $ | 10.69 | | | $ | 10.55 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.13 | (1) | | | 0.34 | (1) | | | 0.36 | (1) | | | 0.30 | (1) | | | 0.25 | |
Net realized and unrealized gains (losses) | | | 0.42 | | | | (0.35 | ) | | | 0.21 | | | | (0.08 | ) | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.55 | | | | (0.01 | ) | | | 0.57 | | | | 0.22 | | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.37 | ) | | | (0.35 | ) | | | (0.34 | ) | | | (0.27 | ) | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.69 | | | $ | 10.51 | | | $ | 10.87 | | | $ | 10.64 | | | $ | 10.69 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.36 | %(2) | | | (0.08 | )% | | | 5.53 | % | | | 2.06 | % | | | 3.09 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 556 | | | $ | 530 | | | $ | 6,833 | | | $ | 6,930 | | | $ | 17,780 | |
Ratio of gross expense to average net assets | | | 1.51 | %(3) | | | 1.52 | % | | | 1.44 | % | | | 1.42 | % | | | 1.41 | % |
Ratio of net expense to average net assets | | | 0.95 | %(3) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.87 | %(3) | | | 2.69 | % | | | 2.88 | % | | | 2.37 | % | | | 2.10 | % |
Ratio of net investment income to average net assets | | | 2.43 | %(3) | | | 3.25 | % | | | 3.36 | % | | | 2.84 | % | | | 2.55 | % |
Portfolio turnover rate | | | 68 | %(2) | | | 71 | % | | | 84 | % | | | 130 | % | | | 116 | % |
The Class commenced operations on June 1, 2016. | | | | | | | | | | | | | | | | | | | | |
| | | SI Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.39 | | | $ | 10.78 | | | $ | 10.58 | | | $ | 10.65 | | | $ | 10.54 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | (1) | | | 0.30 | (1) | | | 0.32 | (1) | | | 0.27 | (1) | | | 0.23 | |
Net realized and unrealized gains (losses) | | | 0.43 | | | | (0.34 | ) | | | 0.21 | | | | (0.08 | ) | | | 0.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.54 | | | | (0.04 | ) | | | 0.53 | | | | 0.19 | | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.37 | ) | | | (0.35 | ) | | | (0.33 | ) | | | (0.26 | ) | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.56 | | | $ | 10.39 | | | $ | 10.78 | | | $ | 10.58 | | | $ | 10.65 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.26 | %(2) | | | (0.42 | )% | | | 5.22 | % | | | 1.82 | % | | | 2.76 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 94,489 | | | $ | 98,931 | | | $ | 130,036 | | | $ | 122,782 | | | $ | 122,500 | |
Ratio of gross expense to average net assets | | �� | 1.51 | %(3) | | | 1.51 | % | | | 1.44 | % | | | 1.42 | % | | | 1.42 | % |
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 | | | 1.87 | %(3) | | | 2.63 | % | | | 2.87 | % | | | 2.41 | % | | | 2.09 | % |
Ratio of net investment income to average net assets | | | 2.13 | %(3) | | | 2.90 | % | | | 3.06 | % | | | 2.58 | % | | | 2.25 | % |
Portfolio turnover rate | | | 68 | %(2) | | | 71 | % | | | 84 | % | | | 130 | % | | | 116 | % |
The Fund commenced operations on September 22, 2008.
| (1) | Based on average shares outstanding. |
See notes to financial statements.
Semi-Annual Report 22
| | |
Financial Highlights continued | | |
For the share outstanding for each of the period ended April 30, 2021 and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Adviser Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 10.13 | | | $ | 10.53 | | | $ | 10.36 | | | $ | 10.46 | | | $ | 10.37 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.09 | (1) | | | 0.26 | (1) | | | 0.29 | (1) | | | 0.24 | (1) | | | 0.22 | |
Net realized and unrealized gains (losses) | | | 0.41 | | | | (0.32 | ) | | | 0.20 | | | | (0.08 | ) | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.50 | | | | (0.06 | ) | | | 0.49 | | | | 0.16 | | | | 0.26 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.36 | ) | | | (0.34 | ) | | | (0.32 | ) | | | (0.26 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.27 | | | $ | 10.13 | | | $ | 10.53 | | | $ | 10.36 | | | $ | 10.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.04 | %(2) | | | (0.61 | )% | | | 4.94 | % | | | 1.53 | % | | | 2.56 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 16,321 | | | $ | 15,534 | | | $ | 22,587 | | | $ | 33,571 | | | $ | 48,190 | |
Ratio of gross expense to average net assets | | | 1.76 | %(3) | | | 1.76 | % | | | 1.69 | % | | | 1.67 | % | | | 1.67 | % |
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 | | | 1.61 | %(3) | | | 2.37 | % | | | 2.63 | % | | | 2.13 | % | | | 1.84 | % |
Ratio of net investment income to average net assets | | | 1.88 | %(3) | | | 2.64 | % | | | 2.81 | % | | | 2.30 | % | | | 2.00 | % |
Portfolio turnover rate | | | 68 | %(2) | | | 71 | % | | | 84 | % | | | 130 | % | | | 116 | % |
The Fund commenced operations on September 22, 2008.
| | | | | | | | | | | | | | | | | | | | |
| | | Retirement Class | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net asset value — beginning of period | | $ | 9.60 | | | $ | 10.03 | | | $ | 9.91 | | | $ | 10.04 | | | $ | 9.98 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.08 | (1) | | | 0.22 | (1) | | | 0.25 | (1) | | | 0.21 | (1) | | | 0.18 | |
Net realized and unrealized gains (losses) | | | 0.39 | | | | (0.31 | ) | | | 0.20 | | | | (0.09 | ) | | | 0.05 | |
| | | | | | | | | | | | | | | �� | | | | | |
Total from investment activities | | | 0.47 | | | | (0.09 | ) | | | 0.45 | | | | 0.12 | | | | 0.23 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.36 | ) | | | (0.34 | ) | | | (0.33 | ) | | | (0.25 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.71 | | | $ | 9.60 | | | $ | 10.03 | | | $ | 9.91 | | | $ | 10.04 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.00 | %(2) | | | (0.93 | )% | | | 4.68 | % | | | 1.24 | % | | | 2.33 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 32,351 | | | $ | 36,402 | | | $ | 35,677 | | | $ | 39,338 | | | $ | 39,083 | |
Ratio of gross expense to average net assets | | | 2.01 | %(3) | | | 2.02 | % | | | 1.94 | % | | | 1.92 | % | | | 1.91 | % |
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 | | | 1.37 | %(3) | | | 2.07 | % | | | 2.38 | % | | | 1.91 | % | | | 1.59 | % |
Ratio of net investment income to average net assets | | | 1.64 | %(3) | | | 2.34 | % | | | 2.57 | % | | | 2.08 | % | | | 1.75 | % |
Portfolio turnover rate | | | 68 | %(2) | | | 71 | % | | | 84 | % | | | 130 | % | | | 116 | % |
The Class commenced operations on April 6, 2009.
| (1) | Based on average shares outstanding. |
See notes to financial statements.
23
| | |
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, 2021. It uses the Fund’s actual return and expense ratio for the period (181/365 days) to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000. To estimate the actual expenses that you paid over the period, divide your beginning account value by 1,000 and multiply that number by the number in the Expenses Paid During the Period column.
Hypothetical Expenses
The table below is provided so that you can compare the Fund’s ongoing expense with those of another fund. It uses a hypothetical gross annual return of 5%, which is not the Fund’s actual return and the Fund’s actual expense ratio (181/365 days) for the six-month period ended April 30, 2021 to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000.
| | | | | | | | | | | | | | | | | | | | |
| | | Value
November 1, 2020 | | | Value
April 30, 2021 | | | 6-Month
Return | | | Annual
Expense Ratio | | | Expenses
Paid During
the Period | |
Institutional Class | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,053.60 | | | | 5.36 | % | | | 0.95 | % | | $ | 4.84 | |
Hypothetical | | | 1,000.00 | | | | 1,020.08 | | | | 2.01 | % | | | 0.95 | % | | | 4.76 | |
SI Class | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,009.30 | | | | 0.93 | % | | | 1.25 | % | | $ | 6.23 | |
Hypothetical | | | 1,000.00 | | | | 1,018.60 | | | | 1.86 | % | | | 1.25 | % | | | 6.26 | |
Adviser Class | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,050.40 | | | | 5.04 | % | | | 1.50 | % | | $ | 7.63 | |
Hypothetical | | | 1,000.00 | | | | 1,017.36 | | | | 1.74 | % | | | 1.50 | % | | | 7.50 | |
Retirement Class | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,050.00 | | | | 5.00 | % | | | 1.75 | % | | $ | 8.90 | |
Hypothetical | | | 1,000.00 | | | | 1,016.12 | | | | 1.61 | % | | | 1.75 | % | | | 8.75 | |
Semi-Annual Report 24
| | |
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 | | 63 | | Independent Trustee | | 2020 | | 19 | | Retired, Senior Managing Director, TIAA | | |
W. D. Hilton, Jr. | | 74 | | Chairman, Independent Trustee | | 1993 | | 19 | | Trustee/Administrator, Asbestos Bankruptcy Trusts; General Partner, Mendenhall Partners Ltd.; Private Investor | | |
Thomas V. McKernan, Jr. | | 76 | | Independent Trustee | | 1993 | | 19 | | Vice Chair, Automobile Club of Southern California; Director, Forest Lawn Memorial Parks | | |
Rosemarie T. Nassif | | 79 | | Independent Trustee | | 2008 | | 19 | | Executive Director, Center for Catholic Education, Loyola Marymount University, President Emerita, Holy Names University | | |
Andrew J. Policano | | 71 | | Independent Trustee | | 2008 | | 19 | | Former Dean, The Paul Merage School of Business, University of California, Irvine | | |
Dennis C. Poulsen | | 78 | | Independent Trustee | | 1992 | | 19 | | Chairman, Clean Energy Enterprises; Private Investor | | |
Stender E. Sweeney | | 82 | | Independent Trustee | | 1992 | | 19 | | Private Investor | | |
Jordan H. Lopez | | 40 | | Interested Trustee | | 2020 | | 19 | | Director, Payden & Rygel | | |
Michael E. Salvay | | 59 | | Interested Trustee | | 2009 | | 19 | | Managing Director, Payden & Rygel | | |
Officers (2) | | | | | | | | | | | | |
Mary Beth Syal | | | | Chief Operating Officer | | 2021 | | | | Managing Director, 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. |
25 Payden Mutual Funds
(THIS PAGE INTENTIONALLY LEFT BLANK)
26
(THIS PAGE INTENTIONALLY LEFT BLANK)
27
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(a) of this form. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the 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 for Closed-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.
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(Registrant) | | The Payden & Rygel Investment Group |
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By (Signature and Title)* | | /s/ Mary Beth Syal |
| | Mary Beth Syal, Vice President and Chief Operating Officer |
| | (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.
| | |
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By (Signature and Title)* | | /s/ Mary Beth Syal |
| | Mary Beth Syal, Vice President and Chief Operating Officer |
| | (principal executive officer) |
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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.
