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, 2022
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
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Management Discussion & Analysis | | |
Short Duration Bond Strategies
Persistent inflation has pushed market expectations and Central Bank rhetoric towards a faster pace of monetary policy tightening. During its March meeting, the US Federal Open Market Committee increased the target range for the Federal Funds Rate by 0.25% and once again shifted its median expectations for the future path of rate adjustments higher and steeper. As a result, market implied Fed Funds expectations have also increased. As of April 30, 2022, the forward market pricing for the Federal Funds Rate for December 2022 was over 2.80%, compared to just 0.67% as of October 31, 2021. As short rates have risen to reflect a more aggressive path of rate hikes, the yield curve has flattened to reflect concerns over higher rates causing an economic slowdown. Credit risk premiums continued to move higher to reflect a wider range of possible economic outcomes. The shift reflects the challenges that persist with US inflation climbing to a 40-year high and a very strong labor market. Volatility is elevated as the market attempts to decipher the impact that tighter monetary policy will have on the economic expansion. The Russia-Ukraine war and the various humanitarian, geopolitical, and market implications have further exacerbated market volatility. Uncertainty is likely to remain elevated as a backdrop of persistent inflation, declining growth estimates and tighter financial conditions weigh on credit fundamentals.
The Payden Cash Reserves Money Market Fund (PBHXX) continued to provide highly stable daily liquidity. For the six months ended April 30, 2022, the Fund returned 0.01%, compared to a return of 0.01% for the Lipper Government Money Market Average. During the period, the Federal Reserve Board raised its lower target range to 0.25%, but the dwindling supply of low-risk assets drove yields close to zero. As the market continued to price in interest rate hikes, the Fund maintained a shortening bias to preserve principle.
The Payden Limited Maturity Fund, Investor Class (PYLMX) returned -0.63% for the six months ended April 30, 2022, compared to a return of 0.07% for its benchmark, the ICE BofA 3-Month Treasury Bill Index. The Fund’s SI Class (PYLSX) returned -0.61% for the same period. Other than US Treasuries, the credit markets were under pressure along with almost all fixed income securities which detracted from performance. However, there were pockets of select high-quality, short-term maturity credit securities that were additive to performance. The Fund made use of futures and forward currency contracts for hedging purposes. The use of these derivatives impacted performance by 0.01%.
The Payden Low Duration Fund, Investor Class (PYSBX) returned -2.92% for the six months ended April 30, 2022, compared to a return of -3.03% for its benchmark, the ICE BofA 1-3 Year US Treasury Index. The Fund’s SI Class (PYLDX) returned -1.61% for the period February 28, 2022, to April 30, 2022. The shorter overall duration positioning contributed the most to outperformance over the benchmark, while securitized and both investment grade and non-investment grade corporates detracted. 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 -2.82% for the six months ended April 30, 2022, compared to a return of -3.32% for its benchmark, the ICE BofA 1-3 Year US Corporate & Government Index. Multiple sources of excess return, including the Fund’s allocation to securitized securities coupled with the shorter overall duration positioning, contributed positively to relative performance, offsetting the yield curve move which detracted versus the benchmark. The Fund invests in futures, swaps, options and forward currency contracts for hedging investment purposes. The use of these derivatives impacted performance by 0.04%.
Intermediate Duration Strategies
The Payden U.S. Government Fund (PYUSX) returned -4.80% for the six months ended April 2022, compared to its benchmark, the ICE BofA 1-5 Year US Treasury Index, which returned -4.19%. Over the past six months, interest rates in the 2-5 year maturity sector have risen about 2% and this was the primary driver of negative returns for the Fund. The underperformance of the Fund relative to its benchmark was also due to an overweight to agency mortgages. Agency mortgages continued their underperformance versus US Treasuries as the Federal Reserve Board moves to unwind its asset purchase program, which was put in place at the beginning of the pandemic to help support the markets. The Fund is currently structured with a slightly shorter duration positioning relative to its benchmark and retains an overweight to Agency mortgages as current levels reflect attractive yields above US Treasury securities. The Fund invests in US Treasury and Euro dollar futures primarily for hedging purposes. The use of these derivatives impacted performance by 0.03 %.
Semi-Annual Report 1
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Management Discussion & Analysis continued | | |
The Payden GNMA Fund (PYGNX) returned -8.18%, for the six months ended April 2022, while its benchmark, the ICE BofA US GNMA Mortgage Backed Securities Index, returned -7.44%. Current high inflation and expectations for an aggressive response by the Federal Reserve Board have pushed interest rates up over the past six months by over 2% in short maturity US Treasuries and over 1.25% in longer 10-year US Treasury maturities. The sharp increase in rates was the primary cause for the negative returns over the period. The past quarter was significant in that it was the worst period for fixed income investment returns since the early 1980’s. The Agency mortgage market, inclusive of GNMA securities, has continued to gradually underperform the US Treasury market due to the Federal Reserve Board winding down its asset purchase program. The program was put in place at the onset of the pandemic to support the markets. We expect the market to stabilize at today’s higher yields, with GNMA securities receiving specific support from the banking community due to their preferential capital treatment. The Fund is structured neutral toward its benchmark. While inflation is currently running high, we expect moderation later in the year. We do not expect significant further increase in rates. The market is challenged with rising risk premiums for non-US Treasury assets and a potential slowing economy brought about by tightening financial conditions, all of which is exacerbated by reverberations due to the war between Russia and Ukraine. The Fund will occasionally use certain US Treasury and Euro dollar futures contracts to manage interest rate, yield curve and volatility exposure. The Fund’s use of derivative contracts detracted -0.03% from fund performance.
The Payden Core Bond Fund, Investor Class (PYCBX) returned -9.24% for the six- month period ended April 30, 2022, compared to -9.47% for its benchmark, the Bloomberg US Aggregate Bond Index. The Fund’s Adviser Class (PYCWX) returned -9.28% and the SI Class (PYCSX) returned -9.20% for the same period. The Fund’s primary objective is to maintain an income advantage relative to the broad bond market and to take advantage of relative value by sector rotation and bond selection. Contributions to outperformance came from the Fund’s short duration posture, underweights to Agency mortgage-backed securities and investment grade corporates, as well as item selection within investment grade corporates. The Fund’s allocation to emerging market debt detracted from relative performance. The Fund maintained a short duration posture in anticipation of rising yields. This view was expressed by being underweight real yields and nominals in the intermediate parts of the yield curve. In credit markets, the Fund maintains an overweight to credit markets, albeit lower than in the last 12 months. 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, 2022, forward contracts for currency management added 0.38% to performance, while interest rate futures and swaps used to hedge interest rate risk added 0.61% to performance.
The Payden Corporate Bond Fund, Investor Class (PYACX) returned -12.34% for the six months ended April 30, 2022, generating 0.41% of alpha relative to its benchmark, the Bloomberg US Corporate Bond Index, which produced a return of -12.75%. The Funds SI Class (PYCTX) returned -7.60% for the period February 28, 2022, to April 30, 2022. The Fund’s largest driver of outperformance came from its short interest rate duration position relative to the index, which contributed 48bps of alpha, as inflation proved to be more persistent than anticipated causing interest rates to spike higher. The Fund’s sector allocation and security selection within the energy, transportation and food and beverage sectors were also additive to alpha as commodity prices rose sharply and demand for travel proved to be robust. In addition, the Fund’s allocation to high yield bonds, including rising star candidates with improving fundamentals, contributed to performance. However, the Fund’s allocation within the banking, communications and technology sectors detracted from alpha. The Fund’s allocation outside of corporates also contributed meaningfully to performance, particularly from securitized products, some of which benefited from their floating rate nature. The Fund had on a credit swap derivative position of HY CDX to express an outright long credit view, but this position was closed in November 2021, which contributed 0.01% to performance.
The Payden Strategic Income Fund, Investor Class (PYSGX) returned -4.89% for the six-month period ended April 30, 2022, while its benchmark, the Bloomberg US Aggregate Bond Index, returned -9.47%. The Fund’s SI Class (PYSIX) returned -4.84% for the same period. The Fund’s primary objective is to maintain an income advantage relative to the broad bond market and to take advantage of relative value through sector rotation and bond selection. Contributions to outperformance came primarily from the Fund’s short duration posture, while the following also contributed to outperformance: underweight to Agency MBS, underweight to investment-grade corporates, item selection within investment-grade corporates, and an overweight to securitized product. The Fund’s positioning in emerging market debt and equity detracted from relative performance. From a duration perspective, the Fund maintained a short posture in anticipation of rising government bond yields. This view has been expressed by being underweight real yields and via nominal rates in the intermediate parts of the yield curve. In credit markets, the Fund maintains an overweight to credit markets. The Fund uses derivatives for interest rate, currency management and credit sector management. It utilizes interest
2 Payden Mutual Funds
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, 2022, forward contracts for currency management added 0.85% to performance, while interest rate futures and swaps used to hedge interest rate risk added 0.40% to performance.
For the six months ended April 30, 2022, the Payden Absolute Return Bond Fund, Investor Class (PYARX) returned -2.79%, compared to a return of 0.03% for its benchmark, the Bloomberg US Treasury Bills 1-Month Index. The Fund’s SI Class (PYAIX) returned -2.68%. Going into year-end, the advisor was cognizant of the risks posed by ongoing inflationary pressures, continued global supply chain issues, and a hawkish pivot from the Federal Reserve Board and other major central banks. In January, as the distribution of potential outcomes expanded the Fund reduced its overall credit risk by roughly 10%. In addition, interest rate sensitivity remained low relative to the Fund’s historical duration profile. Our positioning in the high yield sector generated positive excess return year-to-date, despite negative index excess returns. Within emerging markets debt, the strategy’s exposure was focused on oil-exporting hard currency sovereigns and countries more remote from current geopolitical tensions. The Fund broadly maintains its preference for securitized product due to the structural protections and strength in underlying collateral. 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 0.13% to the Fund over the period.
Loan Strategy
The leveraged loan market finished the six months ended April 30, 2022, with a positive return of 0.74%. Loans were one of the only asset classes to post a positive return during this period as their floating rate feature benefitted from rising rates, while healthy balance sheets kept spreads in check, particularly among higher quality loan issuers.
For the six months ended April 30, 2022, the Payden Floating Rate Fund, Investor Class (PYFRX) returned 0.01% and the Fund’s SI Class (PYFIX) returned 0.06%. The Fund’s benchmark, the Credit Suisse Institutional Leveraged Loan BB Index, returned 0.74% for the same period. The portfolio’s top performing loan was Excel Fitness Holdings Inc, one of the largest Planet Fitness franchisees, which generated strong earnings and reduced net lease-adjusted leverage. This loan was paid down at the end of the review period. On the other hand, several of the portfolio’s positions in bonds, which are largely held for liquidity purposes, detracted as higher rates impacted these duration-sensitive assets. The Fund occasionally uses credit default swaps to gain short term market exposure when cash inflows are heavy. These positions are nominally small exposures and track the market.
High Yield Strategy
High-yield bonds returned -7.16% during the six months ended April 30, 2022, as measured by the ICE BofA BB-B US Cash Pay High Yield Constrained Index. The market weakened as inflation data pushed US Treasury rates higher. Higher inflation readings also crept into risk sentiment, pushing spreads wider as well. As for ratings, BBs were the worst performer given their greater sensitivity to interest rates, returning -7.96% over the period.
The Payden High Income, Investor Class (PYHRX) returned -6.57% for the six months ended April 30, 2022. The Fund’s benchmark, the ICE BofA BB-B US Cash Pay High Yield Constrained Index, returned -7.16% for the same period. The Fund’s SI Class (PYCHX) returned -3.96% from February 28, 2022, to April 30, 2022. 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%. Credit risk transfer securities added to performance as their floating rate feature insulated them from the move higher in interest rates, while the credit fundamentals remained sound on the back of continued strength in U.S. housing. The largest detractors came mostly from longer-duration, low-coupon positions that sold off. It is worth noting that the losses on these positions were offset by shorter bonds, as the Fund remained duration neutral throughout the period. The Fund holds forward currency contracts to hedge foreign exchange exposure. Gains associated with forward euro and Canadian dollar contracts were less than 0.01% for the period.
Semi-Annual Report 3
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Management Discussion & Analysis continued | | |
Municipal Strategy
For the six months ended April 30, 2022, the Payden California Municipal Social Impact Fund (PYCRX) returned -6.41%. The Fund’s benchmarks, the Bloomberg Municipal Bond California Intermediate Index and the Bloomberg Municipal Bond 7-Year Index, returned -7.51% and -7.15%, respectively, for the same period. The Fund’s outperformance relative to its benchmarks was due primarily to the defensive duration positioning as interest rates increased substantially during the period. Yield curve placement was also a positive contributor to performance, as municipal interest rates increased more in 5-10 year maturities where the Fund’s benchmarks are concentrated, than they did in longer dated maturities where the Fund has a material allocation. Sector allocation marginally detracted from performance as various sectors that are overweighted in the Fund relative to the index, such as healthcare, airports, and lease revenue bonds, underperformed the broader index. The Fund continues to have a high-quality orientation with a preference for bonds secured by more resilient and flexible revenue sources. This positioning reflects the increased concerns of tighter monetary policy and slowing economic growth. 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 attractive levels, we have materially reduced our allocation to taxable municipals and are currently focused on adding tax-exempt yield. The Fund invests in futures contracts for hedging purposes. The use of interest rate futures impacted performance by 0.03%.
Global Bond Strategy
The Payden Global Fixed Income Fund, Investor Class (PYGFX) posted a net return of -7.15% for the six months ended April 30, 2022, compared to a return of -7.25% for its benchmark, the Bloomberg Global Aggregate Index (USD Hedged). The Fund’s SI Class (PYGIX) returned -7.19% during the same period. The Fund was short interest rate duration and underweight interest rate sensitive asset classes, such as investment grade corporates and agency mortgage-backed securities, versus the benchmark. These underweight positions funded overweight positions in high yield, securitized products with floating rate coupons, and emerging market (EM) hard currency bonds. In the currency space, the Fund implemented several cross-currency pair trades, such as long Japanese Yen vs. short Sterling, during the sixth month period and was also long a diversified basket of EM currencies versus the USD. The Fund’s short interest rate duration position was the main driver of positive alpha, while the overweight to emerging markets was the main detractor to relative performance. Looking forward, the Fund maintains an overweight to credit markets. The Fund used derivatives for hedging and active investment purposes throughout the period. It utilized interest rate swaps, bond and interest rate futures to manage overall duration and yield curve positioning. Currency forwards are traded to hedge foreign currency exposure and to take outright positions on specific currencies. The use of government bond futures and swaps for active management purposes added 0.31%, whilst the use of forward currency contracts for active management purposes added 0.03% to the Fund’s return.
Emerging Market Bond Strategies
For the six months ended April 30, 2022, emerging markets debt posted negative returns, though returns were in context with the challenging environment across all fixed income sectors. Rising yields across core developed markets, along with Russia’s invasion of Ukraine, were negative catalysts. The Russia-Ukraine conflict brought scrutiny on countries with geographical proximity to the situation and led to market differentiation based on countries’ varied exposure to higher commodity prices. Hard currency sovereign and corporate credit experienced similar moves higher in yields relative to US Treasuries. However, corporate returns were modestly less negative given their shorter duration profile. Russia’s relatively higher weight in emerging market local debt indices, along with upward pressure on interest rates, contributed to weakness in emerging local markets. However, many emerging market currencies outside of Russia were resilient, with several appreciating against the US dollar and euro.
The Payden Emerging Markets Bond Fund, Investor Class (PYEMX) returned -14.40%, the Fund’s Adviser Class (PYEWX) returned -14.45%, and the Fund’s SI Class (PYEIX) returned 14.35% for the six months ended April 30, 2022. The Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, returned -15.45% for the same period. Within US Dollar-pay sovereigns, underweight positioning in Russia and El Salvador added, as did overweight exposures in Angola, Ecuador, Zambia, and Nigeria. Against this, overweight positioning in Ukraine, security selection in Romania, and an underweight allocation in Saudi Arabia detracted. Among quasi-sovereigns, underweight positioning in Russia, security selection in Malaysia, and off-index
4 Payden Mutual Funds
provincial debt exposure in Argentina contributed positively. Off-benchmark allocations to US Dollar-pay corporates and local currency denominated debt benefitted relative performance. The Fund invests in swaps, futures, options and forward currency contracts for credit, currency and interest rate risk hedging and investment purposes. During the period, the use of derivative instruments added 0.97% to the Fund’s total return.
The Payden Emerging Markets Local Bond, Investor Class (PYELX) returned -13.47% for the six months ended April 30, 2022, while the Fund’s benchmark, the J.P. Morgan GBI-EM Global Diversified Index returned -13.17%. The Fund’s SI Class (PYILX) returned -8.86 for the period February 28, 2022, to April 30, 2022. Relative to the benchmark, the Fund benefitted from overweight rates positioning in South Africa, Peru, Colombia, and Uruguay, as well as underweight exposure in Poland. In addition, off-index allocations to Egypt and Zambia added. Against this, overweight rates positioning Russia, an off-index allocation to Ukraine, and underweight exposures in Thailand, Malaysia, and Chile detracted. Overall, currency positioning added during the period. Underweight positions in the Russian ruble and Turkish lira benefitted relative performance, as did overweight exposures in the Brazilian real and Peruvian sol. An overweight stance in the Kazakhstan tenge and Hungarian forint detracted. The Fund 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 0.58% to the Fund’s total return.
The Payden Emerging Market Corporate Bond Fund, Investor Class (PYCEX) returned -8.93%, and the Fund’s SI Class (PYCIX) returned -8.87% for the six months ended April 30, 2022. The Fund’s benchmark, the J.P. Morgan CEMBI Broad Diversified Index, returned -10.83% for the period. The Fund’s selection of emerging market corporates was the primary contributor, while off-index positions in USD-pay quasi-sovereigns and developed market corporates also benefitted relative performance. Within emerging market corporates, selection of financial and utilities credits in India, consumer goods in Brazil, financials and utilities in Mexico, financials in Israel, and telecommunications in Paraguay benefitted relative performance. In addition, a broad underweight across all sectors in Russia added. An underweight to financials in China, Hong Kong, Turkey, and South Korea detracted, as did underweight exposure to oil and gas credits in Argentina. The Fund 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 0.11% to the Fund’s total return.
Equity Strategy
The U.S. equity market declined for the six months ended April 30, 2022, as rising macroeconomic concerns drove equity prices into correction territory. Economic recession fears grew over the period as the US Federal Reserve Open Market Committee embarked on tighter monetary policy to slow inflation, which was exacerbated by global supply shortages driven by the Russia-Ukraine War and China’s strict economic lockdowns to slow rising COVID cases. Despite the challenging macro environment, corporate fundamentals remained healthy as US companies continued to post double-digit earnings growth for the last two quarters, which helped prevent a more severe equity sell-off. Growth-oriented sectors (communication, consumer discretionary, technology), along with financials led markets lower after posting double-digit losses, while commodity-related sectors (energy, materials) and traditionally defensive sectors (consumer staples, utilities) were the best and lone positive performers.
The Payden Equity Income Fund, which is comprised of large-cap value stocks, maintained a focus on income generation and market participation with lower volatility than the broad market. The Fund’s Investor Class (PYVLX) returned -1.85%, the Fund’s Advisor Class (PYVAX) returned -1.98% and the Fund’s SI Class (PYVSX) returned -1.80% for the six months ended April 30, 2022. The Fund’s benchmark, the Russell 1000 Value Index, returned -3.95% for the same period. The Fund’s outperformance relative to the Russell 1000 Value Index was largely attributed to the Fund’s emphasis on higher-quality dividend-paying companies with stable cash flows in a well-diversified manner. From a performance attribution perspective, the Fund posted positive results in both sector allocation and security selection highlighted by the Fund’s overweight to the energy sector and strong security selection within health care and technology sectors. Strong individual performers in the Fund were North American oil and natural gas producers Canadian Natural Resources, Chevron, and Tourmaline Oil. The Fund utilized currency forward contracts to hedge its non-US dollar exposure during this period, which contributed +0.55% to performance.
Semi-Annual Report 5
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Portfolio Highlights & Investments | | |
April 30, 2022
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
CMBS - Commercial Mortgage-Backed Security
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
FFCB - Federal Farm Credit Banks Funding Corporation
FG - Freddie Mac Gold Pool
FH - Freddie Mac Non Gold Pool
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
UAH - Ukrainian Hryvnia
USD - US Dollar
UYU - Uruguayan Peso
UZS - Uzbekistani Som
ZAR - South African Rand
ZMW - Zambian Kwacha
6 Payden Mutual Funds
Payden Cash Reserves Money Market Fund
| | | | | | | | | | |
The Fund seeks to provide investors with liquidity, a stable share price, and as high a level of current income as is consistent with preservation of principal as liquidity. | | Portfolio Composition - percent of investments | | | |
| | | |
| | U.S. Treasury | | | 70% | |
| | Repurchase Agreements | | | 19% | |
| | U.S. Government Agency | | | 10% | |
| | Investment Company | | | 1% | |
| | | | | | |
| | | | | | |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or
Shares | | Security Description | | Value (000) | |
U.S. Government Agency (12%) | | | | |
40,000,000 | | Federal Home Loan Bank Discount Notes, 0.23%, 5/04/22 (a) | | $ | 39,999 | |
5,000,000 | | FFCB Funding Corp., (U.S. Secured Overnight Financing Rate + 0.018%), 0.81%, 8/21/23 (b) | | | 4,998 | |
2,000,000 | | FFCB Funding Corp., (U.S. Secured Overnight Financing Rate + 0.050%), 0.84%, 11/09/23 (b) | | | 2,000 | |
5,000,000 | | FFCB Funding Corp., (U.S. Secured Overnight Financing Rate + 0.060%), 0.85%, 12/13/23 (b) | | | 5,000 | |
3,000,000 | | FNMA, (U.S. Secured Overnight Financing Rate + 0.220%), 0.52%, 5/09/22 (b) | | | 3,000 | |
Total U.S. Government Agency (Cost - $54,997) | | | 54,997 | |
| |
U.S. Treasury (81%) | | | | |
10,000,000 | | U.S. Cash Management Bill, 0.56%, 6/21/22 (a) | | | 9,992 | |
80,000,000 | | U.S. Treasury Bill, 0.15%, 5/03/22 (a) | | | 79,999 | |
60,000,000 | | U.S. Treasury Bill, 0.23%, 5/10/22 (a) | | | 59,997 | |
30,000,000 | | U.S. Treasury Bill, 0.28%, 5/12/22 (a) | | | 29,997 | |
15,000,000 | | U.S. Treasury Bill, 0.25%, 5/17/22 (a) | | | 14,998 | |
40,000,000 | | U.S. Treasury Bill, 0.39%, 5/24/22 (a) | | | 39,990 | |
80,000,000 | | U.S. Treasury Bill, 0.56%, 5/31/22 (a) | | | 79,966 | |
5,000,000 | | U.S. Treasury Bill, 0.09%, 6/02/22 (a) | | | 5,000 | |
30,000,000 | | U.S. Treasury Bill, 0.22%, 7/07/22 (a) | | | 29,988 | |
10,000,000 | | U.S. Treasury Bill, 0.86%, 7/28/22 (a) | | | 9,979 | |
5,000,000 | | U.S. Treasury Bill, 1.37%, 10/27/22 (a) | | | 4,966 | |
5,000,000 | | U.S. Treasury Bill, 0.21%, 12/01/22 (a) | | | 4,994 | |
5,000,000 | | U.S. Treasury Bill, 1.95%, 4/20/23 (a) | | | 4,906 | |
5,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.055%), 0.97%, 7/31/22 (a)(b) | | | 5,000 | |
5,000,000 | | U.S. Treasury Note, 1.63%, 12/15/22 (a) | | | 5,042 | |
5,000,000 | | U.S. Treasury Note, (3 mo. U.S. Treasury Bill Yield + 0.034%), 0.95%, 4/30/23 (a)(b) | | | 5,000 | |
Total U.S. Treasury (Cost - $389,814) | | | 389,814 | |
| |
Investment Company (1%) | | | | |
4,967,520 | | Dreyfus Treasury Obligations Cash Management Fund (Cost - $4,968) | | | 4,968 | |
Repurchase Agreements (21%) | | | | |
29,000,000 | | Bank of Montreal Tri Party, 0.30%, 5/02/22 (c) | | | 29,000 | |
25,000,000 | | CIBC World Markets Tri Party, 0.27%, 5/04/22 (d) | | | 25,000 | |
25,000,000 | | Citigroup Tri Party, 0.30%, 5/05/22 (e) | | | 25,000 | |
25,000,000 | | Goldman Sachs Tri Party, 0.30%, 5/03/22 (f) | | | 25,000 | |
Total Repurchase Agreements (Cost - $104,000) | | | 104,000 | |
| |
Total Investments (Cost - $553,779) (115%) | | | 553,779 | |
Liabilities in excess of Other Assets (-15%) | | | (73,857) | |
Net Assets (100%) | | $ | 479,922 | |
| (a) | Yield to maturity at time of purchase. |
| (b) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. |
| (c) | The repurchase agreement dated 04/29/2022 is collateralized by the following securities: |
| Bank | of Montreal Tri Party |
| | | | | | |
27,690,000 | | U.S. Treasury Securities, maturity from Jul 22- Feb 52, yielding from 0.13%-2.25% | | $ | 29,580 | |
| | | | | | |
| | | | | 29,580 | |
| | | | | | |
|
(d) The repurchase agreement dated 04/27/2022 is collateralized by the following securities: | |
CIBC World Markets Tri Party | |
20,121,000 | | U.S. Treasury Securities, maturity from Oct 24-May 51, yielding from 0.13%-3.75% | | $ | 25,500 | |
| | | | | | |
| | | | | 25,500 | |
| | | | | | |
|
(e) The repurchase agreement dated 04/28/2022 is collateralized by the following securities: | |
Citigroup Tri Party | |
21,573,700 | | U.S. Treasury Securities, maturity dated Apr 23, yielding 0.63% | | $ | 25,500 | |
| | | | | | |
| | | | | 25,500 | |
| | | | | | |
|
(f) The repurchase agreement dated 04/26/2022 is collateralized by the following securities: | |
Goldman Sachs Tri Party | |
62,638,356 | | GNMA, maturity from Nov 43-Apr 57, yielding from 2.43%-5.00% | | $ | 25,500 | |
| | | | | | |
| | | | | 25,500 | |
| | | | | | |
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 | | $ | 104,000 | |
Non-cash Collateral | | | (54,000 | ) |
| | | | |
Net Amount | | $ | 50,000 | |
| | | | |
See notes to financial statements.
8 Payden Mutual Funds
Payden Limited Maturity Fund
| | | | | | | | | | |
The Fund seeks a total return that, over time, is greater than returns of money market funds and is consistent with preservation of capital. | | Portfolio Composition - percent of investments | | | |
| | | |
| | Corporate Bond | | | 42 | % |
| | Asset Backed | | | 24 | % |
| | U.S. Treasury | | | 17 | % |
| | Commercial Paper | | | 8 | % |
| | Mortgage Backed | | | 7 | % |
| | Other | | | 2 | % |
| | | | | | | | | | | |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| Asset Backed (25%) | | | | |
| 9,000,000 | | ACRES Commercial Realty Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 1.200%), 1.75%, 6/15/36 (a)(b) | | $ | 8,885 | |
| 2,544,703 | | AEP Texas Restoration Funding LLC 2019-1, 2.06%, 2/01/27 | | | 2,514 | |
| 1,088,756 | | American Credit Acceptance Receivables Trust 2021-2 144A, 0.37%, 10/15/24 (a) | | | 1,087 | |
| 3,800,000 | | American Credit Acceptance Receivables Trust 2021-2 144A, 0.68%, 5/13/25 (a) | | | 3,776 | |
| 4,712,904 | | American Credit Acceptance Receivables Trust 2021-3 144A, 0.33%, 6/13/25 (a) | | | 4,695 | |
| 7,683,911 | | American Credit Acceptance Receivables Trust 2022-1 144A, 0.99%, 12/15/25 (a) | | | 7,612 | |
| 2,204,325 | | AmeriCredit Automobile Receivables Trust 2021-1, 0.28%, 6/18/24 | | | 2,202 | |
| 2,464,388 | | AmeriCredit Automobile Receivables Trust 2021-2, 0.26%, 11/18/24 | | | 2,454 | |
| 5,200,000 | | ARI Fleet Lease Trust 2021-A 144A, 0.37%, 3/15/30 (a) | | | 5,120 | |
| 1,694,340 | | Atrium XII 12A 144A, (3 mo. LIBOR USD + 0.830%), 1.97%, 4/22/27 (a)(b) | | | 1,686 | |
| 7,650,000 | | Bain Capital Credit CLO Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 0.970%), 2.03%, 7/20/30 (a)(b) | | | 7,609 | |
| 466,354 | | Bank of The West Auto Trust 2019-1 144A, 2.43%, 4/15/24 (a) | | | 467 | |
| 1,800,000 | | Bank of The West Auto Trust 2019-1 144A, 2.51%, 10/15/24 (a) | | | 1,801 | |
| 4,182,540 | | Barings CLO Ltd. 2013-IA 144A, (3 mo. LIBOR USD + 0.800%), 1.86%, 1/20/28 (a)(b) | | | 4,154 | |
| 1,157,880 | | BDS Ltd. 2020-FL5 144A, (1 mo. Term Secured Overnight Financing Rate + 1.264%), 1.77%, 2/16/37 (a)(b) | | | 1,153 | |
| 5,508,884 | | Benefit Street Partners CLO II Ltd. 2013-IIA 144A, (3 mo. LIBOR USD + 0.870%), 1.91%, 7/15/29 (a)(b) | | | 5,473 | |
| 1,192,227 | | BMW Canada Auto Trust 2021-1A 144A, 0.33%, 7/20/23 CAD (a)(c) | | | 926 | |
| 5,125,000 | | BMW Canada Auto Trust 2021-1A 144A, 0.50%, 7/20/24 CAD (a)(c) | | | 3,908 | |
| 1,005,243 | | BMW Vehicle Lease Trust 2021-1, 0.20%, 3/27/23 | | | 1,004 | |
| 5,230,646 | | Bristol Park CLO Ltd. 2016-1A 144A, (3 mo. LIBOR USD + 0.990%), 2.03%, 4/15/29 (a)(b) | | | 5,219 | |
| 470,708 | | CarMax Auto Owner Trust 2018-4, 3.36%, 9/15/23 | | | 472 | |
| 695,400 | | CarMax Auto Owner Trust 2020-4, 0.31%, 1/16/24 | | | 695 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | | |
| 2,928,049 | | CarMax Auto Owner Trust 2021-2, 0.27%, 6/17/24 | | $ | 2,918 | |
| 3,139,686 | | Carvana Auto Receivables Trust 2021-P2, 0.30%, 7/10/24 | | | 3,130 | |
| 6,994,950 | | Carvana Auto Receivables Trust 2021-P3, 0.38%, 1/10/25 | | | 6,935 | |
| 6,000,000 | | Carvana Auto Receivables Trust 2021-P4, 0.82%, 4/10/25 | | | 5,954 | |
| 2,757,187 | | Carvana Auto Receivables Trust 2021-P4 144A, 2.15%, 9/11/28 (a) | | | 2,751 | |
| 4,222,845 | | CCG Receivables Trust 2021-1 144A, 0.30%, 6/14/27 (a) | | | 4,132 | |
| 2,611,122 | | CCG Receivables Trust 2020-1 144A, 0.54%, 12/14/27 (a) | | | 2,579 | |
| 8,750,000 | | CHCP Ltd. 2021-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 1.164%), 1.67%, 2/15/38 (a)(b) | | | 8,697 | |
| 1,281,068 | | Chesapeake Funding II LLC 2020-1A 144A, 0.87%, 8/15/32 (a) | | | 1,272 | |
| 6,908,805 | | Chesapeake Funding II LLC 2021-1A 144A, (1 mo. LIBOR USD + 0.230%), 0.78%, 4/15/33 (a)(b) | | | 6,861 | |
| 7,850,000 | | CIFC Funding Ltd. 2017-4A 144A, (3 mo. LIBOR USD + 0.950%), 2.13%, 10/24/30 (a)(b) | | | 7,795 | |
| 2,436,596 | | CLNC Ltd. 2019-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 1.364%), 1.87%, 8/20/35 (a)(b) | | | 2,420 | |
| 243,169 | | CNH Capital Canada Receivables Trust 2021-1A 144A, 0.39%, 3/15/24 CAD (a)(c) | | | 189 | |
| 5,380,738 | | CNH Capital Canada Receivables Trust 2021-2A 144A, 0.87%, 12/16/24 CAD (a)(c) | | | 3,972 | |
| 8,216,826 | | CNH Equipment Trust 2021-B, 0.22%, 8/15/24 | | | 8,170 | |
| 491,481 | | Commonbond Student Loan Trust 2017-AGS 144A, (1 mo. LIBOR USD + 0.850%), 1.52%, 5/25/41 (a)(b) | | | 491 | |
| 388,089 | | Dell Equipment Finance Trust 2020-2 144A, 0.47%, 10/24/22 (a) | | | 388 | |
| 3,313,642 | | Dell Equipment Finance Trust 2021-1 144A, 0.33%, 5/22/26 (a) | | | 3,295 | |
| 8,850,000 | | Dell Equipment Finance Trust 2021-2 144A, 0.33%, 12/22/26 (a) | | | 8,732 | |
| 12,700,000 | | Dewolf Park CLO Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 0.920%), 1.96%, 10/15/30 (a)(b) | | | 12,629 | |
| 11,130,068 | | DLLAA LLC 2021-1A 144A, 0.36%, 5/17/24 (a) | | | 11,051 | |
| 7,755,521 | | DLLAD LLC 2021-1A 144A, 0.35%, 9/20/24 (a) | | | 7,650 | |
| 13,200,000 | | DLLST LLC 2022-1A 144A, 1.56%, 5/22/23 (a) | | | 13,200 | |
| 7,292,436 | | Drive Auto Receivables Trust 2021-3, 0.52%, 1/15/25 | | | 7,243 | |
Semi-Annual Report 9
Payden Limited Maturity Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
12,154,584 | | Dryden 36 Senior Loan Fund 2014-36A 144A, (3 mo. LIBOR USD + 1.020%), 2.06%, 4/15/29 (a)(b) | | $ | 12,089 | |
882,048 | | Enterprise Fleet Financing LLC 2020-1 144A, 1.78%, 12/22/25 (a) | | | 880 | |
7,002,271 | | Enterprise Fleet Financing LLC 2020-2 144A, 0.61%, 7/20/26 (a) | | | 6,855 | |
4,166,029 | | Enterprise Fleet Funding LLC 2021-1 144A, 0.44%, 12/21/26 (a) | | | 4,062 | |
15,550,000 | | Exeter Automobile Receivables Trust 2022-2A, 1.04%, 5/12/23 | | | 15,552 | |
1,550,000 | | Exeter Automobile Receivables Trust 2022-2A, 2.19%, 11/17/25 | | | 1,549 | |
12,895,924 | | Flagship Credit Auto Trust 2021-4 144A, 0.81%, 7/17/26 (a) | | | 12,559 | |
3,400,000 | | Flatiron CLO Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 0.980%), 1.49%, 5/15/30 (a)(b) | | | 3,385 | |
2,337,369 | | Ford Auto Securitization Trust 2021-AA 144A, 0.48%, 9/15/23 CAD (a)(c) | | | 1,814 | |
2,201,115 | | Ford Auto Securitization Trust 2020-AA 144A, 0.89%, 8/15/24 CAD (a)(c) | | | 1,696 | |
7,000,000 | | Ford Credit Auto Lease Trust 2022-A, 1.37%, 5/15/23 | | | 7,000 | |
7,300,000 | | FS RIALTO 2021-FL2 144A, (1 mo. LIBOR USD + 1.220%), 1.77%, 5/16/38 (a)(b) | | | 7,206 | |
7,434,367 | | Galaxy XXIII CLO Ltd. 2017-23A 144A, (3 mo. LIBOR USD + 0.870%), 2.05%, 4/24/29 (a)(b) | | | 7,401 | |
1,096,518 | | GM Financial Automobile Leasing Trust 2020-2, 0.80%, 7/20/23 | | | 1,095 | |
1,144,971 | | GM Financial Consumer Automobile Receivables Trust 2021-2, 0.27%, 6/17/24 | | | 1,141 | |
625,067 | | GMF Canada Leasing Trust 2020-1A 144A, 0.91%, 7/20/23 CAD (a)(c) | | | 486 | |
5,079,542 | | GMF Canada Leasing Trust 2021-1A 144A, 0.64%, 3/20/24 CAD (a)(c) | | | 3,923 | |
2,611,802 | | GreatAmerica Leasing Receivables Funding LLC Series 2021-1 144A, 0.27%, 6/15/23 (a) | | | 2,602 | |
5,580,000 | | Greystone CRE Notes Ltd. 2019-FL2 144A, (1 mo. LIBOR USD + 1.180%), 1.73%, 9/15/37 (a)(b) | | | 5,530 | |
2,150,025 | | HPEFS Equipment Trust 2021-1A 144A, 0.27%, 3/20/31 (a) | | | 2,142 | |
9,000,000 | | Hyundai Auto Lease Securitization Trust 2022-A 144A, 0.81%, 4/15/24 (a) | | | 8,878 | |
6,668,597 | | Hyundai Auto Receivables Trust 2021-B, 0.24%, 5/15/24 | | | 6,628 | |
2,113,415 | | Invitation Homes Trust 2018-SFR1 144A, (1 mo. LIBOR USD + 0.700%), 1.25%, 3/17/37 (a)(b) | | | 2,100 | |
1,967,247 | | John Deere Owner Trust 2021-A, 0.20%, 12/15/23 | | | 1,961 | |
9,000,000 | | KREF Ltd. 2021-FL2 144A, (1 mo. LIBOR USD + 1.070%), 1.62%, 2/15/39 (a)(b) | | | 8,874 | |
445,058 | | Kubota Credit Owner Trust 2020-2A 144A, 0.41%, 6/15/23 (a) | | | 445 | |
2,039,232 | | Kubota Credit Owner Trust 2021-1A 144A, 0.31%, 4/15/24 (a) | | | 2,022 | |
14,555,409 | | Kubota Credit Owner Trust 2021-2A 144A, 0.26%, 6/17/24 (a) | | | 14,369 | |
2,208,242 | | LCM XX LP 20A 144A, (3 mo. LIBOR USD + 1.040%), 2.10%, 10/20/27 (a)(b) | | | 2,200 | |
8,450,000 | | LCM XXIV Ltd. 24A 144A, (3 mo. LIBOR USD + 0.980%), 2.04%, 3/20/30 (a)(b) | | | 8,401 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
2,185,010 | | Madison Park Funding XIII Ltd. 2014-13A 144A, (3 mo. LIBOR USD + 0.950%), 1.99%, 4/19/30 (a)(b) | | $ | 2,173 | |
15,000,000 | | Madison Park Funding XVII Ltd. 2015-17A 144A, (3 mo. LIBOR USD + 1.000%), 2.10%, 7/21/30 (a)(b) | | | 14,926 | |
6,425,715 | | Magnetite VII Ltd. 2012-7A 144A, (3 mo. LIBOR USD + 0.800%), 1.84%, 1/15/28 (a)(b) | | | 6,377 | |
854,819 | | MBarc Credit Canada Inc. 2021-AA 144A, 0.39%, 7/17/23 CAD (a)(c) | | | 664 | |
4,150,000 | | MBarc Credit Canada Inc. 2021-AA 144A, 0.63%, 5/15/24 CAD (a)(c) | | | 3,174 | |
1,221,558 | | MMAF Equipment Finance LLC 2020-BA 144A, 0.38%, 8/14/23 (a) | | | 1,215 | |
1,014,902 | | MMAF Equipment Finance LLC 2020-A 144A, 0.74%, 4/09/24 (a) | | | 1,006 | |
4,495,589 | | MMAF Equipment Finance LLC 2021-A 144A, 0.30%, 4/15/24 (a) | | | 4,468 | |
3,961,284 | | Navient Private Education Refi Loan Trust 2020- HA 144A, 1.31%, 1/15/69 (a) | | | 3,814 | |
1,458,202 | | Navient Private Education Refi Loan Trust 2021- A 144A, 0.84%, 5/15/69 (a) | | | 1,356 | |
547,202 | | Navient Private Education Refi Loan Trust 2020- GA 144A, 1.17%, 9/16/69 (a) | | | 527 | |
6,597,915 | | Navient Private Education Refi Loan Trust 2021- CA 144A, 1.06%, 10/15/69 (a) | | | 6,210 | |
2,990,929 | | Navient Student Loan Trust 2019-7A 144A, (1 mo. LIBOR USD + 0.500%), 1.17%, 1/25/68 (a)(b) | | | 2,980 | |
2,830,000 | | Navistar Financial Dealer Note Master Trust 2020-1 144A, (1 mo. LIBOR USD + 0.950%), 1.62%, 7/25/25 (a)(b) | | | 2,832 | |
15,400,000 | | Neuberger Berman Loan Advisers CLO Ltd. 2017-25A 144A, (3 mo. LIBOR USD + 0.930%), 1.97%, 10/18/29 (a)(b) | | | 15,298 | |
1,979,687 | | Palmer Square Loan Funding Ltd. 2020-1A 144A, (3 mo. LIBOR USD + 0.800%), 1.28%, 2/20/28 (a)(b) | | | 1,972 | |
7,478,986 | | Regatta Funding LP 2013-2A 144A, (3 mo. LIBOR USD + 0.850%), 1.89%, 1/15/29 (a)(b) | | | 7,461 | |
2,360,051 | | Santander Bank N.A.-SBCLN 2021-1A 144A, 1.83%, 12/15/31 (a) | | | 2,309 | |
3,294,904 | | Santander Consumer Auto Receivables Trust 2021-BA 144A, 1.45%, 10/16/28 (a) | | | 3,271 | |
489,235 | | Santander Drive Auto Receivables Trust 2020-2, 0.96%, 11/15/24 | | | 489 | |
1,113,230 | | Santander Retail Auto Lease Trust 2020-B 144A, 0.42%, 11/20/23 (a) | | | 1,110 | |
3,081,579 | | Santander Retail Auto Lease Trust 2021-A 144A, 0.32%, 2/20/24 (a) | | | 3,052 | |
6,980,080 | | Santander Retail Auto Lease Trust 2021-C 144A, 0.29%, 4/22/24 (a) | | | 6,919 | |
24,518 | | SoFi Consumer Loan Program Trust 2020-1 144A, 2.02%, 1/25/29 (a) | | | 24 | |
2,298,256 | | SoFi Consumer Loan Program Trust 2021-1 144A, 0.49%, 9/25/30 (a) | | | 2,249 | |
4,200,000 | | STWD Ltd. 2021-FL2 144A, (1 mo. LIBOR USD + 1.200%), 1.75%, 4/18/38 (a)(b) | | | 4,175 | |
2,783,137 | | STWD Ltd. 2019-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 1.194%), 1.72%, 7/15/38 (a)(b) | | | 2,777 | |
4,323,181 | | Tesla Auto Lease Trust 2021-A 144A, 0.36%, 3/20/25 (a) | | | 4,270 | |
10 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
7,125,980 | | Tesla Auto Lease Trust 2021-B 144A, 0.36%, 9/22/25 (a) | | $ | 7,002 | |
473,392 | | Towd Point Mortgage Trust 2017-5 144A, (1 mo. LIBOR USD + 0.600%), 1.27%, 2/25/57 (a)(b) | | | 472 | |
2,883,730 | | Toyota Lease Owner Trust 2021-A 144A, 0.27%, 9/20/23 (a) | | | 2,869 | |
7,635,751 | | Toyota Lease Owner Trust 2021-B 144A, 0.25%, 3/20/24 (a) | | | 7,547 | |
4,040,000 | | TRTX Issuer Ltd. 2019-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 1.564%), 2.07%, 10/15/34 (a)(b) | | | 4,016 | |
175,046 | | Westlake Automobile Receivables Trust 2020- 2A 144A, 0.93%, 2/15/24 (a) | | | 175 | |
4,138,522 | | Westlake Automobile Receivables Trust 2019- 1A 144A, 3.67%, 3/15/24 (a) | | | 4,151 | |
2,755,124 | | Westlake Automobile Receivables Trust 2020- 3A 144A, 0.56%, 5/15/24 (a) | | | 2,750 | |
3,122,319 | | Westlake Automobile Receivables Trust 2021- 1A 144A, 0.39%, 10/15/24 (a) | | | 3,106 | |
4,408,025 | | Westlake Automobile Receivables Trust 2021- 2A 144A, 0.32%, 4/15/25 (a) | | | 4,367 | |
1,168,528 | | Wheels SPV 2 LLC 2020-1A 144A, 0.51%, 8/20/29 (a) | | | 1,158 | |
6,246,290 | | Wheels SPV 2 LLC 2021-1A 144A, (1 mo. LIBOR USD + 0.280%), 0.87%, 8/20/29 (a)(b) | | | 6,215 | |
182,375 | | World Omni Auto Receivables Trust 2020-C, 0.35%, 12/15/23 | | | 182 | |
2,092,793 | | World Omni Auto Receivables Trust 2019-B, 2.59%, 7/15/24 | | | 2,099 | |
694,238 | | World Omni Automobile Lease Securitization Trust 2020-B, 0.32%, 9/15/23 | | | 693 | |
Total Asset Backed (Cost - $519,445) | | | 514,111 | |
| |
Commercial Paper(d) (8%) | | | | |
10,000,000 | | American Electric Power Co. Inc, 0.75%, 5/09/22 | | | 9,998 | |
10,000,000 | | AutoZone Inc., 0.75%, 5/05/22 | | | 9,999 | |
15,000,000 | | Canadian Pacific Railway Co., 0.75%, 5/06/22 | | | 14,998 | |
15,000,000 | | Danaher Corp., 0.75%, 5/03/22 | | | 14,999 | |
15,000,000 | | Dominion Energy Inc., 0.75%, 5/05/22 | | | 14,999 | |
15,000,000 | | Duke Energy Corp., 0.75%, 5/10/22 | | | 14,997 | |
5,000,000 | | Enbridge Inc., 0.75%, 5/04/22 | | | 5,000 | |
4,940,000 | | Engie SA, 0.75%, 5/04/22 | | | 4,940 | |
10,000,000 | | Enterprise Products Operating LLC, 0.75%, 5/06/22 | | | 9,999 | |
15,000,000 | | Fiserv Inc., 0.75%, 5/02/22 | | | 14,999 | |
7,000,000 | | Keurig Dr Pepper Inc., 0.75%, 5/06/22 | | | 6,999 | |
10,000,000 | | Marsh & McLennan Companies Inc., 0.75%, 5/10/22 | | | 9,998 | |
15,000,000 | | Sherwin Williams Co., 0.75%, 5/03/22 | | | 14,999 | |
7,000,000 | | TransCanada PipeLines Ltd., 0.75%, 5/06/22 | | | 6,999 | |
15,000,000 | | WEC Energy Group Inc., 0.75%, 5/03/22 | | | 14,999 | |
2,000,000 | | Xcel Energy Inc., 0.75%, 5/10/22 | | | 2,000 | |
Total Commercial Paper (Cost - $170,925) | | | 170,922 | |
| |
Corporate Bond (43%) | | | | |
| |
Financial (20%) | | | | |
2,950,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, (U.S. Secured Overnight Financing Rate + 0.680%), 0.96%, 9/29/23 (b) | | | 2,926 | |
4,950,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3NC1, 1.75%, 10/29/24 | | | 4,612 | |
2,400,000 | | Ally Financial Inc., 1.45%, 10/02/23 | | | 2,334 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
4,200,000 | | American Express Co., (Secured Overnight Financing Rate + 0.720%), 1.00%, 5/03/24 (b) | | $ | 4,200 | |
3,525,000 | | ANZ New Zealand Int’l Ltd. 144A, (U.S. Secured Overnight Financing Rate + 0.600%), 0.81%, 2/18/25 (a)(b) | | | 3,517 | |
3,400,000 | | Banco Bilbao Vizcaya Argentaria SA, 0.88%, 9/18/23 | | | 3,284 | |
1,655,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (a) | | | 1,654 | |
9,250,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.790%), 3.00%, 12/20/23 (b) | | | 9,230 | |
2,127,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.790%), 1.37%, 3/05/24 (b) | | | 2,128 | |
9,000,000 | | Bank of America Corp., (3 mo. Bloomberg Short- Term Bank Yield Index + 0.430%), 0.91%, 5/28/24 (b) | | | 8,955 | |
6,265,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.740%), 0.81%, 10/24/24 (b) | | | 6,017 | |
8,950,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.690%), 0.97%, 4/22/25 (b) | | | 8,884 | |
4,268,000 | | Bank of Montreal, 2.27%, 7/11/22 CAD (c) | | | 3,327 | |
8,000,000 | | Bank of Montreal, (U.S. Secured Overnight Financing Rate + 0.240%), 0.52%, 12/01/22 (b) | | | 7,993 | |
5,340,000 | | Bank of Nova Scotia, (Secured Overnight Financing Rate + 0.550%), 0.82%, 9/15/23 (b) | | | 5,332 | |
2,895,000 | | Barclays PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.800%), 1.01%, 12/10/24 (b) | | | 2,763 | |
1,905,000 | | Blackstone Private Credit Fund 144A, 1.75%, 9/15/24 (a) | | | 1,782 | |
2,950,000 | | Blackstone Secured Lending Fund, 3.65%, 7/14/23 | | | 2,955 | |
1,150,000 | | BPCE SA 144A, 4.00%, 9/12/23 (a) | | | 1,157 | |
3,250,000 | | BPCE SA 144A, (U.S. Secured Overnight Financing Rate + 0.570%), 0.85%, 1/14/25 (a) (b) | | | 3,229 | |
2,555,000 | | Brighthouse Financial Global Funding 144A, 0.60%, 6/28/23 (a) | | | 2,486 | |
10,000,000 | | Canadian Imperial Bank of Commerce, 2.30%, 7/11/22 CAD (c) | | | 7,795 | |
6,435,000 | | Canadian Imperial Bank of Commerce, 0.45%, 6/22/23 | | | 6,270 | |
4,470,000 | | Canadian Imperial Bank of Commerce, (Secured Overnight Financing Rate + 0.400%), 0.67%, 12/14/23 (b) | | | 4,456 | |
8,940,000 | | Canadian Imperial Bank of Commerce, (U.S. Secured Overnight Financing Rate + 0.420%), 0.70%, 10/18/24 (b) | | | 8,849 | |
11,875,000 | | Capital One Financial Corp., 3.20%, 1/30/23 | | | 11,953 | |
5,285,000 | | Capital One Financial Corp., (U.S. Secured Overnight Financing Rate + 0.690%), 0.94%, 12/06/24 (b) | | | 5,268 | |
5,985,000 | | Citigroup Global Markets Holdings Inc., 0.75%, 6/07/24 | | | 5,662 | |
7,070,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.686%), 0.78%, 10/30/24 (b) | | | 6,770 | |
7,610,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.669%), 0.95%, 5/01/25 (b) | | | 7,517 | |
2,400,000 | | Deutsche Pfandbriefbank AG, 2.50%, 5/31/22 (e) | | | 2,403 | |
1,291,000 | | First Abu Dhabi Bank PJSC, 1.38%, 2/19/23 GBP (c)(e) | | | 1,608 | |
Semi-Annual Report 11
Payden Limited Maturity Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
6,640,000 | | GA Global Funding Trust 144A, (U.S. Secured Overnight Financing Rate + 0.500%), 0.77%, 9/13/24 (a)(b) | | $ | 6,530 | |
1,550,000 | | goeasy Ltd. 144A, 5.38%, 12/01/24 (a) | | | 1,522 | |
2,654,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 0.750%), 1.21%, 2/23/23 (b) | | | 2,654 | |
4,345,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.538%), 0.63%, 11/17/23 (b) | | | 4,279 | |
3,900,000 | | Goldman Sachs Group Inc., 1.22%, 12/06/23 | | | 3,789 | |
9,785,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.572%), 0.67%, 3/08/24 (b) | | | 9,549 | |
9,060,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.580%), 0.83%, 3/08/24 (b) | | | 8,987 | |
1,655,000 | | Golub Capital BDC Inc., 3.38%, 4/15/24 | | | 1,625 | |
2,550,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27 | | | 2,386 | |
2,050,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (a) | | | 2,055 | |
2,895,000 | | Jackson Financial Inc. 144A, 1.13%, 11/22/23 (a)(f) | | | 2,794 | |
8,215,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.580%), 0.86%, 3/16/24 (b) | | | 8,189 | |
2,621,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 0.730%), 1.91%, 4/23/24 (b) | | | 2,623 | |
6,010,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.535%), 0.77%, 6/01/25 (b) | | | 5,920 | |
5,000,000 | | Lloyds Bank PLC, 2.13%, 7/24/22 (e) | | | 5,011 | |
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 (b) | | | 3,693 | |
6,365,000 | | Macquarie Bank Ltd. 144A, 0.44%, 12/16/22 (a) | | | 6,295 | |
3,290,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 1.53%, 11/28/23 (a)(b) | | | 3,297 | |
6,885,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.350%), 2.32%, 3/27/24 (a)(b)(f) | | | 6,926 | |
3,890,000 | | Macquarie Group Ltd. 144A, (U.S. Secured Overnight Financing Rate + 0.710%), 0.99%, 10/14/25 (a)(b) | | | 3,864 | |
15,000,000 | | Manulife Bank of Canada, 2.08%, 5/26/22 CAD (c) | | | 11,682 | |
5,500,000 | | Mitsubishi UFJ Financial Group Inc., 3.76%, 7/26/23 | | | 5,556 | |
3,800,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.840%), 1.88%, 7/16/23 (b) | | | 3,802 | |
3,960,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.610%), 1.22%, 9/08/24 (b) | | | 3,958 | |
2,000,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.400%), 2.58%, 10/24/23 (b) | | | 2,007 | |
3,395,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.466%), 0.56%, 11/10/23 (b) | | | 3,349 | |
5,745,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.455%), 0.53%, 1/25/24 (b) | | | 5,627 | |
3,810,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.616%), 0.73%, 4/05/24 (b) | | | 3,711 | |
9,055,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.509%), 0.79%, 1/22/25 (b) | | | 8,604 | |
1,785,000 | | Morgan Stanley I, (U.S. Secured Overnight Financing Rate + 0.745%), 0.86%, 10/21/25 (b) | | | 1,657 | |
1,715,000 | | NASDAQ Inc., 0.45%, 12/21/22 | | | 1,692 | |
5,000,000 | | National Australia Bank Ltd. 144A, (3 mo. LIBOR USD + 0.410%), 1.21%, 12/13/22 (a)(b) | | | 5,006 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
20,000,000 | | National Bank of Canada, 1.96%, 6/30/22 CAD (c) | | $ | 15,578 | |
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 (b) | | | 2,772 | |
3,145,000 | | NatWest Group PLC, (3 mo. LIBOR USD + 1.470%), 1.98%, 5/15/23 (b) | | | 3,145 | |
10,800,000 | | NatWest Group PLC, (3 mo. LIBOR USD + 1.480%), 3.50%, 5/15/23 (b) | | | 10,801 | |
3,930,000 | | NatWest Markets PLC 144A, (U.S. Secured Overnight Financing Rate + 0.530%), 0.72%, 8/12/24 (a)(b) | | | 3,906 | |
5,025,000 | | New York Life Global Funding 144A, (3 mo. LIBOR USD + 0.280%), 1.27%, 1/10/23 (a)(b) | | | 5,024 | |
6,300,000 | | OneMain Finance Corp., 6.13%, 3/15/24 | | | 6,331 | |
2,785,000 | | Protective Life Global Funding 144A, 0.50%, 4/12/23 (a) | | | 2,723 | |
1,550,000 | | Radian Group Inc., 6.63%, 3/15/25 | | | 1,580 | |
4,515,000 | | Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (a) | | | 4,523 | |
3,765,000 | | Rocket Mortgage LLC/Rocket Mortgage Co- Issuer Inc. 144A, 2.88%, 10/15/26 (a) | | | 3,336 | |
4,502,000 | | Santander UK PLC 144A, 1.63%, 2/12/23 (a) | | | 4,474 | |
2,350,000 | | Simon Property Group LP, 2.75%, 6/01/23 | | | 2,347 | |
4,240,000 | | Skandinaviska Enskilda Banken AB 144A, 0.55%, 9/01/23 (a) | | | 4,100 | |
2,330,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 0.80%, 9/12/23 (a) | | | 2,258 | |
4,625,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, (U.S. Secured Overnight Financing Rate + 0.440%), 0.71%, 9/16/24 (a)(b) | | | 4,598 | |
1,940,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 1,943 | |
6,000,000 | | Toronto-Dominion Bank 144A, 2.10%, 7/15/22 (a)(f) | | | 6,005 | |
8,500,000 | | Toronto-Dominion Bank, 3.01%, 5/30/23 CAD (c) | | | 6,610 | |
5,000,000 | | UniCredit Bank AG, 1.88%, 7/05/22 (e) | | | 5,002 | |
2,270,000 | | Volkswagen Group of America Finance LLC 144A, 0.88%, 11/22/23 (a) | | | 2,180 | |
8,275,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.320%), 1.60%, 4/25/26 (b) | | | 8,286 | |
3,370,000 | | Westpac Banking Corp., (3 mo. LIBOR USD + 0.390%), 1.41%, 1/13/23 (b)(f) | | | 3,373 | |
| | | 416,850 | |
| |
Industrial (17%) | | | | |
3,170,000 | | 7-Eleven Inc. 144A, 0.63%, 2/10/23 (a) | | | 3,116 | |
4,205,000 | | 7-Eleven Inc. 144A, 0.80%, 2/10/24 (a) | | | 4,009 | |
9,223,000 | | AbbVie Inc., 2.85%, 5/14/23 | | | 9,242 | |
4,266,000 | | Aetna Inc., 2.75%, 11/15/22 | | | 4,274 | |
4,423,000 | | Aetna Inc., 2.80%, 6/15/23 | | | 4,412 | |
1,550,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 2/15/23 (a) | | | 1,548 | |
7,805,000 | | American Honda Finance Corp., (3 mo. LIBOR USD + 0.150%), 0.63%, 2/22/23 (b) | | | 7,802 | |
6,380,000 | | American Honda Finance Corp., (3 mo. LIBOR USD + 0.280%), 1.29%, 1/12/24 (b) | | | 6,372 | |
4,255,000 | | Astrazeneca Finance LLC, 0.70%, 5/28/24 | | | 4,058 | |
2,090,000 | | Avery Dennison Corp., 0.85%, 8/15/24 | | | 1,971 | |
1,550,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (a) | | | 1,567 | |
1,550,000 | | Ball Corp., 4.00%, 11/15/23 | | | 1,548 | |
3,020,000 | | Ball Corp., 5.25%, 7/01/25 | | | 3,099 | |
12 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,735,000 | | Baxter International Inc. 144A, 0.87%, 12/01/23 (a) | | $ | 1,669 | |
2,590,000 | | Baxter International Inc. 144A, (Secured Overnight Financing Rate + 0.440%), 0.67%, 11/29/24 (a)(b) | | | 2,578 | |
1,165,000 | | Berry Global Inc., 0.95%, 2/15/24 | | | 1,112 | |
3,385,000 | | BMW U.S. Capital LLC 144A, (Secured Overnight Financing Rate + 0.530%), 0.81%, 4/01/24 (a)(b) | | | 3,381 | |
6,540,000 | | Boeing Co., 4.51%, 5/01/23 | | | 6,602 | |
5,800,000 | | Boeing Co., 1.43%, 2/04/24 | | | 5,577 | |
9,250,000 | | Broadcom Corp./Broadcom Cayman Finance Ltd., 3.63%, 1/15/24 | | | 9,302 | |
4,600,000 | | Canadian Tire Corp. Ltd., 3.17%, 7/06/23 CAD (c) | | | 3,567 | |
1,550,000 | | CDK Global Inc., 5.00%, 10/15/24 | | | 1,597 | |
1,550,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 1,589 | |
1,255,000 | | CNH Industrial Capital LLC, 1.95%, 7/02/23 | | | 1,236 | |
2,135,000 | | Conagra Brands Inc., 0.50%, 8/11/23 | | | 2,065 | |
16,000,000 | | Daimler Canada Finance Inc., 3.30%, 8/16/22 CAD (c) | | | 12,497 | |
5,501,000 | | Daimler Finance North America LLC 144A, 3.35%, 2/22/23 (a) | | | 5,535 | |
3,115,000 | | Daimler Trucks Finance North America LLC 144A, 1.13%, 12/14/23 (a) | | | 3,013 | |
4,610,000 | | Daimler Trucks Finance North America LLC 144A, (U.S. Secured Overnight Financing Rate + 0.750%), 1.03%, 12/13/24 (a)(b) | | | 4,594 | |
1,740,000 | | Element Fleet Management Corp. 144A, 1.60%, 4/06/24 (a) | | | 1,672 | |
3,815,000 | | Fidelity National Information Services Inc., 0.38%, 3/01/23 | | | 3,746 | |
1,460,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 1,463 | |
2,095,000 | | Ford Motor Credit Co. LLC, 5.58%, 3/18/24 | | | 2,121 | |
1,300,000 | | Ford Motor Credit Co. LLC, 3.66%, 9/08/24 | | | 1,259 | |
1,340,000 | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25 | | | 1,338 | |
1,550,000 | | Freeport-McMoRan Inc., 4.55%, 11/14/24 | | | 1,573 | |
2,014,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.310%), 2.31%, 6/30/22 (b) | | | 2,016 | |
3,745,000 | | General Motors Financial Co. Inc., 1.05%, 3/08/24 | | | 3,578 | |
4,765,000 | | General Motors Financial Co. Inc., (U.S. Secured Overnight Financing Rate + 0.620%), 0.90%, 10/15/24 (b) | | | 4,688 | |
5,640,000 | | General Motors Financial Co. Inc., (Secured Overnight Financing Rate + 1.300%), 1.58%, 4/07/25 (b) | | | 5,626 | |
1,365,000 | | Genuine Parts Co., 1.75%, 2/01/25 | | | 1,298 | |
2,264,000 | | Gilead Sciences Inc., 0.75%, 9/29/23 | | | 2,191 | |
3,180,000 | | GlaxoSmithKline Capital PLC, 0.53%, 10/01/23 | | | 3,084 | |
1,550,000 | | Graphic Packaging International LLC, 4.13%, 8/15/24 | | | 1,552 | |
2,525,000 | | GSK Consumer Healthcare Capital U.S. LLC 144A, (U.S. Secured Overnight Financing Rate + 0.890%), 1.17%, 3/24/24 (a)(b) | | | 2,528 | |
1,550,000 | | HCA Inc., 5.38%, 2/01/25 | | | 1,596 | |
1,500,000 | | Honda Canada Finance Inc., 2.54%, 3/01/23 CAD (c) | | | 1,163 | |
1,121,000 | | Honeywell International Inc., 0.48%, 8/19/22 | | | 1,118 | |
3,215,000 | | Humana Inc., 0.65%, 8/03/23 | | | 3,122 | |
2,500,000 | | Huntington Ingalls Industries Inc. 144A, 0.67%, 8/16/23 (a) | | | 2,419 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
2,170,000 | | Hyundai Capital America 144A, 1.15%, 11/10/22 (a) | | $ | 2,154 | |
5,000,000 | | Hyundai Capital America 144A, 0.80%, 4/03/23 (a) | | | 4,888 | |
2,805,000 | | Hyundai Capital America 144A, 1.25%, 9/18/23 (a) | | | 2,722 | |
8,340,000 | | Hyundai Capital America 144A, 0.80%, 1/08/24 (a) | | | 7,952 | |
4,840,000 | | Illumina Inc., 0.55%, 3/23/23 | | | 4,750 | |
1,020,000 | | Infor Inc. 144A, 1.45%, 7/15/23 (a) | | | 996 | |
975,000 | | International Flavors & Fragrances Inc. 144A, 0.70%, 9/15/22 (a) | | | 970 | |
2,075,000 | | JDE Peet’s NV 144A, 0.80%, 9/24/24 (a) | | | 1,939 | |
5,000,000 | | John Deere Canada Funding Inc., 2.05%, 5/13/22 CAD (c) | | | 3,893 | |
1,500,000 | | John Deere Canada Funding Inc., 2.63%, 9/21/22 CAD (c) | | | 1,170 | |
4,755,000 | | Keurig Dr Pepper Inc., 0.75%, 3/15/24 | | | 4,540 | |
2,650,000 | | Magallanes Inc. 144A, (Secured Overnight Financing Rate + 1.780%), 2.05%, 3/15/24 (a) (b) | | | 2,675 | |
2,850,000 | | Magallanes Inc. 144A, 3.43%, 3/15/24 (a) | | | 2,833 | |
3,775,000 | | Martin Marietta Materials Inc., 0.65%, 7/15/23 | | | 3,681 | |
1,550,000 | | Meritage Homes Corp., 6.00%, 6/01/25 | | | 1,579 | |
7,425,000 | | Microchip Technology Inc., 0.97%, 2/15/24 | | | 7,082 | |
3,620,000 | | Microchip Technology Inc. 144A, 0.98%, 9/01/24 (a) | | | 3,400 | |
6,880,000 | | Nissan Motor Acceptance Co. LLC 144A, (3 mo. LIBOR USD + 0.640%), 1.25%, 3/08/24 (a)(b) | | | 6,849 | |
1,550,000 | | Penske Automotive Group Inc., 3.50%, 9/01/25 | | | 1,498 | |
1,875,000 | | PerkinElmer Inc., 0.55%, 9/15/23 | | | 1,816 | |
3,345,000 | | PerkinElmer Inc., 0.85%, 9/15/24 | | | 3,137 | |
12,000,000 | | Pernod Ricard SA 144A, 4.25%, 7/15/22 (a) | | | 12,058 | |
4,910,000 | | PTC Inc. 144A, 3.63%, 2/15/25 (a) | | | 4,763 | |
1,865,000 | | Quanta Services Inc., 0.95%, 10/01/24 | | | 1,750 | |
1,105,000 | | Roper Technologies Inc., 0.45%, 8/15/22 | | | 1,099 | |
2,910,000 | | Royalty Pharma PLC, 0.75%, 9/02/23 | | | 2,817 | |
1,039,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 1,040 | |
6,200,000 | | Ryder System Inc., 3.40%, 3/01/23 | | | 6,241 | |
5,350,000 | | Scania CV AB, 1.88%, 6/28/22 GBP (c)(e) | | | 6,724 | |
1,550,000 | | Seagate HDD Cayman, 4.88%, 3/01/24 | | | 1,560 | |
5,855,000 | | Siemens Financieringsmaatschappij NV 144A, 0.40%, 3/11/23 (a) | | | 5,747 | |
1,470,000 | | Skyworks Solutions Inc., 0.90%, 6/01/23 | | | 1,434 | |
1,885,000 | | Southwest Airlines Co., 4.75%, 5/04/23 | | | 1,918 | |
1,550,000 | | Sprint Communications Inc., 6.00%, 11/15/22 | | | 1,574 | |
450,000 | | Starbucks Corp., 1.30%, 5/07/22 | | | 450 | |
1,845,000 | | Stryker Corp., 0.60%, 12/01/23 | | | 1,776 | |
3,680,000 | | Take-Two Interactive Software Inc., 3.30%, 3/28/24 | | | 3,661 | |
1,815,000 | | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc. 144A, 5.63%, 3/01/24 (a) | | | 1,830 | |
7,745,000 | | Thermo Fisher Scientific Inc., 0.80%, 10/18/23 | | | 7,513 | |
4,515,000 | | Thermo Fisher Scientific Inc., (Secured Overnight Financing Rate + 0.530%), 0.81%, 10/18/24 (b) | | | 4,498 | |
465,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 468 | |
1,550,000 | | Toll Brothers Finance Corp., 4.88%, 11/15/25 | | | 1,551 | |
5,000,000 | | Toyota Credit Canada Inc., 2.35%, 7/18/22 CAD (c) | | | 3,898 | |
1,550,000 | | TRI Pointe Group Inc./TRI Pointe Homes Inc., 5.88%, 6/15/24 | | | 1,576 | |
Semi-Annual Report 13
Payden Limited Maturity Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,085,000 | | Triton Container International Ltd. 144A, 0.80%, 8/01/23 (a) | | $ | 2,971 | |
6,280,000 | | Viatris Inc., 1.13%, 6/22/22 | | | 6,272 | |
2,465,000 | | VMware Inc., 0.60%, 8/15/23 | | | 2,386 | |
3,775,000 | | VMware Inc., 1.00%, 8/15/24 | | | 3,554 | |
3,555,000 | | Volkswagen Group of America Finance LLC 144A, 0.75%, 11/23/22 (a) | | | 3,521 | |
5,500,000 | | Volkswagen Group of America Finance LLC 144A, 3.13%, 5/12/23 (a) | | | 5,500 | |
4,000,000 | | VW Credit Canada Inc., 2.65%, 6/27/22 CAD (c)(e) | | | 3,118 | |
8,000,000 | | VW Credit Canada Inc., 3.70%, 11/14/22 CAD (c) | | | 6,264 | |
2,000,000 | | VW Credit Canada Inc., 1.20%, 9/25/23 CAD (c) | | | 1,506 | |
1,610,000 | | Westlake Corp., 0.88%, 8/15/24 | | | 1,533 | |
| | | 351,178 | |
| |
Utility (6%) | | | | |
4,705,000 | | Alexander Funding Trust 144A, 1.84%, 11/15/23 (a) | | | 4,518 | |
1,160,000 | | American Electric Power Co. Inc. M, 0.75%, 11/01/23 | | | 1,115 | |
1,720,000 | | American Electric Power Co. Inc., 2.03%, 3/15/24 | | | 1,676 | |
2,500,000 | | Atmos Energy Corp., 0.63%, 3/09/23 | | | 2,457 | |
2,020,000 | | Baker Hughes Holdings LLC/Baker Hughes Co- Obligor Inc., 1.23%, 12/15/23 | | | 1,961 | |
3,160,000 | | CenterPoint Energy Inc., (Secured Overnight Financing Rate + 0.650%), 0.84%, 5/13/24 (b) | | | 3,136 | |
2,150,000 | | CenterPoint Energy Resources Corp., 0.70%, 3/02/23 | | | 2,106 | |
2,675,000 | | Chevron Corp., (3 mo. LIBOR USD + 0.900%), 1.28%, 5/11/23 (b) | | | 2,695 | |
4,115,000 | | Chevron USA Inc., (3 mo. LIBOR USD + 0.200%), 0.58%, 8/11/23 (b) | | | 4,112 | |
1,105,000 | | Civitas Resources Inc. 144A, 5.00%, 10/15/26 (a) | | | 1,051 | |
2,065,000 | | Dominion Energy Inc. D, (3 mo. LIBOR USD + 0.530%), 1.36%, 9/15/23 (b) | | | 2,062 | |
6,180,000 | | DTE Energy Co. H, 0.55%, 11/01/22 | | | 6,131 | |
7,400,000 | | Enbridge Inc., (U.S. Secured Overnight Financing Rate + 0.400%), 0.60%, 2/17/23 (b) | | | 7,387 | |
2,905,000 | | Enbridge Inc., 0.55%, 10/04/23 | | | 2,800 | |
3,375,000 | | Enbridge Inc., (Secured Overnight Financing Rate + 0.630%), 0.83%, 2/16/24 (b) | | | 3,380 | |
2,000,000 | | Energy Transfer LP, 3.60%, 2/01/23 | | | 2,004 | |
4,230,000 | | Energy Transfer LP, 4.25%, 3/15/23 | | | 4,263 | |
2,280,000 | | Entergy Louisiana LLC, 0.62%, 11/17/23 | | | 2,198 | |
1,550,000 | | EQT Corp., 6.63%, 2/01/25 | | | 1,615 | |
1,390,000 | | Gray Oak Pipeline LLC 144A, 2.00%, 9/15/23 (a) | | | 1,361 | |
1,325,000 | | Kinder Morgan Inc., (3 mo. LIBOR USD + 1.280%), 2.32%, 1/15/23 (b) | | | 1,331 | |
18,780,000 | | NextEra Energy Capital Holdings Inc., (3 mo. LIBOR USD + 0.270%), 0.75%, 2/22/23 (b) | | | 18,731 | |
1,550,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (a) | | | 1,541 | |
1,855,000 | | OGE Energy Corp., 0.70%, 5/26/23 | | | 1,805 | |
2,690,000 | | Oklahoma Gas and Electric Co., 0.55%, 5/26/23 | | | 2,632 | |
4,949,000 | | ONE Gas Inc., (3 mo. LIBOR USD + 0.610%), 1.36%, 3/11/23 (b) | | | 4,939 | |
1,550,000 | | Ovintiv Exploration Inc., 5.63%, 7/01/24 | | | 1,612 | |
3,580,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 3,578 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
4,350,000 | | Phillips 66, 0.90%, 2/15/24 | | $ | 4,179 | |
3,610,000 | | Pioneer Natural Resources Co., 0.55%, 5/15/23 | | | 3,519 | |
5,440,000 | | Plains All American Pipeline LP/PAA Finance Corp., 2.85%, 1/31/23 | | | 5,427 | |
2,345,000 | | Public Service Enterprise Group Inc., 0.84%, 11/08/23 | | | 2,261 | |
4,700,000 | | Southern Co. 2021, (U.S. Secured Overnight Financing Rate + 0.370%), 0.56%, 5/10/23 (b) | | | 4,686 | |
1,540,000 | | Southern Natural Gas Co. LLC 144A, 0.63%, 4/28/23 (a) | | | 1,505 | |
4,550,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 4,408 | |
1,550,000 | | TerraForm Power Operating LLC 144A, 4.25%, 1/31/23 (a) | | | 1,554 | |
| | | 121,736 | |
Total Corporate Bond (Cost - $908,697) | | | 889,764 | |
| |
Mortgage Backed (8%) | | | | |
4,538,426 | | BDS 2021-FL8 144A, (1 mo. LIBOR USD + 0.920%), 1.47%, 1/18/36 (a)(b) | | | 4,447 | |
4,400,000 | | Bellemeade RE Ltd. 2021-3A 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.000%), 1.29%, 9/25/31 (a)(b) | | | 4,365 | |
2,395,942 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 0.920%), 1.47%, 10/15/36 (a)(b) | | | 2,384 | |
11,735,000 | | BXMT Ltd. 2020-FL2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.014%), 1.28%, 2/15/38 (a)(b) | | | 11,667 | |
2,500,000 | | BXMT Ltd. 2020-FL2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.264%), 1.53%, 2/15/38 (a)(b) | | | 2,466 | |
5,360,870 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.60%, 6/15/34 (a)(b) | | | 5,215 | |
2,870,468 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 11/25/39 (a)(b) | | | 2,829 | |
7,724,560 | | Connecticut Avenue Securities Trust 2021- R03 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.850%), 1.14%, 12/25/41 (a)(b) | | | 7,651 | |
8,587,751 | | Connecticut Avenue Securities Trust 2022- R02 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.200%), 1.49%, 1/25/42 (a)(b) | | | 8,494 | |
3,550,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 1.230%), 1.78%, 5/15/36 (a)(b) | | | 3,524 | |
3,000,000 | | Eagle RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.550%), 1.84%, 4/25/34 (a)(b) | | | 2,986 | |
2,818,918 | | FHLMC Multifamily Structured Pass-Through Certificates KI06, (1 mo. LIBOR USD + 0.220%), 0.67%, 3/25/25 (b) | | | 2,819 | |
4,759,175 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.700%), 0.99%, 8/25/33 (a)(b) | | | 4,742 | |
5,137,913 | | Freddie Mac STACR REMIC Trust 2021-DNA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.750%), 1.04%, 10/25/33 (a)(b) | | | 5,087 | |
14 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
5,500,000 | | Freddie Mac STACR REMIC Trust 2021-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.650%), 1.94%, 1/25/34 (a)(b) | | $ | 5,459 | |
17,500,000 | | Freddie Mac STACR REMIC Trust 2021-HQA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.850%), 1.14%, 9/25/41 (a)(b) | | | 17,012 | |
7,950,000 | | Freddie Mac STACR REMIC Trust 2022-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.000%), 1.29%, 1/25/42 (a)(b) | | | 7,810 | |
643,494 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.57%, 1/25/50 (a)(b) | | | 644 | |
462,633 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 2/25/50 (a)(b) | | | 462 | |
680,144 | | Freddie Mac STACR REMIC Trust 2020-HQA3 144A, (1 mo. LIBOR USD + 3.600%), 4.27%, 7/25/50 (a)(b) | | | 681 | |
253,227 | | Freddie Mac STACR REMIC Trust 2020-DNA6 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.900%), 1.19%, 12/25/50 (a)(b) | | | 253 | |
116,453 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.650%), 0.94%, 1/25/51 (a)(b) | | | 116 | |
1,846,656 | | Freddie Mac STACR Trust 2019-FTR2 144A, (1 mo. LIBOR USD + 0.950%), 1.62%, 11/25/48 (a)(b) | | | 1,834 | |
6,691,002 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 2.07%, 2/25/49 (a) (b) | | | 6,608 | |
265,437 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 1.950%), 2.62%, 10/25/49 (a)(b) | | | 266 | |
4,095,433 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.800%), 1.09%, 8/25/33 (a)(b) | | | 4,071 | |
7,266,724 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.300%), 1.59%, 2/25/42 (a)(b) | | | 7,201 | |
5,650,000 | | Home RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.250%), 1.54%, 1/25/34 (a)(b) | | | 5,611 | |
2,950,000 | | JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP 144A, (1 mo. LIBOR USD + 1.160%), 1.71%, 7/15/36
(a)(b) | | | 2,901 | |
2,691,286 | | LoanCore Issuer Ltd. 2021-CRE4 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.914%), 1.18%, 7/15/35 (a)(b) | | | 2,665 | |
433,760 | | MF1 Ltd. 2020-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 2.164%), 2.67%, 7/15/35 (a)(b) | | | 436 | |
1,178,840 | | New Residential Mortgage Loan Trust 2017-5A 144A, (1 mo. LIBOR USD + 1.500%), 2.17%, 6/25/57 (a)(b) | | | 1,189 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,350,000 | | Oaktown Re VII Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.600%), 1.89%, 4/25/34 (a)(b) | | $ | 3,315 | |
6,950,000 | | ONE Mortgage Trust 2021-PARK 144A, (1 mo. LIBOR USD + 0.700%), 1.25%, 3/15/36 (a)(b) | | | 6,758 | |
876,519 | | PFP Ltd. 2019-5 144A, (1 mo. LIBOR USD + 1.420%), 1.97%, 4/14/36 (a)(b) | | | 871 | |
671,394 | | PFP Ltd. 2019-6 144A, (1 mo. LIBOR USD + 1.050%), 1.60%, 4/14/37 (a)(b) | | | 667 | |
1,780,000 | | PFP Ltd. 2019-6 144A, (1 mo. LIBOR USD + 1.450%), 2.00%, 4/14/37 (a)(b) | | | 1,771 | |
1,900,000 | | Radnor RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.850%), 2.14%, 11/25/31 (a)(b) | | | 1,888 | |
1,239,089 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.32%, 4/25/43 (a)(b) | | | 1,238 | |
1,579,653 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.92%, 2/25/47 (a)(b) | | | 1,572 | |
5,200,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 3.07%, 2/25/47 (a)(b) | | | 5,186 | |
Total Mortgage Backed (Cost - $159,226) | | | 157,161 | |
| |
U.S. Treasury (17%) | | | | |
15,000,000 | | U.S. Cash Management Bill, 0.42%, 5/24/22 (d) | | | 14,997 | |
50,000,000 | | U.S. Treasury Bill, 0.20%, 5/03/22 (d) | | | 50,000 | |
40,000,000 | | U.S. Treasury Bill, 0.19%, 5/05/22 (d) | | | 40,000 | |
50,000,000 | | U.S. Treasury Bill, 0.21%, 5/10/22 (d) | | | 49,999 | |
50,000,000 | | U.S. Treasury Bill, 0.28%, 5/12/22 (d) | | | 49,998 | |
51,000,000 | | U.S. Treasury Bill, 0.21%, 5/17/22 (d) | | | 50,997 | |
50,000,000 | | U.S. Treasury Bill, 0.56%, 5/31/22 (d) | | | 49,987 | |
15,000,000 | | U.S. Treasury Bill, 0.81%, 7/28/22 (d) | | | 14,970 | |
25,000,000 | | U.S. Treasury Bill, 0.45%, 8/04/22 (d) | | | 24,941 | |
15,000,000 | | U.S. Treasury Bill, 1.35%, 10/27/22 (d) | | | 14,899 | |
2,000,000 | | U.S. Treasury Note, 0.13%, 12/15/23 (g) | | | 1,922 | |
Total U.S. Treasury (Cost - $362,795) | | | 362,710 | |
| |
Investment Company (2%) | | | | |
16,989,350 | | Payden Cash Reserves Money Market Fund* | | | 16,989 | |
2,726,002 | | Payden Floating Rate Fund, SI Class* | | | 26,606 | |
Total Investment Company (Cost - $43,989) | | | 43,595 | |
Total Investments (Cost - $2,165,077) (103%) | | | 2,138,263 | |
Liabilities in excess of Other Assets (-3%) | | | (57,922) | |
| |
Net Assets (100%) | | $ | 2,080,341 | |
| | | | | | |
| (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, 2022. |
| (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, 2022, the total market value of the Fund’s securities on loan is $4,268 and the total market value of the collateral held by the Fund is $4,391. Amounts in 000s. |
| (g) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Semi-Annual Report 15
Payden Limited Maturity Fund continued
Open Forward Currency Contracts to USD
| | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | |
USD 119,076 | | CAD 152,457 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | $ | 462 | |
USD 3,430 | | GBP 2,627 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | 123 | |
USD 7,124 | | GBP 5,427 | | State Street Bank & Trust Co. | | | 06/28/2022 | | | | 299 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 884 | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
CAD 15,135 | | USD 11,979 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | (204 | ) |
GBP 1,339 | | USD 1,743 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | (58 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (262 | ) |
| | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | $ | 622 | |
| | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(000s) | |
Short Contracts: | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2-Year Note Future | | 260 | | | Jun-22 | | | $ | (54,811 | ) | | $ | 954 | | | $ | 954 | |
U.S. Treasury 5-Year Note Future | | 255 | | | Jun-22 | | | | (28,731 | ) | | | 1,216 | | | | 1,216 | |
| | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | $ | 2,170 | |
| | | | | | | | | | | | | | | | | | |
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 | | $ | 4,268 | |
Non-cash Collateral2 | | | (4,268 | ) |
| | | | |
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, 2022, 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.
16 Payden Mutual Funds
The Fund seeks a high level of total return that is consistent with preservation of capital.
| | | | |
Portfolio Composition - percent of investments | |
Corporate Bond | | | 32 | % |
Asset Backed | | | 25 | % |
U.S. Treasury | | | 23 | % |
Mortgage Backed | | | 14 | % |
Commercial Paper | | | 4 | % |
Other | | | 2 | % |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (24%) | | | | |
13,050,000 | | Aimco CLO Ltd. 2020-12A 144A, (3 mo. Term Secured Overnight Financing Rate + 1.170%), 2.02%, 1/17/32 (a)(b) | | $ | 12,958 | |
1,507,222 | | Barings CLO Ltd. 2013-IA 144A, (3 mo. LIBOR USD + 0.800%), 1.86%, 1/20/28 (a)(b) | | | 1,497 | |
2,315,759 | | BDS Ltd. 2020-FL5 144A, (1 mo. Term Secured Overnight Financing Rate + 1.264%), 1.77%, 2/16/37 (a)(b) | | | 2,307 | |
11,900,000 | | BMW Canada Auto Trust 2021-1A 144A, 0.50%, 7/20/24 CAD (a)(c) | | | 9,075 | |
10,800,038 | | Bristol Park CLO Ltd. 2016-1A 144A, (3 mo. LIBOR USD + 0.990%), 2.03%, 4/15/29 (a)(b) | | | 10,775 | |
11,400,000 | | BRSP Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 1.150%), 1.70%, 8/19/38 (a)(b) | | | 11,161 | |
1,353,426 | | CARS-DB4 LP 2020-1A 144A, 2.69%, 2/15/50 (a) | | | 1,312 | |
8,827,429 | | CARS-DB5 LP 2021-1A 144A, 1.44%, 8/15/51 (a) | | | 7,938 | |
5,880,000 | | CIFC Funding Ltd. 2015-2A 144A, (3 mo. LIBOR USD + 1.010%), 2.05%, 4/15/30 (a)(b) | | | 5,857 | |
4,848,826 | | CLNC Ltd. 2019-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 1.364%), 1.87%, 8/20/35 (a)(b) | | | 4,817 | |
2,900,000 | | DataBank Issuer 2021-1A 144A, 2.06%, 2/27/51 (a) | | | 2,660 | |
5,200,000 | | DataBank Issuer 2021-2A 144A, 2.40%, 10/25/51 (a) | | | 4,782 | |
15,900,000 | | Dewolf Park CLO Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 0.920%), 1.96%, 10/15/30 (a)(b) | | | 15,811 | |
7,500,000 | | Diamond Infrastructure Funding LLC 2021-1A 144A, 1.76%, 4/15/49 (a) | | | 6,654 | |
7,650,000 | | Diamond Issuer 2021-1A 144A, 2.31%, 11/20/51 (a) | | | 6,906 | |
787,283 | | Drive Auto Receivables Trust 2020-2, 1.42%, 3/17/25 | | | 787 | |
539,623 | | Drive Auto Receivables Trust 2019-4, 2.51%, 11/17/25 | | | 540 | |
2,698,141 | | Drive Auto Receivables Trust 2020-1, 2.36%, 3/16/26 | | | 2,701 | |
5,950,000 | | Drive Auto Receivables Trust 2021-3, 1.11%, 5/15/26 | | | 5,743 | |
862,917 | | Enterprise Fleet Financing LLC 2019-2 144A, 2.29%, 2/20/25 (a) | | | 863 | |
2,000,000 | | Flagship Credit Auto Trust 2021-3 144A, 0.95%, 7/15/27 (a) | | | 1,879 | |
5,250,000 | | Flexential Issuer 2021-1A 144A, 3.25%, 11/27/51 (a) | | | 4,940 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
4,340,000 | | Ford Credit Auto Lease Trust 2020-A, 2.05%, 6/15/23 | | $ | 4,343 | |
1,660,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.03%, 4/16/25 | | | 1,643 | |
1,290,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.18%, 5/16/25 | | | 1,274 | |
839,439 | | GMF Canada Leasing Trust 2020-1A 144A, 0.91%, 7/20/23 CAD (a)(c) | | | 653 | |
7,700,000 | | GMF Canada Leasing Trust 2020-1A 144A, 1.05%, 11/20/25 CAD (a)(c) | | | 5,962 | |
4,750,000 | | GreatAmerica Leasing Receivables Funding LLC Series 2021-1 144A, 0.34%, 8/15/24 (a) | | | 4,621 | |
7,810,000 | | Greystone CRE Notes Ltd. 2019-FL2 144A, (1 mo. LIBOR USD + 1.180%), 1.73%, 9/15/37 (a) (b) | | | 7,740 | |
3,750,000 | | Greystone CRE Notes Ltd. 2021-HC2 144A, (1 mo. LIBOR USD + 1.800%), 2.35%, 12/15/39 (a)(b) | | | 3,746 | |
7,012,970 | | ITE Rail Fund Levered LP 2021-3A 144A, 2.21%, 6/28/51 (a) | | | 6,394 | |
297,597 | | John Deere Owner Trust 2019-A, 2.91%, 7/17/23 | | | 298 | |
3,194,657 | | John Deere Owner Trust 2020-B, 0.51%, 11/15/24 | | | 3,158 | |
7,250,000 | | LCCM Trust 2021-FL2 144A, (1 mo. LIBOR USD + 1.200%), 1.75%, 12/13/38 (a)(b) | | | 7,136 | |
1,851,755 | | LCM XX LP 20A 144A, (3 mo. LIBOR USD + 1.040%), 2.10%, 10/20/27 (a)(b) | | | 1,845 | |
5,300,000 | | LoanCore Issuer Ltd. 2021-CRE5 144A, (1 mo. LIBOR USD + 1.300%), 1.85%, 7/15/36 (a)(b) | | | 5,236 | |
15,200,000 | | Madison Park Funding XXV Ltd. 2017-25A 144A, (3 mo. LIBOR USD + 0.970%), 2.15%, 4/25/29 (a)(b) | | | 15,171 | |
4,350,000 | | MBarc Credit Canada Inc. 2021-AA 144A, 0.63%, 5/15/24 CAD (a)(c) | | | 3,326 | |
5,850,000 | | MF1 Ltd. 2021-FL6 144A, (1 mo. LIBOR USD + 1.100%), 1.65%, 7/16/36 (a)(b) | | | 5,757 | |
2,484,593 | | Navient Private Education Refi Loan Trust 2020- HA 144A, 1.31%, 1/15/69 (a) | | | 2,392 | |
6,494,610 | | Navient Private Education Refi Loan Trust 2021- FA 144A, 1.11%, 2/18/70 (a) | | | 5,926 | |
6,747,977 | | Navient Private Education Refi Loan Trust 2022- A 144A, 2.23%, 7/15/70 (a) | | | 6,457 | |
8,533,829 | | Oak Street Investment Grade Net Lease Fund 2020-1A 144A, 1.85%, 11/20/50 (a) | | | 7,913 | |
15,550,000 | | Octagon Investment Partners 32 Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 0.950%), 1.99%, 7/15/29 (a)(b) | | | 15,464 | |
Semi-Annual Report 17
Payden Low Duration Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
8,400,000 | | OneMain Financial Issuance Trust 2021-1A 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.760%), 1.02%, 6/16/36 (a)(b) | | $ | 8,233 | |
4,217,250 | | Palmer Square Loan Funding Ltd. 2020-1A 144A, (3 mo. LIBOR USD + 0.800%), 1.28%, 2/20/28 (a)(b) | | | 4,202 | |
6,230,000 | | PFS Financing Corp. 2020-B 144A, 1.21%, 6/15/24 (a) | | | 6,228 | |
2,100,000 | | PFS Financing Corp. 2020-F 144A, 0.93%, 8/15/24 (a) | | | 2,094 | |
6,280,896 | | Regatta Funding LP 2013-2A 144A, (3 mo. LIBOR USD + 0.850%), 1.89%, 1/15/29 (a)(b) | | | 6,266 | |
2,034,527 | | Santander Bank N.A.-SBCLN 2021-1A 144A, 1.83%, 12/15/31 (a) | | | 1,990 | |
5,022,190 | | SoFi Professional Loan Program Trust 2021-A 144A, 1.03%, 8/17/43 (a) | | | 4,610 | |
7,845,148 | | SoFi Professional Loan Program Trust 2021-B 144A, 1.14%, 2/15/47 (a) | | | 7,198 | |
4,410,000 | | Stack Infrastructure Issuer LLC 2020-1A 144A, 1.89%, 8/25/45 (a) | | | 4,085 | |
2,400,000 | | Stack Infrastructure Issuer LLC 2021-1A 144A, 1.88%, 3/26/46 (a) | | | 2,191 | |
4,856,037 | | STWD Ltd. 2019-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 1.194%), 1.72%, 7/15/38 (a)(b) | | | 4,845 | |
13,815,000 | | TCI-Symphony CLO Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 0.930%), 1.97%, 7/15/30 (a)(b) | | | 13,702 | |
5,244,000 | | Textainer Marine Containers VII Ltd. 2021-2A 144A, 2.23%, 4/20/46 (a) | | | 4,792 | |
7,913,772 | | TRP-TRIP Rail Master Funding LLC 2021-2 144A, 2.15%, 6/19/51 (a) | | | 7,226 | |
7,960,000 | | TRTX Issuer Ltd. 2019-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 1.564%), 2.07%, 10/15/34 (a)(b) | | | 7,913 | |
6,550,000 | | Vantage Data Centers Issuer LLC 2020-1A 144A, 1.65%, 9/15/45 (a) | | | 6,007 | |
193,613 | | Westlake Automobile Receivables Trust 2018- 3A 144A, 4.00%, 10/16/23 (a) | | | 194 | |
3,700,000 | | Westlake Automobile Receivables Trust 2020- 1A 144A, 2.80%, 6/16/25 (a) | | | 3,672 | |
3,780,000 | | Westlake Automobile Receivables Trust 2020- 2A 144A, 1.32%, 7/15/25 (a) | | | 3,775 | |
4,477,500 | | Wingstop Funding LLC 2020-1A 144A, 2.84%, 12/05/50 (a) | | | 4,102 | |
Total Asset Backed (Cost - $353,505) | | | 341,743 | |
Bank Loans(d) (0%) | | | | |
1,645,875 | | Southwestern Energy Co. Term Loan B 1L, (LIBOR USD 3-Month + 1.500%), 3.30%, 6/22/27 (Cost - $1,642) | | | 1,647 | |
Commercial Paper(e) (4%) | | | | |
14,000,000 | | BASF SE, 0.80%, 5/25/22 | | | 13,993 | |
13,690,000 | | Dominion Energy Inc., 0.77%, 5/19/22 | | | 13,684 | |
11,000,000 | | EI du Pont de Nemours, 0.98%, 6/13/22 | | | 10,985 | |
14,000,000 | | TransCanada PipeLines Ltd., 0.76%, 5/17/22 | | | 13,979 | |
Total Commercial Paper (Cost - $52,652) | | | 52,641 | |
Corporate Bond (32%) | | | | |
Financial (13%) | | | | |
5,755,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.15%, 10/29/23 | | | 5,496 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
5,110,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24 | | $ | 4,768 | |
2,190,000 | | Air Lease Corp., 0.80%, 8/18/24 | | | 2,038 | |
2,240,000 | | Ally Financial Inc., 1.45%, 10/02/23 | | | 2,178 | |
1,890,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 1,898 | |
5,865,000 | | American Tower Corp., 0.60%, 1/15/24 | | | 5,611 | |
3,420,000 | | Aviation Capital Group LLC 144A, 3.88%, 5/01/23 (a) | | | 3,413 | |
1,980,000 | | Aviation Capital Group LLC 144A, 4.38%, 1/30/24 (a) | | | 1,977 | |
3,000,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (a) | | | 2,998 | |
3,845,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.740%), 0.81%, 10/24/24 (b) | | | 3,693 | |
6,680,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.690%), 0.98%, 4/22/25 (b) | | | 6,316 | |
7,770,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.650%), 1.53%, 12/06/25 (b) | | | 7,286 | |
3,610,000 | | Barclays PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.800%), 1.01%, 12/10/24 (b) | | | 3,446 | |
1,690,000 | | Blackstone Private Credit Fund 144A, 1.75%, 9/15/24 (a) | | | 1,581 | |
2,600,000 | | Blackstone Secured Lending Fund, 3.65%, 7/14/23 | | | 2,605 | |
3,791,000 | | BPCE SA 144A, 5.70%, 10/22/23 (a) | | | 3,876 | |
1,430,000 | | Brighthouse Financial Global Funding 144A, 1.00%, 4/12/24 (a) | | | 1,363 | |
5,665,000 | | Brighthouse Financial Global Funding 144A, 1.75%, 1/13/25 (a) | | | 5,349 | |
4,420,000 | | Equinix Inc., 2.63%, 11/18/24 | | | 4,306 | |
8,005,000 | | F&G Global Funding 144A, 0.90%, 9/20/24 (a) | | | 7,480 | |
1,935,000 | | First Republic Bank, (U.S. Secured Overnight Financing Rate + 0.620%), 1.91%, 2/12/24 (b) | | | 1,914 | |
2,030,000 | | First-Citizens Bank & Trust Co., (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (b) | | | 1,986 | |
3,980,000 | | FS KKR Capital Corp. 144A, 4.25%, 2/14/25 (a) | | | 3,828 | |
1,380,000 | | goeasy Ltd. 144A, 5.38%, 12/01/24 (a) | | | 1,355 | |
7,215,000 | | Goldman Sachs Group Inc., 3.00%, 3/15/24 | | | 7,161 | |
1,645,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,622 | |
3,600,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.609%), 0.86%, 2/12/26 (b) | | | 3,289 | |
2,460,000 | | Golub Capital BDC Inc., 3.38%, 4/15/24 | | | 2,416 | |
2,050,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 2,001 | |
3,260,000 | | Intesa Sanpaolo SpA 144A, 3.13%, 7/14/22 (a) | | | 3,264 | |
655,000 | | iStar Inc., 4.75%, 10/01/24 | | | 638 | |
3,935,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (a) | | | 3,945 | |
1,760,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.420%), 0.56%, 2/16/25 (b) | | | 1,669 | |
3,540,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.320%), 4.08%, 4/26/26 (b) | | | 3,533 | |
3,415,000 | | Macquarie Group Ltd. 144A, (U.S. Secured Overnight Financing Rate + 0.694%), 1.20%, 10/14/25 (a)(b) | | | 3,192 | |
15,090,000 | | Mitsubishi UFJ Financial Group Inc., (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.550%), 0.95%, 7/19/25 (b) | | | 14,185 | |
4,950,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.525%), 0.79%, 5/30/25 (b) | | | 4,634 | |
3,435,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.152%), 2.72%, 7/22/25 (b) | | | 3,343 | |
18 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,230,000 | | Morgan Stanley I, (U.S. Secured Overnight Financing Rate + 0.745%), 0.86%,
10/21/25 (b) | | $ | 2,070 | |
6,205,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.560%), 1.16%,
10/21/25 (b) | | | 5,797 | |
7,770,000 | | Nationwide Building Society 144A, 0.55%,
1/22/24 (a) | | | 7,414 | |
2,160,000 | | Owl Rock Capital Corp., 4.25%, 1/15/26 | | | 2,088 | |
1,520,000 | | Owl Rock Technology Finance Corp. 144A, 3.75%, 6/17/26 (a) | | | 1,420 | |
1,380,000 | | Radian Group Inc., 6.63%, 3/15/25 | | | 1,407 | |
4,400,000 | | Reliance Standard Life Global Funding II 144A, 3.85%, 9/19/23 (a) | | | 4,439 | |
3,350,000 | | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc. 144A, 2.88%, 10/15/26 (a) | | | 2,968 | |
2,850,000 | | SBA Tower Trust 144A, 1.88%, 1/15/26 (a) | | | 2,643 | |
3,800,000 | | SBA Tower Trust 144A, 1.63%, 11/15/26 (a) | | | 3,508 | |
1,195,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (a) | | | 1,178 | |
1,700,000 | | VICI Properties LP/VICI Note Co. Inc. 144A, 3.50%, 2/15/25 (a) | | | 1,634 | |
5,365,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.320%), 3.91%,
4/25/26 (b) | | | 5,330 | |
| | | | | | |
| | | | | 183,549 | |
| | | | | | |
Industrial (14%) | | | | |
6,780,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 2/15/23 (a) | | | 6,771 | |
1,395,000 | | Aptiv PLC/Aptiv Corp., 2.40%, 2/18/25 | | | 1,343 | |
1,380,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (a) | | | 1,396 | |
1,380,000 | | Ball Corp., 4.00%, 11/15/23 | | | 1,378 | |
1,425,000 | | Berry Global Inc., 0.95%, 2/15/24 | | | 1,361 | |
7,060,000 | | Boeing Co., 1.43%, 2/04/24 | | | 6,789 | |
1,380,000 | | CDK Global Inc., 5.00%, 10/15/24 | | | 1,422 | |
1,380,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 1,415 | |
2,455,000 | | CNH Industrial Capital LLC, 1.95%, 7/02/23 | | | 2,418 | |
2,655,000 | | Daimler Trucks Finance North America LLC 144A, 1.13%, 12/14/23 (a) | | | 2,568 | |
2,450,000 | | Daimler Trucks Finance North America LLC 144A, 1.63%, 12/13/24 (a) | | | 2,329 | |
3,345,000 | | Element Fleet Management Corp. 144A, 1.60%, 4/06/24 (a) | | | 3,215 | |
1,985,000 | | Fidelity National Information Services Inc., 0.60%, 3/01/24 | | | 1,884 | |
5,450,000 | | Ford Motor Credit Co. LLC, 2.30%, 2/10/25 | | | 5,068 | |
2,665,000 | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25 | | | 2,661 | |
1,380,000 | | Freeport-McMoRan Inc., 4.55%, 11/14/24 | | | 1,400 | |
3,000,000 | | General Motors Financial Co. Inc., 1.05%, 3/08/24 | | | 2,866 | |
4,000,000 | | General Motors Financial Co. Inc., 3.95%, 4/13/24 | | | 4,019 | |
3,860,000 | | General Motors Financial Co. Inc., 1.20%, 10/15/24 | | | 3,627 | |
1,785,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (a) | | | 1,633 | |
8,300,000 | | Glencore Funding LLC 144A, 4.63%, 4/29/24 (a) | | | 8,406 | |
3,290,000 | | Graphic Packaging International LLC 144A, 0.82%, 4/15/24 (a) | | | 3,107 | |
1,380,000 | | Graphic Packaging International LLC, 4.13%, 8/15/24 | | | 1,381 | |
2,600,000 | | GSK Consumer Healthcare Capital U.S. LLC 144A, 3.02%, 3/24/24 (a) | | | 2,576 | |
1,380,000 | | HCA Inc., 5.38%, 2/01/25 | | | 1,421 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,285,000 | | Huntington Ingalls Industries Inc. 144A, 0.67%, 8/16/23 (a) | | $ | 2,211 | |
3,760,000 | | Hyundai Capital America 144A, 1.25%, 9/18/23 (a) | | | 3,649 | |
4,000,000 | | Hyundai Capital America 144A, 0.88%, 6/14/24 (a) | | | 3,760 | |
3,675,000 | | Hyundai Capital America 144A, 1.00%, 9/17/24 (a) | | | 3,424 | |
1,660,000 | | Infor Inc. 144A, 1.45%, 7/15/23 (a) | | | 1,621 | |
2,590,000 | | Magallanes Inc. 144A, 3.43%, 3/15/24 (a) | | | 2,575 | |
1,380,000 | | Meritage Homes Corp., 6.00%, 6/01/25 | | | 1,406 | |
3,185,000 | | Microchip Technology Inc., 2.67%, 9/01/23 | | | 3,156 | |
6,075,000 | | Microchip Technology Inc., 0.97%, 2/15/24 | | | 5,794 | |
3,810,000 | | NBN Co. Ltd. 144A, 0.88%, 10/08/24 (a) | | | 3,584 | |
6,545,000 | | Nissan Motor Acceptance Co. LLC 144A, 1.05%, 3/08/24 (a) | | | 6,179 | |
1,000,000 | | Nordstrom Inc., 2.30%, 4/08/24 | | | 959 | |
3,155,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (a) | | | 3,188 | |
1,380,000 | | Penske Automotive Group Inc., 3.50%, 9/01/25 | | | 1,333 | |
2,610,000 | | Qorvo Inc. 144A, 1.75%, 12/15/24 (a) | | | 2,465 | |
1,655,000 | | Quanta Services Inc., 0.95%, 10/01/24 | | | 1,553 | |
5,225,000 | | Renesas Electronics Corp. 144A, 1.54%,
11/26/24 (a) | | | 4,912 | |
4,460,000 | | Royalty Pharma PLC, 0.75%, 9/02/23 | | | 4,318 | |
4,772,000 | | Scania CV AB, 1.88%, 6/28/22 GBP (c)(f) | | | 5,997 | |
1,380,000 | | Seagate HDD Cayman, 4.88%, 3/01/24 | | | 1,389 | |
560,000 | | Skyworks Solutions Inc., 0.90%, 6/01/23 | | | 546 | |
8,000,000 | | SMBC Aviation Capital Finance DAC 144A, 4.13%, 7/15/23 (a) | | | 7,982 | |
7,830,000 | | Sonoco Products Co., 1.80%, 2/01/25 | | | 7,437 | |
2,860,000 | | Southwest Airlines Co., 4.75%, 5/04/23 | | | 2,911 | |
1,380,000 | | Sprint Communications Inc., 6.00%, 11/15/22 | | | 1,401 | |
4,000,000 | | Stellantis NV, 5.25%, 4/15/23 | | | 4,073 | |
8,400,000 | | Suntory Holdings Ltd. 144A, 2.25%, 10/16/24 (a) | | | 8,056 | |
1,380,000 | | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc. 144A, 5.63%, 3/01/24 (a) | | | 1,391 | |
1,100,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4/15/24 | | | 1,101 | |
800,000 | | Teva Pharmaceutical Finance Netherlands III BV, 7.13%, 1/31/25 | | | 812 | |
865,000 | | T-Mobile USA Inc., 2.25%, 2/15/26 | | | 797 | |
855,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 861 | |
1,380,000 | | Toll Brothers Finance Corp., 4.88%, 11/15/25 | | | 1,381 | |
1,380,000 | | TRI Pointe Group Inc./TRI Pointe Homes Inc., 5.88%, 6/15/24 | | | 1,403 | |
2,805,000 | | Triton Container International Ltd. 144A, 0.80%, 8/01/23 (a) | | | 2,702 | |
3,435,000 | | VMware Inc., 1.00%, 8/15/24 | | | 3,234 | |
6,000,000 | | VW Credit Canada Inc., 3.25%, 3/29/23
CAD (c) | | | 4,670 | |
1,340,000 | | Westinghouse Air Brake Technologies Corp., 3.20%, 6/15/25 | | | 1,296 | |
| | | | | | |
| | | | | 187,981 | |
| | | | | | |
Utility (5%) | | | | |
3,725,000 | | Aker BP ASA 144A, 2.88%, 1/15/26 (a) | | | 3,551 | |
5,835,000 | | Alexander Funding Trust 144A, 1.84%, 11/15/23 (a) | | | 5,603 | |
1,500,000 | | American Electric Power Co. Inc., 2.03%, 3/15/24 | | | 1,461 | |
Semi-Annual Report 19
Payden Low Duration Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
980,000 | | Civitas Resources Inc. 144A, 5.00%, 10/15/26 (a) | | $ | 932 | |
4,300,000 | | Devon Energy Corp., 5.25%, 9/15/24 | | | 4,438 | |
2,525,000 | | Energy Transfer LP, 3.60%, 2/01/23 | | | 2,530 | |
3,930,000 | | Energy Transfer LP, 4.25%, 3/15/23 | | | 3,961 | |
1,380,000 | | EQT Corp., 6.63%, 2/01/25 | | | 1,438 | |
3,619,000 | | Gray Oak Pipeline LLC 144A, 2.00%, 9/15/23 (a) | | | 3,544 | |
3,195,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (a) | | | 3,176 | |
1,750,000 | | OGE Energy Corp., 0.70%, 5/26/23 | | | 1,703 | |
7,985,000 | | ONE Gas Inc., 1.10%, 3/11/24 | | | 7,639 | |
1,380,000 | | Ovintiv Exploration Inc., 5.63%, 7/01/24 | | | 1,435 | |
4,980,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 4,977 | |
4,000,000 | | Plains All American Pipeline LP/PAA Finance Corp., 3.60%, 11/01/24 | | | 3,956 | |
6,812,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 7,054 | |
2,120,000 | | Saudi Arabian Oil Co. 144A, 1.25%, 11/24/23 (a) | | | 2,063 | |
4,200,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 4,069 | |
1,380,000 | | TerraForm Power Operating LLC 144A, 4.25%, 1/31/23 (a) | | | 1,384 | |
3,800,000 | | Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (a) | | | 3,741 | |
| | | | | | |
| | | | | 68,655 | |
| | | | | | |
Total Corporate Bond (Cost - $459,143) | | | 440,185 | |
Mortgage Backed (14%) | | | | |
7,535,500 | | BDS 2021-FL8 144A, (1 mo. LIBOR USD + 0.920%), 1.47%, 1/18/36 (a)(b) | | | 7,383 | |
3,900,000 | | Bellemeade RE Ltd. 2021-3A 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.000%), 1.29%, 9/25/31 (a)(b) | | | 3,869 | |
122,096,324 | | Benchmark Mortgage Trust 2018-B6, 0.57%, 10/10/51 (g) | | | 2,186 | |
2,380,075 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 0.920%), 1.47%, 10/15/36 (a)(b) | | | 2,368 | |
2,567,000 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.080%), 1.63%, 10/15/36 (a)(b) | | | 2,548 | |
1,673,475 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 0.930%), 1.48%, 10/15/37 (a)(b) | | | 1,646 | |
5,043,776 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 1.130%), 1.68%, 10/15/37 (a)(b) | | | 4,950 | |
4,550,000 | | BX Trust 2021-ARIA 144A, (1 mo. LIBOR USD + 0.899%), 1.45%, 10/15/36 (a)(b) | | | 4,443 | |
7,050,000 | | BXMT Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 1.050%), 1.60%, 5/15/38 (a)(b) | | | 6,995 | |
22,362,467 | | Cantor Commercial Real Estate Lending 2019- CF1, 1.30%, 5/15/52 (g) | | | 1,270 | |
9,004,277 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.60%, 6/15/34 (a)(b) | | | 8,759 | |
44,415,098 | | Citigroup Commercial Mortgage Trust 2018-C6, 0.94%, 11/10/51 (g) | | | 1,817 | |
20,583,822 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 0.900%), 1.45%, 11/15/37 (a)(b) | | | 20,366 | |
781,996 | | Connecticut Avenue Securities Trust 2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 2.77%, 9/25/39 (a)(b) | | | 782 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
553,363 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 2.100%), 2.77%, 10/25/39 (a)(b) | | $ | 554 | |
5,565,552 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 11/25/39 (a)(b) | | | 5,485 | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.92%, 11/25/39 (a)(b) | | | 4,210 | |
533,661 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 1/25/40 (a)(b) | | | 534 | |
900,000 | | Connecticut Avenue Securities Trust 2020-SBT1 144A, (1 mo. LIBOR USD + 3.650%), 4.32%, 2/25/40 (a)(b) | | | 890 | |
2,860,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 1.230%), 1.78%, 5/15/36 (a)(b) | | | 2,839 | |
2,691,000 | | Eagle RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.550%), 1.84%, 4/25/34 (a)(b) | | | 2,679 | |
3,625,669 | | Fannie Mae Connecticut Avenue Securities 2018- C01, (1 mo. LIBOR USD + 2.250%), 2.92%, 7/25/30 (b) | | | 3,663 | |
13,150,000 | | Fannie Mae Connecticut Avenue Securities 2021- R02 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.000%), 2.29%, 11/25/41 (a)(b) | | | 12,528 | |
16,650,000 | | FHLMC Multifamily Structured Pass-Through Certificates K727, 2.95%, 7/25/24 | | | 16,651 | |
10,171,785 | | Freddie Mac REMIC 5057, 1.00%, 4/15/54 | | | 9,488 | |
3,031,942 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 9/25/49 (a)(b) | | | 3,027 | |
4,240,547 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.700%), 0.99%, 8/25/33 (a)(b) | | | 4,225 | |
2,300,000 | | Freddie Mac STACR REMIC Trust 2021-HQA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.850%), 1.14%, 9/25/41 (a)(b) | | | 2,236 | |
651,735 | | Freddie Mac STACR REMIC Trust 2019-HQA4 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 11/25/49 (a)(b) | �� | | 652 | |
592,719 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 1.700%), 2.37%, 1/25/50 (a)(b) | | | 591 | |
996,928 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.57%, 1/25/50 (a)(b) | | | 998 | |
561,769 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 2/25/50 (a)(b) | | | 561 | |
601,723 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 3.100%), 3.77%, 3/25/50 (a)(b) | | | 605 | |
80,369 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.650%), 0.94%, 1/25/51 (a)(b) | | | 80 | |
8,832,122 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 2.07%, 2/25/49 (a) (b) | | | 8,722 | |
20 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
523,777 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 1.950%), 2.62%, 10/25/49 (a)(b) | | $ | 524 | |
1,110,913 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2, (1 mo. LIBOR USD + 11.250%), 11.92%, 10/25/29 (b) | | | 1,176 | |
1,450,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 4.600%), 5.27%, 12/25/42 (b) | | | 1,454 | |
4,100,000 | | Home RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.250%), 1.54%, 1/25/34 (a)(b) | | | 4,072 | |
5,000,000 | | JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP 144A, (1 mo. LIBOR USD + 1.160%), 1.71%, 7/15/36 (a)(b) | | | 4,918 | |
1,070,000 | | MF1 Ltd. 2020-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 2.964%), 3.47%, 7/15/35 (a)(b) | | | 1,073 | |
3,400,000 | | Morgan Stanley Capital I Trust 2017-CLS 144A, (1 mo. LIBOR USD + 0.700%), 1.25%, 11/15/34 (a)(b) | | | 3,384 | |
348,571 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 1.700%), 2.37%, 10/15/49 (a)(b) | | | 342 | |
1,016,266 | | New Residential Mortgage Loan Trust 2017-1A 144A, 4.00%, 2/25/57 (a)(g) | | | 1,006 | |
2,347,595 | | New Residential Mortgage Loan Trust 2017-3A 144A, 4.00%, 4/25/57 (a)(g) | | | 2,320 | |
1,994,687 | | New Residential Mortgage Loan Trust 2017-4A 144A, 4.00%, 5/25/57 (a)(g) | | | 1,956 | |
3,000,000 | | Oaktown Re VII Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.600%), 1.89%, 4/25/34 (a)(b) | | | 2,968 | |
8,450,000 | | ONE Mortgage Trust 2021-PARK 144A, (1 mo. LIBOR USD + 0.700%), 1.25%, 3/15/36 (a)(b) | | | 8,217 | |
1,307,327 | | PFP Ltd. 2019-6 144A, (1 mo. LIBOR USD + 1.050%), 1.60%, 4/14/37 (a)(b) | | | 1,298 | |
3,510,000 | | PFP Ltd. 2019-6 144A, (1 mo. LIBOR USD + 1.450%), 2.00%, 4/14/37 (a)(b) | | | 3,493 | |
4,803,412 | | Provident Funding Mortgage Trust 2020-F1 144A, 2.00%, 1/25/36 (a)(g) | | | 4,417 | |
1,650,000 | | Radnor RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.850%), 2.14%, 11/25/31 (a)(b) | | | 1,640 | |
2,400,995 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.32%, 4/25/43 (a)(b) | | | 2,399 | |
2,750,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.42%, 4/25/43 (a)(b) | | | 2,748 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
650,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 11.17%, 2/25/47 (a)(b) | | $ | 709 | |
Total Mortgage Backed (Cost - $206,168) | | | 200,714 | |
Municipal (0%) | | | | |
1,415,000 | | California Earthquake Authority B, 1.33%, 7/01/22 (Cost - $1,415) | | | 1,416 | |
U.S. Treasury (23%) | | | | |
44,185,000 | | U.S. Treasury Bill, 0.85%, 1/26/23 (e) | | | 43,650 | |
19,731,000 | | U.S. Treasury Note, 2.75%, 5/31/23 (h)(i) | | | 19,843 | |
62,889,000 | | U.S. Treasury Note, 0.88%, 1/31/24 | | | 60,988 | |
55,980,000 | | U.S. Treasury Note, 1.50%, 2/29/24 | | | 54,819 | |
4,000,000 | | U.S. Treasury Note, 0.25%, 6/15/24 | | | 3,794 | |
10,145,000 | | U.S. Treasury Note, 0.75%, 11/15/24 | | | 9,623 | |
46,201,000 | | U.S. Treasury Note, 1.50%, 2/15/25 | | | 44,483 | |
84,175,000 | | U.S. Treasury Note, 2.63%, 4/15/25 | | | 83,577 | |
Total U.S. Treasury (Cost - $325,548) | | | 320,777 | |
Investment Company (2%) | | | | |
30,069,832 | | Payden Cash Reserves Money Market Fund * (Cost - $30,070) | | | 30,070 | |
Total Investments (Cost - $1,430,143) (99%) | | | 1,389,193 | |
Other Assets, net of Liabilities (1%) | | | 12,142 | |
Net Assets (100%) | | $ | 1,401,335 | |
| | | | | | |
| (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, 2022. |
| (c) | Principal in foreign currency. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. 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) | 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. |
Semi-Annual Report 21
Payden Low Duration Fund continued
Open Forward Currency Contracts to USD
| | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | |
USD 25,036 | | CAD 32,054 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | $ | 97 | |
USD 6,353 | | GBP 4,840 | | State Street Bank & Trust Co. | | | 06/28/2022 | | | | 266 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 363 | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
CAD 794 | | USD 626 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | (8 | ) |
| | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | $ | 355 | |
| | | | | | | | | | | | |
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 | | | 664 | | | | Sep-23 | | | $ | 160,173 | | | $ | (4,393 | ) | | | $(4,393) | |
U.S. Treasury 2-Year Note Future | | | 612 | | | | Jun-22 | | | | 129,017 | | | | (2,260 | ) | | | (2,260) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (6,653) | |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 5-Year Note Future | | | 995 | | | | Jun-22 | | | | (112,109 | ) | | | 4,753 | | | | 4,753 | |
| | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | $ | (1,900 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 0.28% (SOFRRATE) Annually | | | 08/20/2022 | | | $ | 10,000 | | | $ | (56 | ) | | $ | — | | | $ | (56 | ) |
| | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
22 Payden Mutual Funds
Payden U.S. Government Fund
The Fund seeks a high level of total return that is consistent with preservation of capital.
| | | | |
| Portfolio Composition - percent of investments | |
Mortgage Backed | | | 72 | % |
U.S. Treasury | | | 24 | % |
Investment Company | | | 4 | % |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Mortgage Backed (72%) | | | | |
672,688 | | FG C91912 20YR, 3.00%, 2/01/37 | | $ | 651 | |
39,637 | | FH 2B0709 ARM, (12 mo. LIBOR USD + 1.750%), 2.00%, 8/01/42 (a) | | | 40 | |
111,632 | | FH 2B0972 ARM, (12 mo. LIBOR USD + 1.770%), 2.02%, 11/01/42 (a) | | | 115 | |
449,821 | | FH 2B4763 ARM, (12 mo. LIBOR USD + 1.620%), 1.87%, 10/01/45 (a) | | | 460 | |
74,704 | | FH 849486 ARM, (12 mo. LIBOR USD + 1.875%), 2.14%, 8/01/41 (a) | | | 78 | |
273,210 | | FH 849506 ARM, (12 mo. LIBOR USD + 1.607%), 1.86%, 11/01/44 (a) | | | 281 | |
937,288 | | FH 8C0092 ARM, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.130%), 1.54%, 8/01/51 (a) | | | 873 | |
268,215 | | FHLMC Multifamily Structured Pass-Through Certificates KI04, (1 mo. LIBOR USD + 0.360%), 0.81%, 7/25/24 (a) | | | 268 | |
152,856 | | FHLMC Multifamily Structured Pass-Through Certificates KI06, (1 mo. LIBOR USD + 0.220%), 0.67%, 3/25/25 (a) | | | 153 | |
800,000 | | FHLMC Multifamily Structured Pass-Through Certificates KI08, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.200%), 0.36%, 10/25/26 (a) | | | 799 | |
1,050,000 | | FHLMC Multifamily Structured Pass-Through Certificates KG03, 0.70%, 4/25/29 (b) | | | 940 | |
644,957 | | FHLMC Multifamily Structured Pass-Through Certificates Q013, 1.20%, 5/25/50 (b) | | | 622 | |
49,002 | | FN AI4019 ARM, (12 mo. LIBOR USD + 1.750%), 2.00%, 7/01/41 (a) | | | 51 | |
72,132 | | FN AL5596 ARM, (12 mo. LIBOR USD + 1.555%), 1.98%, 2/01/44 (a) | | | 74 | |
118,296 | | FN AL5790 ARM, (12 mo. LIBOR USD + 1.566%), 1.82%, 10/01/44 (a) | | | 121 | |
127,226 | | FN AL5967 ARM, (12 mo. LIBOR USD + 1.576%), 1.83%, 11/01/44 (a) | | | 131 | |
294,157 | | FN AL7648 ARM, (12 mo. LIBOR USD + 1.587%), 2.75%, 10/01/45 (a) | | | 304 | |
534,266 | | FN AS4186 15YR, 2.50%, 1/01/30 | | | 524 | |
251,821 | | FN AS6443 15YR, 3.00%, 12/01/30 | | | 251 | |
509,955 | | FN AS8013 15YR, 2.50%, 9/01/31 | | | 500 | |
63,153 | | FN AU6974 ARM, (12 mo. LIBOR USD + 1.580%), 1.83%, 11/01/43 (a) | | | 65 | |
162,148 | | FN AU8673 ARM, (12 mo. LIBOR USD + 1.530%), 2.03%, 2/01/44 (a) | | | 165 | |
394,359 | | FN AZ2886 ARM, (12 mo. LIBOR USD + 1.600%), 2.62%, 9/01/45 (a) | | | 408 | |
430,543 | | FN AZ4380 ARM, (12 mo. LIBOR USD + 1.590%), 1.84%, 8/01/45 (a) | | | 443 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
389,180 | | FN BD2473 ARM, (12 mo. LIBOR USD + 1.620%), 2.43%, 1/01/47 (a) | | $ | 390 | |
710,327 | | FN BM3938 15YR, 3.50%, 4/01/33 | | | 716 | |
515,656 | | FN BM4153 15YR, 3.00%, 6/01/33 | | | 511 | |
525,628 | | FN BP6814 ARM, (12 mo. LIBOR USD + 1.610%), 2.25%, 5/01/50 (a) | | | 500 | |
919,038 | | FN BR9966 ARM, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.610%), 1.91%, 5/01/51 (a) | | | 849 | |
577,605 | | FN CA4462 15YR, 3.00%, 11/01/34 | | | 571 | |
100,219 | | FNR FA 2002-10, (1 mo. LIBOR USD + 0.750%), 1.42%, 2/25/32 (a) | | | 102 | |
949,428 | | FRESB Mortgage Trust 2021-SB83, 0.63%, 1/25/26 (b) | | | 879 | |
799,890 | | FRESB Mortgage Trust 2020-SB78, 0.82%, 6/25/40 (b) | | | 751 | |
1,004,402 | | FRESB Mortgage Trust 2020-SB79, 0.80%, 7/25/40 (b) | | | 934 | |
411,249 | | G2 778200, 4.00%, 2/20/32 | | | 421 | |
345,104 | | G2 778203, 4.75%, 2/20/32 | | | 363 | |
771,834 | | G2 AD0857, 3.75%, 9/20/33 | | | 787 | |
296,088 | | G2 AY5132, 3.25%, 7/20/37 | | | 293 | |
586,766 | | G2 AY5138, 3.25%, 12/20/37 | | | 581 | |
495,884 | | GN 728153, 5.50%, 10/15/29 | | | 530 | |
233,252 | | GN 737791 30YR, 4.50%, 12/15/40 | | | 245 | |
2,060,602 | | GNR ST 2014-79, 1.22%, 7/20/29 (b) | | | 7 | |
Total Mortgage Backed (Cost - $19,380) | | | 17,747 | |
U.S. Treasury (24%) | | | | |
1,000,000 | | U.S. Cash Management Bill, 0.30%, 5/24/22 (c) | | | 1,000 | |
1,000,000 | | U.S. Cash Management Bill, 0.58%, 6/21/22 (c) | | | 999 | |
2,500,000 | | U.S. Treasury Note, 0.13%, 10/15/23 | | | 2,416 | |
1,500,000 | | U.S. Treasury Note, 2.00%, 11/15/26 | | | 1,438 | |
Total U.S. Treasury (Cost - $5,898) | | | 5,853 | |
Investment Company (4%) | | | | |
943,926 | | Payden Cash Reserves Money Market Fund * (Cost - $944) | | | 944 | |
Total Investments (Cost - $26,222) (100%) | | | 24,544 | |
Other Assets, net of Liabilities (0%) | | | 69 | |
Net Assets (100%) | | $ | 24,613 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. |
| (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) | Yield to maturity at time of purchase. |
Semi-Annual Report 23
Payden U.S. Government Fund continued
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 | | 10 | | | Jun-22 | | | $ | (1,192 | ) | | $ | 16 | | | | $16 | |
| | | | | | | | | | | | | | | | | | |
See notes to financial statements.
24 Payden Mutual Funds
The Fund seeks a high level of total return that is consistent with preservation of capital.
| | | | |
| Portfolio Composition - percent of investments | |
Mortgage Backed | | | 99 | % |
Investment Company | | | 1 | % |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Mortgage Backed (134%) | | | | |
466,119 | | Fannie Mae-Aces 2016-M9, (1 mo. LIBOR USD + 0.590%), 1.04%, 9/25/23 (a) | | $ | 467 | |
382,616 | | FH 2B4763 ARM, (12 mo. LIBOR USD + 1.620%), 1.87%, 10/01/45 (a) | | | 391 | |
254,760 | | FHLMC Multifamily Structured Pass-Through Certificates KI06, (1 mo. LIBOR USD + 0.220%), 0.67%, 3/25/25 (a) | | | 255 | |
1,000,000 | | FHLMC Multifamily Structured Pass-Through Certificates KI08, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.200%), 0.36%, 10/25/26 (a) | | | 999 | |
173,402 | | FHR 3047 FV 3047, (1 mo. LIBOR USD + 0.300%), 0.85%, 1/15/35 (a) | | | 173 | |
169,349 | | FN BM2007 30YR, 4.00%, 9/01/48 | | | 169 | |
1,241,909 | | FN CA6739 30YR, 3.00%, 8/01/50 | | | 1,177 | |
94,589 | | FNR FA 2007-110, (1 mo. LIBOR USD + 0.620%), 1.29%, 12/25/37 (a) | | | 96 | |
126,799 | | FNR FE 2010-86, (1 mo. LIBOR USD + 0.450%), 1.12%, 8/25/25 (a) | | | 127 | |
1,718,614 | | FR RA4531 30YR, 2.50%, 2/01/51 | | | 1,572 | |
215,406 | | G2 3711 30YR, 5.50%, 5/20/35 | | | 235 | |
280,122 | | G2 3747 30YR, 5.00%, 8/20/35 | | | 300 | |
172,008 | | G2 3772 30YR, 5.00%, 10/20/35 | | | 184 | |
326,805 | | G2 3785 30YR, 5.00%, 11/20/35 | | | 350 | |
364,070 | | G2 4802 30YR, 5.00%, 9/20/40 | | | 390 | |
1,129,103 | | G2 4853 30YR, 4.00%, 11/20/40 | | | 1,156 | |
183,525 | | G2 4978 30YR, 4.50%, 3/20/41 | | | 194 | |
451,198 | | G2 5083 30YR, 5.00%, 6/20/41 | | | 484 | |
1,379,187 | | G2 5115 30YR, 4.50%, 7/20/41 | | | 1,450 | |
925,038 | | G2 5139 30YR, 4.00%, 8/20/41 | | | 947 | |
212,133 | | G2 5140 30YR, 4.50%, 8/20/41 | | | 223 | |
545,027 | | G2 5233 30YR, 4.00%, 11/20/41 | | | 558 | |
1,210,838 | | G2 5258 30YR, 3.50%, 12/20/41 | | | 1,211 | |
733,531 | | G2 5332 30YR, 4.00%, 3/20/42 | | | 756 | |
481,754 | | G2 770239 30YR, 4.00%, 2/20/42 | | | 492 | |
1,638,306 | | G2 785219 30YR, 2.00%, 12/20/50 | | | 1,468 | |
763,944 | | G2 785289 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.75%, 12/20/47 (a) | | | 781 | |
2,488,501 | | G2 785524 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.529%), 1.91%, 12/20/41 (a) | | | 2,547 | |
204,884 | | G2 80029 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 1/20/27 (a) | | | 208 | |
375,982 | | G2 80052 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 3/20/27 (a) | | | 382 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
260,102 | | G2 80059 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.88%, 4/20/27 (a) | | $ | 263 | |
606,580 | | G2 80074 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.88%, 5/20/27 (a) | | | 614 | |
1,064,573 | | G2 80152 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 1/20/28 (a) | | | 1,084 | |
284,634 | | G2 80154 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 1/20/28 (a) | | | 290 | |
433,943 | | G2 80169 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 2/20/28 (a) | | | 444 | |
685,145 | | G2 80184 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.88%, 4/20/28 (a) | | | 697 | |
644,304 | | G2 80319 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.63%, 9/20/29 (a) | | | 653 | |
549,348 | | G2 80637 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.63%, 9/20/32 (a) | | | 558 | |
1,149,613 | | G2 80795 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.75%, 12/20/33 (a) | | | 1,167 | |
429,585 | | G2 80826 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 2/20/34 (a) | | | 442 | |
691,059 | | G2 80835 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 2/20/34 (a) | | | 701 | |
625,615 | | G2 81282 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 3/20/35 (a) | | | 644 | |
600,867 | | G2 82074 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.88%, 5/20/38 (a) | | | 617 | |
479,210 | | G2 82107 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.63%, 7/20/38 (a) | | | 488 | |
9,320 | | G2 8228 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.63%, 7/20/23 (a) | | | 9 | |
875,654 | | G2 82457 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 1/20/40 (a) | | | 904 | |
Semi-Annual Report 25
Payden GNMA Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
453,443 | | G2 82463 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 2.00%, 1/20/40 (a) | | $ | 468 | |
148,867 | | G2 83031 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.63%, 1/20/42 (a) | | | 150 | |
368,443 | | G2 8991 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.75%, 10/20/26 (a) | | | 373 | |
1,057,002 | | G2 AY5132, 3.25%, 7/20/37 | | | 1,047 | |
1,174,167 | | G2 AY5138, 3.25%, 12/20/37 | | | 1,163 | |
190,319 | | G2 MA0312, 3.50%, 8/20/42 | | | 185 | |
218,667 | | G2 MA0387, 3.50%, 9/20/42 | | | 213 | |
1,380,562 | | G2 MA0698 30YR, 3.00%, 1/20/43 | | | 1,330 | |
1,491,790 | | G2 MA1012 30YR, 3.50%, 5/20/43 | | | 1,492 | |
1,318,796 | | G2 MA1089 30YR, 3.00%, 6/20/43 | | | 1,270 | |
1,282,509 | | G2 MA1520 30YR, 3.00%, 12/20/43 | | | 1,235 | |
1,249,421 | | G2 MA2304 30YR, 4.00%, 10/20/44 | | | 1,267 | |
1,124,517 | | G2 MA2522 30YR, 4.00%, 1/20/45 | | | 1,140 | |
808,263 | | G2 MA2767 ARM, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.500%), 1.50%, 4/20/45 (a) | | | 817 | |
544,278 | | G2 MA3454 30YR, 3.50%, 2/20/46 | | | 541 | |
996,166 | | G2 MA3520 30YR, 3.00%, 3/20/46 | | | 959 | |
1,050,865 | | G2 MA3597 30YR, 3.50%, 4/20/46 | | | 1,043 | |
1,723,964 | | G2 MA3662 30YR, 3.00%, 5/20/46 | | | 1,659 | |
1,073,524 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 1,066 | |
926,414 | | G2 MA3735 30YR, 3.00%, 6/20/46 | | | 891 | |
900,063 | | G2 MA3802 30YR, 3.00%, 7/20/46 | | | 866 | |
857,088 | | G2 MA3936 30YR, 3.00%, 9/20/46 | | | 827 | |
577,076 | | G2 MA4003 30YR, 3.00%, 10/20/46 | | | 555 | |
725,056 | | G2 MA4069 30YR, 3.50%, 11/20/46 | | | 711 | |
856,167 | | G2 MA4195 30YR, 3.00%, 1/20/47 | | | 824 | |
545,650 | | G2 MA4197 30YR, 4.00%, 1/20/47 | | | 553 | |
837,169 | | G2 MA4262 30YR, 3.50%, 2/20/47 | | | 828 | |
1,005,690 | | G2 MA4321 30YR, 3.50%, 3/20/47 | | | 994 | |
617,310 | | G2 MA4322 30YR, 4.00%, 3/20/47 | | | 626 | |
452,104 | | G2 MA4510 30YR, 3.50%, 6/20/47 | | | 447 | |
977,471 | | G2 MA4719 30YR, 3.50%, 9/20/47 | | | 970 | |
479,419 | | G2 MA4721 30YR, 4.50%, 9/20/47 | | | 500 | |
1,080,310 | | G2 MA4962 30YR, 3.50%, 1/20/48 | | | 1,068 | |
418,462 | | G2 MA5816 30YR, 3.50%, 3/20/49 | | | 411 | |
1,618,394 | | G2 MA6818 30YR, 2.00%, 8/20/50 | | | 1,479 | |
1,890,113 | | G2 MA7051 30YR, 2.00%, 12/20/50 | | | 1,724 | |
2,021,891 | | G2 MA7471 30YR, 2.00%, 7/20/51 | | | 1,842 | |
1,575,135 | | G2 MA7472 30YR, 2.50%, 7/20/51 | | | 1,466 | |
859,493 | | G2 MA7533 30YR, 2.00%, 8/20/51 | | | 785 | |
912,088 | | G2 MA7535 30YR, 3.00%, 8/20/51 | | | 873 | |
10,580,000 | | G2SF 30YR TBA, 2.00%, (b) | | | 9,598 | |
18,500,000 | | G2SF 30YR TBA, 2.50%, (b) | | | 17,167 | |
1,150,000 | | G2SF 30YR TBA, 3.50%, (b) | | | 1,125 | |
214,137 | | GN 366983 30YR, 4.00%, 6/15/41 | | | 222 | |
542,779 | | GN 455989, 5.00%, 7/15/26 | | | 540 | |
89,828 | | GN 558954, 5.25%, 5/15/29 | | | 92 | |
396,679 | | GN 558956, 4.50%, 6/15/29 | | | 408 | |
158,507 | | GN 605099 30YR, 5.50%, 3/15/34 | | | 173 | |
353,304 | | GN 616826 30YR, 5.50%, 1/15/35 | | | 384 | |
764,422 | | GN 710868 30YR, 5.50%, 9/15/39 | | | 837 | |
299,701 | | GN 728153, 5.50%, 10/15/29 | | | 320 | |
113,487 | | GN 728159, 5.25%, 11/15/29 | | | 118 | |
127,669 | | GN 781636 30YR, 5.50%, 7/15/33 | | | 140 | |
153,273 | | GN 781810 30YR, 5.50%, 10/15/34 | | | 168 | |
183,013 | | GN 781811 30YR, 5.00%, 10/15/34 | | | 191 | |
779,229 | | GN 784370 30YR, 4.00%, 7/15/45 | | | 803 | |
1,095,419 | | GN 785986 30YR, 3.00%, 10/15/51 | | | 1,046 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
379,464 | | GNR AF 2012-18, (1 mo. LIBOR USD + 0.300%), 0.89%, 2/20/38 (a) | | $ | 380 | |
396,352 | | GNR AF 2017-68, (1 mo. LIBOR USD + 0.350%), 0.81%, 5/20/47 (a) | | | 396 | |
75,717 | | GNR AH 2015-159, 2.50%, 5/20/43 | | | 75 | |
880,119 | | GNR F 2004-56, (1 mo. LIBOR USD + 0.400%), 0.99%, 6/20/33 (a) | | | 882 | |
206,524 | | GNR FA 2001-35, (1 mo. LIBOR USD + 0.250%), 0.84%, 8/16/31 (a) | | | 207 | |
77,586 | | GNR FA 2002-13, (1 mo. LIBOR USD + 0.500%), 1.09%, 2/16/32 (a) | | | 78 | |
110,748 | | GNR FA 2002-72, (1 mo. LIBOR USD + 0.400%), 0.99%, 10/20/32 (a) | | | 111 | |
50,944 | | GNR FB 2002-72, (1 mo. LIBOR USD + 0.400%), 0.99%, 10/20/32 (a) | | | 51 | |
253,042 | | GNR FB 2007-76, (1 mo. LIBOR USD + 0.500%), 1.09%, 11/20/37 (a) | | | 254 | |
707,280 | | GNR FB 2008-11, (1 mo. LIBOR USD + 0.600%), 1.19%, 2/20/38 (a) | | | 713 | |
447,141 | | GNR FC 2003-71, (1 mo. LIBOR USD + 0.500%), 1.09%, 7/20/33 (a) | | | 449 | |
596,969 | | GNR FC 2007-54, (1 mo. LIBOR USD + 0.260%), 0.85%, 9/20/37 (a) | | | 597 | |
1,131,037 | | GNR FC 2018-91, (1 mo. LIBOR USD + 0.300%), 0.76%, 7/20/48 (a) | | | 1,127 | |
458,204 | | GNR FE 2002-72, (1 mo. LIBOR USD + 0.400%), 0.99%, 10/20/32 (a) | | | 458 | |
422,445 | | GNR FG 2004-86, (1 mo. LIBOR USD + 0.400%), 0.99%, 7/20/34 (a) | | | 424 | |
663,530 | | GNR FH 2004-59, (1 mo. LIBOR USD + 0.250%), 0.84%, 8/16/34 (a) | | | 662 | |
206,857 | | GNR FH 2008-2, (1 mo. LIBOR USD + 0.450%), 1.04%, 1/20/38 (a) | | | 207 | |
774,412 | | GNR FJ 2019-6, (1 mo. LIBOR USD + 0.400%), 0.99%, 1/20/49 (a) | | | 774 | |
967,775 | | GNR FK 2006-60, (1 mo. LIBOR USD + 0.200%), 0.79%, 11/20/36 (a) | | | 967 | |
358,665 | | GNR LF 2011-153, (1 mo. LIBOR USD + 0.250%), 0.84%, 7/16/41 (a) | | | 357 | |
4,784,956 | | GNR ST 2014-79, 1.22%, 7/20/29 (c) | | | 15 | |
815,468 | | GNR UF 2008-67, (1 mo. LIBOR USD + 0.450%), 1.04%, 6/20/38 (a) | | | 818 | |
Total Mortgage Backed (Cost - $115,787) | | | 109,309 | |
Investment Company (1%) | | | | |
933,558 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $934) | | | 934 | |
Total Investments (Cost - $116,721) (135%) | | | 110,243 | |
Liabilities in excess of Other Assets (-35%) | | | (28,803) | |
Net Assets (100%) | | $ | 81,440 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. |
| (b) | Security was purchased on a delayed delivery basis. |
| (c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
See notes to financial statements.
26 Payden Mutual Funds
The Fund seeks a high level of total return that is consistent with preservation of capital.
| | | | |
| Portfolio Composition - percent of investments | |
Corporate Bond | | | 31 | % |
Mortgage Backed | | | 26 | % |
U.S. Treasury | | | 23 | % |
Asset Backed | | | 8 | % |
Foreign Government | | | 5 | % |
Other | | | 7 | % |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (8%) | | | | |
2,600,000 | | ACRES Commercial Realty Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 1.200%), 1.75%, 6/15/36 (a)(b) | | $ | 2,567 | |
2,760,000 | | ACRES Commercial Realty Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 2.650%), 3.20%, 6/15/36 (a)(b) | | | 2,730 | |
3,000,000 | | Anchorage Capital CLO 9 Ltd. 2016-9A 144A, (3 mo. LIBOR USD + 3.600%), 4.64%, 7/15/32 (a)(b) | | | 2,989 | |
1,218,300 | | Arbys Funding LLC 2020-1A 144A, 3.24%, 7/30/50 (a) | | | 1,142 | |
3,065,000 | | Atrium XII 12A 144A, (3 mo. LIBOR USD + 2.800%), 3.94%, 4/22/27 (a)(b) | | | 2,970 | |
5,500,000 | | BlueMountain EUR CLO DAC 2021-1A 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/34 EUR (a)(b)(c) | | | 5,606 | |
3,200,000 | | Cairn CLO XIII DAC 2021-13A 144A, (3 mo. EURIBOR + 3.400%), 3.40%, 10/20/33 EUR (a)(b)(c) | | | 3,327 | |
2,760,631 | | CARS-DB4 LP 2020-1A 144A, 3.25%, 2/15/50 (a) | | | 2,640 | |
3,225,000 | | Cologix Canadian Issuer LP 2022-1CAN 144A, 4.94%, 1/25/52 CAD (a)(c) | | | 2,389 | |
4,625,000 | | DataBank Issuer 2021-1A 144A, 2.06%, 2/27/51 (a) | | | 4,242 | |
3,635,250 | | Driven Brands Funding LLC 2020-1A 144A, 3.79%, 7/20/50 (a) | | | 3,443 | |
4,357,484 | | Fannie Mae Grantor Trust 2017-T1, 2.90%, 6/25/27 | | | 4,290 | |
4,000,000 | | Hayfin Emerald CLO VI DAC 6A 144A, (3 mo. EURIBOR + 3.500%), 3.50%, 4/15/34 EUR (a)(b)(c) | | | 4,073 | |
2,178,420 | | JPMorgan Chase Bank N.A.-CACLN 2021-1 144A, 28.35%, 9/25/28 (a) | | | 2,653 | |
416,549 | | JPMorgan Chase Bank N.A.-CACLN 2021-2 144A, 2.28%, 12/26/28 (a) | | | 407 | |
2,000,000 | | Madison Park Funding XLVIII Ltd. 2021-48A 144A, (3 mo. LIBOR USD + 2.000%), 3.04%, 4/19/33 (a)(b) | | | 1,984 | |
3,100,000 | | Neuberger Berman Loan Advisers Euro CLO DAC 2021-2A 144A, (3 mo. EURIBOR + 1.030%), 1.03%, 4/15/34 EUR (a)(b)(c) | | | 3,242 | |
3,500,000 | | North Westerly V Leveraged Loan Strategies CLO DAC V-A 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 7/20/34 EUR (a)(b)(c) | | | 3,596 | |
550,000 | | North Westerly VII ESG CLO DAC VII-A 144A, (3 mo. EURIBOR + 2.950%), 2.95%, 5/15/34 EUR (a)(b)(c) | | | 565 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
5,100,000 | | Ocean Trails CLO VII 2019-7A 144A, (3 mo. LIBOR USD + 2.450%), 3.49%, 4/17/30 (a)(b) | | $ | 5,042 | |
3,000,000 | | Palmer Square European CLO DAC 2021-1A 144A, (3 mo. EURIBOR + 3.150%), 3.15%, 4/15/34 EUR (a)(b)(c) | | | 3,097 | |
3,550,000 | | Palmer Square European CLO DAC 2021-2A 144A, (3 mo. EURIBOR + 2.070%), 2.07%, 4/15/35 EUR (a)(b)(c) | | | 3,628 | |
2,277,575 | | Planet Fitness Master Issuer LLC 2019-1A 144A, 3.86%, 12/05/49 (a) | | | 2,083 | |
2,237,979 | | Santander Bank N.A.-SBCLN 2021-1A 144A, 1.83%, 12/15/31 (a) | | | 2,189 | |
4,000,000 | | Sound Point Euro CLO V Funding DAC 5A 144A, (3 mo. EURIBOR + 3.300%), 3.30%, 7/25/35 EUR (a)(b)(c) | | | 4,104 | |
5,100,000 | | Symphony CLO XXIV Ltd. 2020-24A 144A, (3 mo. LIBOR USD + 2.250%), 3.43%, 1/23/32 (a)(b) | | | 5,053 | |
5,000,000 | | TRTX Issuer Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 2.400%), 2.95%, 3/15/38 (a)(b) | | | 4,965 | |
3,448,938 | | Zaxby’s Funding LLC 2021-1A 144A, 3.24%, 7/30/51 (a) | | | 3,125 | |
Total Asset Backed (Cost - $94,703) | | | 88,141 | |
| |
Bank Loans(d) (2%) | | | | |
3,907,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.02%, 11/01/25 | | | 4,183 | |
1,934,731 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 6-Month + 2.750%), 3.76%, 2/05/25 | | | 1,920 | |
3,683,631 | | Numericable U.S. LLC Term Loan B11 1L, (LIBOR USD 3-Month + 2.750%), 3.99%, 7/31/25 | | | 3,624 | |
1,596,000 | | Southwestern Energy Co. Term Loan B 1L, (LIBOR USD 3-Month + 1.500%), 3.30%, 6/22/27 | | | 1,597 | |
3,095,691 | | Standard Industries Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.79%, 9/22/28 | | | 3,091 | |
2,995,172 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.26%, 2/05/27 | | | 2,953 | |
4,488,750 | | Whatabrands LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 8/03/28 | | | 4,446 | |
Total Bank Loans (Cost - $21,697) | | | 21,814 | |
| |
Corporate Bond (33%) | | | | |
| |
Financial (14%) | | | | |
4,500,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (e) | | | 4,468 | |
Semi-Annual Report 27
Payden Core Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,675,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32 | | $ | 1,395 | |
4,000,000 | | Ally Financial Inc., 1.45%, 10/02/23 | | | 3,890 | |
1,700,000 | | American Campus Communities Operating Partnership LP, 2.25%, 1/15/29 | | | 1,582 | |
4,350,000 | | American Tower Corp., 2.30%, 9/15/31 | | | 3,545 | |
2,400,000 | | AmFam Holdings Inc. 144A, 3.83%, 3/11/51 (a) | | | 2,004 | |
1,450,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 1,450 | |
4,000,000 | | Australia & New Zealand Banking Group Ltd. 144A, 4.40%, 5/19/26 (a) | | | 3,981 | |
3,325,000 | | Banco Mercantil del Norte SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.643%), 5.88% (a)(b)(f) | | | 2,985 | |
2,200,000 | | Banco Santander SA, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.900%), 1.72%, 9/14/27 (b) | | | 1,938 | |
3,600,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.010%), 1.20%, 10/24/26 (b) | | | 3,250 | |
5,205,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.060%), 3.56%, 4/23/27 (b) | | | 5,056 | |
2,800,000 | | Bank of Nova Scotia, 1.30%, 6/11/25 | | | 2,600 | |
2,330,000 | | Blackstone Secured Lending Fund, 2.75%, 9/16/26 | | | 2,132 | |
4,975,000 | | Capital One Financial Corp., (U.S. Secured Overnight Financing Rate + 1.337%), 2.36%, 7/29/32 (b) | | | 4,009 | |
2,675,000 | | Charles Schwab Corp. G, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.971%), 5.38% (b)(f) | | | 2,709 | |
4,830,000 | | Cibanco SA Institucion de Banca Multiple Trust CIB/3332 144A, 4.38%, 7/22/31 (a) | | | 3,903 | |
5,170,000 | | Citigroup Inc. W, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.597%), 4.00% (b)(f) | | | 4,705 | |
5,750,000 | | Corebridge Financial Inc. 144A, 3.90%, 4/05/32 (a) | | | 5,401 | |
3,750,000 | | CubeSmart LP, 2.00%, 2/15/31 | | | 3,093 | |
2,250,000 | | Deutsche Bank AG, (U.S. Secured Overnight Financing Rate + 1.219%), 2.31%, 11/16/27 (b) | | | 1,992 | |
2,670,000 | | Equinix Inc., 1.80%, 7/15/27 | | | 2,355 | |
3,550,000 | | Equinix Inc., 2.50%, 5/15/31 | | | 2,986 | |
2,700,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.05%, 2/10/25 (a) | | | 2,575 | |
1,340,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 1,342 | |
2,550,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%), 1.74%, 2/15/23 (b) | | | 2,534 | |
1,385,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 1,363 | |
2,500,000 | | FS KKR Capital Corp. 144A, 4.25%, 2/14/25 (a) | | | 2,405 | |
3,850,000 | | GLP Capital LP/GLP Financing II Inc., 4.00%, 1/15/31 | | | 3,492 | |
1,000,000 | | Goldman Sachs Group Inc., 3.63%, 2/20/24 | | | 1,002 | |
1,315,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,297 | |
4,055,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 3,530 | |
3,100,000 | | Invitation Homes Operating Partnership LP, 4.15%, 4/15/32 | | | 2,966 | |
4,000,000 | | JAB Holdings BV 144A, 2.20%, 11/23/30 (a) | | | 3,323 | |
6,325,000 | | Life Storage LP, 2.20%, 10/15/30 | | | 5,307 | |
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) | | | 4,011 | |
2,350,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b) | | | 2,351 | |
2,750,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.372%), 3.76%, 11/28/28 (a)(b) | | | 2,624 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
6,180,000 | | Mitsubishi UFJ Financial Group Inc., 3.20%, 7/18/29 | | $ | 5,691 | |
4,000,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.628%), 4.43%, 1/23/30 (b) | | | 3,966 | |
6,525,000 | | Nationwide Building Society 144A, 1.50%, 10/13/26 (a) | | | 5,855 | |
1,300,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39 (a) | | | 1,867 | |
2,100,000 | | Ohio National Life Insurance Co. 144A, 6.88%, 6/15/42 (a) | | | 2,276 | |
1,895,000 | | OneMain Finance Corp., 8.88%, 6/01/25 | | | 1,990 | |
3,230,000 | | Owl Rock Capital Corp., 5.25%, 4/15/24 | | | 3,270 | |
2,100,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 2,017 | |
1,450,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39 (a) | | | 2,103 | |
2,475,000 | | Phillips Edison Grocery Center Operating Partnership I LP, 2.63%, 11/15/31 | | | 2,047 | |
2,345,000 | | Protective Life Corp. 144A, 4.30%, 9/30/28 (a) | | | 2,383 | |
4,470,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 4,463 | |
3,575,000 | | Stellantis Finance U.S. Inc. 144A, 2.69%, 9/15/31 (a) | | | 2,960 | |
2,035,000 | | WEA Finance LLC 144A, 4.63%, 9/20/48 (a) | | | 1,740 | |
1,900,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 2.100%), 2.39%, 6/02/28 (b) | | | 1,731 | |
| | | | | | |
| | | | | 155,910 | |
| | | | | | |
Industrial (12%) | | | | |
1,480,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.25%, 3/15/26 (a) | | | 1,352 | |
2,000,000 | | Albion Financing 1 Sarl/Aggreko Holdings Inc. 144A, 6.13%, 10/15/26 (a) | | | 1,864 | |
1,950,000 | | America Movil SAB de CV 144A, 5.38%, 4/04/32 (a) | | | 1,779 | |
3,004,600 | | American Airlines Pass-Through Trust 2019-1, AA, 3.15%, 2/15/32 | | | 2,714 | |
4,810,000 | | AT&T Inc., 4.35%, 3/01/29 | | | 4,861 | |
718,000 | | AT&T Inc., 2.55%, 12/01/33 | | | 597 | |
2,000,000 | | AT&T Inc., 3.50%, 9/15/53 | | | 1,569 | |
3,300,000 | | Bell Canada US-5, 2.15%, 2/15/32 | | | 2,745 | |
4,850,000 | | Boeing Co., 2.20%, 2/04/26 | | | 4,429 | |
1,068,000 | | Broadcom Inc. 144A, 3.14%, 11/15/35 (a) | | | 864 | |
3,680,000 | | Broadcom Inc. 144A, 4.93%, 5/15/37 (a) | | | 3,444 | |
1,920,000 | | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 144A, 5.25%, 4/27/29 (a) | | | 1,826 | |
4,050,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 12/01/61 | | | 3,034 | |
3,205,000 | | Cigna Corp., 4.80%, 8/15/38 | | | 3,203 | |
3,270,000 | | Daimler Finance North America LLC 144A, (3 mo. LIBOR USD + 0.840%), 2.18%, 5/04/23 (a)(b) | | | 3,290 | |
1,165,000 | | Dignity Health, 4.50%, 11/01/42 | | | 1,123 | |
3,425,000 | | DP World Salaam, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.750%), 6.00% (b)(e)(f) | | | 3,482 | |
962,000 | | General Electric Co., 6.75%, 3/15/32 | | | 1,125 | |
5,500,000 | | General Motors Financial Co. Inc., 2.35%, 1/08/31 | | | 4,449 | |
3,475,000 | | Glencore Funding LLC 144A, 3.88%, 4/27/51 (a)(g) | | | 2,857 | |
5,540,000 | | HCA Inc., 5.00%, 3/15/24 | | | 5,673 | |
28 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,700,000 | | Hyundai Capital America 144A, 1.80%, 1/10/28 (a) | | $ | 2,331 | |
2,300,000 | | Indonesia Asahan Aluminium Persero PT 144A, 4.75%, 5/15/25 (a) | | | 2,303 | |
3,000,000 | | Lennar Corp., 4.75%, 11/29/27 | | | 3,011 | |
3,825,000 | | Lowe’s Cos. Inc., 1.70%, 9/15/28 | | | 3,347 | |
3,375,000 | | Magallanes Inc. 144A, 5.14%, 3/15/52 (a) | | | 3,015 | |
3,000,000 | | Mauser Packaging Solutions Holding Co., 4.75%, 4/15/24 EUR (c)(e) | | | 3,111 | |
2,350,000 | | Mozart Debt Merger Sub Inc. 144A, 3.88%, 4/01/29 (a) | | | 2,057 | |
5,150,000 | | Nissan Motor Co. Ltd. 144A, 4.81%, 9/17/30 (a) | | | 4,837 | |
1,045,000 | | Northwell Healthcare Inc., 6.15%, 11/01/43 | | | 1,247 | |
1,500,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 1,355 | |
5,015,000 | | Orange SA, 9.00%, 3/01/31 | | | 6,615 | |
4,200,000 | | Organon & Co./Organon Foreign Debt Co-Issuer BV 144A, 5.13%, 4/30/31 (a) | | | 3,802 | |
3,120,000 | | TELUS Corp., 3.40%, 5/13/32 | | | 2,861 | |
3,555,000 | | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | | | 3,054 | |
4,820,000 | | Toledo Hospital, 6.02%, 11/15/48 | | | 5,080 | |
2,020,000 | | Total Play Telecomunicaciones SA de CV 144A, 6.38%, 9/20/28 (a) | | | 1,685 | |
4,050,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (a) | | | 4,058 | |
4,200,000 | | Verizon Communications Inc., 3.88%, 3/01/52 | | | 3,666 | |
3,400,000 | | VMware Inc., 2.20%, 8/15/31 | | | 2,770 | |
2,400,000 | | Vodafone Group PLC, 5.25%, 5/30/48 | | | 2,393 | |
5,500,000 | | Volkswagen Group of America Finance LLC 144A, 4.25%, 11/13/23 (a) | | | 5,569 | |
3,740,000 | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 144A, 3.88%, 2/01/29 (a) | | | 3,315 | |
| | | | | 127,762 | |
Utility (7%) | | | | |
2,345,535 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | | 2,440 | |
3,590,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (a) | | | 3,094 | |
3,800,000 | | AES Panama Generation Holdings SRL 144A, 4.38%, 5/31/30 (a) | | | 3,387 | |
878,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (a) | | | 879 | |
4,000,000 | | Crescent Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 3,947 | |
4,675,000 | | Duquesne Light Holdings Inc. 144A, 2.78%, 1/07/32 (a) | | | 3,955 | |
2,125,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (a)(e) | | | 1,981 | |
3,511,919 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (a) | | | 3,055 | |
217,410 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (a) | | | 208 | |
748,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 675 | |
2,650,000 | | International Petroleum Corp. 144A, 7.25%, 2/01/27 (a)(e) | | | 2,623 | |
2,100,000 | | Kinder Morgan Inc., 5.30%, 12/01/34 | | | 2,152 | |
3,750,000 | | Kosmos Energy Ltd. 144A, 7.13%, 4/04/26 (a)(g) | | | 3,670 | |
1,980,000 | | Leviathan Bond Ltd. 144A, 6.13%, 6/30/25 (a)(e) | | | 1,973 | |
1,870,000 | | Leviathan Bond Ltd. 144A, 6.75%, 6/30/30 (a)(e)(g) | | | 1,849 | |
3,925,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 3,834 | |
2,850,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 2,848 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,400,000 | | Pattern Energy Operations LP/Pattern Energy Operations Inc. 144A, 4.50%, 8/15/28 (a) | | $ | 2,247 | |
2,810,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 2,478 | |
2,420,000 | | Petroleos Mexicanos, 6.49%, 1/23/27 | | | 2,327 | |
2,500,000 | | Petroleos Mexicanos, 5.95%, 1/28/31 | | | 2,108 | |
3,000,000 | | Plains All American Pipeline LP B, (3 mo. LIBOR USD + 4.110%), 6.13% (b)(f) | | | 2,527 | |
1,983,000 | | Southwestern Energy Co., 8.38%, 9/15/28 | | | 2,146 | |
6,425,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 6,225 | |
3,000,000 | | Tamarack Valley Energy Ltd. 144A, 7.25%, 5/10/27 CAD (a)(c) | | | 2,347 | |
1,430,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (a) | | | 1,290 | |
4,000,000 | | Transocean Inc. 144A, 8.00%, 2/01/27 (a) | | | 3,165 | |
2,650,000 | | Vermilion Energy Inc. 144A, 6.88%, 5/01/30 (a) | | | 2,590 | |
3,000,000 | | Vistra Operations Co. LLC 144A, 3.70%, 1/30/27 (a) | | | 2,814 | |
2,170,000 | | Vistra Operations Co. LLC 144A, 4.30%, 7/15/29 (a) | | | 2,019 | |
| | | | | 76,853 | |
Total Corporate Bond (Cost - $393,433) | | | 360,525 | |
Foreign Government (5%) | | | | |
900,000 | | Bermuda Government International Bond 144A, 3.38%, 8/20/50 (a) | | | 738 | |
5,270,000 | | CPPIB Capital Inc. 144A, 1.95%, 9/30/29 CAD (a)(c) | | | 3,707 | |
2,550,000 | | Dominican Republic International Bond 144A, 5.50%, 2/22/29 (a) | | | 2,393 | |
3,150,000 | | Dominican Republic International Bond 144A, 4.88%, 9/23/32 (a) | | | 2,653 | |
3,100,000 | | Egypt Government International Bond 144A, 7.30%, 9/30/33 (a) | | | 2,330 | |
56,040,000 | | Mexican Bonos Series M 20, 8.50%, 5/31/29 MXN (c) | | | 2,666 | |
8,576,000 | | Mexico Government International Bond, 3.50%, 2/12/34 | | | 7,268 | |
3,700,000 | | Mongolia Government International Bond 144A, 4.45%, 7/07/31 (a) | | | 3,181 | |
3,200,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29 CAD (c) | | | 2,336 | |
4,450,000 | | Republic of Armenia International Bond 144A, 3.60%, 2/02/31 (a) | | | 3,327 | |
192,800,000 | | Republic of South Africa Government Bond Series 2030, 8.00%, 1/31/30 ZAR (c) | | | 10,937 | |
2,825,000 | | Republic of Uzbekistan International Bond 144A, 3.90%, 10/19/31 (a) | | | 2,305 | |
4,650,000 | | Romanian Government International Bond 144A, 2.00%, 4/14/33 EUR (a)(c) | | | 3,595 | |
5,950,000 | | Saudi Government International Bond 144A, 2.25%, 2/02/33 (a) | | | 5,172 | |
Total Foreign Government (Cost - $63,082) | | | 52,608 | |
Mortgage Backed (27%) | | | | |
4,125,000 | | BX Commercial Mortgage Trust 2021-VOLT 144A, (1 mo. LIBOR USD + 2.400%), 2.95%, 9/15/36 (a)(b) | | | 3,982 | |
2,000,000 | | BX Commercial Mortgage Trust 2021-SOAR 144A, (1 mo. LIBOR USD + 1.800%), 2.36%, 6/15/38 (a)(b) | | | 1,942 | |
Semi-Annual Report 29
Payden Core Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,978,261 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 1.500%), 2.05%, 6/15/34 (a)(b) | | $ | 2,915 | |
1,508,311 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 11/25/39 (a)(b) | | | 1,487 | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.92%, 11/25/39 (a)(b) | | | 4,210 | |
4,300,000 | | Eagle RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.050%), 2.34%, 4/25/34 (a)(b) | | | 4,235 | |
1,687,533 | | Fannie Mae Connecticut Avenue Securities 2016- C02, (1 mo. LIBOR USD + 12.250%), 12.92%, 9/25/28 (b) | | | 1,933 | |
1,732,585 | | Fannie Mae Connecticut Avenue Securities 2016- C04, (1 mo. LIBOR USD + 10.250%), 10.92%, 1/25/29 (b) | | | 1,865 | |
498,124 | | Fannie Mae Connecticut Avenue Securities 2016- C05, (1 mo. LIBOR USD + 10.750%), 11.42%, 1/25/29 (b) | | | 544 | |
3,090,439 | | Fannie Mae-Aces 2018-M13, 3.87%, 9/25/30 (h) | | | 3,159 | |
1,924,214 | | FG G60037 30YR, 3.00%, 10/01/43 | | | 1,857 | |
1,642,000 | | FHLMC Multifamily Structured Pass-Through Certificates KG01, 2.94%, 4/25/29 | | | 1,601 | |
828,190 | | FN 254766 30YR, 5.00%, 6/01/33 | | | 882 | |
408,932 | | FN 725027 30YR, 5.00%, 11/01/33 | | | 436 | |
797,749 | | FN 725423 30YR, 5.50%, 5/01/34 | | | 849 | |
755,896 | | FN 725424 30YR, 5.50%, 4/01/34 | | | 805 | |
641,318 | | FN 995023 30YR, 5.50%, 8/01/37 | | | 683 | |
630,937 | | FN 995203 30YR, 5.00%, 7/01/35 | | | 660 | |
564,295 | | FN AH3394 30YR, 4.00%, 1/01/41 | | | 570 | |
542,862 | | FN AJ7689 30YR, 4.00%, 12/01/41 | | | 549 | |
3,522,370 | | FN AL9373 15YR, 2.50%, 10/01/31 | | | 3,454 | |
1,923,355 | | FN AS4168 30YR, 4.00%, 12/01/44 | | | 1,943 | |
1,070,221 | | FN AS7170 30YR, 3.50%, 5/01/46 | | | 1,050 | |
2,742,827 | | FN AS8305 30YR, 3.00%, 11/01/46 | | | 2,630 | |
1,665,265 | | FN AS8710 15YR, 2.50%, 2/01/32 | | | 1,634 | |
1,836,865 | | FN AY4200 30YR, 3.00%, 5/01/45 | | | 1,761 | |
373,094 | | FN AZ3791 30YR, 3.00%, 3/01/46 | | | 357 | |
1,874,589 | | FN AZ7336 30YR, 3.50%, 11/01/45 | | | 1,849 | |
2,787,013 | | FN BC1520 30YR, 3.50%, 8/01/46 | | | 2,748 | |
757,521 | | FN BC2521 30YR, 3.50%, 1/01/46 | | | 755 | |
2,735,553 | | FN BJ3691 30YR, 4.00%, 3/01/48 | | | 2,757 | |
316,504 | | FN BK4740 30YR, 4.00%, 8/01/48 | | | 316 | |
272,019 | | FN BM2007 30YR, 4.00%, 9/01/48 | | | 272 | |
2,045,995 | | FN BP6345 30YR, 3.00%, 6/01/50 | | | 1,939 | |
6,879,934 | | FN BU0141 30YR, 2.00%, 10/01/51 | | | 6,081 | |
4,674,423 | | FN BV3216 30YR, 2.50%, 2/01/52 | | | 4,272 | |
2,884,329 | | FN CA0858 30YR, 3.50%, 12/01/47 | | | 2,816 | |
1,524,011 | | FN CA3666 30YR, 4.00%, 6/01/49 | | | 1,545 | |
3,356,703 | | FN CA6314 30YR, 3.00%, 7/01/50 | | | 3,183 | |
2,718,775 | | FN CA6739 30YR, 3.00%, 8/01/50 | | | 2,576 | |
3,132,088 | | FN CA8023 30YR, 2.50%, 12/01/50 | | | 2,865 | |
7,031,798 | | FN CB2542 30YR, 2.50%, 1/01/52 | | | 6,427 | |
1,049,292 | | FN FM1155 15YR, 2.50%, 6/01/32 | | | 1,030 | |
2,950,856 | | FN FM1717 30YR, 3.50%, 12/01/45 | | | 2,918 | |
2,823,296 | | FN FM2897 30YR, 3.00%, 2/01/48 | | | 2,708 | |
2,614,603 | | FN FM3162 30YR, 3.00%, 11/01/46 | | | 2,519 | |
3,339,727 | | FN FM3936 15YR, 2.50%, 8/01/35 | | | 3,277 | |
1,950,717 | | FN FM4754 30YR, 3.50%, 7/01/47 | | | 1,929 | |
604,156 | | FN FM4990 30YR, 5.00%, 7/01/47 | | | 639 | |
2,425,028 | | FN FM5940 30YR, 2.00%, 2/01/51 | | | 2,148 | |
1,122,100 | | FN FM6651 30YR, 3.00%, 9/01/47 | | | 1,076 | |
| | | | | | |
Principal or
Shares | | Security Description | | Value
(000) | |
2,725,710 | | FN FM7194 30YR, 2.50%, 3/01/51 | | $ | 2,494 | |
2,985,209 | | FN FM7494 30YR, 3.00%, 6/01/51 | | | 2,826 | |
6,520,193 | | FN FM9218 30YR, 2.00%, 10/01/51 | | | 5,763 | |
1,157,830 | | FN FM9750 30YR, 3.00%, 4/01/48 | | | 1,116 | |
7,030,338 | | FN FS0287 30YR, 2.00%, 1/01/52 | | | 6,220 | |
7,021,833 | | FN FS0349 30YR, 2.00%, 1/01/52 | | | 6,212 | |
223,343 | | FN MA2671 30YR, 3.50%, 7/01/46 | | | 220 | |
190,449 | | FN MA2929 30YR, 3.50%, 3/01/47 | | | 187 | |
424,480 | | FN MA3238 30YR, 3.50%, 1/01/48 | | | 416 | |
6,467,528 | | FN MA4437 30YR, 2.00%, 10/01/51 | | | 5,717 | |
6,060,000 | | FNCL, 2.00%, 30YR TBA (i) | | | 5,346 | |
5,210,000 | | FNCL, 2.50%, 30YR TBA (i) | | | 4,753 | |
12,790,000 | | FNCL, 3.00%, 30YR TBA (i) | | | 12,062 | |
13,610,000 | | FNCL, 3.50%, 30YR TBA (i) | | | 13,203 | |
7,760,000 | | FNCL, 4.00%, 30YR TBA (i) | | | 7,694 | |
1,547,924 | | FR QN1106 15YR, 3.00%, 12/01/34 | | | 1,532 | |
5,705,798 | | FR RA4531 30YR, 2.50%, 2/01/51 | | | 5,220 | |
7,754,927 | | FR RA6528 30YR, 2.50%, 2/01/52 | | | 7,088 | |
5,789,115 | | FR SB8509 15YR, 2.00%, 1/01/36 | | | 5,435 | |
558,650 | | FR SD0666 30YR, 2.50%, 8/01/51 | | | 511 | |
5,250,620 | | FR SD0674 30YR, 2.50%, 9/01/51 | | | 4,800 | |
7,329,284 | | FR SD0729 30YR, 2.00%, 10/01/51 | | | 6,485 | |
7,013,107 | | FR SD7537 30YR, 2.00%, 3/01/51 | | | 6,209 | |
578,831 | | FR SD8064 30YR, 4.00%, 5/01/50 | | | 580 | |
619,367 | | FR ZA4718 30YR, 3.00%, 10/01/46 | | | 594 | |
3,055,693 | | FR ZT0534 30YR, 3.50%, 12/01/47 | | | 3,008 | |
3,696,008 | | FR ZT1416 15YR, 3.00%, 7/01/33 | | | 3,661 | |
1,329,799 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 9/25/49 (a)(b) | | | 1,328 | |
5,830,000 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.250%), 2.54%, 8/25/33 (a)(b) | | | 5,727 | |
44,223 | | Freddie Mac STACR REMIC Trust 2021-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.650%), 0.94%, 1/25/34 (a)(b) | | | 44 | |
1,601,398 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.800%), 3.09%, 10/25/50 (a)(b) | | | 1,614 | |
192,453 | | Freddie Mac STACR REMIC Trust 2020-DNA6 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.900%), 1.19%, 12/25/50 (a)(b) | | | 192 | |
5,250,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.800%), 2.09%, 1/25/51 (a)(b) | | | 5,145 | |
761,441 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.32%, 1/25/49 (a)(b) | | | 769 | |
2,960,768 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 2.07%, 2/25/49 (a)(b) | | | 2,924 | |
647,494 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 4/25/49 (a)(b) | | | 651 | |
1,680,019 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA3, (1 mo. LIBOR USD + 11.250%), 11.92%, 12/25/28 (b) | | | 1,888 | |
1,236,959 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA1, (1 mo. LIBOR USD + 10.000%), 10.67%, 7/25/29 (b) | | | 1,247 | |
30 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,200,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 4.600%), 5.27%, 12/25/42 (b) | | $ | 1,203 | |
1,975,504 | | G2 4853 30YR, 4.00%, 11/20/40 | | | 2,022 | |
1,182,085 | | G2 5115 30YR, 4.50%, 7/20/41 | | | 1,242 | |
703,096 | | G2 5139 30YR, 4.00%, 8/20/41 | | | 720 | |
52,691 | | G2 5140 30YR, 4.50%, 8/20/41 | | | 55 | |
1,050,071 | | G2 5174 30YR, 4.00%, 9/20/41 | | | 1,075 | |
741,944 | | G2 5175 30YR, 4.50%, 9/20/41 | | | 780 | |
246,991 | | G2 5233 30YR, 4.00%, 11/20/41 | | | 253 | |
4,414,805 | | G2 785219 30YR, 2.00%, 12/20/50 | | | 3,955 | |
602,594 | | G2 MA2522 30YR, 4.00%, 1/20/45 | | | 611 | |
1,498,875 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 1,488 | |
4,281,451 | | G2 MA3802 30YR, 3.00%, 7/20/46 | | | 4,120 | |
345,566 | | G2 MA4126 30YR, 3.00%, 12/20/46 | | | 332 | |
1,571,070 | | G2 MA4510 30YR, 3.50%, 6/20/47 | | | 1,552 | |
182,445 | | G2 MA5265 30YR, 4.50%, 6/20/48 | | | 188 | |
2,608,383 | | G2 MA6930 30YR, 2.00%, 10/20/50 | | | 2,383 | |
7,514,322 | | G2 MA7472 30YR, 2.50%, 7/20/51 | | | 6,992 | |
492,786 | | G2 MA7766 30YR, 2.00%, 12/20/51 | | | 450 | |
3,100,000 | | G2SF, 3.00%, 30YR TBA (i) | | | 2,955 | |
2,080,000 | | G2SF, 4.00%, 30YR TBA (i) | | | 2,077 | |
2,795,790 | | GN 783716 30YR, 3.00%, 2/15/43 | | | 2,690 | |
705,917 | | GN 784182 30YR, 4.50%, 8/15/46 | | | 746 | |
3,385,839 | | GN 785986 30YR, 3.00%, 10/15/51 | | | 3,232 | |
401,638 | | GN AA5452 30YR, 3.50%, 7/15/42 | | | 399 | |
500,000 | | Home RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.250%), 1.54%, 1/25/34 (a)(b) | | | 497 | |
3,000,000 | | Home RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.600%), 1.89%, 1/25/34 (a)(b) | | | 2,951 | |
633,364 | | JP Morgan Mortgage Trust 2014-2 144A, 3.00%, 6/25/29 (a)(h) | | | 613 | |
8,075 | | Landmark Mortgage Securities No 1 PLC 1, (3 mo. LIBOR GBP + 0.220%), 1.26%, 6/17/38 GBP (b)(c)(e) | | | 10 | |
1,164,780 | | Last Mile Logistics Pan Euro Finance DAC 1A 144A, (3 mo. EURIBOR + 1.900%), 1.90%, 8/17/33 EUR (a)(b)(c) | | | 1,216 | |
1,200,000 | | MF1 Ltd. 2020-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 2.964%), 3.47%, 7/15/35 (a)(b) | | | 1,203 | |
14,819,142 | | Morgan Stanley Capital I Trust 2018-H3, 0.99%, 7/15/51 (h) | | | 528 | |
208,076 | | Nationstar Mortgage Loan Trust 2013-A 144A, 3.75%, 12/25/52 (a)(h) | | | 200 | |
395,474 | | New Residential Mortgage Loan Trust 2014-3A 144A, 3.75%, 11/25/54 (a)(h) | | | 389 | |
1,128,323 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.92%, 2/25/47 (a)(b) | | | 1,123 | |
3,325,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 3.07%, 2/25/47 (a)(b) | | | 3,316 | |
1,300,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%),
11.17%, 2/25/47 (a)(b) | | | 1,417 | |
Total Mortgage Backed (Cost - $319,632) | | | 302,502 | |
Municipal (3%) | | | | |
3,900,000 | | California Health Facilities Financing Authority, 2.86%, 6/01/31 | | | 3,487 | |
1,150,000 | | California Pollution Control Financing Authority, AMT 144A, 7.50%, 12/01/39 (a)(j) | | | 29 | |
970,000 | | City of Portland OR C, 7.70%, 6/01/22 | | | 975 | |
3,625,000 | | City of San Francisco CA Public Utilities Commission Water Revenue E, 2.83%, 11/01/41 | | | 2,882 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
2,565,000 | | Compton Community College District B, 3.46%, 8/01/38 | | $ | 2,230 | |
3,285,000 | | Golden State Tobacco Securitization Corp. B, 2.75%, 6/01/34 | | | 2,829 | |
5,265,000 | | Los Angeles Community College District, 1.17%, 8/01/26 | | | 4,823 | |
4,680,000 | | New York State Dormitory Authority C, 1.54%, 3/15/27 | | | 4,234 | |
3,000,000 | | Redondo Beach Community Financing Authority A, 1.98%, 5/01/29 | | | 2,580 | |
4,000,000 | | State of California, 3.38%, 4/01/25 | | | 4,016 | |
1,495,000 | | State of California, 7.55%, 4/01/39 | | | 2,057 | |
365,000 | | University of California J, 3.26%, 5/15/24 | | | 368 | |
Total Municipal (Cost - $34,277) | | | 30,510 | |
U.S. Treasury (25%) | | | | |
7,120,000 | | U.S. Treasury Bill, 0.15%, 5/05/22 (k) | | | 7,120 | |
16,900,000 | | U.S. Treasury Bill, 0.50%, 6/30/22 (k) | | | 16,881 | |
32,899,000 | | U.S. Treasury Bond, 2.50%, 2/15/46 | | | 29,202 | |
15,410,000 | | U.S. Treasury Bond, 3.00%, 2/15/49 (l)(m) | | | 15,296 | |
26,859,000 | | U.S. Treasury Bond, 2.38%, 11/15/49 | | | 23,634 | |
14,295,000 | | U.S. Treasury Bond, 2.00%, 2/15/50 | | | 11,544 | |
21,870,000 | | U.S. Treasury Bond, 1.88%, 2/15/51 | | | 17,147 | |
22,970,000 | | U.S. Treasury Bond, 2.38%, 5/15/51 | | | 20,230 | |
9,660,000 | | U.S. Treasury Bond, 2.00%, 8/15/51 | | | 7,807 | |
3,210,000 | | U.S. Treasury Bond, 1.88%, 11/15/51 | | | 2,519 | |
2,040,000 | | U.S. Treasury Note, 0.25%, 8/31/25 | | | 1,867 | |
15,537,000 | | U.S. Treasury Note, 0.38%, 1/31/26 | | | 14,124 | |
18,320,000 | | U.S. Treasury Note, 0.63%, 7/31/26 | | | 16,618 | |
2,674,000 | | U.S. Treasury Note, 1.13%, 10/31/26 | | | 2,468 | |
22,400,000 | | U.S. Treasury Note, 2.75%, 4/30/27 | | | 22,209 | |
41,780,000 | | U.S. Treasury Note, 1.38%, 11/15/31 | | | 36,489 | |
28,701,000 | | U.S. Treasury Note, 1.88%, 2/15/32 | | | 26,212 | |
Total U.S. Treasury (Cost - $311,214) | | | 271,367 | |
Investment Company (2%) | | | | |
24,800,111 | | Payden Cash Reserves Money Market Fund * | | | 24,800 | |
| | (Cost - $24,800) | | | | |
Total Investments (Cost - $1,262,838) (105%) | | | 1,152,267 | |
Liabilities in excess of Other Assets (-5%) | | | (51,019) | |
Net Assets (100%) | | $ | 1,101,248 | |
| | | | | | |
Semi-Annual Report 31
Payden Core Bond Fund continued
| (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, 2022. |
| (c) | Principal in foreign currency. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (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) | Perpetual security with no stated maturity date. |
| (g) | All or a portion of these securities are on loan. At April 30, 2022, the total market value of the Fund’s securities on loan is $2,821 and the total market value of the collateral held by the Fund is $2,942. 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. |
| (i) | Security was purchased on a delayed delivery basis. |
| (j) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (k) | Yield to maturity at time of purchase. |
| (l) | All or a portion of the security is pledged to cover futures contract margin requirements. |
| (m) | 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: | | | | | | | | | | | | | | | | |
USD 12,643 | | ZAR 186,000 | | Citibank, N.A. | | | 07/19/2022 | | | $ | 968 | | | | | |
USD 48,620 | | EUR 43,937 | | Citibank, N.A. | | | 09/15/2022 | | | | 1,888 | | | | | |
USD 3,188 | | MXN 64,100 | | HSBC Bank USA, N.A. | | | 07/19/2022 | | | | 96 | | | | | |
USD 11,908 | | CAD 15,246 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | 46 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | 2,998 | | | | | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
IDR 88,027,000 | | USD 6,133 | | Citibank, N.A. | | | 07/12/2022 | | | | (88 | ) | | | | |
SGD 8,200 | | USD 6,039 | | Citibank, N.A. | | | 07/12/2022 | | | | (110 | ) | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | (198 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | $ | 2,800 | | | | | |
| | | | | | | | | | | | | | | | |
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-22 | | | $ | 16,320 | | | $ | (1,618 | ) | | $ | (1,618) | |
U.S. Treasury 10-Year Note Future | | 190 | | | | | | | | | | | Jun-22 | | | | 22,640 | | | | (1,414 | ) | | | (1,414) | |
U.S. Treasury 2-Year Note Future | | 584 | | | | | | | | | | | Jun-22 | | | | 123,115 | | | | (2,157 | ) | | | (2,157) | |
U.S. Treasury 5-Year Note Future | | 533 | | | | | | | | | | | Jun-22 | | | | 60,054 | | | | (2,712 | ) | | | (2,712) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (7,901) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10-Year Ultra Future | | 853 | | | | | | | | | | | Jun-22 | | | | (110,037 | ) | | | 9,000 | | | | 9,000 | |
U.S. Ultra Bond Future | | 119 | | | | | | | | | | | Jun-22 | | | | (19,092 | ) | | | 2,622 | | | | 2,622 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 11,622 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | | | | $3,721 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
32 Payden Mutual Funds
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront payments/ receipts (000s) | | | Unrealized
Appreciation
(000s) | |
10-Year Interest Rate Swap, Pay Fixed 1.2975% Semi- Annually, Receive Variable 0.30886% (3-Month USD LIBOR) Quarterly | | | 08/02/2031 | | | $ | 20,008 | | | $ | 2,687 | | | $ | — | | | $ | 2,687 | |
Open Centrally Cleared Zero-Coupon Inflation Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront payments/ receipts (000s) | | | Unrealized
Depreciation
(000s) | |
10 Year Zero-Coupon Inflation Swap, Receive Fixed 2.5825% at Maturity, Pay Variable (Change in CPI) at Maturity | | | 08/02/2031 | | | $ | 17,363 | | | $ | (1,682 | ) | | $ | — | | | $ | (1,682 | ) |
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 | | $ | 2,821 | |
Non-cash Collateral2 | | | (2,821 | ) |
| | | | |
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, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
Semi-Annual Report 33
Payden Corporate Bond Fund
The Fund seeks a high level of total return that is consistent with preservation of capital.
| | | | |
| Portfolio Composition - percent of investments | |
Financial Services | | | 15 | % |
Banking | | | 13 | % |
Energy | | | 8 | % |
Telecommunications | | | 7 | % |
Basic Industry | | | 7 | % |
Other | | | 50 | % |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (4%) | | | | |
2,300,000 | | Benefit Street Partners CLO XVII Ltd. 2019- 17A 144A, (3 mo. LIBOR USD + 1.080%), 2.12%, 7/15/32 (a)(b) | | $ | 2,281 | |
1,400,000 | | CIFC Funding Ltd. 2021-4A 144A, (3 mo. LIBOR USD + 2.900%), 3.94%, 7/15/33 (a)(b) | | | 1,389 | |
891,000 | | Domino’s Pizza Master Issuer LLC 2021-1A 144A, 2.66%, 4/25/51 (a) | | | 802 | |
2,000,000 | | HERA Commercial Mortgage Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 1.950%), 2.50%,
2/18/38 (a)(b) | | | 1,935 | |
2,000,000 | | KREF Ltd. 2022-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 1.450%), 1.97%, 2/17/39 (a)(b) | | | 1,958 | |
1,900,000 | | Planet Fitness Master Issuer LLC 2022-1A 144A, 3.25%, 12/05/51 (a) | | | 1,775 | |
1,609,333 | | Textainer Marine Containers Ltd. 2021-3A 144A, 1.94%, 8/20/46 (a) | | | 1,430 | |
2,350,000 | | VB-S1 Issuer LLC-VBTEL 2022-1A 144A, 4.29%, 2/15/52 (a) | | | 2,245 | |
1,513,563 | | Zaxby’s Funding LLC 2021-1A, 144A, 3.24%, 7/30/51 (a) | | | 1,371 | |
| | | | | | |
Total Asset Backed (Cost - $15,963) | | | 15,186 | |
| | | | | | |
Bank Loans(c) (1%) | | | | |
1,000,000 | | Air Canada Term Loan B 1L, (LIBOR USD 3-Month + 3.500%), 4.25%, 8/11/28 | | | 992 | |
978,875 | | DIRECTV Financing LLC Term Loan 1L, (LIBOR USD 1-Month + 5.000%), 5.76%, 2/27/27 | | | 976 | |
648,375 | | Southwestern Energy Co. Term Loan B 1L, (LIBOR USD 1-Month + 1.500%), 3.30%, 6/22/27 | | | 649 | |
| | | | | | |
Total Bank Loans (Cost - $2,606) | | | 2,617 | |
| | | | | | |
Corporate Bond (93%) | | | | |
Automotive (6%) | | | | |
1,285,000 | | Daimler Trucks Finance North America LLC 144A, 2.38%, 12/14/28 (a) | | | 1,134 | |
3,250,000 | | Ford Motor Credit Co. LLC, 2.30%, 2/10/25 | | | 3,022 | |
1,800,000 | | Ford Motor Credit Co. LLC, 2.90%, 2/16/28 | | | 1,546 | |
1,020,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 1,021 | |
1,025,000 | | Ford Motor Credit Co. LLC, 3.09%, 1/09/23 | | | 1,027 | |
600,000 | | Ford Motor Credit Co. LLC, 3.10%, 5/04/23 | | | 594 | |
400,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 394 | |
1,200,000 | | General Motors Co., 6.75%, 4/01/46 | | | 1,300 | |
1,700,000 | | Hyundai Capital America 144A, 1.80%, 10/15/25 (a) | | | 1,569 | |
1,755,000 | | Hyundai Capital America 144A, 1.80%, 1/10/28 (a) | | | 1,515 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
950,000 | | Kia Corp. 144A, 1.75%, 10/16/26 (a) | | $ | 866 | |
3,275,000 | | Nissan Motor Co. Ltd. 144A, 4.35%, 9/17/27 (a) | | | 3,125 | |
2,300,000 | | Nissan Motor Co. Ltd. 144A, 4.81%, 9/17/30 (a) | | | 2,160 | |
1,150,000 | | Stellantis Finance U.S. Inc. 144A, 2.69%, 9/15/31 (a) | | | 952 | |
1,705,000 | | Volkswagen Group of America Finance LLC 144A, 4.25%, 11/13/23 (a) | | | 1,726 | |
1,815,000 | | ZF North America Capital Inc. 144A, 4.75%, 4/29/25 (a) | | | 1,777 | |
| | | | | | |
| | | | | 23,728 | |
| | | | | | |
Banking (13%) | | | | |
2,325,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.010%), 1.20%, 10/24/26 (b) | | | 2,099 | |
1,800,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.870%), 2.46%, 10/22/25 (b) | | | 1,735 | |
3,085,000 | | Bank of America Corp. N, (U.S. Secured Overnight Financing Rate + 1.220%), 2.65%, 3/11/32 (b) | | | 2,646 | |
1,550,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.560%), 2.97%, 7/21/52 (b) | | | 1,150 | |
1,600,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.970%), 3.46%, 3/15/25 (b) | | | 1,586 | |
975,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.060%), 3.56%, 4/23/27 (b) | | | 947 | |
2,100,000 | | Bank of America Corp., 4.00%, 1/22/25 | | | 2,101 | |
2,600,000 | | Bank of Montreal, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.400%), 3.09%, 1/10/37 (b) | | | 2,189 | |
1,150,000 | | Barclays PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.050%), 2.28%, 11/24/27 (b) | | | 1,036 | |
1,550,000 | | BBVA Bancomer SA 144A, 1.88%, 9/18/25 (a) | | | 1,436 | |
830,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 1.280%), 3.07%, 2/24/28 (b) | | | 781 | |
1,030,000 | | First Midwest Bancorp Inc., 5.88%, 9/29/26 | | | 1,096 | |
1,300,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 1.248%), 2.38%, 7/21/32 (b) | | | 1,076 | |
2,300,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 2,002 | |
2,750,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 1.264%), 2.65%, 10/21/32 (b) | | | 2,322 | |
1,650,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 1.410%), 3.10%, 2/24/33 (b) | | | 1,444 | |
1,115,000 | | Goldman Sachs Group Inc., 3.50%, 4/01/25 | | | 1,100 | |
775,000 | | Intesa Sanpaolo SpA 144A, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.600%), 4.20%, 6/01/32 (a)(b) | | | 643 | |
34 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
2,050,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.180%), 2.55%, 11/08/32 (b) | | $ | 1,738 | |
915,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 2.460%), 3.11%, 4/22/41 (b) | | | 735 | |
910,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 2.440%), 3.11%, 4/22/51 (b) | | | 702 | |
1,025,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.372%), 3.76%, 11/28/28 (a)(b) | | | 978 | |
1,300,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.858%), 1.51%, 7/20/27 (b) | | | 1,159 | |
910,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.990%), 2.19%, 4/28/26 (b) | | | 859 | |
2,000,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.152%), 2.72%, 7/22/25 (b) | | | 1,946 | |
830,000 | | Morgan Stanley, 5.00%, 11/24/25 | | | 853 | |
2,400,000 | | National Australia Bank Ltd. 144A, 2.99%, 5/21/31 (a) | | | 2,053 | |
450,000 | | Santander Holdings USA Inc., 3.24%, 10/05/26 | | | 428 | |
735,000 | | Sumitomo Mitsui Financial Group Inc., 2.45%, 9/27/24 | | | 714 | |
2,450,000 | | UBS Group AG 144A, (3 mo. LIBOR USD + 1.468%), 3.13%, 8/13/30 (a)(b) | | | 2,232 | |
1,000,000 | | Wachovia Corp., 5.50%, 8/01/35 | | | 1,048 | |
3,500,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.500%), 3.35%, 3/02/33 (b) | | | 3,184 | |
4,600,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.510%), 3.53%, 3/24/28 (b) | | | 4,421 | |
| | | | | | |
| | | | | 50,439 | |
| | | | | | |
Basic Industry (7%) | | | | |
1,425,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24 | | | 1,330 | |
1,120,000 | | Aviation Capital Group LLC 144A, 3.88%, 5/01/23 (a) | | | 1,118 | |
935,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (a) | | | 946 | |
1,725,000 | | Berry Global Inc. 144A, 4.88%, 7/15/26 (a) | | | 1,716 | |
4,065,000 | | Boeing Co., 2.20%, 2/04/26 | | | 3,712 | |
1,250,000 | | DAE Funding LLC 144A, 1.55%, 8/01/24 (a) | | | 1,167 | |
2,225,000 | | Equate Petrochemical BV 144A, 2.63%, 4/28/28 (a) | | | 2,028 | |
585,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.50%, 9/15/27 (a) | | | 555 | |
2,200,000 | | Freeport-McMoRan Inc., 5.00%, 9/01/27 | | | 2,229 | |
1,543,000 | | General Electric Co., 6.75%, 3/15/32 | | | 1,805 | |
1,825,000 | | Glencore Funding LLC 144A, 1.63%, 9/01/25 (a) | | | 1,680 | |
900,000 | | International Flavors & Fragrances Inc. 144A, 3.47%, 12/01/50 (a) | | | 698 | |
1,350,000 | | Klabin Austria GmbH 144A, 3.20%, 1/12/31 (a) | | | 1,073 | |
5,900,000 | | Lockheed Martin Corp., 3.90%, 6/15/32 | | | 5,861 | |
785,000 | | Nature Conservancy A, 3.96%, 3/01/52 | | | 743 | |
900,000 | | OCP SA 144A, 3.75%, 6/23/31 (a) | | | 764 | |
600,000 | | Raytheon Technologies Corp., 4.63%, 11/16/48 | | | 613 | |
| | | | | | |
| | | | | 28,038 | |
| | | | | | |
Consumer Goods (3%) | | | | |
1,360,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 3/15/29 (a) | | | 1,147 | |
2,000,000 | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., 4.90%, 2/01/46 | | | 1,974 | |
740,000 | | Anheuser-Busch InBev Worldwide Inc., 8.00%, 11/15/39 | | | 989 | |
904,000 | | Anheuser-Busch InBev Worldwide Inc., 8.20%, 1/15/39 | | | 1,227 | |
1,320,000 | | Coca-Cola Co., 2.60%, 6/01/50 | | | 1,001 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,150,000 | | JDE Peet’s NV 144A, 1.38%, 1/15/27 (a) | | $ | 1,005 | |
195,000 | | Land O’ Lakes Inc. 144A, 6.00%, 11/15/22 (a) | | | 197 | |
2,165,000 | | Land O’ Lakes Inc. 144A, 7.00% (a)(d) | | | 2,212 | |
2,215,000 | | MARB BondCo PLC 144A, 3.95%, 1/29/31 (a) | | | 1,844 | |
1,850,000 | | NIKE Inc., 3.38%, 3/27/50 | | | 1,630 | |
| | | | | | |
| | | | | 13,226 | |
| | | | | | |
Energy (8%) | | | | |
1,745,000 | | Canadian Natural Resources Ltd., 6.25%, 3/15/38 | | | 1,923 | |
1,000,000 | | Cenovus Energy Inc., 6.75%, 11/15/39 | | | 1,137 | |
1,600,000 | | Cenovus Energy Inc., 6.80%, 9/15/37 | | | 1,819 | |
1,350,000 | | Centennial Resource Production LLC 144A, 5.38%, 1/15/26 (a) | | | 1,321 | |
1,825,000 | | Continental Resources Inc. 144A, 2.27%, 11/15/26 (a) | | | 1,669 | |
630,000 | | Crescent Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 622 | |
1,300,000 | | Devon Energy Corp., 5.60%, 7/15/41 | | | 1,355 | |
1,800,000 | | Earthstone Energy Holdings LLC 144A, 8.00%, 4/15/27 (a) | | | 1,797 | |
1,750,000 | | Eastern Gas Transmission & Storage Inc. 144A, 3.00%, 11/15/29 (a) | | | 1,597 | |
1,200,000 | | Enbridge Energy Partners LP, 7.38%, 10/15/45 | | | 1,506 | |
1,200,000 | | Energy Transfer LP, 5.40%, 10/01/47 | | | 1,105 | |
2,500,000 | | Energy Transfer LP, 5.50%, 6/01/27 | | | 2,592 | |
1,000,000 | | Hess Corp., 7.30%, 8/15/31 | | | 1,158 | |
750,000 | | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | | | 824 | |
1,130,000 | | Lundin Energy Finance BV 144A, 3.10%, | | | | |
| | 7/15/31 (a) | | | 986 | |
1,525,000 | | MPLX LP, 5.20%, 12/01/47 | | | 1,438 | |
2,000,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 1,954 | |
410,000 | | Parsley Energy LLC/Parsley Finance Corp. 144A, 4.13%, 2/15/28 (a) | | | 387 | |
1,100,000 | | PDC Energy Inc., 5.75%, 5/15/26 | | | 1,072 | |
815,000 | | Southwestern Energy Co., 4.75%, 2/01/32 | | | 772 | |
575,000 | | Vermilion Energy Inc. 144A, 6.88%, 5/01/30 (a) | | | 562 | |
1,700,000 | | Williams Cos. Inc., 3.75%, 6/15/27 | | | 1,660 | |
2,200,000 | | Williams Cos. Inc., 8.75%, 3/15/32 | | | 2,851 | |
| | | | | | |
| | | | | 32,107 | |
| | | | | | |
Financial Services (16%) | | | | |
925,000 | | AerCap Ireland Capital DAC/AerCap Global | | | | |
| | Aviation Trust, 4.13%, 7/03/23 | | | 924 | |
410,000 | | Aircastle Ltd., 4.13%, 5/01/24 | | | 408 | |
1,795,000 | | Ally Financial Inc., 3.88%, 5/21/24 | | | 1,803 | |
1,851,000 | | American Express Co., 8.15%, 3/19/38 | | | 2,559 | |
1,690,000 | | AmFam Holdings Inc. 144A, 2.81%, 3/11/31 (a) | | | 1,467 | |
1,950,000 | | Ares Capital Corp., 3.25%, 7/15/25 | | | 1,859 | |
1,000,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 1,000 | |
2,000,000 | | 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) | | | 1,648 | |
2,400,000 | | Banco Santander SA, 2.75%, 12/03/30 | | | 1,984 | |
2,075,000 | | Blackstone Private Credit Fund 144A, 1.75%, 9/15/24 (a) | | | 1,941 | |
605,000 | | Blackstone Secured Lending Fund, 2.75%, 9/16/26 | | | 554 | |
1,350,000 | | Capital One Financial Corp., (U.S. Secured Overnight Financing Rate + 1.290%), 2.64%, 3/03/26 (b) | | | 1,296 | |
1,465,000 | | Charles Schwab Corp., 2.90%, 3/03/32 | | | 1,312 | |
Semi-Annual Report 35
Payden Corporate Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
2,300,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 2.107%), 2.57%, 6/03/31 (b) | | $ | 1,976 | |
1,430,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 1.351%), 3.06%, 1/25/33 (b) | | | 1,250 | |
2,500,000 | | Citigroup Inc., 4.45%, 9/29/27 | | | 2,484 | |
3,775,000 | | FS KKR Capital Corp. 144A, 4.25%, 2/14/25 (a) | | | 3,631 | |
1,700,000 | | Host Hotels & Resorts LP I, 3.50%, 9/15/30 | | | 1,531 | |
1,050,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.38%, 2/01/29 | | | 908 | |
1,820,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26 | | | 1,808 | |
1,150,000 | | Jane Street Group/JSG Finance Inc. 144A, 4.50%, 11/15/29 (a) | | | 1,066 | |
1,500,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.065%), 1.95%, 2/04/32 (b) | | | 1,227 | |
5,000,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 3.790%), 4.49%, 3/24/31 (b) | | | 4,991 | |
1,155,000 | | Low Income Investment Fund 2019, 3.71%, 7/01/29 | | | 1,149 | |
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) | | | 2,345 | |
1,600,000 | | Macquarie Group Ltd. 144A, (U.S. Secured Overnight Financing Rate + 1.069%), 1.34%, 1/12/27 (a)(b) | | | 1,422 | |
620,000 | | Mastercard Inc., 3.85%, 3/26/50 | | | 586 | |
1,025,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.020%), 1.93%, 4/28/32 (b) | | | 827 | |
1,700,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.200%), 2.51%, 10/20/32 (b) | | | 1,431 | |
2,020,000 | | MPT Operating Partnership LP/MPT Finance Corp., 5.00%, 10/15/27 | | | 1,941 | |
2,205,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 2,118 | |
1,300,000 | | PayPal Holdings Inc., 3.25%, 6/01/50 | | | 1,031 | |
2,000,000 | | Pershing Square Holdings Ltd. 144A, 5.50%, 7/15/22 (a) | | | 2,007 | |
2,765,000 | | Rocket Mortgage LLC/Rocket Mortgage Co- Issuer Inc. 144A, 4.00%, 10/15/33 (a) | | | 2,220 | |
1,475,000 | | S&P Global Inc. 144A, 2.70%, 3/01/29 (a) | | | 1,356 | |
2,200,000 | | Westpac Banking Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.750%), 2.67%, 11/15/35 (b) | | | 1,806 | |
| | | | | | |
| | | | | 59,866 | |
| | | | | | |
Healthcare (7%) | | | | |
2,160,000 | | AbbVie Inc., 2.95%, 11/21/26 | | | 2,070 | |
920,000 | | AbbVie Inc., 4.25%, 11/21/49 | | | 844 | |
3,120,000 | | Amgen Inc., 3.15%, 2/21/40 | | | 2,520 | |
3,475,000 | | Baxter International Inc. 144A, 2.27%, 12/01/28 (a) | | | 3,098 | |
700,000 | | Bayer U.S. Finance II LLC 144A, 3.88%, 12/15/23 (a) | | | 706 | |
700,000 | | Blue Cross and Blue Shield of Minnesota 144A, 3.79%, 5/01/25 (a) | | | 687 | |
1,625,000 | | Bristol-Myers Squibb Co., 4.25%, 10/26/49 | | | 1,564 | |
700,000 | | Cigna Corp., 4.13%, 11/15/25 | | | 708 | |
895,000 | | Cigna Corp., 4.90%, 12/15/48 | | | 893 | |
110,000 | | Dignity Health, 3.13%, 11/01/22 | | | 110 | |
740,000 | | Dignity Health, 4.50%, 11/01/42 | | | 713 | |
965,000 | | Gilead Sciences Inc., 2.80%, 10/01/50 | | | 694 | |
550,000 | | Jazz Securities DAC 144A, 4.38%, 1/15/29 (a) | | | 507 | |
1,300,000 | | Merck & Co. Inc., 2.35%, 6/24/40 | | | 1,006 | |
175,000 | | Northwell Healthcare Inc., 6.15%, 11/01/43 | | | 209 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
955,000 | | PeaceHealth Obligated Group 2020, 1.38%, 11/15/25 | | $ | 884 | |
1,200,000 | | Perrigo Finance Unlimited Co., 3.90%, 6/15/30 | | | 1,079 | |
1,620,000 | | Royalty Pharma PLC, 2.20%, 9/02/30 | | | 1,355 | |
420,000 | | Teva Pharmaceutical Finance Netherlands III BV, 4.10%, 10/01/46 | | | 301 | |
1,825,000 | | Teva Pharmaceutical Finance Netherlands III BV, 5.13%, 5/09/29 | | | 1,659 | |
850,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4/15/24 | | | 851 | |
1,500,000 | | Teva Pharmaceutical Finance Netherlands III BV, 7.13%, 1/31/25 | | | 1,522 | |
2,175,000 | | Toledo Hospital, 6.02%, 11/15/48 | | | 2,292 | |
1,820,000 | | Viatris Inc., 4.00%, 6/22/50 | | | 1,349 | |
| | | | | | |
| | | | | 27,621 | |
| | | | | | |
Household Products (1%) | | | | |
975,000 | | GSK Consumer Healthcare Capital U.S. LLC 144A, 3.38%, 3/24/27 (a) | | | 944 | |
1,300,000 | | GSK Consumer Healthcare Capital U.S. LLC 144A, 3.63%, 3/24/32 (a) | | | 1,222 | |
2,140,000 | | Procter & Gamble Co., 2.30%, 2/01/32 (e) | | | 1,914 | |
| | | | | | |
| | | | | 4,080 | |
| | | | | | |
Insurance (4%) | | | | |
1,400,000 | | First American Financial Corp., 2.40%, 8/15/31 | | | 1,155 | |
2,115,000 | | Jackson National Life Global Funding 144A, 2.65%, 6/21/24 (a) | | | 2,076 | |
725,000 | | Nationwide Financial Services Inc. 144A, 5.30%, 11/18/44 (a) | | | 736 | |
1,731,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39 (a) | | | 2,486 | |
1,265,000 | | New York Life Insurance Co. 144A, 5.88%, 5/15/33 (a) | | | 1,418 | |
500,000 | | New York Life Insurance Co. 144A, 6.75%, 11/15/39 (a) | | | 622 | |
1,500,000 | | Nippon Life Insurance Co. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.600%), 2.90%, 9/16/51 (a)(b) | | | 1,292 | |
1,700,000 | | Ohio National Life Insurance Co. 144A, 6.88%, 6/15/42 (a) | | | 1,843 | |
450,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39 (a) | | | 652 | |
550,000 | | Teachers Insurance & Annuity Association of America 144A, 4.90%, 9/15/44 (a) | | | 557 | |
2,000,000 | | Teachers Insurance & Annuity Association of America 144A, 6.85%, 12/16/39 (a) | | | 2,440 | |
| | | | | | |
| | | | | 15,277 | |
| | | | | | |
Leisure (1%) | | | | |
1,150,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (a) | | | 1,052 | |
1,875,000 | | Magallanes Inc. 144A, 4.28%, 3/15/32 (a) | | | 1,743 | |
500,000 | | Mattel Inc. 144A, 3.38%, 4/01/26 (a) | | | 487 | |
| | | | | | |
| | | | | 3,282 | |
| | | | | | |
Media (3%) | | | | |
1,820,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.50%, 6/01/41 | | | 1,332 | |
3,860,000 | | Comcast Corp. 144A, 2.89%, 11/01/51 (a) | | | 2,855 | |
766,000 | | Comcast Corp., 6.50%, 11/15/35 | | | 922 | |
1,760,000 | | Fox Corp., 5.58%, 1/25/49 | | | 1,827 | |
575,000 | | Gray Escrow II Inc. 144A, 5.38%, 11/15/31 (a) | | | 496 | |
1,450,000 | | Time Warner Cable LLC, 6.75%, 6/15/39 | | | 1,549 | |
36 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
2,000,000 | | Walt Disney Co., 2.75%, 9/01/49 | | $ | 1,500 | |
475,000 | | Walt Disney Co., 9.50%, 7/15/24 | | | 538 | |
| | | | | | |
| | | | | 11,019 | |
| | | | | | |
Real Estate (4%) | | | | |
70,000 | | Healthpeak Properties Inc., 3.40%, 2/01/25 | | | 70 | |
555,000 | | iStar Inc., 4.75%, 10/01/24 | | | 540 | |
1,900,000 | | iStar Inc., 5.50%, 2/15/26 | | | 1,851 | |
800,000 | | National Retail Properties Inc., 3.90%, 6/15/24 | | | 805 | |
1,125,000 | | Ontario Teachers’ Cadillac Fairview Properties Trust 144A, 2.50%, 10/15/31 (a) | | | 976 | |
1,050,000 | | Physicians Realty LP, 2.63%, 11/01/31 | | | 884 | |
800,000 | | Realty Income Corp., 4.60%, 2/06/24 | | | 816 | |
900,000 | | SBA Communications Corp., 3.13%, 2/01/29 | | | 773 | |
1,200,000 | | Simon Property Group LP, 6.75%, 2/01/40 | | | 1,454 | |
1,750,000 | | Starwood Property Trust Inc. 144A, 3.75%, 12/31/24 (a) | | | 1,686 | |
360,000 | | Toll Brothers Finance Corp., 4.88%, 11/15/25 | | | 360 | |
2,750,000 | | Ventas Realty LP, 4.88%, 4/15/49 | | | 2,720 | |
2,325,000 | | VICI Properties LP, 4.95%, 2/15/30 | | | 2,311 | |
770,000 | | WEA Finance LLC 144A, 4.13%, 9/20/28 (a) | | | 739 | |
980,000 | | WEA Finance LLC 144A, 4.63%, 9/20/48 (a) | | | 838 | |
| | | | | | |
| | | | | 16,823 | |
| | | | | | |
Retail (2%) | | | | |
1,250,000 | | Dick’s Sporting Goods Inc., 3.15%, 1/15/32 (e) | | | 1,045 | |
2,000,000 | | Home Depot Inc., 4.50%, 12/06/48 | | | 2,013 | |
1,325,000 | | Lowe’s Cos. Inc., 5.13%, 4/15/50 | | | 1,363 | |
1,425,000 | | Nordstrom Inc., 4.25%, 8/01/31 (e) | | | 1,210 | |
1,940,000 | | Yum! Brands Inc., 3.63%, 3/15/31 | | | 1,670 | |
| | | | | | |
| | | | | 7,301 | |
| | | | | | |
Service (2%) | | | | |
2,185,000 | | American University 2019, 3.67%, 4/01/49 | | | 1,940 | |
1,850,000 | | California Institute of Technology, 3.65%, 9/01/19 | | | 1,430 | |
1,150,000 | | Ford Foundation 2020, 2.82%, 6/01/70 | | | 821 | |
1,540,000 | | Georgetown University B, 4.32%, 4/01/49 | | | 1,461 | |
1,180,000 | | President and Fellows of Harvard College, 2.52%, 10/15/50 | | | 906 | |
| | | | | | |
| | | | | 6,558 | |
| | | | | | |
Technology (6%) | | | | |
1,305,000 | | Apple Inc., 2.65%, 5/11/50 | | | 997 | |
2,000,000 | | Apple Inc., 4.65%, 2/23/46 | | | 2,121 | |
2,575,000 | | Autodesk Inc., 2.40%, 12/15/31 | | | 2,162 | |
515,000 | | Broadcom Inc. 144A, 3.14%, 11/15/35 (a) | | | 417 | |
1,774,000 | | Broadcom Inc. 144A, 4.93%, 5/15/37 (a) | | | 1,660 | |
1,400,000 | | Dell International LLC/EMC Corp., 4.90%, 10/01/26 | | | 1,431 | |
207,000 | | Dell International LLC/EMC Corp., 8.35%, 7/15/46 | | | 277 | |
1,315,000 | | Microchip Technology Inc., 2.67%, 9/01/23 | | | 1,303 | |
2,800,000 | | Microsoft Corp., 2.53%, 6/01/50 | | | 2,105 | |
2,000,000 | | Oracle Corp., 6.50%, 4/15/38 | | | 2,184 | |
975,000 | | Salesforce Inc., 2.90%, 7/15/51 | | | 765 | |
1,045,000 | | Seagate HDD Cayman, 3.13%, 7/15/29 | | | 884 | |
2,100,000 | | Skyworks Solutions Inc., 3.00%, 6/01/31 | | | 1,748 | |
710,000 | | Take-Two Interactive Software Inc., 3.70%, 4/14/27 | | | 696 | |
1,325,000 | | Take-Two Interactive Software Inc., 4.00%, 4/14/32 | | | 1,263 | |
1,435,000 | | VMware Inc., 2.20%, 8/15/31 | | | 1,169 | |
1,490,000 | | Western Digital Corp., 4.75%, 2/15/26 | | | 1,481 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,725,000 | | Workday Inc., 3.80%, 4/01/32 | | $ | 1,633 | |
| | | | | | |
| | | | | 24,296 | |
| | | | | | |
Telecommunications (7%) | | | | |
1,575,000 | | Alphabet Inc., 2.05%, 8/15/50 | | | 1,087 | |
1,750,000 | | Amazon.com Inc., 3.10%, 5/12/51 | | | 1,444 | |
3,359,000 | | AT&T Inc., 3.50%, 9/15/53 | | | 2,635 | |
3,800,000 | | AT&T Inc., 3.65%, 9/15/59 | | | 2,938 | |
1,760,000 | | British Telecommunications PLC 144A, 4.25%, 11/08/49 (a) | | | 1,504 | |
1,100,000 | | Cogent Communications Group Inc. 144A, 3.50%, 5/01/26 (a) | | | 1,040 | |
1,500,000 | | Deutsche Telekom International Finance BV, 8.75%, 6/15/30 | | | 1,909 | |
1,800,000 | | Juniper Networks Inc., 2.00%, 12/10/30 | | | 1,479 | |
1,150,000 | | MercadoLibre Inc., 2.38%, 1/14/26 | | | 1,039 | |
1,325,000 | | NBN Co. Ltd. 144A, 1.63%, 1/08/27 (a) | | | 1,186 | |
2,475,000 | | Orange SA, 9.00%, 3/01/31 | | | 3,264 | |
1,100,000 | | TELUS Corp., 4.60%, 11/16/48 | | | 1,092 | |
1,500,000 | | T-Mobile USA Inc., 3.88%, 4/15/30 | | | 1,422 | |
1,217,000 | | Verizon Communications Inc. 144A, 2.36%, 3/15/32 (a) | | | 1,023 | |
2,000,000 | | Vodafone Group PLC, 5.25%, 5/30/48 | | | 1,994 | |
| | | | | | |
| | | | | 25,056 | |
| | | | | | |
Transportation (1%) | | | | |
1,323,985 | | American Airlines Class A Pass-Through Trust 2019-1, A, 3.50%, 2/15/32 | | | 1,156 | |
1,381,938 | | American Airlines Pass-Through Trust 2019-1, AA, 3.15%, 2/15/32 | | | 1,248 | |
| | | | | | |
| | | | | 2,404 | |
| | | | | | |
Utility (2%) | | | | |
1,050,000 | | Basin Electric Power Cooperative 144A, 4.75%, 4/26/47 (a) | | | 923 | |
244,000 | | Berkshire Hathaway Energy Co., 6.13%, 4/01/36 | | | 278 | |
660,000 | | KeySpan Gas East Corp. 144A, 5.82%, 4/01/41 (a) | | | 707 | |
1,780,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 1,837 | |
2,600,000 | | Pacific Gas and Electric Co., 1.75%, 6/16/22 | | | 2,598 | |
317,640 | | Solar Star Funding LLC 144A, 3.95%, 6/30/35 (a) | | | 314 | |
1,755,000 | | Southern California Edison Co., (Secured Overnight Financing Rate + 0.830%), 1.42%, 4/01/24 (b) | | | 1,757 | |
| | | | | | |
| | | | | 8,414 | |
| | | | | | |
Total Corporate Bond (Cost - $396,081) | | | 359,535 | |
| | | | | | |
Foreign Government (0%) | | | | |
1,885,000 | | Corp. Financiera de Desarrollo SA 144A, 2.40%, 9/28/27 (a) (Cost - $1,883) | | | 1,656 | |
| | | | | | |
Mortgage Backed (1%) | | | | |
2,000,000 | | BXMT Ltd. 2020-FL2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.064%), 2.33%, 2/15/38 (a)(b) | | | 1,960 | |
2,000,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 1.430%), 1.98%, 5/15/36 (a)(b) | | | 1,981 | |
200,781 | | Freddie Mac STACR REMIC Trust 2020-HQA3 144A, (1 mo. LIBOR USD + 3.600%), 4.27%, 7/25/50 (a)(b) | | | 201 | |
| | | | | | |
Total Mortgage Backed (Cost - $4,210) | | | 4,142 | |
| | | | | | |
Semi-Annual Report 37
Payden Corporate Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Municipal (1%) | | | | |
1,200,000 | | Bay Area Toll Authority, 3.55%, 4/01/54 | | $ | 1,017 | |
1,050,000 | | Michigan Finance Authority D, 5.02%, 11/01/43 | | | 1,113 | |
1,170,000 | | University of California BG, 1.32%, 5/15/27 | | | 1,043 | |
| | | | | | |
Total Municipal (Cost - $3,420) | | | 3,173 | |
Investment Company (1%) | | | | |
3,597,987 | | Payden Cash Reserves Money Market Fund * (Cost - $3,598) | | | 3,598 | |
| | | | | | |
Total Investments (Cost - $427,761) (101%) | | | 389,907 | |
Liabilities in excess of Other Assets (-1%) | | | (3,088) | |
Net Assets (100%) | | $ | 386,819 | |
| (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, 2022. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (d) | Perpetual security with no stated maturity date. |
| (e) | All or a portion of these securities are on loan. At April 30, 2022, the total market value of the Fund’s securities on loan is $1,375 and the total market value of the collateral held by the Fund is $1,473. 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-22 | | | $ | 11,818 | | | $ | (1,172 | ) | | $ | (1,172 | ) |
U.S. Treasury 10-Year Note Future | | 173 | | | | | Jun-22 | | | | 20,614 | | | | (1,287 | ) | | | (1,287) | |
U.S. Treasury 2-Year Note Future | | 109 | | | | | Jun-22 | | | | 22,979 | | | | (402 | ) | | | (402) | |
U.S. Ultra Bond Future | | 21 | | | | | Jun-22 | | | | 3,369 | | | | (262 | ) | | | (262) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (3,123) | |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | |
U.S. 10-Year Ultra Future | | 209 | | | | | Jun-22 | | | | (26,961 | ) | | | 2,205 | | | | 2,205 | |
| | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | $ | (918 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 1,375 | |
Non-cash Collateral2 | | | (1,375 | ) |
| | | | |
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, 2022, 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 Strategic Income Fund
The Fund seeks a high level of total return combined with income generation that is consistent with preservation of capital.
| | | | |
Portfolio Composition - percent of investments | |
Corporate Bond | | | 44% | |
U.S. Treasury | | | 16% | |
Asset Backed | | | 15% | |
Mortgage Backed | | | 9% | |
Foreign Government | | | 4% | |
Other | | | 12% | |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (15%) | | | | |
450,000 | | ACRES Commercial Realty Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 1.200%), 1.75%,
6/15/36 (a)(b) | | $ | 444 | |
400,000 | | ACRES Commercial Realty Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 2.650%), 3.20%,
6/15/36 (a)(b) | | | 396 | |
216,150 | | Arbys Funding LLC 2020-1A 144A, 3.24%, 7/30/50 (a) | | | 203 | |
500,000 | | Atrium XII 12A 144A, (3 mo. LIBOR USD + 2.800%), 3.94%, 4/22/27 (a)(b) | | | 485 | |
1,000,000 | | BDS Ltd. 2021-FL7 144A, (1 mo. LIBOR USD + 2.350%), 2.90%, 6/16/36 (a)(b) | | | 990 | |
700,000 | | Blackrock European CLO VII DAC 7A 144A, (3 mo. EURIBOR + 1.300%), 1.30%, 10/15/31 EUR (a)(b)(c) | | | 730 | |
450,000 | | BlueMountain CLO Ltd. 2015-3A 144A, (3 mo. LIBOR USD + 2.600%), 3.66%, 4/20/31 (a)(b) | | | 425 | |
550,000 | | BlueMountain EUR CLO DAC 2021-1A 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/34 EUR (a)(b)(c) | | | 561 | |
600,000 | | BRSP Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 2.700%), 3.25%, 8/19/38 (a)(b) | | | 591 | |
450,000 | | Cairn CLO XIII DAC 2021-13A 144A, (3 mo. EURIBOR + 3.400%), 3.40%, 10/20/33 EUR (a)(b)(c) | | | 468 | |
500,000 | | Carlyle CLO Ltd. C17A 144A, (3 mo. LIBOR USD + 2.800%), 4.09%, 4/30/31 (a)(b) | | | 493 | |
230,000 | | CARS-DB4 LP 2020-1A 144A, 4.17%, 2/15/50 (a) | | | 224 | |
360,000 | | CARS-DB4 LP 2020-1A 144A, 4.95%, 2/15/50 (a) | | | 343 | |
600,000 | | CIFC European Funding CLO II DAC 2A 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 4/15/33 EUR (a)(b)(c) | | | 626 | |
400,000 | | CIFC Funding Ltd. 2013-3RA 144A, (3 mo. LIBOR USD + 2.900%), 4.08%, 4/24/31 (a)(b) | | | 395 | |
675,000 | | Cologix Canadian Issuer LP 2022-1CAN 144A, 4.94%, 1/25/52 CAD (a)(c) | | | 500 | |
1,188,825 | | Driven Brands Funding LLC 2020-1A 144A, 3.79%, 7/20/50 (a) | | | 1,126 | |
700,000 | | Dryden CLO Ltd. 2018-55A 144A, (3 mo. LIBOR USD + 1.020%), 2.06%, 4/15/31 (a)(b) | | | 696 | |
400,000 | | Dryden XXVI Senior Loan Fund 2013-26A 144A, (3 mo. LIBOR USD + 5.540%), 6.58%,
4/15/29 (a)(b) | | | 385 | |
1,050,000 | | FS RIALTO 2021-FL2 144A, (1 mo. LIBOR USD + 2.050%), 2.60%, 5/16/38 (a)(b) | | | 1,033 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
675,000 | | Galaxy XXIII CLO Ltd. 2017-23A 144A, (3 mo. LIBOR USD + 3.400%), 4.58%, 4/24/29 (a)(b) | | $ | 671 | |
500,000 | | Hayfin Emerald CLO VI DAC 6A 144A, (3 mo. EURIBOR + 3.500%), 3.50%, 4/15/34 EUR (a) (b)(c) | | | 509 | |
416,549 | | JPMorgan Chase Bank N.A.-CACLN 2021-2 144A, 2.28%, 12/26/28 (a) | | | 407 | |
397,321 | | JPMorgan Chase Bank N.A.-CACLN 2021-3 144A, 2.10%, 2/26/29 (a) | | | 386 | |
490,000 | | LoanCore Issuer Ltd. 2019-CRE2 144A, (1 mo. LIBOR USD + 1.500%), 2.05%, 5/15/36 (a)(b) | | | 490 | |
317,500 | | LoanCore Issuer Ltd. 2019-CRE2 144A, (1 mo. LIBOR USD + 2.000%), 2.55%, 5/15/36 (a)(b) | | | 311 | |
450,000 | | Madison Park Funding XLVIII Ltd. 2021-48A 144A, (3 mo. LIBOR USD + 3.000%), 4.04%, 4/19/33 (a)(b) | | | 446 | |
400,000 | | Man GLG Euro CLO 6A 144A, (3 mo. EURIBOR + 0.810%), 0.81%, 10/15/32 EUR (a)(b)(c) | | | 418 | |
250,000 | | Montmartre Euro CLO DAC 2020-2A 144A, (3 mo. EURIBOR + 0.960%), 0.96%, 7/15/34 EUR (a)(b)(c) | | | 261 | |
410,000 | | Neuberger Berman Loan Advisers CLO Ltd. 2017-25A 144A, (3 mo. LIBOR USD + 2.850%), 3.89%, 10/18/29 (a)(b) | | | 407 | |
1,200,000 | | Neuberger Berman Loan Advisers CLO Ltd. 2019-33A 144A, (3 mo. LIBOR USD + 1.080%), 2.12%, 10/16/33 (a)(b) | | | 1,186 | |
500,000 | | Neuberger Berman Loan Advisers Euro CLO DAC 2021-2A 144A, (3 mo. EURIBOR + 1.030%), 1.03%, 4/15/34 EUR (a)(b)(c) | | | 523 | |
300,000 | | North Westerly V Leveraged Loan Strategies CLO DAC V-A 144A, (3 mo. EURIBOR + 2.200%), 2.20%, 7/20/34 EUR (a)(b)(c) | | | 307 | |
600,000 | | Ocean Trails CLO VII 2019-7A 144A, (3 mo. LIBOR USD + 2.450%), 3.49%, 4/17/30 (a)(b) | | | 593 | |
400,000 | | OCP CLO Ltd. 2014-5A 144A, (3 mo. LIBOR USD + 2.900%), 4.11%, 4/26/31 (a)(b) | | | 389 | |
600,000 | | Octagon Investment Partners 32 Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 2.050%), 3.09%, 7/15/29 (a)(b) | | | 594 | |
300,000 | | Palmer Square European CLO DAC 2021-1A 144A, (3 mo. EURIBOR + 3.150%), 3.15%, 4/15/34 EUR (a)(b)(c) | | | 310 | |
550,000 | | Palmer Square European CLO DAC 2021-2A 144A, (3 mo. EURIBOR + 2.070%), 2.07%, 4/15/35 EUR (a)(b)(c) | | | 562 | |
400,775 | | Planet Fitness Master Issuer LLC 2019-1A 144A, 3.86%, 12/05/49 (a) | | | 366 | |
Semi-Annual Report 39
Payden Strategic Income Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
345,870 | | Santander Bank N.A.-SBCLN 2021-1A 144A, 1.83%, 12/15/31 (a) | | $ | 338 | |
550,000 | | Sculptor CLO XXV Ltd. 25A 144A, (3 mo. LIBOR USD + 2.450%), 3.49%, 1/15/31 (a)(b) | | | 546 | |
600,000 | | Sculptor European CLO V DAC 5A 144A, (3 mo. EURIBOR + 1.750%), 1.75%, 1/14/32
EUR (a)(b)(c) | | | 628 | |
500,000 | | Sound Point Euro CLO V Funding DAC 5A 144A, (3 mo. EURIBOR + 3.300%), 3.30%, 7/25/35
EUR (a)(b)(c) | | | 513 | |
600,000 | | St Paul’s CLO XII DAC 12A 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/33
EUR (a) (b)(c) | | | 620 | |
450,000 | | Symphony CLO XXIV Ltd. 2020-24A 144A, (3 mo. LIBOR USD + 2.250%), 3.43%, 1/23/32 (a) (b) | | | 446 | |
875,000 | | THL Credit Wind River CLO Ltd. 2019-3A 144A, (3 mo. LIBOR USD + 1.080%), 2.12%,
4/15/31 (a)(b) | | | 865 | |
750,000 | | TRTX Issuer Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 2.400%), 2.95%, 3/15/38 (a)(b) | | | 745 | |
300,000 | | Voya Euro CLO III DAC 3A 144A, (3 mo. EURIBOR + 0.920%), 0.92%, 4/15/33
EUR (a)(b)(c) | | | 314 | |
545,875 | | Zaxby’s Funding LLC 2021-1A 144A, 3.24%, 7/30/51 (a) | | | 494 | |
| | | | | | |
Total Asset Backed (Cost - $27,093) | | | 25,759 | |
| | | | | | |
Bank Loans(d) (3%) | | | | |
454,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.02%, 11/01/25 | | | 486 | |
142,500 | | Avast Software BV Term Loan B 1L, (3 mo. EURIBOR + 1.750%), 1.75%, 3/22/28 EUR (c) | | | 149 | |
402,660 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 3.76%, 2/05/25 | | | 400 | |
448,875 | | MIC Glen LLC Term Loan 1L, (LIBOR USD 3-Month + 3.500%), 4.00%, 10/14/28 | | | 444 | |
560,000 | | MIC Glen LLC Term Loan 2L, (LIBOR USD 1-Month + 6.750%), 7.25%, 7/21/29 | | | 553 | |
661,114 | | Numericable U.S. LLC Term Loan B11 1L, (LIBOR USD 3-Month + 2.750%), 3.99%, 7/31/25 | | | 650 | |
199,500 | | Southwestern Energy Co. Term Loan B 1L, (LIBOR USD 1-Month + 1.500%), 3.30%, 6/22/27 | | | 200 | |
478,313 | | Standard Industries Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.79%, 9/22/28 | | | 477 | |
380,000 | | Sterigenics-Nordion Holdings LLC Term Loan 1L, (LIBOR USD 3-Month + 2.750%), 3.51%, 12/13/26 | | | 377 | |
768,000 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.26%, 2/05/27 | | | 757 | |
698,250 | | Whatabrands LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 8/03/28 | | | 692 | |
| | | | | | |
Total Bank Loans (Cost - $5,209) | | | 5,185 | |
| | | | | | |
Corporate Bond (44%) | | | | |
Financial (15%) | | | | |
675,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/26 | | | 601 | |
145,000 | | Air Lease Corp., 2.30%, 2/01/25 | | | 138 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
350,000 | | American Campus Communities Operating Partnership LP, 2.25%, 1/15/29 | | $ | 326 | |
560,000 | | American Tower Corp., 3.95%, 3/15/29 | | | 533 | |
725,000 | | AmFam Holdings Inc. 144A, 2.81%, 3/11/31 (a) | | | 629 | |
770,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 770 | |
230,000 | | ASB Bank Ltd. 144A, 3.75%, 6/14/23 (a) | | | 232 | |
540,000 | | Aviation Capital Group LLC 144A, 3.88%, 5/01/23 (a) | | | 539 | |
400,000 | | Banco de Sabadell SA, (5 yr. Euro Swap + 6.414%), 6.50% EUR (b)(c)(e)(f) | | | 423 | |
500,000 | | Banco Mercantil del Norte SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.643%), 5.88% (a)(b)(e) | | | 449 | |
400,000 | | Banco Santander SA, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.900%), 1.72%, 9/14/27 (b) | | | 352 | |
400,000 | | Bangkok Bank PCL 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.729%), 5.00% (a)(b)(e) | | | 391 | |
350,000 | | Barclays PLC, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.867%), 6.13% (b)(e) | | | 344 | |
325,000 | | Blackstone Private Credit Fund 144A, 4.70%, 3/24/25 (a) | | | 321 | |
625,000 | | Blackstone Secured Lending Fund, 2.75%, 9/16/26 | | | 572 | |
250,000 | | BNP Paribas SA 144A, (U.S. Secured Overnight Financing Rate + 2.074%), 2.22%, 6/09/26 (a) (b) | | | 233 | |
875,000 | | Capital One Financial Corp., (U.S. Secured Overnight Financing Rate + 1.337%), 2.36%, 7/29/32 (b) | | | 705 | |
375,000 | | Charles Schwab Corp. G, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.971%), 5.38% (b)(e) | | | 380 | |
690,000 | | Cibanco SA Institucion de Banca Multiple Trust CIB/3332 144A, 4.38%, 7/22/31 (a) | | | 558 | |
400,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.950%), 2.88%, 7/24/23 (b) | | | 400 | |
575,000 | | Commonwealth Bank of Australia 144A, 2.69%, 3/11/31 (a) | | | 482 | |
500,000 | | Compass Group Diversified Holdings LLC 144A, 5.25%, 4/15/29 (a) | | | 449 | |
900,000 | | Corebridge Financial Inc. 144A, 3.90%, 4/05/32 (a) | | | 845 | |
750,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.730%), 3.09%,
5/14/32 (a)(b) | | | 628 | |
400,000 | | CubeSmart LP, 2.25%, 12/15/28 | | | 352 | |
450,000 | | Diversified Healthcare Trust, 4.75%, 5/01/24 | | | 428 | |
460,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.05%, 2/10/25 (a) | | | 439 | |
250,000 | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co. Inc. 144A, 6.75%, 1/15/30 (a) | | | 217 | |
470,000 | | Five Corners Funding Trust 144A, 4.42%, 11/15/23 (a) | | | 476 | |
400,000 | | FS KKR Capital Corp. 144A, 4.25%, 2/14/25 (a) | | | 385 | |
500,000 | | General Motors Financial Co. Inc. A, (3 mo. LIBOR USD + 3.598%), 5.75% (b)(e) | | | 461 | |
650,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (a) | | | 595 | |
550,000 | | GLP Capital LP/GLP Financing II Inc., 4.00%, 1/15/31 | | | 499 | |
40 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,125,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 1.410%), 3.10%, 2/24/33 (b) | | $ | 984 | |
430,000 | | Invitation Homes Operating Partnership LP, 4.15%, 4/15/32 | | | 411 | |
345,000 | | 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) | | | 310 | |
550,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.850%), 2.08%, 4/22/26 (b) | | | 518 | |
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) | | | 620 | |
555,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b) | | | 555 | |
430,000 | | Mitsubishi UFJ Financial Group Inc., 3.41%, 3/07/24 | | | 430 | |
1,175,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.290%), 2.94%, 1/21/33 (b) | | | 1,026 | |
850,000 | | Nationwide Building Society 144A, 1.50%, 10/13/26 (a) | | | 763 | |
605,000 | | OneMain Finance Corp., 8.88%, 6/01/25 | | | 635 | |
345,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 331 | |
525,000 | | Phillips Edison Grocery Center Operating Partnership I LP, 2.63%, 11/15/31 | | | 434 | |
505,000 | | Realty Income Corp., 4.60%, 2/06/24 | | | 515 | |
550,000 | | Royal Bank of Canada, 1.60%, 1/21/25 (g) | | | 522 | |
450,000 | | Santander Holdings USA Inc., 3.24%, 10/05/26 | | | 428 | |
640,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 639 | |
625,000 | | Spirit Realty LP, 2.10%, 3/15/28 | | | 545 | |
260,000 | | Swedbank AB 144A, 1.30%, 6/02/23 (a) | | | 256 | |
335,000 | | Synchrony Financial, 2.85%, 7/25/22 | | | 336 | |
370,000 | | VICI Properties LP/VICI Note Co. Inc. 144A, 5.63%, 5/01/24 (a) | | | 375 | |
585,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.600%), 1.65%, 6/02/24 (b) | | | 575 | |
| | | | | | |
| | | | | 26,360 | |
| | | | | | |
Industrial (17%) | | | | |
405,000 | | AbbVie Inc., 2.60%, 11/21/24 | | | 396 | |
160,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.25%, 3/15/26 (a) | | | 146 | |
350,000 | | Albion Financing 1 Sarl/Aggreko Holdings Inc. 144A, 6.13%, 10/15/26 (a) | | | 326 | |
550,000 | | America Movil SAB de CV 144A, 5.38%, 4/04/32 (a) | | | 502 | |
445,786 | | American Airlines Class A Pass-Through Trust 2019-1, A, 3.50%, 2/15/32 | | | 389 | |
200,000 | | ams-OSRAM AG 144A, 6.00%, 7/31/25
EUR (a)(c) | | | 212 | |
600,000 | | Arcos Dorados BV 144A, 6.13%, 5/27/29 (a) | | | 591 | |
300,000 | | Ardagh Metal Packaging Finance USA LLC/ Ardagh Metal Packaging Finance PLC 144A, 3.00%, 9/01/29 EUR (a)(c) | | | 259 | |
600,000 | | AT&T Inc., (3 mo. LIBOR USD + 1.180%), | | | | |
| | 1.98%, 6/12/24 (b) | | | 608 | |
680,000 | | AT&T Inc., 4.35%, 3/01/29 | | | 687 | |
110,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (a) | | | 111 | |
500,000 | | Bell Canada US-5, 2.15%, 2/15/32 | | | 416 | |
500,000 | | Blue Cross and Blue Shield of Minnesota 144A, 3.79%, 5/01/25 (a) | | | 490 | |
500,000 | | Boeing Co., 1.43%, 2/04/24 | | | 481 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,300,000 | | Boyne USA Inc. 144A, 4.75%, 5/15/29 (a) | | $ | 1,208 | |
320,000 | | BRF SA 144A, 5.75%, 9/21/50 (a) | | | 252 | |
192,000 | | Broadcom Inc. 144A, 3.14%, 11/15/35 (a) | | | 155 | |
42,000 | | Carrier Global Corp., 2.24%, 2/15/25 | | | 40 | |
50,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 51 | |
450,000 | | Centene Corp., 4.25%, 12/15/27 | | | 437 | |
370,000 | | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 144A, 5.25%, 4/27/29 (a) | | | 352 | |
825,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 12/01/61 | | | 618 | |
500,000 | | Churchill Downs Inc. 144A, 4.75%, 1/15/28 (a) | | | 469 | |
830,000 | | Daimler Finance North America LLC 144A, 3.65%, 2/22/24 (a) | | | 832 | |
138,000 | | Dell International LLC/EMC Corp., 5.45%, 6/15/23 | | | 141 | |
335,000 | | DP World Salaam, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.750%),
6.00% (b)(e)(f) | | | 341 | |
275,000 | | Eco Material Technologies Inc. 144A, 7.88%,
1/31/27 (a) | | | 267 | |
140,000 | | Equifax Inc., 2.60%, 12/15/25 | | | 133 | |
440,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.50%, 9/15/27 (a) | | | 417 | |
300,000 | | Food Service Project SA 144A, 5.50%, 1/21/27
EUR (a)(c) | | | 297 | |
700,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%), 1.74%, 2/15/23 (b) | | | 696 | |
630,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 620 | |
480,000 | | Frontier Communications Holdings LLC 144A, 6.00%, 1/15/30 (a) | | | 418 | |
385,000 | | GATX Corp., 4.35%, 2/15/24 | | | 390 | |
725,000 | | Glencore Funding LLC 144A, 3.88%, 4/27/51 (a) | | | 596 | |
525,000 | | Global Payments Inc., 1.20%, 3/01/26 | | | 472 | |
400,000 | | Graphic Packaging International LLC 144A, 1.51%, 4/15/26 (a) | | | 361 | |
450,000 | | Grifols Escrow Issuer SA 144A, 4.75%, 10/15/28 (a) | | | 411 | |
500,000 | | HCA Inc., 5.00%, 3/15/24 | | | 512 | |
260,000 | | HCA Inc., 3.50%, 9/01/30 | | | 233 | |
550,000 | | HSE Finance Sarl 144A, 5.63%, 10/15/26 EUR (a)(c) | | | 525 | |
650,000 | | Hyundai Capital America 144A, 1.15%, 11/10/22 (a) | | | 645 | |
400,000 | | IAMGOLD Corp. 144A, 5.75%, 10/15/28 (a) | | | 341 | |
625,000 | | International Game Technology PLC 144A, 4.13%, 4/15/26 (a) | | | 590 | |
300,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49 (a) | | | 291 | |
250,000 | | Kontoor Brands Inc. 144A, 4.13%, 11/15/29 (a) | | | 217 | |
200,000 | | Land O’ Lakes Inc. 144A, 7.00% (a)(e) | | | 204 | |
580,000 | | Lennar Corp., 4.75%, 11/29/27 | | | 582 | |
525,000 | | Magallanes Inc. 144A, 5.14%, 3/15/52 (a) | | | 469 | |
450,000 | | Mauser Packaging Solutions Holding Co., 4.75%, 4/15/24 EUR (c)(f) | | | 467 | |
350,000 | | Mozart Debt Merger Sub Inc. 144A, 3.88%,
4/01/29 (a) | | | 306 | |
675,000 | | Nissan Motor Co. Ltd. 144A, 3.04%, 9/15/23 (a) | | | 669 | |
500,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 452 | |
650,000 | | Organon & Co./Organon Foreign Debt Co-Issuer BV 144A, 5.13%, 4/30/31 (a) | | | 588 | |
10,000 | | PTC Inc. 144A, 4.00%, 2/15/28 (a) | | | 9 | |
375,000 | | Ryder System Inc., 2.88%, 6/01/22 | | | 376 | |
Semi-Annual Report 41
Payden Strategic Income Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
310,000 | | Sinclair Television Group Inc. 144A, 4.13%, 12/01/30 (a) | | $ | 258 | |
500,000 | | Standard Industries Inc. 144A, 4.75%, 1/15/28 (a) | | | 461 | |
800,000 | | Stellantis Finance U.S. Inc. 144A, 1.71%, 1/29/27 (a) | | | 711 | |
440,000 | | TELUS Corp., 3.40%, 5/13/32 | | | 404 | |
800,000 | | Teva Pharmaceutical Finance Netherlands II BV, 6.00%,
1/31/25 EUR (c) | | | 860 | |
500,000 | | T-Mobile USA Inc., 2.63%, 4/15/26 | | | 464 | |
815,000 | | Toledo Hospital B, 5.33%, 11/15/28 | | | 843 | |
290,000 | | Total Play Telecomunicaciones SA de CV 144A, 6.38%, 9/20/28 (a) | | | 242 | |
295,000 | | Tronox Inc. 144A, 4.63%, 3/15/29 (a) | | | 264 | |
700,000 | | TTM Technologies Inc. 144A, 4.00%, 3/01/29 (a) | | | 613 | |
500,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (a) | | | 501 | |
450,000 | | Univar Solutions USA Inc. 144A, 5.13%, 12/01/27 (a) | | | 432 | |
775,000 | | VMware Inc., 2.20%, 8/15/31 | | | 631 | |
470,000 | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 144A, 3.88%, 2/01/29 (a) | | | 417 | |
| | | | | | |
| | | | | 30,165 | |
| | | | | | |
Utility (12%) | | | | |
399,240 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | | 415 | |
380,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (a) | | | 328 | |
425,000 | | American Electric Power Co. Inc., 2.03%, 3/15/24 | | | 414 | |
142,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (a) | | | 142 | |
825,000 | | Civitas Resources Inc. 144A, 5.00%, 10/15/26 (a) | | | 785 | |
186,000 | | Devon Energy Corp., 5.88%, 6/15/28 | | | 195 | |
975,000 | | Duquesne Light Holdings Inc. 144A, 2.78%, 1/07/32 (a) | | | 825 | |
600,000 | | Earthstone Energy Holdings LLC 144A, 8.00%, 4/15/27 (a) | | | 599 | |
425,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (a)(f) | | | 396 | |
250,000 | | Energean PLC 144A, 6.50%, 4/30/27 (a) | | | 237 | |
270,000 | | Energy Transfer LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | | | 271 | |
482,407 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (a) | | | 420 | |
471,653 | | Galaxy Pipeline Assets Bidco Ltd. 144A, 2.94%, 9/30/40 (a) | | | 395 | |
255,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 230 | |
750,000 | | Howard Midstream Energy Partners LLC 144A, 6.75%, 1/15/27 (a) | | | 728 | |
475,000 | | International Petroleum Corp. 144A, 7.25%, 2/01/27 (a)(f) | | | 470 | |
200,000 | | Israel Electric Corp. Ltd. 144A, 3.75%,
2/22/32 (a)(f) | | | 187 | |
270,000 | | Kinder Morgan Inc., 2.00%, 2/15/31 (g) | | | 223 | |
600,000 | | Kosmos Energy Ltd. 144A, 7.13%, 4/04/26 (a) | | | 587 | |
400,000 | | Leviathan Bond Ltd. 144A, 6.75%, 6/30/30 (a)(f) | | | 395 | |
755,000 | | Midwest Connector Capital Co. LLC 144A, 3.90%, 4/01/24 (a) | | | 751 | |
460,000 | | Minejesa Capital BV 144A, 4.63%, 8/10/30 (a) | | | 420 | |
630,000 | | Moss Creek Resources Holdings Inc. 144A, 7.50%, 1/15/26 (a) | | | 578 | |
330,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 341 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
380,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (a) | | $ | 378 | |
400,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 391 | |
125,000 | | NRG Energy Inc. 144A, 3.38%, 2/15/29 (a) | | | 106 | |
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) | | | 318 | |
675,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 595 | |
680,000 | | Penn Virginia Holdings LLC 144A, 9.25%,
8/15/26 (a) | | | 698 | |
385,000 | | Petroleos Mexicanos, 6.49%, 1/23/27 | | | 370 | |
400,000 | | Petroleos Mexicanos, 5.95%, 1/28/31 | | | 337 | |
735,000 | | Phillips 66 Partners LP, 2.45%, 12/15/24 | | | 711 | |
500,000 | | Plains All American Pipeline LP B, (3 mo. LIBOR USD + 4.110%), 6.13% (b)(e) | | | 421 | |
200,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 207 | |
775,000 | | South Jersey Industries Inc., 5.02%, 4/15/31 | | | 743 | |
525,000 | | Southwestern Energy Co., 4.75%, 2/01/32 | | | 497 | |
975,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 945 | |
600,000 | | Tamarack Valley Energy Ltd. 144A, 7.25%, 5/10/27 CAD (a)(c) | | | 469 | |
380,000 | | TerraForm Power Operating LLC 144A, 4.25%, 1/31/23 (a) | | | 381 | |
330,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (a) | | | 298 | |
750,000 | | Transocean Inc. 144A, 8.00%, 2/01/27 (a) | | | 594 | |
575,000 | | Venture Global Calcasieu Pass LLC 144A, 3.88%, 8/15/29 (a) | | | 525 | |
400,000 | | Vermilion Energy Inc. 144A, 6.88%, 5/01/30 (a) | | | 391 | |
445,000 | | Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (a) | | | 438 | |
| | | | | | |
| | | | | 20,545 | |
| | | | | | |
Total Corporate Bond (Cost - $83,085) | | | 77,070 | |
| | | | | | |
Foreign Government (4%) | | | | |
200,000 | | Bermuda Government International Bond 144A, 3.38%, 8/20/50 (a) | | | 164 | |
830,000 | | CPPIB Capital Inc. 144A, 1.95%, 9/30/29
CAD (a)(c) | | | 584 | |
450,000 | | Dominican Republic International Bond 144A, 5.50%, 2/22/29 (a) | | | 422 | |
300,000 | | Dominican Republic International Bond 144A, 4.88%, 9/23/32 (a) | | | 253 | |
450,000 | | Egypt Government International Bond 144A, 7.30%, 9/30/33 (a) | | | 338 | |
350,000 | | Guatemala Government Bond 144A, 4.65%, 10/07/41 (a) | | | 301 | |
6,770,000 | | Mexican Bonos Series M 20, 8.50%, 5/31/29
MXN (c) | | | 322 | |
360,000 | | Mongolia Government International Bond 144A, 8.75%, 3/09/24 (a) | | | 371 | |
600,000 | | Mongolia Government International Bond 144A, 4.45%, 7/07/31 (a) | | | 516 | |
500,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29 CAD (c) | | | 365 | |
400,000 | | Nigeria Government International Bond 144A, 6.13%, 9/28/28 (a) | | | 343 | |
510,000 | | Peruvian Government International Bond, 2.78%, 1/23/31 | | | 443 | |
550,000 | | Republic of Armenia International Bond 144A, 3.60%, 2/02/31 (a) | | | 411 | |
42 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
29,500,000 | | Republic of South Africa Government Bond Series 2030, 8.00%, 1/31/30 ZAR (c) | | $
|
1,674 |
|
575,000 | | Republic of Uzbekistan International Bond 144A, 3.90%, 10/19/31 (a) | | | 469 | |
700,000 | | Romanian Government International Bond 144A, 2.00%, 4/14/33 EUR (a)(c) | | | 541 | |
| | | | | | |
Total Foreign Government (Cost - $8,959) | | | 7,517 | |
| | | | | | |
Mortgage Backed (9%) | | | | |
800,000 | | BPCRE Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 2.600%), 3.15%, 2/15/37 (a)(b) | | | 795 | |
625,000 | | BX Commercial Mortgage Trust 2021-VOLT 144A, (1 mo. LIBOR USD + 2.400%), 2.95%,
9/15/36 (a)(b) | | | 603 | |
300,000 | | BX Commercial Mortgage Trust 2021-SOAR 144A, (1 mo. LIBOR USD + 1.800%), 2.36%,
6/15/38 (a)(b) | | | 291 | |
9,515,766 | | Citigroup Commercial Mortgage Trust 2018-C6, 0.94%, 11/10/51 (h) | | | 389 | |
263,078 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 11/25/39 (a)(b) | | | 259 | |
510,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 3.20%, 5/15/36 (a)(b) | | | 501 | |
700,000 | | Eagle RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.050%), 2.34%, 4/25/34 (a)(b) | | | 689 | |
496,333 | | Fannie Mae Connecticut Avenue Securities 2016- C02, (1 mo. LIBOR USD + 12.250%), 12.92%, 9/25/28 (b) | | | 568 | |
770,029 | | Fannie Mae Connecticut Avenue Securities 2016- C03, (1 mo. LIBOR USD + 11.750%), 12.42%, 10/25/28 (b) | | | 869 | |
495,024 | | Fannie Mae Connecticut Avenue Securities 2016- C04, (1 mo. LIBOR USD + 10.250%), 10.92%, 1/25/29 (b) | | | 533 | |
205,676 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 9/25/49 (a)(b) | | | 205 | |
530,000 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.250%), 2.54%, 8/25/33 (a)(b) | | | 521 | |
400,000 | | Freddie Mac STACR REMIC Trust 2021-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.650%), 1.94%,
1/25/34 (a)(b) | | | 397 | |
143,196 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 2/25/50 (a)(b) | | | 143 | |
350,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.650%), 2.94%,
1/25/51 (a)(b) | | | 316 | |
300,000 | | Freddie Mac STACR Trust 2019-FTR3 144A, (1 mo. LIBOR USD + 4.800%), 5.26%, 9/25/47 (a) (b) | | | 275 | |
300,000 | | Freddie Mac STACR Trust 2019-FTR4 144A, (1 mo. LIBOR USD + 5.000%), 5.67%, 11/25/47 (a)(b) | | | 277 | |
78,475 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 0.750%), 1.42%, 10/25/48 (a)(b) | | | 78 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
228,432 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.32%, 1/25/49 (a)(b) | | $ | 231 | |
476,734 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 1.400%), 2.07%, 2/25/49 (a) (b) | | | 471 | |
76,176 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 4/25/49 (a)(b) | | | 77 | |
493,676 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQA1, (1 mo. LIBOR USD + 8.800%), 9.47%, 3/25/28 (b) | | | 508 | |
492,504 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA3, (1 mo. LIBOR USD + 9.350%), 10.02%, 4/25/28 (b) | | | 519 | |
330,939 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQA2, (1 mo. LIBOR USD + 10.500%), 11.17%, 5/25/28 (b) | | | 358 | |
494,122 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA3, (1 mo. LIBOR USD + 11.250%), 11.92%, 12/25/28 (b) | | | 555 | |
246,778 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2, (1 mo. LIBOR USD + 11.250%), 11.92%, 10/25/29 (b) | | | 261 | |
500,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 3.400%), 3.69%, 8/25/33 (a)(b) | | | 474 | |
600,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 4.600%), 5.27%, 12/25/42 (b) | | | 602 | |
500,000 | | Home RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.600%), 1.89%, 1/25/34 (a)(b) | | | 492 | |
83,521 | | JP Morgan Mortgage Trust 2014-2 144A, 3.00%, 6/25/29 (a)(h) | | | 81 | |
189,152 | | Last Mile Logistics Pan Euro Finance DAC 1A 144A, (3 mo. EURIBOR + 1.900%), 1.90%, 8/17/33 EUR (a)(b)(c) | | | 197 | |
796,431 | | Last Mile Logistics Pan Euro Finance DAC 1X, (3 mo. EURIBOR + 2.700%), 2.70%, 8/17/33
EUR (b)(c)(f) | | | 834 | |
42,561 | | Nationstar Mortgage Loan Trust 2013-A 144A, 3.75%, 12/25/52 (a)(h) | | | 41 | |
36,440 | | New Residential Mortgage Loan Trust 2015-1A 144A, 3.75%, 5/28/52 (a)(h) | | | 36 | |
278,026 | | New Residential Mortgage Loan Trust 2017-4A 144A, 4.00%, 5/25/57 (a)(h) | | | 273 | |
660,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 3.07%, 2/25/47 (a)(b) | | | 658 | |
300,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 11.17%, 2/25/47 (a)(b) | | | 327 | |
794,167 | | Taurus DAC 2021-UK1A 144A, (Sterling Overnight Index Average + 2.600%), 2.76%, 5/17/31 GBP (a)(b)(c) | | | 983 | |
| | | | | | |
Total Mortgage Backed (Cost - $16,009) | | | 15,687 | |
| | | | | | |
Municipal (4%) | | | | |
910,000 | | California Health Facilities Financing Authority, 2.48%, 6/01/27 | | | 858 | |
650,000 | | California Pollution Control Financing Authority, AMT 144A, 5.00%, 7/01/37 (a) | | | 655 | |
250,000 | | California Pollution Control Financing Authority, AMT 144A, 7.50%, 12/01/39 (a)(i) | | | 6 | |
Semi-Annual Report 43
Payden Strategic Income Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,000,000 | | City of El Segundo CA, 1.98%, 7/01/29 | | $ | 841 | |
740,000 | | City of Tempe AZ, 1.58%, 7/01/28 | | | 645 | |
250,000 | | District of Columbia Water & Sewer Authority A, 4.81%, 10/01/14 | | | 254 | |
505,000 | | Golden State Tobacco Securitization Corp. B, 2.75%, 6/01/34 | | | 435 | |
750,000 | | New York State Dormitory Authority C, 1.54%, 3/15/27 | | | 679 | |
1,000,000 | | New York Transportation Development Corp., A, AMT, 5.00%, 7/01/41 | | | 1,038 | |
500,000 | | Redondo Beach Community Financing Authority A, 1.98%, 5/01/29 | | | 430 | |
600,000 | | Regents of the University of California Medical Center Pooled Revenue Q, 4.13%, 5/15/32 | | | 598 | |
1,000,000 | | State of Connecticut A, 2.42%, 7/01/27 | | | 941 | |
Total Municipal (Cost - $8,227) | | | 7,380 | |
U.S. Treasury (15%) | | | | |
13,030,000 | | U.S. Treasury Bill, 0.21%, 5/05/22 (j) | | | 13,030 | |
6,620,000 | | U.S. Treasury Bill, 0.22%, 6/30/22 (j) | | | 6,613 | |
160,000 | | U.S. Treasury Bond, 2.00%, 2/15/50 | | | 129 | |
1,940,000 | | U.S. Treasury Bond, 2.00%, 8/15/51 | | | 1,568 | |
250,000 | | U.S. Treasury Bond, 1.88%, 11/15/51 | | | 196 | |
770,000 | | U.S. Treasury Note, 2.75%, 7/31/23 (k)(l) | | | 774 | |
2,940,000 | | U.S. Treasury Note, 0.38%, 10/31/23 | | | 2,847 | |
2,350,000 | | U.S. Treasury Note, 1.13%, 10/31/26 | | | 2,169 | |
Total U.S. Treasury (Cost - $28,060) | | | 27,326 | |
Stocks (2%) | | | | |
Common Stock (2%) | | | | |
4,579 | | Coca-Cola Co. | | | 296 | |
4,402 | | Comcast Corp., Class A | | | 175 | |
3,239 | | CVS Health Corp. | | | 311 | |
1,767 | | Dover Corp. | | | 236 | |
2,519 | | Duke Energy Corp. | | | 277 | |
1,290 | | Eli Lilly & Co. | | | 377 | |
733 | | Goldman Sachs Group Inc. | | | 224 | |
1,580 | | JPMorgan Chase & Co. | | | 189 | |
1,786 | | QUALCOMM Inc. | | | 249 | |
2,111 | | Simon Property Group Inc. | | | 249 | |
1,251 | | Texas Instruments Inc. | | | 213 | |
3,690 | | Wells Fargo & Co. | | | 161 | |
| | | | | | |
| | | 2,957 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Preferred Stock (0%) | | | | |
1 | | Juniper Receivables 2021-2 DAC Holding Class R-1 Notes, 0.00% (Cost - $ 840) | | $ | 696 | |
Total Stocks (Cost - $ 3,626) | | | 3,653 | |
Investment Company (3%) | | | | |
4,926,642 | | Payden Cash Reserves Money Market Fund * (Cost - $ 4,927) | | | 4,927 | |
Total Investments (Cost - $ 185,195) (99%) | | | 174,504 | |
Other Assets, net of Liabilities (1%) | | | 1,487 | |
| |
Net Assets (100%) | | $ | 175,991 | |
| | | | | | |
| (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, 2022. |
| (c) | Principal in foreign currency. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (e) | Perpetual security with no stated maturity date. |
| (f) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (g) | All or a portion of these securities are on loan. At April 30, 2022, the total market value of the Fund’s securities on loan is $556 and the total market value of the collateral held by the Fund is $574. 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. |
| (i) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (j) | Yield to maturity at time of purchase. |
| (k) | All or a portion of the security is pledged to cover futures contract margin requirements. |
| (l) | 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: | | | | | | | | | | | | |
USD 1,937 | | ZAR 28,500 | | Citibank, N.A. | | | 07/19/2022 | | | $ | 148 | |
USD 15,700 | | EUR 14,188 | | Citibank, N.A. | | | 09/15/2022 | | | | 610 | |
USD 385 | | MXN 7,740 | | HSBC Bank USA, N.A. | | | 07/19/2022 | | | | 11 | |
USD 2,392 | | CAD 3,062 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | 9 | |
USD 1,267 | | GBP 970 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | 46 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 824 | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
IDR 13,976,000 | | USD 974 | | Citibank, N.A. | | | 07/12/2022 | | | | (14 | ) |
44 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency
Sold
(000s) | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
SGD 1,302 | | | USD 959 | | | Citibank, N.A. | | | 07/12/2022 | | | $ | (17 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | (31 | ) |
| | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | 793 | |
| | | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2-Year Note Future | | | 144 | | | | | | Jun-22 | | | $ | 30,357 | | | $ | (532 | ) | | $ | (532 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10-Year Ultra Future | | | 71 | | | | | | Jun-22 | | | | (9,159 | ) | | | 686 | | | | 686 | |
U.S. Treasury 10-Year Note Future | | | 9 | | | | | | Jun-22 | | | | (1,072 | ) | | | 65 | | | | 65 | |
U.S. Treasury 5-Year Note Future | | | 12 | | | | | | Jun-22 | | | | (1,352 | ) | | | 57 | | | | 57 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 808 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | $ | 276 | |
| | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Credit Default Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront payments/
receipts (000s) | | | Unrealized
Depreciation
(000s) | |
| Protection Bought (Relevant Credit: Markit CDX, North America High Yield Series 38 Index), Pay 5% Quarterly, Receive upon credit default | | | 06/21/2027 | | | $ | 3,370 | | | $ | 70 | | | $ | 164 | | | $ | (94 | ) |
| | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront payments/
receipts (000s) | | | Unrealized
Appreciation
(000s) | |
| 10-Year Interest Rate Swap, Receive Variable 1.2975% (3-Month USD LIBOR) Quarterly, Pay Fixed 0.30886% Semi-Annually | | | 08/02/2031 | | | $ | 3,062 | | | $ | 411 | | | $ | — | | | $ | 411 | |
| | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Zero-Coupon Inflation Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront payments/
receipts (000s) | | | Unrealized
Depreciation
(000s) | |
| 10 Year Zero-Coupon Inflation Swap, Receive Fixed 2.5825% at Maturity, Pay Variable (Change in CPI) at Maturity | | | 08/02/2031 | | | $ | 2,657 | | | $ | (257 | ) | | $ | — | | | $ | (257 | ) |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 45
Payden Strategic Income 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 | | $ | 556 | |
Non-cash Collateral2 | | | (556 | ) |
| | | | |
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, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
46 Payden Mutual Funds
Payden Absolute Return Bond Fund
The Fund seeks a high level of total return that is consistent with preservation of capital.
| | | | | | | | |
| Portfolio Composition - percent of investments | |
| Mortgage Backed | | | | | | | 32% | |
| Asset Backed | | | | | | | 27% | |
| Corporate Bond | | | | | | | 23% | |
| Investment Company | | | | | | | 7% | |
| Foreign Government | | | | | | | 6% | |
| Other | | | | | | | 5% | |
| | | | | | |
| Schedule of Investments - April 30, 2022 (Unaudited) | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (27%) | | | | |
1,000,000 | | AB BSL CLO Ltd. 2021-3A 144A, (3 mo. LIBOR USD + 6.950%), 8.01%, 10/20/34 (a)(b) | | $ | 959 | |
1,600,000 | | AlbaCore Euro CLO I DAC 1A 144A, (3 mo. EURIBOR + 3.250%), 3.25%, 10/18/34 EUR (a)(b)(c) | | | 1,601 | |
496,031 | | Allegro CLO II-S Ltd. 2014-1RA 144A, (3 mo. LIBOR USD + 1.080%), 2.18%, 10/21/28 (a)(b) | | | 495 | |
3,000,000 | | Allegro CLO V Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 1.450%), 2.49%, 10/16/30 (a)(b) | | | 2,986 | |
2,100,000 | | Allegro CLO X Ltd. 2019-1A 144A, (3 mo. LIBOR USD + 3.700%), 4.76%, 7/20/32 (a)(b) | | | 2,084 | |
800,000 | | Allegro CLO XII Ltd. 2020-1A 144A, (3 mo. LIBOR USD + 3.600%), 4.70%, 1/21/32 (a)(b) | | | 794 | |
2,000,000 | | Ammc CLO Ltd. 2017-20A 144A, (3 mo. LIBOR USD + 3.150%), 4.19%, 4/17/29 (a)(b) | | | 1,985 | |
1,300,000 | | Anchorage Capital CLO Ltd. 2018-10A 144A, (3 mo. LIBOR USD + 5.750%), 6.79%, 10/15/31 (a)(b) | | | 1,231 | |
1,500,000 | | Arbor Realty Commercial Real Estate Notes Ltd. 2019-FL2 144A, (1 mo. Term Secured Overnight Financing Rate + 1.864%), 2.37%, 9/15/34 (a) (b) | | | 1,498 | |
3,300,000 | | Arbor Realty Commercial Real Estate Notes Ltd. 2022-FL1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.450%), 1.72%, 1/15/37 (a)(b) | | | 3,261 | |
2,161,500 | | Arbys Funding LLC 2020-1A 144A, 3.24%, 7/30/50 (a) | | | 2,026 | |
1,200,000 | | Ballyrock CLO Ltd. 2019-1A 144A, (3 mo. LIBOR USD + 6.750%), 7.79%, 7/15/32 (a)(b) | | | 1,185 | |
1,350,000 | | Barings CLO Ltd. 2020-2A 144A, (3 mo. LIBOR USD + 6.150%), 7.19%, 10/15/33 (a)(b) | | | 1,302 | |
817,808 | | BDS Ltd. 2019-FL4 144A, (1 mo. LIBOR USD + 1.100%), 1.65%, 8/15/36 (a)(b) | | | 818 | |
1,582,196 | | BDS Ltd. 2020-FL5 144A, (1 mo. Term Secured Overnight Financing Rate + 1.264%), 1.77%,
2/16/37 (a)(b) | | | 1,576 | |
2,350,000 | | BDS Ltd. 2020-FL5 144A, (1 mo. Term Secured Overnight Financing Rate + 1.464%), 1.97%,
2/16/37 (a)(b) | | | 2,343 | |
2,100,000 | | BDS Ltd. 2020-FL5 144A, (1 mo. Term Secured Overnight Financing Rate + 1.914%), 2.42%,
2/16/37 (a)(b) | | | 2,089 | |
2,650,000 | | Benefit Street Partners CLO XVII Ltd. 2019- 17A 144A, (3 mo. LIBOR USD + 3.350%), 4.39%, 7/15/32 (a)(b) | | | 2,589 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,300,000 | | Blackrock European CLO V DAC 5X, (3 mo. EURIBOR + 1.100%), 1.10%, 7/16/31 EUR (b) (c)(d) | | $ | 1,342 | |
250,000 | | Bosphorus CLO V DAC 5A 144A, (3 mo. EURIBOR + 1.010%), 1.01%, 12/12/32 EUR (a)(b)(c) | | | 262 | |
3,300,000 | | Bridgepoint CLO 2 DAC 2A 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 4/15/35 EUR (a) (b)(c) | | | 3,441 | |
1,400,000 | | Bridgepoint CLO 3 DAC 3A 144A, (3 mo. EURIBOR + 3.400%), 3.40%, 1/15/36 EUR (a) (b)(c) | | | 1,448 | |
950,000 | | Bridgepoint CLO 3 DAC 3A 144A, (3 mo. EURIBOR + 6.240%), 6.24%, 1/15/36 EUR (a) (b)(c) | | | 937 | |
126,845 | | BSPRT Issuer Ltd. 2018-FL4 144A, (1 mo. LIBOR USD + 1.600%), 2.15%, 9/15/35 (a)(b) | | | 127 | |
400,000 | | BSPRT Issuer Ltd. 2018-FL4 144A, (1 mo. LIBOR USD + 2.100%), 2.65%, 9/15/35 (a)(b) | | | 401 | |
350,000 | | BSPRT Issuer Ltd. 2018-FL4 144A, (1 mo. LIBOR USD + 2.750%), 3.30%, 9/15/35 (a)(b) | | | 350 | |
1,450,000 | | Cabinteely Park CLO DAC 1A 144A, (3 mo. EURIBOR + 3.350%), 3.35%, 8/15/34 EUR (a) (b)(c) | | | 1,498 | |
1,925,000 | | Carlyle CLO Ltd. C17A 144A, (3 mo. LIBOR USD + 2.800%), 4.09%, 4/30/31 (a)(b) | | | 1,898 | |
2,800,000 | | Carlyle Global Market Strategies Euro CLO DAC 2015-2A 144A, (3 mo. EURIBOR + 0.940%), 0.94%, 11/10/35 EUR
(a)(b)(c) | | | 2,915 | |
1,050,000 | | Carlyle U.S. CLO Ltd. 2019-3A 144A, (3 mo. LIBOR USD + 6.750%), 7.81%, 10/20/32 (a)(b) | | | 1,037 | |
1,700,000 | | Carlyle U.S. CLO Ltd. 2021-11A 144A, (3 mo. LIBOR USD + 6.400%), 6.65%, 1/25/33 (a)(b) | | | 1,677 | |
1,577,503 | | CARS-DB4 LP 2020-1A 144A, 2.69%, 2/15/50 (a) | | | 1,529 | |
1,194,750 | | CARS-DB4 LP 2020-1A 144A, 3.19%, 2/15/50 (a) | | | 1,155 | |
2,800,000 | | CARS-DB4 LP 2020-1A 144A, 4.17%, 2/15/50 (a) | | | 2,731 | |
1,000,000 | | CARS-DB4 LP 2020-1A 144A, 4.52%, 2/15/50 (a) | | | 963 | |
970,000 | | CARS-DB4 LP 2020-1A 144A, 4.95%, 2/15/50 (a) | | | 925 | |
800,000 | | Cedar Funding X CLO Ltd. 2019-10A 144A, (3 mo. LIBOR USD + 6.500%), 7.56%, 10/20/32 (a)(b) | | | 790 | |
1,450,000 | | Cedar Funding XIV CLO Ltd. 2021-14A 144A, (3 mo. LIBOR USD + 1.850%), 2.89%, 7/15/33 (a)(b) | | | 1,435 | |
Semi-Annual Report 47
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
350,000 | | CIFC Funding Ltd. 2013-3RA 144A, (3 mo. LIBOR USD + 2.900%), 4.08%, 4/24/31 (a)(b) | | $ | 346 | |
3,445,836 | | CLI Funding VIII LLC 2021-1A 144A, 1.64%, 2/18/46 (a) | | | 3,108 | |
971,902 | | CLI Funding VIII LLC 2021-1A 144A, 2.38%, 2/18/46 (a) | | | 875 | |
2,334,720 | | CLI Funding VIII LLC 2022-1A 144A, 2.72%, 1/18/47 (a) | | | 2,157 | |
3,200,000 | | Cologix Canadian Issuer LP 2022-1CAN 144A, 5.68%, 1/25/52 CAD (a)(c) | | | 2,373 | |
475,774 | | CoreVest American Finance Trust 2018-2 144A, 4.03%, 11/15/52 (a) | | | 474 | |
300,000 | | CVC Cordatus Loan Fund III DAC 3A 144A,
(3 mo. EURIBOR + 2.550%), 2.55%, 8/15/32
EUR (a)(b)(c) | | | 304 | |
965,000 | | DataBank Issuer 2021-1A 144A, 2.06%,
2/27/51 (a) | | | 885 | |
2,395,000 | | Diamond Infrastructure Funding LLC 2021-1A 144A, 1.76%, 4/15/49 (a) | | | 2,125 | |
1,150,000 | | Diamond Infrastructure Funding LLC 2021-1A 144A, 2.36%, 4/15/49 (a) | | | 1,032 | |
1,700,000 | | Diamond Infrastructure Funding LLC 2021-1A 144A, 3.48%, 4/15/49 (a) | | | 1,525 | |
2,000,000 | | Diamond Issuer 2021-1A 144A, 3.79%,
11/20/51 (a) | | | 1,848 | |
1,782,000 | | Domino’s Pizza Master Issuer LLC 2021-1A 144A, 2.66%, 4/25/51 (a) | | | 1,604 | |
2,574,000 | | Domino’s Pizza Master Issuer LLC 2021-1A 144A, 3.15%, 4/25/51 (a) | | | 2,298 | |
3,700,000 | | Drive Auto Receivables Trust 2019-2, 3.69%, 8/17/26 | | | 3,728 | |
1,000,000 | | Drive Auto Receivables Trust 2019-3, 3.18%, 10/15/26 | | | 1,001 | |
2,014,125 | | Driven Brands Funding LLC 2020-1A 144A, 3.79%, 7/20/50 (a) | | | 1,908 | |
1,064,250 | | Driven Brands Funding LLC 2019-1A 144A, 4.64%, 4/20/49 (a) | | | 1,046 | |
1,925,625 | | Driven Brands Funding LLC 2020-2A 144A, 3.24%, 1/20/51 (a) | | | 1,737 | |
4,150,000 | | Dryden 36 Senior Loan Fund 2014-36A 144A, (3 mo. LIBOR USD + 1.450%), 2.49%,
4/15/29 (a) (b) | | | 4,126 | |
650,000 | | Dryden 39 Euro CLO DAC 2015-39A 144A, (3 mo. EURIBOR + 0.950%), 0.95%, 4/15/35
EUR (a)(b)(c) | | | 682 | |
3,700,000 | | Dryden XXVI Senior Loan Fund 2013-26A 144A, (3 mo. LIBOR USD + 1.450%), 2.49%, 4/15/29 (a)(b) | | | 3,689 | |
945,000 | | First Investors Auto Owner Trust 2019-1A 144A, 3.55%, 4/15/25 (a) | | | 948 | |
2,000,000 | | First Investors Auto Owner Trust 2019-2A 144A, 2.80%, 12/15/25 (a) | | | 1,982 | |
2,700,000 | | Flagship Credit Auto Trust 2021-3 144A, 3.32%, 12/15/28 (a) | | | 2,480 | |
3,600,000 | | FORT CRE Issuer LLC 2022-FL3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.850%), 2.14%, 2/23/39 (a)(b) | | | 3,613 | |
3,100,000 | | FORT CRE Issuer LLC 2022-FL3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.250%), 2.54%, 2/23/39 (a)(b) | | | 3,098 | |
1,200,000 | | Galaxy XXVI CLO Ltd. 2018-26A 144A, (3 mo. LIBOR USD + 5.850%), 6.33%, 11/22/31 (a)(b) | | | 1,149 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
46,133 | | GPMT Ltd. 2019-FL2 144A, (1 mo. LIBOR USD + 1.300%), 1.92%, 2/22/36 (a)(b) | | $ | 46 | |
600,000 | | GPMT Ltd. 2019-FL2 144A, (1 mo. LIBOR USD + 1.600%), 2.22%, 2/22/36 (a)(b) | | | 600 | |
800,000 | | GPMT Ltd. 2019-FL2 144A, (1 mo. LIBOR USD + 1.900%), 2.52%, 2/22/36 (a)(b) | | | 801 | |
2,300,000 | | Greystone CRE Notes Ltd. 2019-FL2 144A,
(1 mo. LIBOR USD + 2.400%), 2.95%,
9/15/37 (a) (b) | | | 2,275 | |
2,000,000 | | Greystone CRE Notes Ltd. 2019-FL2 144A,
(1 mo. LIBOR USD + 2.750%), 3.30%,
9/15/37 (a) (b) | | | 1,975 | |
1,000,000 | | Grippen Park CLO Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 1.650%), 2.71%, 1/20/30 (a)(b) | | | 995 | |
311,917 | | Halcyon Loan Advisors Funding Ltd. 2015-2A 144A, (3 mo. LIBOR USD + 1.650%), 2.83%, 7/25/27 (a)(b) | | | 311 | |
250,000 | | Henley CLO I DAC 1A 144A, (3 mo. EURIBOR + 0.950%), 0.95%, 7/25/34 EUR
(a)(b)(c) | | | 260 | |
3,842,723 | | ITE Rail Fund Levered LP 2021-3A 144A, 2.21%, 6/28/51 (a) | | | 3,503 | |
1,936,373 | | JPMorgan Chase Bank N.A.-CACLN 2021-1 144A, 28.35%, 9/25/28 (a) | | | 2,358 | |
1,128,152 | | JPMorgan Chase Bank N.A.-CACLN 2021-2 144A, 2.28%, 12/26/28 (a) | | | 1,103 | |
1,500,000 | | JPMorgan Chase Bank N.A.-CACLN 2021-2 144A, 8.48%, 12/26/28 (a) | | | 1,410 | |
1,500,000 | | JPMorgan Chase Bank N.A.-CACLN 2021-3 144A, 9.81%, 2/26/29 (a) | | | 1,412 | |
3,750,000 | | KREF Ltd. 2022-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 1.450%), 1.97%, 2/17/39 (a)(b) | | | 3,672 | |
496,632 | | LCM XVIII LP 19A 144A, (3 mo. LIBOR USD + 1.240%), 2.28%, 7/15/27 (a)(b) | | | 497 | |
950,000 | | LCM XVIII LP 19A 144A, (3 mo. LIBOR USD + 1.750%), 2.79%, 7/15/27 (a)(b) | | | 949 | |
800,000 | | LMREC Inc. 2019-CRE3 144A, (1 mo. LIBOR USD + 1.400%), 2.03%, 12/22/35 (a)(b) | | | 797 | |
185,767 | | LoanCore Issuer Ltd. 2018-CRE1 144A, (1 mo. LIBOR USD + 1.130%), 1.68%, 5/15/28 (a)(b) | | | 185 | |
1,300,000 | | LoanCore Issuer Ltd. 2019-CRE2 144A, (1 mo. LIBOR USD + 1.500%), 2.05%, 5/15/36 (a)(b) | | | 1,299 | |
2,300,000 | | LoanCore Issuer Ltd. 2021-CRE5 144A, (1 mo. LIBOR USD + 3.750%), 4.30%, 7/15/36 (a)(b) | | | 2,219 | |
736,466 | | Madison Park Funding XIII Ltd. 2014-13A 144A, (3 mo. LIBOR USD + 0.950%), 1.99%, 4/19/30 (a)(b) | | | 732 | |
1,340,000 | | Madison Park Funding XIII Ltd. 2014-13A 144A, (3 mo. LIBOR USD + 2.850%), 3.89%, 4/19/30 (a)(b) | | | 1,327 | |
1,550,000 | | Madison Park Funding XXIV Ltd. 2016-24A 144A, (3 mo. LIBOR USD + 3.850%), 4.91%, 10/20/29 (a)(b) | | | 1,544 | |
2,200,000 | | Madison Park Funding XXXIII Ltd. 2019-33A 144A, (3 mo. Term Secured Overnight Financing Rate + 1.800%), 2.65%,
10/15/32 (a)(b) | | | 2,188 | |
3,071,114 | | Magnetite VII Ltd. 2012-7A 144A, (3 mo. LIBOR USD + 0.800%), 1.84%, 1/15/28 (a)(b) | | | 3,048 | |
2,000,000 | | Neuberger Berman Loan Advisers CLO Ltd. 2020-37A 144A, (3 mo. LIBOR USD + 2.850%), 3.91%, 7/20/31 (a)(b) | | | 1,975 | |
48 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
4,000,000 | | Neuberger Berman Loan Advisers CLO Ltd. 2019-34A 144A, (3 mo. Term Secured Overnight Financing Rate + 1.240%), 2.09%, 1/20/35 (a)(b) | | $ | 3,973 | |
3,100,000 | | Neuberger Berman Loan Advisers CLO Ltd. 2019-34A 144A, (3 mo. Term Secured Overnight Financing Rate + 1.750%), 2.60%, 1/20/35 (a)(b) | | | 3,083 | |
1,000,000 | | NLY Commercial Mortgage Trust 2019-FL2 144A, (1 mo. LIBOR USD + 1.600%), 2.15%, 2/15/36 (a)(b) | | | 987 | |
2,700,000 | | Oak Street Investment Grade Net Lease Fund Series 2020-1A 144A, 3.39%, 11/20/50 (a) | | | 2,599 | |
1,900,000 | | Oak Street Investment Grade Net Lease Fund Series 2021-1A 144A, 2.80%, 1/20/51 (a) | | | 1,789 | |
2,350,000 | | OCP CLO Ltd. 2013-4A 144A, (3 mo. LIBOR USD + 1.450%), 2.63%, 4/24/29 (a)(b) | | | 2,328 | |
1,400,000 | | OCP CLO Ltd. 2017-13A 144A, (3 mo. LIBOR USD + 0.960%), 2.00%, 7/15/30 (a)(b) | | | 1,391 | |
2,200,000 | | OCP CLO Ltd. 2017-13A 144A, (3 mo. LIBOR USD + 3.100%), 4.14%, 7/15/30 (a)(b) | | | 2,174 | |
400,000 | | OCP CLO Ltd. 2014-5A 144A, (3 mo. LIBOR USD + 2.900%), 4.11%, 4/26/31 (a)(b) | | | 389 | |
2,000,000 | | OCP CLO Ltd. 2019-17A 144A, (3 mo. LIBOR USD + 6.500%), 7.56%, 7/20/32 (a)(b) | | | 1,947 | |
1,250,000 | | OCP CLO Ltd. 2020-19A 144A, (3 mo. LIBOR USD + 6.500%), 7.56%, 10/20/34 (a)(b) | | | 1,196 | |
1,100,000 | | OneMain Financial Issuance Trust 2019-1A 144A, 4.22%, 2/14/31 (a) | | | 1,101 | |
2,200,000 | | Palmer Square European CLO DAC 2022-1A 144A, (3 mo. EURIBOR + 3.300%), 3.30%, 1/21/35 EUR (a)(b)(c) | | | 2,284 | |
1,930,000 | | Planet Fitness Master Issuer LLC 2018-1A 144A, 4.67%, 9/05/48 (a) | | | 1,908 | |
1,250,000 | | Progress Residential Trust 2019-SFR2 144A, 3.79%, 5/17/36 (a) | | | 1,245 | |
2,350,000 | | Progress Residential Trust 2019-SFR4 144A, 2.94%, 10/17/36 (a) | | | 2,274 | |
1,800,000 | | Providus CLO IV DAC 4A 144A, (3 mo. EURIBOR + 0.820%), 0.82%, 4/20/34 EUR (a) (b)(c) | | | 1,867 | |
3,700,000 | | Regatta Funding LP 2013-2A 144A, (3 mo. LIBOR USD + 1.400%), 2.44%, 1/15/29 (a)(b) | | | 3,674 | |
900,000 | | Regatta XXI Funding Ltd. 2021-3A 144A, (3 mo. LIBOR USD + 6.750%), 7.81%, 10/20/34 (a)(b) | | | 871 | |
1,200,000 | | Santander Drive Auto Receivables Trust 2019-2, 3.22%, 7/15/25 | | | 1,202 | |
227,367 | | Shackleton CLO Ltd. 2015-8A 144A, (3 mo. LIBOR USD + 0.920%), 1.98%, 10/20/27 (a)(b) | | | 226 | |
2,200,000 | | Sound Point Euro CLO III Funding DAC 3X, (3 mo. EURIBOR + 0.950%), 0.95%, 4/15/33 EUR (b)(c)(d) | | | 2,300 | |
1,800,000 | | St Pauls CLO II DAC 2A 144A, (3 mo. EURIBOR + 3.700%), 3.70%, 10/25/35 EUR (a)(b)(c) | | | 1,868 | |
3,450,000 | | St Paul’s CLO XII DAC 12A 144A, (3 mo. EURIBOR + 0.920%), 0.92%, 4/15/33 EUR (a) (b)(c) | | | 3,609 | |
2,400,000 | | Stack Infrastructure Issuer LLC 2020-1A 144A, 1.89%, 8/25/45 (a) | | | 2,223 | |
3,500,000 | | Stack Infrastructure Issuer LLC 2021-1A 144A, 1.88%, 3/26/46 (a) | | | 3,196 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,403,956 | | STWD Ltd. 2019-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 1.194%), 1.72%, 7/15/38 (a)(b) | | $ | 1,401 | |
507,730 | | Symphony CLO XIV Ltd. 2014-14A 144A, (3 mo. LIBOR USD + 0.950%), 1.99%, 7/14/26
(a)(b) | | | 505 | |
1,052,715 | | Symphony CLO XVII Ltd. 2016-17A 144A, (3 mo. LIBOR USD + 0.880%), 1.92%, 4/15/28
(a)(b) | | | 1,048 | |
500,000 | | Symphony CLO XVII Ltd. 2016-17X, (3 mo. LIBOR USD + 2.650%), 3.69%, 4/15/28
(b)(d) | | | 496 | |
450,000 | | Symphony CLO XVII Ltd. 2016-17A 144A, (3 mo. LIBOR USD + 2.650%), 3.69%, 4/15/28
(a)(b) | | | 447 | |
1,050,000 | | Symphony CLO XXIII Ltd. 2020-23A 144A, (3 mo. LIBOR USD + 6.150%), 7.19%, 1/15/34
(a)(b) | | | 1,035 | |
1,000,000 | | Symphony CLO XXIX Ltd. 2021-29A 144A, (3 mo. LIBOR USD + 6.250%), 6.49%, 1/15/34
(a)(b) | | | 979 | |
2,762,250 | | Taco Bell Funding LLC 2016-1A 144A, 4.97%, 5/25/46 (a) | | | 2,803 | |
4,080,000 | | Textainer Marine Containers VII Ltd. 2021-1A 144A, 1.68%, 2/20/46 (a) | | | 3,647 | |
2,000,000 | | THL Credit Wind River CLO Ltd. 2019-3A 144A, (3 mo. LIBOR USD + 3.500%), 4.54%, 4/15/31 (a)(b) | | | 1,984 | |
2,229,468 | | Trinity Rail Leasing LLC 2021-1A 144A, 2.26%, 7/19/51 (a) | | | 2,013 | |
950,000 | | Trinity Rail Leasing LLC 2021-1A 144A, 3.08%, 7/19/51 (a) | | | 846 | |
3,353,579 | | TRP LLC 2021-1 144A, 2.07%, 6/19/51 (a) | | | 3,029 | |
3,000,000 | | TRTX Issuer Ltd. 2022-FL5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.650%), 1.92%, 2/15/39 (a)(b) | | | 2,978 | |
2,400,000 | | Vantage Data Centers Issuer LLC 2020-1A 144A, 1.65%, 9/15/45 (a) | | | 2,201 | |
2,300,000 | | VB-S1 Issuer LLC-VBTEL 2022-1A 144A, 5.27%, 2/15/52 (a) | | | 2,202 | |
561,735 | | Venture XVII CLO Ltd. 2014-17A 144A, (3 mo. LIBOR USD + 0.880%), 1.92%, 4/15/27 (a)(b) | | | 558 | |
2,500,000 | | Vibrant CLO VII Ltd. 2017-7A 144A, (3 mo. LIBOR USD + 1.040%), 2.10%, 9/15/30 (a)(b) | | | 2,489 | |
3,600,000 | | VMC Finance LLC 2022-FL5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.900%), 2.17%, 2/18/39 (a)(b) | | | 3,597 | |
2,800,000 | | Voya CLO Ltd. 2019-1A 144A, (3 mo. LIBOR USD + 1.060%), 2.10%, 4/15/31 (a)(b) | | | 2,780 | |
2,000,000 | | Voya Euro CLO V DAC 5A 144A, (3 mo. EURIBOR + 2.150%), 2.15%, 4/15/35 EUR (a)(b)(c) | | | 2,046 | |
1,053,290 | | Wendy’s Funding LLC 2019-1A 144A, 3.78%, 6/15/49 (a) | | | 1,034 | |
3,076,750 | | Wendy’s Funding LLC 2021-1A 144A, 2.37%, 6/15/51 (a) | | | 2,720 | |
80,489 | | Westlake Automobile Receivables Trust 2018- 3A 144A, 4.00%, 10/16/23 (a) | | | 81 | |
2,607,836 | | Westlake Automobile Receivables Trust 2019- 1A 144A, 3.67%, 3/15/24 (a) | | | 2,616 | |
3,400,000 | | Westlake Automobile Receivables Trust 2019- 3A 144A, 2.72%, 11/15/24 (a) | | | 3,397 | |
3,800,000 | | Westlake Automobile Receivables Trust 2021- 1A 144A, 2.33%, 8/17/26 (a) | | | 3,557 | |
Semi-Annual Report 49
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
5,000,000 | | Westlake Automobile Receivables Trust 2021- 2A 144A, 2.38%, 3/15/27 (a) | | $ | 4,625 | |
2,686,500 | | Wingstop Funding LLC 2020-1A 144A, 2.84%, 12/05/50 (a) | | | 2,461 | |
2,481,250 | | Zaxby’s Funding LLC 2021-1A 144A, 3.24%, 7/30/51 (a) | | | 2,248 | |
Total Asset Backed (Cost - $272,398) | | | 260,832 | |
| |
Bank Loans(e) (3%) | | | | |
1,426,425 | | Bally’s Corp. Term Loan B 1L, (LIBOR USD 6-Month + 3.250%), 3.75%, 10/01/28 | | | 1,415 | |
1,076,829 | | Beacon Roofing Supply Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.01%, 5/19/28 | | | 1,066 | |
2,000,000 | | Coral U.S. Co-Borrower LLC Term Loan B6 1L, (LIBOR USD 1-Month + 3.000%), 3.55%, 10/21/28 | | | 1,982 | |
1,325,000 | | Crocs Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.45%, 2/19/29 | | | 1,297 | |
2,005,500 | | DirectV Financing LLC Term Loan 1L, (LIBOR USD 3-Month + 5.000%), 5.76%, 5/19/28 | | | 2,000 | |
2,078,637 | | Flynn Restaurant Group LP Term Loan B 1L, (LIBOR USD 1-Month + 4.250%), 4.88%, 11/23/28 | | | 2,055 | |
900,000 | | Froneri Lux Finco Sarl Term Loan B 1L, (6 mo. EURIBOR + 2.375%), 2.38%, 1/31/27 EUR (c) | | | 909 | |
2,187,199 | | Graham Packaging Co. Inc. Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.76%, 1/26/28 | | | 2,146 | |
1,596,000 | | Gray Television Inc. Term Loan D 1L, (LIBOR USD 3-Month + 3.000%), 3.46%, 5/19/28 | | | 1,588 | |
2,481,156 | | Jane Street Group LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 1/26/28 | | | 2,456 | |
1,100,000 | | Medline Borrower LP Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 5/19/28 | | | 1,083 | |
2,344,125 | | MIC Glen LLC Term Loan 1L, (LIBOR USD 3-Month + 3.500%), 4.00%, 5/19/28 | | | 2,318 | |
16,318 | | PRA Health Sciences Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.31%, 5/19/28 | | | 16 | |
918,360 | | Standard Industries Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.79%, 9/22/28 | | | 917 | |
1,695,750 | | U.S. Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.26%, 11/22/28 | | | 1,687 | |
2,410,704 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 3.46%, 1/26/28 | | | 2,400 | |
2,493,750 | | Whatabrands LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 8/03/28 | | | 2,470 | |
1,257,538 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 2.51%, 5/30/25 | | | 1,248 | |
Total Bank Loans (Cost - $29,327) | | | 29,053 | |
| |
Corporate Bond (23%) | | | | |
4,000,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (d) | | | 3,972 | |
300,000 | | AA Bond Co. Ltd. 144A, 6.50%, 1/31/26
GBP (a)(c) | | | 368 | |
1,325,000 | | Albion Financing 1 Sarl/Aggreko Holdings Inc., 5.25%, 10/15/26 EUR (c)(d) | | | 1,331 | |
600,000 | | Albion Financing 1 Sarl/Aggreko Holdings Inc. 144A, 6.13%, 10/15/26 (a) | | | 559 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,900,000 | | Ameren Corp., 1.95%, 3/15/27 | | $ | 1,738 | |
2,200,000 | | America Movil SAB de CV 144A, 5.38%, 4/04/32 (a) | | | 2,007 | |
1,800,000 | | American Express Co., 3.38%, 5/03/24 | | | 1,799 | |
1,900,000 | | American Express Co., 2.25%, 3/04/25 | | | 1,834 | |
1,100,000 | | American Medical Systems Europe BV, 1.38%, 3/08/28 EUR (c) | | | 1,111 | |
1,900,000 | | American Tower Corp., 1.45%, 9/15/26 | | | 1,698 | |
1,700,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (a) | | | 1,719 | |
1,200,000 | | 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) | | | 1,110 | |
3,300,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.650%), 1.53%, 12/06/25 (b) | | | 3,095 | |
1,450,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 0.960%), 1.73%, 7/22/27 (b) | | | 1,303 | |
2,550,000 | | Bank of America Corp., (3 mo. EURIBOR + 0.760%), 0.58%, 8/24/28 EUR (b)(c)(d) | | | 2,456 | |
1,600,000 | | Blackstone Private Credit Fund 144A, 1.75%, 9/15/24 (a) | | | 1,497 | |
2,000,000 | | Blackstone Secured Lending Fund, 3.65%, 7/14/23 | | | 2,004 | |
1,100,000 | | Block Inc. 144A, 3.50%, 6/01/31 (a) | | | 923 | |
1,600,000 | | BRF GmbH, 4.35%, 9/29/26 (d) | | | 1,520 | |
1,400,000 | | Caesars Entertainment Inc. 144A, 6.25%, 7/01/25 (a) | | | 1,417 | |
1,500,000 | | CDW LLC/CDW Finance Corp., 2.67%, 12/01/26 | | | 1,380 | |
1,400,000 | | Cemex SAB de CV, 7.38%, 6/05/27 (d) | | | 1,475 | |
2,400,000 | | Cemex SAB de CV, 3.88%, 7/11/31 (d) | | | 2,039 | |
1,000,000 | | Centene Corp., 3.38%, 2/15/30 | | | 895 | |
1,500,000 | | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 144A, 5.25%, 4/27/29 (a) | | | 1,427 | |
2,100,000 | | Cibanco SA Institucion de Banca Multiple Trust CIB/3332 144A, 4.38%, 7/22/31 (a) | | | 1,697 | |
2,800,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.694%), 2.01%, 1/25/26 (b) | | | 2,648 | |
2,500,000 | | Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.770%), 1.46%, 6/09/27 (b) | | | 2,228 | |
1,500,000 | | Cobra AcquisitionCo LLC 144A, 6.38%, 11/01/29 (a) | | | 1,149 | |
2,000,000 | | Corebridge Financial Inc. 144A, 3.50%, 4/04/25 (a) | | | 1,982 | |
1,900,000 | | Deutsche Bank AG, (U.S. Secured Overnight Financing Rate + 1.219%), 2.31%, 11/16/27 (b) | | | 1,682 | |
1,800,000 | | DISH DBS Corp. 144A, 5.25%, 12/01/26 (a) | | | 1,656 | |
1,250,000 | | doValue SpA 144A, 3.38%, 7/31/26 EUR (a)(c) | | | 1,242 | |
3,700,000 | | Ecopetrol SA, 4.13%, 1/16/25 | | | 3,584 | |
1,700,000 | | EIG Pearl Holdings Sarl 144A, 3.55%,
8/31/36 (a) | | | 1,511 | |
900,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (a)(d) | | | 839 | |
1,400,000 | | Energean Israel Finance Ltd. 144A, 5.38%, 3/30/28 (a)(d) | | | 1,292 | |
2,235,000 | | EQT Corp., 6.63%, 2/01/25 | | | 2,329 | |
1,700,000 | | Equinix Inc., 1.45%, 5/15/26 | | | 1,534 | |
1,225,000 | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co. Inc. 144A, 4.63%, 1/15/29 (a) | | | 1,114 | |
1,550,000 | | First Abu Dhabi Bank PJSC, 0.88%, 12/09/25 GBP (c)(d) | | | 1,804 | |
1,100,000 | | FMG Resources August 2006 Pty Ltd. 144A, 5.13%, 5/15/24 (a) | | | 1,112 | |
50 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,400,000 | | FMG Resources August 2006 Pty Ltd. 144A, 5.88%, 4/15/30 (a) | | $ | 1,392 | |
1,400,000 | | Ford Motor Credit Co. LLC, 4.95%, 5/28/27 | | | 1,365 | |
1,100,000 | | Freeport Indonesia PT 144A, 5.32%,
4/14/32 (a) | | | 1,070 | |
1,275,000 | | Freeport-McMoRan Inc., 4.38%, 8/01/28 | | | 1,236 | |
1,300,000 | | Frontier Communications Holdings LLC 144A, 6.00%, 1/15/30 (a) | | | 1,133 | |
2,000,000 | | FS KKR Capital Corp., 1.65%, 10/12/24 | | | 1,874 | |
1,600,000 | | FS KKR Capital Corp. 144A, 4.25%,
2/14/25 (a) | | | 1,539 | |
900,000 | | General Motors Co., 5.40%, 10/02/23 | | | 925 | |
1,000,000 | | General Motors Co., 6.13%, 10/01/25 | | | 1,057 | |
1,950,000 | | General Motors Financial Co. Inc., 2.90%, 2/26/25 | | | 1,885 | |
2,500,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 0.913%), 1.95%, 10/21/27 (b) | | | 2,248 | |
4,600,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 1.114%), 2.64%, 2/24/28 (b) | | | 4,233 | |
1,500,000 | | Golub Capital BDC Inc., 3.38%, 4/15/24 | | | 1,473 | |
1,200,000 | | Grifols Escrow Issuer SA 144A, 3.88%, 10/15/28 EUR (a)(c) | | | 1,139 | |
2,300,000 | | HCA Inc., 5.38%, 9/01/26 | | | 2,357 | |
1,725,000 | | Heathrow Funding Ltd., 1.50%, 10/12/25 EUR (c)(d) | | | 1,793 | |
865,000 | | Hyatt Hotels Corp., 1.30%, 10/01/23 | | | 841 | |
1,100,000 | | Hyatt Hotels Corp., 1.80%, 10/01/24 | | | 1,047 | |
1,400,000 | | Hyundai Capital America 144A, 2.00%, 6/15/28 (a) | | | 1,208 | |
2,600,000 | | International Petroleum Corp. 144A, 7.25%, 2/01/27 (a)(d) | | | 2,574 | |
3,000,000 | | IRB Holding Corp. 144A, 7.00%,
6/15/25 (a) | | | 3,091 | |
2,500,000 | | Jabil Inc., 4.25%, 5/15/27 | | | 2,480 | |
2,000,000 | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc. 144A, 3.75%,
12/01/31 (a) | | | 1,763 | |
3,000,000 | | JDE Peet’s NV 144A, 1.38%, 1/15/27 (a) | | | 2,621 | |
4,500,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.915%), 2.60%, 2/24/26 (b) | | | 4,331 | |
320,000 | | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 144A, 4.75%, 6/01/27 (a) | | | 320 | |
1,100,000 | | Kosmos Energy Ltd. 144A, 7.75%,
5/01/27 (a) | | | 1,094 | |
2,050,000 | | LA Construccion SA 144A, 4.75%,
2/07/32 (a) | | | 1,808 | |
1,900,000 | | Lundin Energy Finance BV 144A, 2.00%, 7/15/26 (a) | | | 1,716 | |
2,100,000 | | Macquarie Group Ltd. 144A, (U.S. Secured Overnight Financing Rate + 0.995%), 1.94%, 4/14/28 (a)(b) | | | 1,837 | |
2,900,000 | | Magallanes Inc. 144A, 3.43%, 3/15/24 (a) | | | 2,883 | |
830,000 | | MercadoLibre Inc., 2.38%, 1/14/26 | | | 750 | |
1,500,000 | | Meritage Homes Corp. 144A, 3.88%, 4/15/29 (a) | | | 1,344 | |
2,000,000 | | Mexico City Airport Trust, 4.25%,
10/31/26 (d) | | | 1,914 | |
2,000,000 | | Minejesa Capital BV, 4.63%, 8/10/30 (d) | | | 1,827 | |
1,280,000 | | Mitsubishi UFJ Financial Group Inc., (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.750%), 1.54%, 7/20/27 (b) | | | 1,146 | |
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) | | | 1,551 | |
2,200,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.940%), 2.63%,
2/18/26 (b) | | | 2,119 | |
2,100,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.879%), 1.59%,
5/04/27 (b) | | | 1,890 | |
2,600,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.858%), 1.51%,
7/20/27 (b) | | | 2,317 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
2,300,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.698%), 0.41%, 10/29/27 EUR (b)(c) | | $ | 2,233 | |
1,150,000 | | MPT Operating Partnership LP/MPT Finance Corp., 2.50%, 3/24/26 GBP (c) | | | 1,346 | |
1,085,000 | | Murphy Oil Corp., 5.88%, 12/01/27 | | | 1,078 | |
1,050,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 1,084 | |
500,000 | | NBM U.S. Holdings Inc., 7.00%, 5/14/26 (d) | | | 516 | |
1,550,000 | | Neinor Homes SA 144A, 4.50%, 10/15/26 EUR (a)(c) | | | 1,533 | |
2,700,000 | | NextEra Energy Capital Holdings Inc., 2.94%, 3/21/24 | | | 2,682 | |
345,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 337 | |
2,200,000 | | Open Text Corp. 144A, 3.88%, 12/01/29 (a) | | | 1,958 | |
3,200,000 | | Orbia Advance Corp. SAB de CV 144A, 1.88%, 5/11/26 (a) | | | 2,868 | |
900,000 | | Owl Rock Capital Corp., 3.40%, 7/15/26 | | | 831 | |
535,000 | | PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/25 | | | 518 | |
905,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 798 | |
2,800,000 | | PDC Energy Inc., 5.75%, 5/15/26 | | | 2,728 | |
1,400,000 | | Penn Virginia Holdings LLC 144A, 9.25%, 8/15/26 (a) | | | 1,437 | |
1,800,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 1.20%, 11/15/25 (a) | | | 1,636 | |
900,000 | | Petroleos Mexicanos, 5.13%, 3/15/23
EUR (c)(d) | | | 965 | |
1,500,000 | | Petroleos Mexicanos, (3 mo. EURIBOR + 2.400%), 1.87%, 8/24/23 EUR (b)(c)(d) | | | 1,556 | |
4,100,000 | | Petroleos Mexicanos, 6.50%, 3/13/27 | | | 3,924 | |
1,600,000 | | PRA Group Inc. 144A, 5.00%, 10/01/29 (a) | | | 1,483 | |
1,100,000 | | Public Storage, 1.95%, 11/09/28 | | | 978 | |
1,800,000 | | Rogers Communications Inc. 144A, 2.95%, 3/15/25 (a) | | | 1,757 | |
1,335,000 | | Royal Bank of Canada, 1.20%, 4/27/26 | | | 1,205 | |
1,500,000 | | Royalty Pharma PLC, 1.75%, 9/02/27 | | | 1,315 | |
4,000,000 | | SBA Tower Trust 144A, 1.63%, 11/15/26 (a) | | | 3,692 | |
2,000,000 | | Sirius XM Radio Inc. 144A, 5.00%, 8/01/27 (a) | | | 1,932 | |
980,000 | | Southwestern Energy Co., 5.38%, 3/15/30 | | | 969 | |
2,500,000 | | Stellantis Finance U.S. Inc. 144A, 1.71%, 1/29/27 (a) | | | 2,221 | |
1,500,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 1,453 | |
2,500,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 2.55%, 3/10/25 (a) | | | 2,424 | |
1,100,000 | | Tamarack Valley Energy Ltd. 144A, 7.25%, 5/10/27 CAD (a)(c) | | | 861 | |
1,000,000 | | Tapestry Inc., 3.05%, 3/15/32 | | | 851 | |
1,000,000 | | Telefonica Moviles Chile SA 144A, 3.54%, 11/18/31 (a) | | | 877 | |
1,160,000 | | TELUS Corp., 3.40%, 5/13/32 | | | 1,064 | |
606,000 | | Tenet Healthcare Corp., 4.63%, 7/15/24 | | | 605 | |
1,000,000 | | T-Mobile USA Inc. 144A, 2.40%, 3/15/29 (a) | | | 877 | |
3,000,000 | | Transnet SOC Ltd., 4.00%, 7/26/22 (d) | | | 2,963 | |
536,661 | | Transocean Guardian Ltd. 144A, 5.88%, 1/15/24 (a) | | | 514 | |
1,700,000 | | Transocean Inc. 144A, 7.50%, 1/15/26 (a) | | | 1,392 | |
2,390,000 | | U.S. Foods Inc. 144A, 6.25%, 4/15/25 (a) | | | 2,458 | |
805,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (a) | | | 807 | |
1,405,000 | | Venture Global Calcasieu Pass LLC 144A, 3.88%, 11/01/33 (a) | | | 1,224 | |
2,600,000 | | VICI Properties LP, 4.38%, 5/15/25 | | | 2,601 | |
1,800,000 | | Viterra Finance BV, 0.38%, 9/24/25 EUR
(c)(d) | | | 1,756 | |
Semi-Annual Report 51
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
3,890,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.510%), 3.53%,
3/24/28 (b) | | $ | 3,739 | |
1,400,000 | | Workday Inc., 3.80%, 4/01/32 | | | 1,326 | |
Total Corporate Bond (Cost - $230,254) | | | 214,643 | |
| |
Foreign Government (6%) | | | | |
4,250,000 | | Colombia Government International Bond, 4.50%, 3/15/29 | | | 3,863 | |
1,000,000 | | Corp. Financiera de Desarrollo SA 144A, 2.40%, 9/28/27 (a) | | | 878 | |
1,900,000 | | Dominican Republic International Bond, 6.00%, 7/19/28 (d) | | | 1,887 | |
3,500,000 | | Dominican Republic International Bond 144A, 5.50%, 2/22/29 (a) | | | 3,284 | |
1,900,000 | | Egypt Government International Bond, 4.75%, 4/16/26 EUR (c)(d) | | | 1,692 | |
850,000 | | Egypt Government International Bond, 7.50%, 1/31/27 (d) | | | 756 | |
1,910,000 | | Guatemala Government Bond, 5.75%, 6/06/22 (d) | | | 1,910 | |
1,711,000 | | Guatemala Government Bond 144A, 5.75%, 6/06/22 (a) | | | 1,711 | |
1,985,000 | | Guatemala Government Bond, 4.50%, 5/03/26 (d) | | | 1,975 | |
280,000 | | Guatemala Government Bond, 4.90%, 6/01/30 (d) | | | 275 | |
1,050,000 | | Guatemala Government Bond 144A, 3.70%, 10/07/33 (a) | | | 903 | |
4,900,000 | | Ivory Coast Government International Bond, 6.38%, 3/03/28 (d) | | | 4,879 | |
1,580,000 | | Mongolia Government International Bond 144A, 5.63%, 5/01/23 (a) | | | 1,577 | |
1,000,000 | | Mongolia Government International Bond 144A, 5.13%, 4/07/26 (a) | | | 942 | |
700,000 | | Mongolia Government International Bond, 5.13%, 4/07/26 (d) | | | 660 | |
1,980,000 | | Mongolia Government International Bond 144A, 3.50%, 7/07/27 (a) | | | 1,723 | |
1,800,000 | | Morocco Government International Bond, 3.50%, 6/19/24 EUR (c)(d) | | | 1,930 | |
1,575,000 | | Nigeria Government International Bond, 6.50%, 11/28/27 (d) | | | 1,403 | |
1,500,000 | | Nigeria Government International Bond 144A, 8.38%, 3/24/29 (a) | | | 1,403 | |
400,000 | | Oman Government International Bond, 4.13%, 1/17/23 (d) | | | 402 | |
2,950,000 | | Oman Government International Bond, 4.75%, 6/15/26 (d) | | | 2,909 | |
1,900,000 | | Paraguay Government International Bond 144A, 3.85%, 6/28/33 (a) | | | 1,687 | |
39,600,000 | | Republic of South Africa Government Bond Series 2030, 8.00%, 1/31/30 ZAR (c) | | | 2,246 | |
1,300,000 | | Republic of South Africa Government International Bond, 5.88%, 4/20/32 | | | 1,239 | |
1,300,000 | | Republic of Uzbekistan International Bond, 5.38%, 2/20/29 (d) | | | 1,253 | |
1,380,000 | | Republic of Uzbekistan International Bond 144A, 3.90%, 10/19/31 (a) | | | 1,126 | |
1,100,000 | | Romanian Government International Bond, 3.62%, 5/26/30 EUR (c)(d) | | | 1,062 | |
1,300,000 | | Romanian Government International Bond 144A, 1.75%, 7/13/30 EUR (a)(c) | | | 1,087 | |
3,290,000 | | Senegal Government International Bond, 4.75%, 3/13/28 EUR (c)(d) | | | 3,273 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
3,250,000 | | Serbia International Bond 144A, 1.00%, 9/23/28 EUR (a)(c) | | | $ 2,624 | |
Total Foreign Government (Cost - $58,680) | | | 52,559 | |
| |
Mortgage Backed (31%) | | | | |
3,300,000 | | 280 Park Avenue Mortgage Trust 2017-280P 144A, (1 mo. LIBOR USD + 1.536%), 2.03%, 9/15/34 (a)(b) | | | 3,240 | |
1,269,405 | | ACRE Commercial Mortgage Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 0.830%), 1.38%, 12/18/37 (a)(b) | | | 1,255 | |
600,000 | | ACRE Commercial Mortgage Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 1.750%), 2.30%, 12/18/37 (a)(b) | | | 588 | |
1,000,000 | | ACRE Commercial Mortgage Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 2.600%), 3.15%, 12/18/37 (a)(b) | | | 977 | |
1,900,000 | | BAMLL Commercial Mortgage Securities Trust 2015-200P 144A, 3.72%, 4/14/33 (a)(f) | | | 1,824 | |
1,808,000 | | BBCMS Mortgage Trust 2018-TALL 144A, (1 mo. LIBOR USD + 0.971%), 1.53%,
3/15/37 (a)(b) | | | 1,736 | |
3,000,000 | | BX Commercial Mortgage Trust 2021-VOLT 144A, (1 mo. LIBOR USD + 2.850%), 3.40%, 9/15/36 (a)(b) | | | 2,920 | |
1,020,000 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.800%), 2.35%, 10/15/36 (a)(b) | | | 1,010 | |
1,657,500 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.000%), 2.55%, 10/15/36 (a)(b) | | | 1,627 | |
2,550,000 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 2.85%, 10/15/36 (a)(b) | | | 2,497 | |
1,999,357 | | BX Commercial Mortgage Trust 2018-BIOA 144A, (1 mo. LIBOR USD + 1.951%), 2.51%, 3/15/37 (a)(b) | | | 1,966 | |
2,568,590 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 2.100%), 2.65%, 10/15/37 (a)(b) | | | 2,508 | |
1,401,049 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 2.750%), 3.30%, 10/15/37 (a)(b) | | | 1,358 | |
3,300,000 | | BX Commercial Mortgage Trust 2021-VINO 144A, (1 mo. LIBOR USD + 1.952%), 2.51%, 5/15/38 (a)(b) | | | 3,176 | |
900,000 | | BX Commercial Mortgage Trust 2021-VINO 144A, (1 mo. LIBOR USD + 3.952%), 4.51%, 5/15/38 (a)(b) | | | 871 | |
900,000 | | BX Commercial Mortgage Trust 2021-SOAR 144A, (1 mo. LIBOR USD + 2.350%), 2.91%, 6/15/38 (a)(b) | | | 873 | |
3,044,819 | | BX Commercial Mortgage Trust 2021-XL2 144A, (1 mo. LIBOR USD + 3.890%), 4.44%, 10/15/38 (a)(b) | | | 2,940 | |
2,593,175 | | BX Commercial Mortgage Trust 2022-LP2 144A, (1 mo. Term Secured Overnight Financing Rate + 4.106%), 4.63%,
2/15/39 (a)(b) | | | 2,528 | |
2,050,000 | | BX Trust 2021-LGCY 144A, (1 mo. LIBOR USD + 3.193%), 3.75%, 10/15/23 (a)(b) | | | 1,965 | |
2,900,000 | | BX Trust 2018-GW 144A, (1 mo. LIBOR USD + 2.420%), 2.97%, 5/15/35 (a)(b) | | | 2,793 | |
3,250,000 | | BX Trust 2021-ARIA 144A, (1 mo. LIBOR USD + 2.594%), 3.15%, 10/15/36 (a)(b) | | | 3,154 | |
52 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
2,450,000 | | BXMT Ltd. 2020-FL2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.064%), 2.33%, 2/15/38 (a)(b) | | $ | 2,402 | |
3,600,000 | | BXMT Ltd. 2020-FL2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.164%), 2.43%, 2/15/38 (a)(b) | | | 3,509 | |
799,000 | | CAMB Commercial Mortgage Trust 2019-LIFE 144A, (1 mo. LIBOR USD + 3.250%), 3.80%, 12/15/37 (a)(b) | | | 783 | |
15,480,640 | | Cantor Commercial Real Estate Lending 2019- CF1, 1.30%, 5/15/52 (f) | | | 879 | |
2,800,000 | | Cassia SRL 2022-1A 144A, (3 mo. EURIBOR + 2.500%), 2.50%, 5/22/34 EUR (a)(b)(c) | | | 2,945 | |
2,209,870 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 1.120%), 1.67%, 6/15/34 (a)(b) | | | 2,176 | |
2,581,160 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 1.500%), 2.05%, 6/15/34 (a)(b) | | | 2,526 | |
3,315,798 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.60%, 6/15/34 (a)(b) | | | 3,225 | |
1,588,406 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 2.90%, 6/15/34 (a)(b) | | | 1,528 | |
1,042,391 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.608%), 3.16%, 6/15/34 (a)(b) | | | 958 | |
3,919,000 | | CHT Mortgage Trust 2017-CSMO 144A, (1 mo. LIBOR USD + 3.000%), 3.55%,
11/15/36 (a)(b) | | | 3,871 | |
2,811,353 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 2.100%), 2.65%,
11/15/37 (a)(b) | | | 2,788 | |
1,965,981 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 2.766%), 3.32%,
11/15/37 (a)(b) | | | 1,949 | |
1,867,682 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 3.492%), 4.05%,
11/15/37 (a)(b) | | | 1,847 | |
1,400,000 | | COMM Mortgage Trust 2015-3BP 144A, 3.35%, 2/10/35 (a)(f) | | | 1,316 | |
3,572,000 | | Connecticut Avenue Securities Trust 2018-R07 144A, (1 mo. LIBOR USD + 4.350%), 5.02%, 4/25/31 (a)(b) | | | 3,623 | |
5,600,000 | | Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 4.350%), 5.02%, 7/25/31 (a)(b) | | | 5,680 | |
2,300,000 | | Connecticut Avenue Securities Trust 2019-R02 144A, (1 mo. LIBOR USD + 4.150%), 4.82%, 8/25/31 (a)(b) | | | 2,326 | |
135,988 | | Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 9/25/31 (a)(b) | | | 136 | |
2,650,000 | | Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 4.100%), 4.77%, 9/25/31 (a)(b) | | | 2,677 | |
2,095,203 | | Connecticut Avenue Securities Trust 2019-R04 144A, (1 mo. LIBOR USD + 5.250%), 5.92%, 6/25/39 (a)(b) | | | 2,139 | |
557,396 | | Connecticut Avenue Securities Trust 2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 2.77%, 9/25/39 (a)(b) | | | 558 | |
6,050,000 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 3.400%), 4.07%, 10/25/39 (a)(b) | | | 5,873 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
4,900,842 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 11/25/39 (a)(b) | | $ | 4,830 | |
4,332,342 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 2.000%), 2.67%, 1/25/40 (a)(b) | | | 4,331 | |
3,486,075 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 1/25/40 (a)(b) | | | 3,490 | |
3,900,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.67%, 1/25/40 (a)(b) | | | 3,591 | |
3,550,000 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 3.250%), 3.92%, 1/25/40 (a)(b) | | | 3,339 | |
3,847,092 | | Connecticut Avenue Securities Trust 2022- R01 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.000%), 1.29%, 12/25/41 (a)(b) | | | 3,804 | |
1,168,868 | | Connecticut Avenue Securities Trust 2022- R04 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.000%), 2.29%, 3/25/42 (a)(b) | | | 1,170 | |
2,150,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.150%), 2.70%, 5/15/36 (a)(b) | | | 2,111 | |
2,720,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 3.20%, 5/15/36 (a)(b) | | | 2,670 | |
1,100,000 | | CSMC Trust 2017-MOON 144A, 3.30%, 7/10/34 (a)(f) | | | 1,096 | |
1,736,149 | | DBGS Mortgage Trust 2018-BIOD 144A, (1 mo. LIBOR USD + 2.000%), 2.49%,
5/15/35 (a)(b) | | | 1,692 | |
3,106,793 | | DBGS Mortgage Trust 2018-BIOD 144A, (1 mo. LIBOR USD + 2.500%), 2.99%,
5/15/35 (a)(b) | | | 3,013 | |
2,882,261 | | Extended Stay America Trust 2021-ESH 144A, (1 mo. LIBOR USD + 2.850%), 3.41%, 7/15/38 (a)(b) | | | 2,830 | |
2,385,320 | | Extended Stay America Trust 2021-ESH 144A, (1 mo. LIBOR USD + 3.700%), 4.26%, 7/15/38 (a)(b) | | | 2,346 | |
1,590,553 | | Fannie Mae Connecticut Avenue Securities 2017- C03, (1 mo. LIBOR USD + 3.000%), 3.67%, 10/25/29 (b) | | | 1,634 | |
2,436,466 | | Fannie Mae Connecticut Avenue Securities 2017- C06, (1 mo. LIBOR USD + 2.800%), 3.47%, 2/25/30 (b) | | | 2,486 | |
4,314,246 | | Fannie Mae Connecticut Avenue Securities 2018- C01, (1 mo. LIBOR USD + 2.250%), 2.92%, 7/25/30 (b) | | | 4,359 | |
5,276,669 | | Fannie Mae Connecticut Avenue Securities 2018- C03, (1 mo. LIBOR USD + 2.150%), 2.82%, 10/25/30 (b) | | | 5,323 | |
2,386,782 | | Fannie Mae Connecticut Avenue Securities 2018- C06, (1 mo. LIBOR USD + 2.000%), 2.67%, 3/25/31 (b) | | | 2,390 | |
2,572,009 | | Fannie Mae Connecticut Avenue Securities 2018- C06, (1 mo. LIBOR USD + 2.100%), 2.77%, 3/25/31 (b) | | | 2,580 | |
Semi-Annual Report 53
Payden Absolute Return Bond Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
2,100,000 | | Fannie Mae Connecticut Avenue Securities 2018- C06, (1 mo. LIBOR USD + 3.750%), 4.42%, 3/25/31 (b) | | $ | 2,083 | |
1,400,000 | | Fannie Mae Connecticut Avenue Securities 2018- C06, (1 mo. LIBOR USD + 4.100%), 4.77%, 3/25/31 (b) | | | 1,407 | |
6,383,036 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.52%,
9/25/49 (a)(b) | | | 6,373 | |
2,900,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 3.000%), 3.67%,
9/25/49 (a)(b) | | | 2,809 | |
3,500,000 | | Freddie Mac STACR REMIC Trust 2021-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.250%), 2.54%, 8/25/33 (a)(b) | | | 3,438 | |
1,372,456 | | Freddie Mac STACR REMIC Trust 2021-DNA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.750%), 1.04%, 10/25/33 (a)(b) | | | 1,359 | |
1,875,000 | | Freddie Mac STACR REMIC Trust 2021-DNA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.100%), 2.39%, 10/25/33 (a)(b) | | | 1,828 | |
2,600,000 | | Freddie Mac STACR REMIC Trust 2021-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.650%), 1.94%, 1/25/34 (a)(b) | | | 2,581 | |
2,400,000 | | Freddie Mac STACR REMIC Trust 2022-DNA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.000%), 2.25%, 4/25/42 (a)(b) | | | 2,401 | |
931,416 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 1.700%), 2.37%, 1/25/50 (a)(b) | | | 928 | |
889,679 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.57%, 1/25/50 (a)(b) | | | 891 | |
1,400,000 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 2.300%), 2.97%, 1/25/50 (a)(b) | | | 1,328 | |
5,122,009 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 2/25/50 (a)(b) | | | 5,120 | |
1,700,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 2.500%), 3.17%, 2/25/50 (a)(b) | | | 1,626 | |
2,989,697 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 3.100%), 3.77%, 3/25/50 (a)(b) | | | 3,004 | |
1,000,000 | | Freddie Mac STACR REMIC Trust 2020-HQA2 144A, (1 mo. LIBOR USD + 4.100%), 4.77%, 3/25/50 (a)(b) | | | 1,006 | |
228,949 | | Freddie Mac STACR REMIC Trust 2020-HQA4 144A, (1 mo. LIBOR USD + 3.150%), 3.82%, 9/25/50 (a)(b) | | | 229 | |
1,093,104 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.800%), 3.09%, 10/25/50 (a)(b) | | | 1,102 | |
1,100,000 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 4.800%), 5.09%, 10/25/50 (a)(b) | | | 1,147 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
3,000,000 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.800%), 2.09%, 1/25/51 (a)(b) | | $ | 2,940 | |
4,298,265 | | Freddie Mac STACR Trust 2018-DNA2 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 12/25/30 (a)(b) | | | 4,335 | |
374,539 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 0.750%), 1.42%, 10/25/48 (a)(b) | | | 374 | |
6,250,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.97%, 10/25/48 (a)(b) | | | 6,277 | |
1,222,373 | | Freddie Mac STACR Trust 2019-FTR2 144A, (1 mo. LIBOR USD + 0.950%), 1.62%, 11/25/48 (a)(b) | | | 1,214 | |
2,132,034 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.32%,
1/25/49 (a)(b) | | | 2,153 | |
5,663,950 | | Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 2.350%), 3.02%,
2/25/49 (a)(b) | | | 5,707 | |
1,466,175 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 2.450%), 3.12%,
3/25/49 (a)(b) | | | 1,474 | |
1,350,000 | | Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 4.350%), 5.02%,
3/25/49 (a)(b) | | | 1,366 | |
6,177,853 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.72%,
4/25/49 (a)(b) | | | 6,207 | |
1,550,000 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 4.100%), 4.77%,
4/25/49 (a)(b) | | | 1,572 | |
1,243,762 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2, (1 mo. LIBOR USD + 11.250%), 11.92%, 10/25/29 (b) | | | 1,317 | |
9,977,377 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1, (1 mo. LIBOR USD + 2.300%), 2.97%, 9/25/30 (b) | | | 10,050 | |
1,003,851 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 2.450%), 3.12%, 12/25/42 (b) | | | 1,004 | |
1,950,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 4.600%), 5.27%, 12/25/42 (b) | | | 1,956 | |
1,300,000 | | Frost CMBS DAC 2021-1A 144A, (Sterling Overnight Index Average + 2.900%), 3.09%, 11/22/26 GBP (a)(b)(c) | | | 1,625 | |
3,772,000 | | HONO Mortgage Trust 2021-LULU 144A, (1 mo. LIBOR USD + 4.400%), 4.95%,
10/15/36 (a)(b) | | | 3,702 | |
300,000 | | InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 3.500%), 4.06%, 1/15/33 (a)(b) | | | 298 | |
2,702 | | JP Morgan Mortgage Trust 2014-IVR3 144A, 2.34%, 9/25/44 (a)(f) | | | 3 | |
213,213 | | JP Morgan Mortgage Trust 2017-5 144A, 3.04%, 10/26/48 (a)(f) | | | 213 | |
750,000 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 1.250%), 1.80%, 12/15/37 (a)(b) | | | 730 | |
54 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,312,500 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 1.550%), 2.10%, 12/15/37 (a)(b) | | $ | 1,276 | |
2,250,000 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 2.050%), 2.60%, 12/15/37 (a)(b) | | | 2,176 | |
4,548,352 | | LCCM 2017-LC26 144A, 1.67%,
7/12/50 (a)(f) | | | 258 | |
2,752,316 | | Life Mortgage Trust 2021-BMR 144A, (1 mo. LIBOR USD + 2.350%), 2.90%, 3/15/38 (a)(b) | | | 2,650 | |
2,000,000 | | Med Trust 2021-MDLN 144A, (1 mo. LIBOR USD + 5.250%), 5.81%,
11/15/38 (a)(b) | | | 1,958 | |
602,909 | | MF1 Ltd. 2020-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 2.164%), 2.67%, 7/15/35 (a)(b) | | | 606 | |
2,000,000 | | MF1 Ltd. 2020-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 2.964%), 3.47%, 7/15/35 (a)(b) | | | 2,005 | |
2,225,653 | | Morgan Stanley Capital I Trust 2018-H3, 0.99%, 7/15/51 (f) | | | 79 | |
2,165,727 | | Motel Trust 2021-MTL6 144A, (1 mo. LIBOR USD + 2.700%), 3.25%,
9/15/38 (a)(b) | | | 2,115 | |
1,757,543 | | Motel Trust 2021-MTL6 144A, (1 mo. LIBOR USD + 4.700%), 5.25%,
9/15/38 (a)(b) | | | 1,709 | |
213,411 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 1.700%), 2.37%, 10/15/49 (a)(b) | | | 210 | |
2,300,000 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.92%, 10/15/49 (a)(b) | | | 2,194 | |
3,900,000 | | ONE Mortgage Trust 2021-PARK 144A, (1 mo. LIBOR USD + 1.500%), 2.05%, 3/15/36 (a)(b) | | | 3,793 | |
1,600,000 | | ONE Mortgage Trust 2021-PARK 144A, (1 mo. LIBOR USD + 1.750%), 2.30%, 3/15/36 (a)(b) | | | 1,546 | |
515,599 | | PFP Ltd. 2019-5 144A, (1 mo. LIBOR USD + 1.420%), 1.97%, 4/14/36 (a)(b) | | | 512 | |
1,258,542 | | Radnor RE Ltd. 2021-1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.650%), 1.94%,
12/27/33 (a)(b) | | | 1,252 | |
3,400,000 | | RIAL Issuer Ltd. 2022-FL8 144A, (1 mo. Term Secured Overnight Financing Rate + 3.250%), 4.04%, 1/19/37 (a)(b) | | | 3,400 | |
1,543,345 | | SMR Mortgage Trust 2022-IND 144A, (1 mo. Term Secured Overnight Financing Rate + 5.000%), 5.51%, 2/15/39 (a)(b) | | | 1,523 | |
1,752,246 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.32%,
4/25/43 (a)(b) | | | 1,750 | |
3,350,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.42%,
4/25/43 (a)(b) | | | 3,347 | |
648,786 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%), 1.92%,
2/25/47 (a)(b) | | | 646 | |
6,500,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 3.07%,
2/25/47 (a)(b) | | | 6,482 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
308,672 | | STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 2.100%), 2.77%, 9/25/48 (a)(b) | �� | $ | 311 | |
2,650,000 | | TPGI Trust 2021-DGWD 144A, (1 mo. LIBOR USD + 2.350%), 2.90%, 6/15/26 (a)(b) | | | 2,561 | |
1,097,200 | | TTAN 2021-MHC 144A, (1 mo. LIBOR USD + 2.400%), 2.96%, 3/15/38 (a)(b) | | | 1,060 | |
1,200,000 | | Wells Fargo Commercial Mortgage Trust 2017- SMP 144A, (1 mo. LIBOR USD + 0.875%), 1.43%, 12/15/34 (a)(b) | | | 1,186 | |
450,000 | | Wells Fargo Commercial Mortgage Trust 2017- SMP 144A, (1 mo. LIBOR USD + 1.775%), 2.33%, 12/15/34 (a)(b) | | | 442 | |
6,569,110 | | Wells Fargo Commercial Mortgage Trust 2018- C46, 1.10%, 8/15/51 (f) | | | 235 | |
Total Mortgage Backed (Cost - $303,698) | | | 299,064 | |
U.S. Treasury (2%) | | | | |
14,525,000 | | U.S. Treasury Note, 0.88%, 1/31/24
(Cost - $14,449) | | | 14,086 | |
| |
Stocks (1%) | | | | |
| |
Preferred Stock (1%) | | | 4,472 | |
110 | | Flagship Credit Auto Trust, 0.00% | | | | |
100 | | Santander Consumer Auto Receivables Trust 2021-C, 0.00% | | | 1,692 | |
Total Stocks (Cost - $6,655) | | | 6,164 | |
| |
Investment Company (7%) | | | | |
70,925,068 | | Payden Cash Reserves Money Market Fund * (Cost - $70,925) | | | 70,925 | |
| |
Purchase Options (0%) | | | | |
Total Purchase Options (Cost - $507) | | | 844 | |
| |
Total Investments (Cost - $986,893) (100%) | | | 948,170 | |
Other Assets, net of Liabilities (0%) | | | 4,339 | |
| |
Net Assets (100%) | | $ | 952,509 | |
| (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, 2022. |
| (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, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (f) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
Purchase Options
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Notional
Amount
(000s) | | | Exercise
Price | | | Maturity
Date | | | Value
(000s) | | | Call/Put | |
Exchange Traded Options Purchase — 0.1% | | | | | | | | | | | | | | | | | | | | | | | | |
S & P 500 Index | | | 31 | | | $ | 12,809 | | | $ | 3600 | | | | 09/30/2022 | | | $ | 366 | | | | Put | |
Semi-Annual Report 55
Payden Absolute Return Bond Fund continued
Purchase Options
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Notional
Amount
(000s) | | | Exercise
Price | | | Maturity Date | | | Value
(000s) | | | Call/Put | |
S & P 500 Index | | | 42 | | | $ | 17,354 | | | $ | 3600 | | | | 04/29/2022 | | | $ | — | | | | Put | |
S & P 500 Index | | | 55 | | | | 22,726 | | | | 3850 | | | | 06/30/2022 | | | | 479 | | | | Put | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchase Options | | | | | | | | | | | | | | | | | | $ | 845 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | | | | Currency
Sold (000s) | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | |
COP 5,698,000 | | | | | | | USD 1,417 | | | BNP PARIBAS | | | 07/29/2022 | | | $ | 1 | |
USD 2,505 | | | | | | | ZAR 36,857 | | | Citibank, N.A. | | | 07/19/2022 | | | | 192 | |
USD 79,799 | | | | | | | EUR 72,120 | | | Citibank, N.A. | | | 09/15/2022 | | | | 3,092 | |
USD 3,358 | | | | | | | CAD 4,300 | | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | 13 | |
USD 7,106 | | | | | | | GBP 5,442 | | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | 256 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,554 | |
| | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | |
BRL 4,786 | | | | | | | USD 945 | | | Citibank, N.A. | | | 07/29/2022 | | | | (4 | ) |
CLP 1,226,100 | | | | | | | USD 1,419 | | | BNP PARIBAS | | | 07/29/2022 | | | | (7 | ) |
EUR 10,749 | | | | | | | USD 11,935 | | | Citibank, N.A. | | | 09/15/2022 | | | | (502 | ) |
GBP 530 | | | | | | | USD 693 | | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | (26 | ) |
MYR 20,774 | | | | | | | USD 4,783 | | | Barclays Bank PLC | | | 07/29/2022 | | | | (15 | ) |
ZAR 14,130 | | | | | | | USD 888 | | | Citibank, N.A. | | | 07/29/2022 | | | | (2 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (556 | ) |
| | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | $ | 2,998 | |
| | | | | | | | | | | | | | | | | | |
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 | | | 7 | | | | | | Jun-22 | | | $ | 985 | | | $ | (12 | ) | | $ | (12 | ) |
U.S. Ultra Bond Future | | | 44 | | | | | | Jun-22 | | | | 7,059 | | | | (786 | ) | | | (786 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (798 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | | 113 | | | | | | Jun-22 | | | | (15,161 | ) | | | 634 | | | | 634 | |
Euro-Bund Future | | | 38 | | | | | | Jun-22 | | | | (6,157 | ) | | | 487 | | | | 487 | |
U.S. 10-Year Ultra Future | | | 219 | | | | | | Jun-22 | | | | (28,251 | ) | | | 342 | | | | 342 | |
U.S. Treasury 10-Year Note Future | | | 121 | | | | | | Jun-22 | | | | (14,418 | ) | | | 663 | | | | 663 | |
U.S. Treasury 2-Year Note Future | | | 255 | | | | | | Jun-22 | | | | (53,757 | ) | | | 55 | | | | 55 | |
U.S. Treasury 5-Year Note Future | | | 1,037 | | | | | | Jun-22 | | | | (116,841 | ) | | | 4,492 | | | | 4,492 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 6,673 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | $ | 5,875 | |
| | | | | | | | | | | | | | | | | | | | | | |
56 Payden Mutual Funds
Open Centrally Cleared Credit Default Swap Contracts
| | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Appreciation
(000s) | |
| Protection Bought (Relevant Credit: Markit CDX, North America High Yield Series 38 Index), Pay 5% Quarterly, Receive upon credit default | | | 06/21/2027 | | | USD 50,700 | | $ | (1,053 | ) | | $ | (2,649 | ) | | $ | 1,596 | |
| Protection Bought (Relevant Credit: Markit iTraxx Crossover), Pay 5% Quarterly, Receive upon credit default | | | 06/21/2027 | | | EUR 11,400 | | | (440 | ) | | | (671 | ) | | | 231 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (1,493 | ) | | $ | (3,320 | ) | | $ | 1,827 | |
| | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Depreciation
(000s) | |
| 10-Year SOFR Swap, Receive Fixed 1.517% Annually, Pay Variable 0.23021% (SOFRRATE) Annually | | | 03/03/2032 | | | | USD 21,639 | | | $ | (2,153 | ) | | $ | — | | | $ | (2,153 | ) |
| 10-Year SOFR Swap, Receive Fixed 1.615% Annually, Pay Variable 0.23332% (SOFRRATE) Annually | | | 03/04/2032 | | | | USD 10,823 | | | | (984 | ) | | | — | | | | (984 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | (3,137 | ) | | $ | — | | | $ | (3,137 | ) |
| | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Zero-Coupon Inflation Swap Contracts
| | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Depreciation
(000s) | |
| 10 Year Zero-Coupon Inflation Swap Receive Fixed 2.3705% at Maturity, Pay Variable (Change in CPI) at Maturity | | | 06/22/2031 | | | USD 13,170 | | $ | (1,651 | ) | | $ | — | | | $ | (1,651 | ) |
| | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 57
Payden Floating Rate Fund
The Fund seeks a high level of current income through floating rate debt instruments, with a secondary objective of long-term capital appreciation.
| | | | |
Portfolio Composition - percent of investments | |
Bank Loans | | | 79% | |
Corporate Bond | | | 14% | |
Investment Company | | | 4% | |
Mortgage Backed | | | 2% | |
Asset Backed | | | 1% | |
| | | | | | |
| Schedule of Investments - April 30, 2022 (Unaudited) | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (1%) | | | | |
400,000 | | Cologix Canadian Issuer LP 2022-1CAN 144A, 7.74%, 1/25/52 CAD (a)(b) | | $ | 298 | |
1,200,000 | | Madison Park Funding XIII Ltd. 2014-13A 144A, (3 mo. LIBOR USD + 2.850%), 3.89%, 4/19/30 (a)(c) | | | 1,188 | |
Total Asset Backed (Cost - $1,500) | | | 1,486 | |
Bank Loans(d) (77%) | | | | |
Automotive (3%) | | | | |
500,588 | | American Axle & Manufacturing Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.00%, 4/06/24 | | | 500 | |
1,250,030 | | Clarios Global LP Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 4/30/26 | | | 1,233 | |
1,500,000 | | Driven Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.52%, 12/17/28 | | | 1,487 | |
1,336,189 | | Tenneco Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.76%, 10/01/25 | | | 1,323 | |
1,300,000 | | Visteon Corp. Term Loan B 1L, (LIBOR USD 3-Month + 1.750%), 2.48%, 3/24/24 | | | 1,284 | |
1,333,300 | | Wheel Pros Inc. Term Loan 1L, (LIBOR USD 1-Month + 4.500%), 5.25%, 5/11/28 | | | 1,248 | |
| | | | | 7,075 | |
Basic Industry (11%) | | | | |
250,000 | | American Airlines Inc. Term Loan 1L, (LIBOR USD 3-Month + 4.750%), 5.81%, 4/20/28 | | | 255 | |
571,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.02%, 11/01/25 | | | 611 | |
1,259,747 | | BWay Holding Co. Term Loan 1L, (LIBOR USD 1-Month + 3.250%), 3.71%, 4/03/24 | | | 1,237 | |
458,222 | | Core & Main LP Term Loan B1 1L, (LIBOR USD 1-Month + 2.500%), 3.57%, 7/27/28 | | | 452 | |
1,492,443 | | Dun & Bradstreet Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 3.92%, 2/08/26 | | | 1,483 | |
942,875 | | Ecovyst Catalyst Technologies LLC Term Loan 1L, (LIBOR USD 3-Month + 2.500%), 3.74%, 6/09/28 | | | 935 | |
1,378,165 | | Graham Packaging Co. Inc. Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.76%, 8/04/27 | | | 1,352 | |
1,500,000 | | Griffon Corp. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.27%, 1/24/29 | | | 1,490 | |
450,269 | | H.B. Fuller Co. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.59%, 10/20/24 | | | 450 | |
1,500,000 | | II-VI Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.25%, 12/08/28 | | | 1,495 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,468,900 | | INEOS U.S. Petrochem LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 1/29/26 | | $ | 1,456 | |
1,208,344 | | Madison IAQ LLC Term Loan 1L, (LIBOR USD 6-Month + 3.250%), 4.52%, 6/21/28 | | | 1,174 | |
1,480,000 | | Quikrete Holdings Inc. Term Loan B1 1L, (LIBOR USD 1-Month + 3.000%), 3.66%, 6/11/28 | | | 1,444 | |
1,045,640 | | SCIH Salt Holdings Inc. Term Loan B 1L, (LIBOR USD 6-Month + 4.000%), 4.75%, 3/16/27 | | | 1,013 | |
1,270,400 | | SRS Distribution Inc. Term Loan B 1L, (LIBOR USD 6-Month + 3.500%), 4.02%, 6/04/28 | | | 1,229 | |
988,513 | | Standard Industries Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.79%, 9/22/28 | | | 987 | |
692,911 | | TransDigm Inc. Term Loan G 1L, (LIBOR USD 1-Month + 2.250%), 3.01%, 8/22/24 | | | 684 | |
482,247 | | United Rentals N.A. Inc. Term Loan 1L, (LIBOR USD 1-Month + 1.750%), 2.51%, 10/31/25 | | | 485 | |
1,289,375 | | Vertical Midco GmbH Term Loan B 1L, (LIBOR USD 6-Month + 3.500%), 4.02%, 7/31/27 | | | 1,278 | |
1,395,900 | | VM Consolidated Inc. Term Loan 1L, (LIBOR USD 6-Month + 3.250%), 3.60%, 3/26/28 | | | 1,388 | |
1,072,313 | | WR Grace Holdings LLC Term Loan B 1L, (LIBOR USD 3-Month + 3.750%), 4.81%, 9/22/28 | | | 1,066 | |
| | | | | 21,964 | |
Consumer Goods (4%) | | | | |
1,089,727 | | Froneri U.S. Inc. Term Loan B2 1L, (LIBOR USD 1-Month + 2.250%), 3.01%, 1/31/27 | | | 1,066 | |
970,000 | | JBS USA LUX SA Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.80%, 5/01/26 | | | 968 | |
1,100,000 | | Sunset Debt Merger Sub Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.000%), 4.75%, 10/06/28 | | | 1,026 | |
711,000 | | TGP Holdings III LLC Term Loan 1L, (LIBOR USD 3-Month + 3.250%), 4.01%, 6/29/28 | | | 678 | |
93,750 | | TGP Holdings III LLC Term Loan DD 1L, (LIBOR USD 1-Month + 4.500%), 4.24%, 6/29/28 | | | 89 | |
1,995,000 | | U.S. Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.26%, 11/22/28 | | | 1,985 | |
967,782 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 3.46%, 10/22/25 | | | 963 | |
593,986 | | Utz Quality Foods LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.76%, 1/20/28 | | | 590 | |
58 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
500,000 | | WP CityMD Bidco LLC Term Loan B 1L, (LIBOR USD 3-Month + 3.250%), 3.75%, 12/23/28 | | $ | 496 | |
| | | | | 7,861 | |
| |
Energy (3%) | | | | |
1,240,060 | | Calpine Corp. Term Loan B5 1L, (LIBOR USD 1-Month + 2.500%), 3.27%, 12/16/27 | | | 1,229 | |
1,320,025 | | CQP Holdco LP Term Loan 1L, (LIBOR USD 1-Month + 3.750%), 4.76%, 6/04/28 | | | 1,318 | |
279,530 | | DT Midstream Inc. Term Loan 1L, (LIBOR USD 6-Month + 2.000%), 2.50%, 6/10/28 | | | 280 | |
488,748 | | Exgen Renewables IV LLC Term Loan B 1L, (LIBOR USD 3-Month + 2.500 %), 3.50%, 12/15/27 | | | 488 | |
982,500 | | PG&E Corp. Term Loan B 1L, (LIBOR USD 3-Month + 3.000%), 3.81%, 6/23/25 | | | 972 | |
1,496,250 | | Southwestern Energy Co. Term Loan B 1L, (LIBOR USD 1-Month + 1.500%), 3.30%, 6/22/27 | | | 1,497 | |
| | | | | 5,784 | |
| |
Financial Services (5%) | | | | |
1,496,250 | | Albion Acquisitions Ltd. Term Loan 1L, (LIBOR USD 1-Month + 5.250%), 6.43%, 7/31/26 | | | 1,484 | |
798,387 | | Allspring Buyer LLC Term Loan 1L, (LIBOR USD 2-Month + 3.250%), 4.31%, 11/02/28 | | | 798 | |
1,463,932 | | AmWins Group Inc. Term Loan 1L, (LIBOR USD 1-Month + 2.250%), 3.01%, 2/19/28 | | | 1,440 | |
2,250,000 | | Bengal Debt Merger Sub LLC Term Loan 1L, (LIBOR USD 3-Month + 2.250%), 4.00%, 1/24/29 | | | 2,211 | |
495,000 | | Citadel Securities LP Term Loan 1L, (LIBOR USD 1-Month + 2.500%), 3.31%, 2/02/28 | | | 492 | |
1,244,212 | | Jane Street Group LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 1/26/28 | | | 1,232 | |
488,750 | | Nexus Buyer LLC Term Loan 1L, (LIBOR USD 1-Month + 3.750%), 4.51%, 11/08/26 | | | 485 | |
594,008 | | Starwood Property Mortgage LLC Term Loan B3 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 7/26/26 | | | 593 | |
1,302,702 | | Trans Union LLC Term Loan B6 1L, (LIBOR USD 1-Month + 2.250%), 3.01%, 12/01/28 | | | 1,291 | |
346,923 | | Tronox Finance LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.22%, 3/11/28 | | | 344 | |
| | | | | 10,370 | |
| |
Healthcare (8%) | | | | |
215,942 | | AthenaHealth Inc. Term Loan 1L, (LIBOR USD 1-Month + 3.500%), 4.00%, 2/15/29 | | | 213 | |
1,274,058 | | AthenaHealth Inc. Term Loan 1L, (LIBOR USD 1-Month + 3.500%), 4.01%, 2/15/29 | | | 1,259 | |
973,036 | | Change Healthcare Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 3.50%, 3/01/24 | | | 972 | |
1,239,130 | | Embecta Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.65%, 1/27/29 | | | 1,227 | |
925,556 | | Grifols Worldwide Operations USA Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.76%, 11/15/27 | | | 906 | |
494,752 | | ICON Luxembourg Sarl Term Loan B 1L, (LIBOR USD 3-Month + 2.250%), 3.31%, 7/01/28 | | | 493 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
893,250 | | Jazz Financing Lux Sarl Term Loan 1L, (LIBOR USD 1-Month + 3.500%), 4.26%, 5/05/28 | | $ | 893 | |
1,500,000 | | Medline Borrower LP Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 10/21/28 | | | 1,476 | |
1,496,250 | | Option Care Health Inc. Term Loan B 1L Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 10/27/28 | | | 1,493 | |
482,083 | | Organon & Co. Senior Secured Dollar Term Loan 1L, (LIBOR USD 6-Month + 3.000%), 3.56%, 6/02/28 | | | 481 | |
1,500,000 | | Owens & Minor Inc. Term Loan B1 1L, (LIBOR USD 1-Month + 3.750%), 4.55%, 3/29/29 | | | 1,507 | |
1,317,647 | | Padagis LLC Term Loan B 1L, (LIBOR USD 1-Month + 4.750%), 5.25%, 7/06/28 | | | 1,318 | |
272,727 | | Perrigo Investments LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 3.00%, 4/20/29 | | | 272 | |
477,273 | | Perrigo Investments LLC Term Loan B, (LIBOR USD 1-Month + 2.500%), 3.14%, 4/20/29 | | | 476 | |
123,268 | | PRA Health Sciences Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.250%), 3.31%, 7/01/28 | | | 123 | |
1,482,008 | | Radiology Partners Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.250%), 4.85%, 7/09/25 | | | 1,461 | |
700,000 | | Select Medical Corp. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.02%, 3/06/25 | | | 695 | |
1,480,000 | | Sterigenics-Nordion Holdings LLC Term Loan 1L, (LIBOR USD 3-Month + 2.750%), 3.51%, 12/13/26 | | | 1,468 | |
| | | | | 16,733 | |
| |
Insurance (3%) | | | | |
1,358,091 | | Acrisure LLC Term Loan B 1L, (LIBOR USD 3-Month + 3.500%), 4.26%, 2/15/27 | | | 1,340 | |
488,624 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (LIBOR USD 6-Month + 3.500%), 5.05%, 1/20/27 | | | 486 | |
1,367,985 | | AssuredPartners Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.11%, 2/13/27 | | | 1,352 | |
1,356,098 | | Asurion LLC Term Loan B8 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 12/23/26 | | | 1,328 | |
1,222,177 | | HUB International Ltd. Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 4.21%, 4/25/25 | | | 1,208 | |
| | | | | 5,714 | |
| |
Leisure (9%) | | | | |
987,840 | | 1011778 BC ULC Term Loan B4 1L Term Loan B4 1L, (LIBOR USD 1-Month + 1.750%), 2.51%, 11/19/26 | | | 971 | |
1,596,000 | | Bally’s Corp. Term Loan B 1L, (LIBOR USD 6-Month + 3.250%), 3.75%, 10/01/28 | | | 1,583 | |
967,172 | | Caesars Resort Collection LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 12/22/24 | | | 964 | |
1,316,600 | | Carnival Corp. Term Loan B 1L, (LIBOR USD 3-Month + 3.000%), 3.75%, 6/30/25 | | | 1,301 | |
2,270,000 | | Fertitta Entertainment LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.000%), 4.60%, 1/27/29 | | | 2,263 | |
1,496,250 | | Flynn Restaurant Group LP Term Loan B 1L, (LIBOR USD 1-Month + 4.250%), 4.75%, 11/23/28 | | | 1,479 | |
Semi-Annual Report 59
Payden Floating Rate Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,233,317 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 3.76%, 2/05/25 | | $ | 1,224 | |
354,180 | | KFC Holding Co. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 2.30%, 3/15/28 | | | 353 | |
1,026,364 | | Live Nation Entertainment Inc. Term Loan B4 1L, (LIBOR USD 1-Month + 1.750%), 2.38%, 10/17/26 | | | 1,005 | |
595,500 | | MajorDrive Holdings IV LLC Term Loan 1L, (LIBOR USD 3-Month + 4.000%), 4.56%, 6/01/28 | | | 587 | |
1,044,443 | | Marriott Ownership Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 2.51%, 8/31/25 | | | 1,024 | |
750,000 | | Scientific Games Corp. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 3.57%, 4/07/29 | | | 748 | |
1,500,000 | | Scientific Games Holdings LP Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 4.18%, 4/04/29 | | | 1,486 | |
523,636 | | SRAM LLC Term Loan 1L, (LIBOR USD 3-Month + 2.750%), 3.43%, 5/18/28 | | | 520 | |
1,149,588 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.26%, 2/05/27 | | | 1,133 | |
560,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD 1-Month + 7.500%), 8.26%, 2/05/28 | | | 551 | |
1,187,880 | | United PF Holdings LLC Term Loan 1L, (LIBOR USD 3-Month + 4.000%), 5.01%, 12/30/26 | | | 1,154 | |
| | | | | 18,346 | |
| |
Media (8%) | | | | |
1,500,000 | | ABG Intermediate Holdings 2 LLC Term Loan B1 1L, (LIBOR USD 3-Month + 2.500%), 4.00%, 12/21/28 | | | 1,491 | |
1,497,807 | | Altice Financing SA Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 3.79%, 7/15/25 | | | 1,475 | |
1,387,955 | | Banijay Group U.S. Holding Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.20%, 3/01/25 | | | 1,384 | |
1,000,000 | | Coral U.S. Co-Borrower LLC Term Loan B5 1L, (LIBOR USD 1-Month + 2.250%), 2.80%, 1/31/28 | | | 981 | |
500,000 | | Coral U.S. Co-Borrower LLC Term Loan B6 1L, (LIBOR USD 1-Month + 3.000%), 3.55%, 10/01/29 | | | 495 | |
1,059,897 | | CSC Holdings LLC Term Loan B5 1L, (LIBOR USD 1-Month + 2.500%), 3.05%, 4/15/27 | | | 1,043 | |
977,500 | | Diamond Sports Group LLC Term Loan 1L, (LIBOR USD 1-Month + 3.250%), 5.50%, 8/24/26 | | | 239 | |
1,441,293 | | DirectV Financing LLC Term Loan 1L, (LIBOR USD 3-Month + 5.000%), 5.76%, 8/02/27 | | | 1,437 | |
1,260,475 | | Endurance International Group Holdings Inc. Term Loan 1L, (LIBOR USD 6-Month + 3.500%), 4.25%, 2/10/28 | | | 1,209 | |
249,375 | | EW Scripps Co. Term Loan B3 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 1/07/28 | | | 249 | |
1,496,250 | | Gray Television Inc. Term Loan D 1L, (LIBOR USD 3-Month + 3.000%), 3.46%, 12/01/28 | | | 1,489 | |
1,000,000 | | Lamar Media Corp. Term Loan B 1L, (LIBOR USD 1-Month + 1.500%), 2.05%, 2/06/27 | | | 997 | |
1,395,389 | | MH Sub I LLC Term Loan 2L, (LIBOR USD 1-Month + 3.500%), 4.26%, 9/15/24 | | | 1,388 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
700,000 | | Nexstar Broadcasting Inc. Term Loan B4 1L, (LIBOR USD 3-Month + 2.750%), 2.96%, 9/19/26 | | $ | 695 | |
1,460,000 | | UPC Financing Partnership Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.40%, 1/31/29 | | | 1,448 | |
600,000 | | Virgin Media Bristol LLC Term Loan Q 1L, (LIBOR USD 1-Month + 3.250%), 3.80%, 1/31/29 | | | 598 | |
711,175 | | WMG Acquisition Corp. Term Loan G 1L, (LIBOR USD 1-Month + 2.125%), 2.89%, 1/20/28 | | | 706 | |
| | | | | 17,324 | |
| |
Real Estate (1%) | | | | |
1,248,596 | | Iron Mountain Information Management LLC Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 2.51%, 1/02/26 | | | 1,239 | |
| |
Retail (7%) | | | | |
1,221,084 | | Beacon Roofing Supply Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.01%, 5/19/28 | | | 1,209 | |
1,248,438 | | BJ’s Wholesale Club Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.52%, 2/03/24 | | | 1,250 | |
1,500,000 | | Crocs Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.45%, 2/19/29 | | | 1,468 | |
977,500 | | Dealer Tire LLC Term Loan B 1L, (LIBOR USD 1-Month + 4.250%), 5.01%, 12/12/25 | | | 979 | |
1,062,502 | | GOBP Holdings Inc. Term Loan 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 10/22/25 | | | 1,057 | |
543,125 | | GYP Holdings III Corp. Term Loan 1L, (LIBOR USD 1-Month + 2.500%), 3.11%, 6/01/25 | | | 539 | |
1,239,912 | | Harbor Freight Tools USA Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 10/19/27 | | | 1,199 | |
1,395,900 | | Leslie’s Poolmart Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.02%, 3/09/28 | | | 1,380 | |
798,000 | | MIC Glen LLC Term Loan 1L, (LIBOR USD 3-Month + 3.500%), 4.00%, 10/14/28 | | | 789 | |
1,250,000 | | MIC Glen LLC Term Loan 2L, (LIBOR USD 1-Month + 6.750%), 7.25%, 7/21/29 | | | 1,235 | |
496,250 | | Michaels Cos. Inc. Term Loan B 1L, (LIBOR USD 3-Month + 4.250%), 5.26%, 4/15/28 | | | 454 | |
694,750 | | PetSmart Inc. Term Loan 1L, (LIBOR USD 3-Month + 3.750%), 4.50%, 2/12/28 | | | 690 | |
1,495,500 | | Whatabrands LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 8/03/28 | | | 1,481 | |
| | | | | 13,730 | |
| |
Service (1%) | | | | |
787,359 | | Adtalem Global Education Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.500%), 5.25%, 8/12/28 | | | 785 | |
465,325 | | Aramark Services Inc. Term Loan B3 1L, (LIBOR USD 1-Month + 1.750%), 2.51%, 3/11/25 | | | 459 | |
218,835 | | Hertz Corp. Term Loan C 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 6/30/28 | | | 218 | |
1,152,456 | | Hertz Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 6/30/28 | | | 1,150 | |
| | | | | 2,612 | |
60 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Technology (6%) | | | | |
1,399,425 | | Ahead DB Holdings LLC Term Loan B 1L, (LIBOR USD 3-Month + 3.750%), 4.76%, 10/16/27 | | $ | 1,393 | |
600,000 | | Avaya Inc. Term Loan B2 1L, (LIBOR USD 1-Month + 4.000%), 4.55%, 12/15/27 | | | 592 | |
1,338,655 | | Castle U.S. Holding Corp. Term Loan 1L, (LIBOR USD 3-Month + 3.750%), 4.51%, 1/31/27 | | | 1,291 | |
1,901,697 | | Ensono Holdings LLC Term Loan B 1L, (LIBOR USD 6-Month + 4.000%), 4.75%, 5/28/28 | | | 1,883 | |
1,293,500 | | Everi Payments Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 3.01%, 8/03/28 | | | 1,286 | |
593,450 | | Finastra USA Inc. Term Loan 1L, (LIBOR USD 6-Month + 3.500%), 4.74%, 6/13/24 | | | 577 | |
1,500,000 | | Informatica LLC Term Loan 1L, (LIBOR USD 1-Month + 2.750%), 3.56%, 10/29/28 | | | 1,483 | |
1,363,150 | | Peraton Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%), 4.51%, 2/01/28 | | | 1,356 | |
594,000 | | Pitney Bowes Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.000%), 4.77%, 3/19/28 | | | 586 | |
491,250 | | Presidio Holdings Inc. Term Loan 1L, (LIBOR USD 3-Month + 3.500%), 4.72%, 12/19/26 | | | 488 | |
581,273 | | Sabre GLBL Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.61%, 2/22/24 | | | 575 | |
1,500,000 | | TIBCO Software Inc. Term Loan 2L, (LIBOR USD 1-Month + 7.340%), 8.02%, 3/04/28 | | | 1,501 | |
| | | | | 13,011 | |
| |
Telecommunications (5%) | | | | |
586,500 | | CenturyLink Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.01%, 3/15/27 | | | 562 | |
1,410,000 | | Consolidated Communications Inc. Term Loan B1 1L, (LIBOR USD 1-Month + 3.500%), 4.25%, 10/02/27 | | | 1,314 | |
1,386,000 | | Frontier Communications Holdings LLC Term Loan B 1L, (LIBOR USD 3-Month + 3.750%), 4.81%, 10/08/27 | | | 1,366 | |
1,329,950 | | Gogo Intermediate Holdings LLC Term Loan 1L, (LIBOR USD 3-Month + 3.750%), 4.99%, 4/30/28 | | | 1,319 | |
983,971 | | Iridium Satellite LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 3.26%, 11/04/26 | | | 979 | |
1,410,000 | | LCPR Loan Financing LLC Term Loan 1L, (LIBOR USD 1-Month + 3.750%), 4.30%, 10/15/28 | | | 1,409 | |
1,155,575 | | Numericable U.S. LLC Term Loan B13 1L, (LIBOR USD 2-Month + 4.000%), 4.51%, 8/14/26 | | | 1,149 | |
595,500 | | Univision Communications Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 3/24/26 | | | 591 | |
1,383,050 | | Voyage Australia Pty Ltd. Term Loan 1L, (LIBOR USD 3-Month + 3.500%), 4.00%, 7/20/28 | | | 1,379 | |
| | | | | 10,068 | |
| |
Transportation (3%) | | | | |
500,000 | | Delta Air Lines Inc. Term Loan 1L, (LIBOR USD 3-Month + 3.750%), 4.75%, 10/20/27 | | | 518 | |
655,710 | | First Student Bidco Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.000%), 3.98%, 7/21/28 | | | 644 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
242,647 | | First Student Bidco Inc. Term Loan C 1L, (LIBOR USD 3-Month + 3.000%), 3.98%, 7/21/28 | | $ | 239 | |
1,500,000 | | Setanta Aircraft Leasing DAC Term Loan B 1L, (LIBOR USD 3-Month + 2.000%), 3.01%, 11/05/28 | | | 1,492 | |
1,492,500 | | Spirit AeroSystems Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.250%), 4.51%, 1/15/25 | | | 1,493 | |
1,435,500 | | United Airlines Inc. Term Loan B 1L, (LIBOR USD 3-Month + 3.750%), 4.50%, 4/21/28 | | | 1,427 | |
| | | | | 5,813 | |
Total Bank Loans (Cost - $159,729) | | | 157,644 | |
| |
Corporate Bond (14%) | | | | |
500,000 | | Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A, 5.75%, 3/01/27 (a) | | | 488 | |
500,000 | | ARD Finance SA 144A, 6.50%, 6/30/27 (a) | | | 421 | |
500,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (a) | | | 506 | |
500,000 | | Avis Budget Car Rental LLC/Avis Budget Finance Inc. 144A, 5.75%, 7/15/27 (a) | | | 491 | |
1,000,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (a) | | | 1,001 | |
600,000 | | Caesars Entertainment Inc. 144A, 8.13%, 7/01/27 (a) | | | 628 | |
600,000 | | Callon Petroleum Co., 6.13%, 10/01/24 | | | 593 | |
500,000 | | Chesapeake Energy Corp. 144A, 6.75%, 4/15/29 (a) | | | 504 | |
1,000,000 | | Civitas Resources Inc., 7.50%, 4/30/26 | | | 1,000 | |
500,000 | | CNX Resources Corp. 144A, 7.25%, 3/14/27 (a) | | | 512 | |
1,000,000 | | Comstock Resources Inc. 144A, 7.50%, 5/15/25 (a) | | | 1,026 | |
350,000 | | Coty Inc. 144A, 5.00%, 4/15/26 (a) | | | 333 | |
330,000 | | Crescent Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 326 | |
700,000 | | Earthstone Energy Holdings LLC 144A, 8.00%, 4/15/27 (a) | | | 699 | |
350,000 | | Fortress Transportation and Infrastructure Investors LLC 144A, 6.50%, 10/01/25 (a) | | | 334 | |
500,000 | | Frontier Communications Holdings LLC 144A, 5.88%, 10/15/27 (a) | | | 479 | |
350,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26 | | | 348 | |
500,000 | | International Game Technology PLC 144A, 4.13%, 4/15/26 (a) | | | 472 | |
1,150,000 | | International Petroleum Corp. 144A, 7.25%, 2/01/27 (a)(e) | | | 1,138 | |
500,000 | | iStar Inc., 4.25%, 8/01/25 | | | 477 | |
310,000 | | KeHE Distributors LLC/KeHE Finance Corp. 144A, 8.63%, 10/15/26 (a) | | | 329 | |
850,000 | | Kosmos Energy Ltd. 144A, 7.75%, 5/01/27 (a) | | | 845 | |
1,000,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 1,026 | |
750,000 | | Moss Creek Resources Holdings Inc. 144A, 7.50%, 1/15/26 (a) | | | 689 | |
500,000 | | Navient Corp., 5.88%, 10/25/24 | | | 497 | |
300,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 293 | |
500,000 | | OCI NV 144A, 4.63%, 10/15/25 (a) | | | 502 | |
500,000 | | OneMain Finance Corp., 6.88%, 3/15/25 | | | 503 | |
500,000 | | Parkland Corp. 144A, 5.88%, 7/15/27 (a) | | | 486 | |
700,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 617 | |
750,000 | | Penn Virginia Holdings LLC 144A, 9.25%, 8/15/26 (a) | | | 770 | |
500,000 | | PRA Group Inc. 144A, 7.38%, 9/01/25 (a) | | | 518 | |
Semi-Annual Report 61
Payden Floating Rate Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
500,000 | | Prime Healthcare Services Inc. 144A, 7.25%, 11/01/25 (a) | | $ | 502 | |
400,000 | | RLJ Lodging Trust LP 144A, 3.75%, 7/01/26 (a) | | | 370 | |
1,150,000 | | Rocket Mortgage LLC/Rocket Mortgage Co- Issuer Inc. 144A, 2.88%, 10/15/26 (a) | | | 1,019 | |
500,000 | | Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | | | 501 | |
450,000 | | Service Properties Trust, 7.50%, 9/15/25 | | | 450 | |
500,000 | | Sirius XM Radio Inc. 144A, 5.00%, 8/01/27 (a) | | | 483 | |
500,000 | | SM Energy Co. 144A, 10.00%, 1/15/25 (a) | | | 541 | |
500,000 | | Standard Industries Inc. 144A, 5.00%, 2/15/27 (a) | | | 474 | |
900,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 872 | |
1,350,000 | | Tamarack Valley Energy Ltd., 7.25%, 5/10/27 CAD (b) | | | 1,055 | |
500,000 | | Tenet Healthcare Corp. 144A, 4.88%, 1/01/26 (a) | | | 490 | |
350,000 | | TransMontaigne Partners LP/TLP Finance Corp., 6.13%, 2/15/26 | | | 344 | |
212,239 | | Transocean Guardian Ltd. 144A, 5.88%, 1/15/24 (a) | | | 203 | |
550,000 | | Transocean Inc. 144A, 8.00%, 2/01/27 (a) | | | 435 | |
500,000 | | Tutor Perini Corp. 144A, 6.88%, 5/01/25 (a) | | | 469 | |
500,000 | | Vistra Operations Co. LLC 144A, 5.00%, 7/31/27 (a) | | | 477 | |
350,000 | | WESCO Distribution Inc. 144A, 7.13%, 6/15/25 (a) | | | 364 | |
Total Corporate Bond (Cost - $28,851) | | | 27,900 | |
| |
Mortgage Backed (2%) | | | | |
794,133 | | Fannie Mae Connecticut Avenue Securities 2016- C02, (1 mo. LIBOR USD + 12.250%), 12.92%, 9/25/28 (c) | | | 910 | |
814,741 | | Fannie Mae Connecticut Avenue Securities 2016- C03, (1 mo. LIBOR USD + 11.750%), 12.42%, 10/25/28 (c) | | | 919 | |
300,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 4.800%), 5.47%, 2/25/50 (a)(c) | | | 273 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
662,872 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQA2, (1 mo. LIBOR USD + 10.500%), 11.17%, 5/25/28 (c) | | $ | 718 | |
493,823 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA1, (1 mo. LIBOR USD + 12.750%), 13.42%, 8/25/29 (c) | | | 525 | |
300,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 4.600%), 5.27%, 12/25/42 (c) | | | 301 | |
671,068 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 12.42%, 5/25/43 (a)(c) | | | 726 | |
Total Mortgage Backed (Cost - $4,203) | | | 4,372 | |
Stocks (1%) | | | | |
Preferred Stock (1%) | | | | |
50 | | Santander Consumer Auto Receivables Trust 2021-C, 0.00% (Cost - $1,122) | | | 846 | |
Total Stocks (Cost - $1,122) | | | 846 | |
| |
Investment Company (4%) | | | | |
8,286,015 | | Payden Cash Reserves Money Market Fund * (Cost - $8,286) | | | 8,286 | |
| |
Total Investments (Cost - $203,691) (99%) | | | 200,534 | |
Other Assets, net of Liabilities (1%) | | | 2,707 | |
| |
Net Assets (100%) | | $ | 203,241 | |
| (a) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (b) | Principal in foreign currency. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (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. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | |
Currency
Purchased (000s) | | | | Currency Sold (000s) | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(000s) | |
Assets: | | | | | | | | | | | | | | | | |
USD 1,362 | | | | CAD 1,746 | | | Citibank, N.A. | | | | 09/15/2022 | | | $ | 3 | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
CAD 3 | | | | USD 2 | | | Citibank, N.A. | | | | 09/15/2022 | | | | — | |
| | | | | | | | | | | | | | | | |
Net Unrealized Appreciation | | | | | | | | | | | | $ | 3 | |
| | | | | | | | | | | | | | | | |
See notes to financial statements.
62 Payden Mutual Funds
The Fund seeks high current income while providing for capital appreciation by investing primarily in a diversified portfolio of below investment grade bonds.
| | | | |
Portfolio Composition - percent of investments | |
Energy | | | 17% | |
Basic Industry | | | 13% | |
Media | | | 9% | |
Healthcare | | | 8% | |
Financial Services | | | 6% | |
Leisure | | | 5% | |
Retail | | | 5% | |
Other | | | 37% | |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (1%) | | | | |
1,600,000 | | Cologix Canadian Issuer LP 2022-1CAN 144A, 7.74%, 1/25/52 CAD (a)(b) | | $ | 1,190 | |
1,936,373 | | JPMorgan Chase Bank N.A.-CACLN 2021-1 144A, 28.35%, 9/25/28 (a) | | | 2,358 | |
2,500,000 | | Madison Park Funding XIII Ltd. 2014-13A 144A, (3 mo. LIBOR USD + 2.850%), 3.89%, 4/19/30 (a)(c) | | | 2,476 | |
Total Asset Backed (Cost - $5,643) | | | 6,024 | |
Bank Loans(d) (3%) | | | | |
2,200,000 | | ABG Intermediate Holdings 2 LLC Term Loan 2L, (LIBOR USD 1-Month + 5.000%), 6.80%, 12/20/29 | | | 2,186 | |
1,465,871 | | AI Convoy Luxembourg Sarl Term Loan B 1L, (LIBOR USD 6-Month + 3.500%), 5.05%, 1/20/27 | | | 1,458 | |
3,503,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.02%, 11/01/25 | | | 3,750 | |
1,500,000 | | Crocs Inc. Term Loan B 1L, (LIBOR USD 2-Month + 3.500%), 4.45%, 2/19/29 | | | 1,468 | |
1,075,431 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%), 3.51%, 10/22/25 | | | 1,070 | |
4,200,000 | | MIC Glen LLC Term Loan 2L, (LIBOR USD 1-Month + 6.750%), 7.25%, 7/21/29 | | | 4,150 | |
1,250,000 | | Naked Juice LLC Term Loan 2L, (1 mo. Term Secured Overnight Financing Rate + 6.500%), 6.65%, 1/24/30 | | | 1,247 | |
964,167 | | Organon & Co. Term Loan B 1L, (LIBOR USD 6-Month + 3.000%), 3.56%, 6/02/28 | | | 961 | |
992,500 | | PetsMart LLC Term Loan B 1L, (LIBOR USD 6-Month + 3.500%), 4.50%, 2/12/28 | | | 986 | |
1,270,000 | | Sterigenics-Nordion Holdings LLC Term Loan 1L, (LIBOR USD 3-Month + 2.750%), 3.51%, 12/13/26 | | | 1,260 | |
2,505,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD 1-Month + 7.500%), 8.26%, 2/05/28 | | | 2,466 | |
1,250,000 | | TIBCO Software Inc. Term Loan 2L, (LIBOR USD 1-Month + 7.340%), 8.02%, 3/04/28 | | | 1,251 | |
Total Bank Loans (Cost - $22,211) | | | 22,253 | |
Corporate Bond (90%) | | | | |
Automotive (3%) | | | | |
2,500,000 | | Allison Transmission Inc. 144A, 3.75%, 1/30/31 (a) | | | 2,167 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
586,000 | | American Axle & Manufacturing Inc., 6.25%, 3/15/26 (e) | | $ | 558 | |
406,000 | | Clarios Global LP/Clarios U.S. Finance Co. 144A, 6.25%, 5/15/26 (a) | | | 411 | |
2,500,000 | | Ford Motor Co., 4.75%, 1/15/43 | | | 2,017 | |
2,000,000 | | Ford Motor Credit Co. LLC, 2.90%, 2/10/29 | | | 1,668 | |
2,000,000 | | Ford Motor Credit Co. LLC, 3.82%, 11/02/27 | | | 1,823 | |
3,250,000 | | Ford Motor Credit Co. LLC, 4.95%, 5/28/27 | | | 3,169 | |
2,600,000 | | Goodyear Tire & Rubber Co., 5.00%, 7/15/29 | | | 2,321 | |
1,000,000 | | IHO Verwaltungs GmbH, 3.75%, 9/15/26 EUR (b)(f) | | | 984 | |
2,800,000 | | Jaguar Land Rover Automotive PLC 144A, 5.50%, 7/15/29 (a) | | | 2,334 | |
2,500,000 | | Wheel Pros Inc. 144A, 6.50%, 5/15/29 (a) | | | 1,903 | |
| | | 19,355 | |
Banking (1%) | | | | |
1,500,000 | | Bank of America Corp. FF, (3 mo. LIBOR USD + 2.931%), 5.88% (c)(g) | | | 1,438 | |
1,500,000 | | Citigroup Inc., (3 mo. LIBOR USD + 4.068%), 5.95% (c)(g) | | | 1,504 | |
1,000,000 | | Deutsche Bank AG, (USD ICE Swap Rate 11:00 am NY 5Y + 2.553%), 4.88%,
12/01/32 (c) | | | 917 | |
| | | 3,859 | |
Basic Industry (13%) | | | | |
3,550,000 | | ARD Finance SA 144A, 6.50%, 6/30/27 (a) | | | 2,986 | |
1,000,000 | | Ardagh Metal Packaging Finance USA LLC/ Ardagh Metal Packaging Finance PLC 144A, 3.25%, 9/01/28 (a) | | | 874 | |
3,930,000 | | Ardagh Metal Packaging Finance USA LLC/ Ardagh Metal Packaging Finance PLC 144A, 4.00%, 9/01/29 (a) | | | 3,373 | |
1,000,000 | | Ashland LLC, 6.88%, 5/15/43 | | | 1,117 | |
4,050,000 | | ASP Unifrax Holdings Inc. 144A, 7.50%, 9/30/29 (a)(e) | | | 3,326 | |
3,000,000 | | Builders FirstSource Inc. 144A, 4.25%,
2/01/32 (a) | | | 2,566 | |
2,750,000 | | Coeur Mining Inc. 144A, 5.13%,
2/15/29 (a)(e) | | | 2,210 | |
4,000,000 | | Consolidated Energy Finance SA 144A, 5.63%, 10/15/28 (a) | | | 3,705 | |
3,000,000 | | Eldorado Gold Corp. 144A, 6.25%,
9/01/29 (a) | | | 2,906 | |
2,500,000 | | Energizer Holdings Inc. 144A, 4.38%, 3/31/29 (a) | | | 2,085 | |
600,000 | | First Quantum Minerals Ltd. 144A, 7.25%, 4/01/23 (a) | | | 601 | |
1,500,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.38%, 4/01/31 (a) | | | 1,329 | |
Semi-Annual Report 63
Payden High Income Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,000,000 | | FMG Resources August 2006 Pty Ltd. 144A, 4.50%, 9/15/27 (a) | | $ | 1,897 | |
1,500,000 | | GrafTech Finance Inc. 144A, 4.63%,
12/15/28 (a) | | | 1,371 | |
1,000,000 | | Graphic Packaging International LLC 144A, 4.75%, 7/15/27 (a) | | | 971 | |
2,500,000 | | H&E Equipment Services Inc. 144A, 3.88%, 12/15/28 (a) | | | 2,181 | |
2,625,000 | | Howmet Aerospace Inc., 3.00%, 1/15/29 | | | 2,294 | |
1,895,000 | | IEA Energy Services LLC 144A, 6.63%, 8/15/29 (a) | | | 1,736 | |
4,000,000 | | Kaiser Aluminum Corp. 144A, 4.50%, 6/01/31 (a) | | | 3,456 | |
2,500,000 | | KBR Inc. 144A, 4.75%, 9/30/28 (a) | | | 2,363 | |
1,500,000 | | MasTec Inc. 144A, 4.50%, 8/15/28 (a)(e) | | | 1,441 | |
2,500,000 | | Mercer International Inc., 5.13%, 2/01/29 | | | 2,327 | |
1,000,000 | | Meritage Homes Corp., 5.13%, 6/06/27 | | | 981 | |
3,523,000 | | Moog Inc. 144A, 4.25%, 12/15/27 (a) | | | 3,285 | |
3,650,000 | | NOVA Chemicals Corp. 144A, 4.25%, 5/15/29 (a) | | | 3,164 | |
1,850,000 | | Novelis Corp. 144A, 4.75%, 1/30/30 (a) | | | 1,704 | |
2,600,000 | | SCIL IV LLC/SCIL USA Holdings LLC 144A, 5.38%, 11/01/26 (a) | | | 2,376 | |
1,000,000 | | Spirit AeroSystems Inc. 144A, 7.50%,
4/15/25 (a) | | | 1,014 | |
1,500,000 | | Standard Industries Inc. 144A, 4.38%,
7/15/30 (a) | | | 1,252 | |
1,000,000 | | Standard Industries Inc. 144A, 4.75%,
1/15/28 (a) | | | 921 | |
500,000 | | Standard Industries Inc. 144A, 5.00%,
2/15/27 (a) | | | 474 | |
3,000,000 | | Stevens Holding Co. Inc. 144A, 6.13%, 10/01/26 (a) | | | 3,011 | |
3,000,000 | | Terex Corp. 144A, 5.00%, 5/15/29 (a) | | | 2,761 | |
2,500,000 | | TransDigm Inc., 4.88%, 5/01/29 | | | 2,195 | |
250,000 | | TransDigm Inc. 144A, 8.00%, 12/15/25 (a) | | | 261 | |
1,500,000 | | TransDigm UK Holdings PLC, 6.88%, 5/15/26 | | | 1,494 | |
1,500,000 | | Tri Pointe Homes Inc., 5.25%, 6/01/27 | | | 1,451 | |
1,000,000 | | Tri Pointe Homes Inc., 5.70%, 6/15/28 | | | 960 | |
2,650,000 | | TriMas Corp. 144A, 4.13%, 4/15/29 (a) | | | 2,369 | |
3,500,000 | | Tronox Inc. 144A, 4.63%, 3/15/29 (a) | | | 3,128 | |
2,500,000 | | TTM Technologies Inc. 144A, 4.00%,
3/01/29 (a) | | | 2,191 | |
2,200,000 | | Tutor Perini Corp. 144A, 6.88%,
5/01/25 (a)(e) | | | 2,063 | |
2,000,000 | | Univar Solutions USA Inc. 144A,
5.13%, 12/01/27 (a) | | | 1,920 | |
2,650,000 | | VM Consolidated Inc. 144A, 5.50%,
4/15/29 (a) | | | 2,375 | |
| | | | | 88,465 | |
Consumer Goods (4%) | | | | |
1,600,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 3/15/29 (a) | | | 1,350 | |
1,900,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 4.88%, 2/15/30 (a) | | | 1,723 | |
3,000,000 | | Coty Inc. 144A, 5.00%, 4/15/26 (a) | | | 2,854 | |
875,000 | | Coty Inc./HFC Prestige Products Inc./HFC Prestige International U.S. LLC 144A, 4.75%, 1/15/29 (a) | | | 780 | |
2,000,000 | | KeHE Distributors LLC/KeHE Finance Corp. 144A, 8.63%, 10/15/26 (a) | | | 2,120 | |
500,000 | | Newell Brands Inc., 5.63%, 4/01/36 | | | 479 | |
1,800,000 | | Post Holdings Inc. 144A, 4.50%, 9/15/31 (a) | | | 1,499 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
900,000 | | Post Holdings Inc. 144A, 4.63%, 4/15/30 (a) | | $ | 771 | |
2,900,000 | | Post Holdings Inc. 144A, 5.50%,
12/15/29 (a) | | | 2,642 | |
2,900,000 | | Primo Water Holdings Inc. 144A, 4.38%, 4/30/29 (a) | | | 2,528 | |
3,000,000 | | Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./Simmons Feed 144A, 4.63%, 3/01/29 (a) | | | 2,711 | |
1,000,000 | | U.S. Foods Inc. 144A, 4.63%, 6/01/30 (a) | | | 896 | |
2,500,000 | | U.S. Foods Inc. 144A, 4.75%, 2/15/29 (a) | | | 2,313 | |
4,500,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (a) | | | 4,509 | |
2,000,000 | | WESCO Distribution Inc. 144A, 7.13%, 6/15/25 (a) | | | 2,080 | |
1,000,000 | | Winnebago Industries Inc. 144A, 6.25%, 7/15/28 (a) | | | 993 | |
| | | | | 30,248 | |
Energy (16%) | | | | |
2,000,000 | | Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A, 5.75%, 3/01/27 (a) | | | 1,951 | |
1,000,000 | | Apache Corp., 5.10%, 9/01/40 | | | 907 | |
700,000 | | Apache Corp., 5.25%, 2/01/42 | | | 645 | |
2,081,000 | | Ascent Resources Utica Holdings LLC/ARU Finance Corp. 144A, 9.00%, 11/01/27 (a) | | | 2,898 | |
3,200,000 | | Athabasca Oil Corp. 144A, 9.75%,
11/01/26 (a) | | | 3,401 | |
1,500,000 | | Centennial Resource Production LLC, 3.25%, 4/01/28 | | | 2,217 | |
1,300,000 | | Chesapeake Energy Corp. 144A, 6.75%, 4/15/29 (a) | | | 1,310 | |
915,000 | | Civitas Resources Inc. 144A, 5.00%, 10/15/26 (a) | | | 870 | |
3,886,011 | | Civitas Resources Inc., 7.50%, 4/30/26 | | | 3,886 | |
1,000,000 | | Colgate Energy Partners III LLC 144A, 5.88%, 7/01/29 (a) | | | 996 | |
1,500,000 | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 144A, 5.63%, 5/01/27 (a) | | | 1,462 | |
3,000,000 | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 144A, 6.00%, 2/01/29 (a) | | | 2,923 | |
1,500,000 | | DT Midstream Inc. 144A, 4.13%, 6/15/29 (a) | | | 1,367 | |
2,750,000 | | Earthstone Energy Holdings LLC 144A, 8.00%, 4/15/27 (a) | | | 2,745 | |
550,000 | | EQT Corp., 1.75%, 5/01/26 | | | 1,500 | |
3,000,000 | | Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 1/15/27 | | | 2,946 | |
1,502,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 1,356 | |
2,600,000 | | Gulfport Energy Corp. 144A, 8.00%,
5/17/26 (a) | | | 2,679 | |
3,550,000 | | Hilcorp Energy I LP/Hilcorp Finance Co. 144A, 6.25%, 4/15/32 (a) | | | 3,466 | |
1,400,000 | | Holly Energy Partners LP/Holly Energy Finance Corp. 144A, 5.00%, 2/01/28 (a) | | | 1,334 | |
2,500,000 | | Howard Midstream Energy Partners LLC 144A, 6.75%, 1/15/27 (a) | | | 2,425 | |
5,200,000 | | International Petroleum Corp. 144A, 7.25%, 2/01/27 (a)(f) | | | 5,148 | |
2,250,000 | | KLX Energy Services Holdings Inc. 144A, 11.50%, 11/01/25 (a) | | | 1,460 | |
3,350,000 | | Kosmos Energy Ltd. 144A, 7.75%,
5/01/27 (a) | | | 3,332 | |
1,750,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 1,796 | |
2,250,000 | | Moss Creek Resources Holdings Inc. 144A, 7.50%, 1/15/26 (a) | | | 2,066 | |
64 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
3,400,000 | | Nine Energy Service Inc. 144A, 8.75%, 11/01/23 (a) | | $ | 2,147 | |
1,400,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 1,368 | |
1,000,000 | | Occidental Petroleum Corp., 3.40%, 4/15/26 | | | 954 | |
2,500,000 | | Occidental Petroleum Corp., 4.20%, 3/15/48 | | | 2,076 | |
500,000 | | Occidental Petroleum Corp., 4.40%, 4/15/46 | | | 430 | |
1,500,000 | | Occidental Petroleum Corp., 4.63%, 6/15/45 | | | 1,296 | |
1,900,000 | | Occidental Petroleum Corp., 5.88%, 9/01/25 | | | 1,954 | |
600,000 | | Occidental Petroleum Corp., 6.20%, 3/15/40 | | | 622 | |
2,000,000 | | Occidental Petroleum Corp., 7.88%, 9/15/31 | | | 2,341 | |
500,000 | | Occidental Petroleum Corp., 8.50%, 7/15/27 | | | 564 | |
1,500,000 | | Oil States International Inc. 144A, 4.75%, 4/01/26 (a) | | | 1,521 | |
1,700,000 | | Parkland Corp. 144A, 4.50%, 10/01/29 (a) | | | 1,491 | |
1,400,000 | | Parkland Corp. 144A, 5.88%, 7/15/27 (a) | | | 1,360 | |
4,000,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 3,528 | |
3,000,000 | | Penn Virginia Holdings LLC 144A, 9.25%, 8/15/26 (a) | | | 3,079 | |
2,000,000 | | Plains All American Pipeline LP B, (3 mo. LIBOR USD + 4.110%), 6.13% (c)(g) | | | 1,685 | |
500,000 | | SM Energy Co., 5.63%, 6/01/25 | | | 489 | |
1,800,000 | | SM Energy Co., 6.50%, 7/15/28 | | | 1,777 | |
3,200,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 3,100 | |
3,650,000 | | Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 144A, 8.50%, 10/15/26 (a) | | | 3,415 | |
1,750,000 | | Tamarack Valley Energy Ltd., 7.25%, 5/10/27 CAD (b) | | | 1,367 | |
1,500,000 | | TerraForm Power Operating LLC 144A, 4.75%, 1/15/30 (a) | | | 1,353 | |
1,250,000 | | TerraForm Power Operating LLC 144A, 5.00%, 1/31/28 (a) | | | 1,170 | |
1,500,000 | | TransMontaigne Partners LP/TLP Finance Corp., 6.13%, 2/15/26 | | | 1,476 | |
7,600,000 | | Transocean Inc. 144A, 8.00%, 2/01/27 (a) | | | 6,014 | |
2,400,000 | | Venture Global Calcasieu Pass LLC 144A, 4.13%, 8/15/31 (a) | | | 2,182 | |
4,400,000 | | Vermilion Energy Inc. 144A, 6.88%,
5/01/30 (a) | | | 4,301 | |
3,400,000 | | Weatherford International Ltd. 144A, 8.63%, 4/30/30 (a) | | | 3,370 | |
1,000,000 | | Western Midstream Operating LP, 4.65%, 7/01/26 | | | 988 | |
| | | | | 114,504 | |
Financial Services (6%) | | | | |
2,550,000 | | Ally Financial Inc. B, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.868%), 4.70% (c)(g) | | | 2,210 | |
4,000,000 | | Cobra AcquisitionCo LLC 144A, 6.38%, 11/01/29 (a) | | | 3,065 | |
3,100,000 | | Compass Group Diversified Holdings LLC 144A, 5.25%, 4/15/29 (a) | | | 2,786 | |
1,500,000 | | Enact Holdings Inc. 144A, 6.50%, 8/15/25 (a) | | | 1,495 | |
2,500,000 | | goeasy Ltd. 144A, 5.38%, 12/01/24 (a) | | | 2,455 | |
1,500,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.38%, 2/01/29 | | | 1,297 | |
850,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26 | | | 844 | |
3,000,000 | | Jane Street Group/JSG Finance Inc. 144A, 4.50%, 11/15/29 (a) | | | 2,782 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
3,650,000 | | Jefferson Capital Holdings LLC 144A, 6.00%, 8/15/26 (a) | | $ | 3,409 | |
2,650,000 | | LPL Holdings Inc. 144A, 4.00%, 3/15/29 (a) | | | 2,415 | |
1,600,000 | | LPL Holdings Inc. 144A, 4.38%, 5/15/31 (a) | | | 1,463 | |
2,500,000 | | Midcap Financial Issuer Trust 144A, 6.50%, 5/01/28 (a) | | | 2,160 | |
2,500,000 | | Nationstar Mortgage Holdings Inc. 144A, 5.13%, 12/15/30 (a) | | | 2,178 | |
2,500,000 | | Navient Corp., 5.50%, 1/25/23 | | | 2,516 | |
1,750,000 | | Navient Corp., 5.63%, 8/01/33 | | | 1,386 | |
1,000,000 | | Navient Corp., 5.88%, 10/25/24 | | | 994 | |
1,000,000 | | OneMain Finance Corp., 4.00%, 9/15/30 | | | 820 | |
1,000,000 | | OneMain Finance Corp., 5.38%, 11/15/29 | | | 899 | |
350,000 | | OneMain Finance Corp., 6.63%, 1/15/28 | | | 346 | |
2,000,000 | | OneMain Finance Corp., 6.88%, 3/15/25 | | | 2,014 | |
450,000 | | OneMain Finance Corp., 8.88%, 6/01/25 | | | 473 | |
2,000,000 | | PennyMac Financial Services Inc. 144A, 4.25%, 2/15/29 (a) | | | 1,611 | |
2,000,000 | | PRA Group Inc. 144A, 5.00%, 10/01/29 (a) | | | 1,854 | |
1,500,000 | | PRA Group Inc. 144A, 7.38%, 9/01/25 (a) | | | 1,554 | |
2,000,000 | | World Acceptance Corp. 144A, 7.00%, 11/01/26 (a) | | | 1,738 | |
| | | | | 44,764 | |
Healthcare (8%) | | | | |
800,000 | | Bausch Health Cos. Inc. 144A, 4.88%,
6/01/28 (a) | | | 711 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 5.00%,
1/30/28 (a) | | | 739 | |
2,000,000 | | Bausch Health Cos. Inc. 144A, 5.00%,
2/15/29 (a) | | | 1,410 | |
2,050,000 | | Bausch Health Cos. Inc. 144A, 6.13%,
2/01/27 (a) | | | 1,972 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 7.25%,
5/30/29 (a) | | | 758 | |
1,000,000 | | Bausch Health Cos. Inc. 144A, 9.00%,
12/15/25 (a) | | | 1,005 | |
2,650,000 | | BellRing Brands Inc. 144A, 7.00%, 3/15/30 (a) | | | 2,594 | |
1,750,000 | | Centene Corp., 2.50%, 3/01/31 | | | 1,457 | |
1,000,000 | | Centene Corp., 3.00%, 10/15/30 | | | 872 | |
2,000,000 | | Centene Corp., 4.63%, 12/15/29 | | | 1,940 | |
2,200,000 | | CHS/Community Health Systems Inc. 144A, 5.25%, 5/15/30 (a) | | | 1,932 | |
500,000 | | CHS/Community Health Systems Inc. 144A, 8.00%, 12/15/27 (a) | | | 519 | |
2,500,000 | | DaVita Inc. 144A, 3.75%, 2/15/31 (a) | | | 2,042 | |
900,000 | | DaVita Inc. 144A, 4.63%, 6/01/30 (a) | | | 785 | |
1,100,000 | | HCA Inc., 3.50%, 9/01/30 | | | 987 | |
1,000,000 | | HCA Inc., 5.63%, 9/01/28 | | | 1,035 | |
860,000 | | HCA Inc., 5.88%, 2/01/29 | | | 897 | |
1,500,000 | | HCA Inc., 7.69%, 6/15/25 | | | 1,636 | |
2,200,000 | | Molina Healthcare Inc. 144A, 3.88%,
5/15/32 (a) | | | 1,935 | |
1,000,000 | | Molina Healthcare Inc. 144A, 4.38%,
6/15/28 (a) | | | 936 | |
4,500,000 | | Mozart Debt Merger Sub Inc. 144A, 3.88%, 4/01/29 (a) | | | 3,938 | |
3,500,000 | | Organon & Co./Organon Foreign Debt Co-Issuer BV 144A, 5.13%, 4/30/31 (a) | | | 3,168 | |
2,650,000 | | Owens & Minor Inc. 144A, 6.63%, 4/01/30 (a) | | | 2,597 | |
2,400,000 | | Prestige Brands Inc. 144A, 3.75%, 4/01/31 (a) | | | 2,038 | |
2,500,000 | | Prime Healthcare Services Inc. 144A,
7.25%, 11/01/25 (a) | | | 2,510 | |
1,900,000 | | Radiology Partners Inc. 144A, 9.25%,
2/01/28 (a) | | | 1,808 | |
Semi-Annual Report 65
Payden High Income Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,000,000 | | RP Escrow Issuer LLC 144A, 5.25%, 12/15/25 (a) | | $ | 931 | |
2,500,000 | | Select Medical Corp. 144A, 6.25%,
8/15/26 (a) | | | 2,485 | |
3,500,000 | | Syneos Health Inc. 144A, 3.63%,
1/15/29 (a) | | | 3,101 | |
3,250,000 | | Tenet Healthcare Corp. 144A, 4.38%, 1/15/30 (a) | | | 2,961 | |
750,000 | | Tenet Healthcare Corp. 144A, 4.63%, 6/15/28 (a) | | | 708 | |
1,800,000 | | Tenet Healthcare Corp. 144A, 4.88%, 1/01/26 (a) | | | 1,764 | |
1,000,000 | | Tenet Healthcare Corp. 144A, 6.13%, 10/01/28 (a) | | | 962 | |
1,500,000 | | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | | | 1,289 | |
| | | | | 56,422 | |
Insurance (2%) | | | | |
2,430,000 | | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 144A, 6.75%,
10/15/27 (a) | | | 2,301 | |
1,750,000 | | Assurant Inc., (3 mo. LIBOR USD + 4.135%), 7.00%, 3/27/48 (c) | | | 1,810 | |
2,500,000 | | BroadStreet Partners Inc. 144A, 5.88%, 4/15/29 (a) | | | 2,172 | |
3,550,000 | | Enstar Finance LLC, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.006%), 5.50%, 1/15/42 (c) | | | 3,308 | |
2,200,000 | | HUB International Ltd. 144A, 5.63%, 12/01/29 (a) | | | 2,021 | |
2,050,000 | | HUB International Ltd. 144A, 7.00%, 5/01/26 (a) | | | 2,034 | |
1,000,000 | | Ryan Specialty Group LLC 144A, 4.38%, 2/01/30 (a) | | | 913 | |
| | | | | 14,559 | |
Leisure (5%) | | | | |
2,000,000 | | Caesars Entertainment Inc. 144A, 6.25%, 7/01/25 (a) | | | 2,024 | |
250,000 | | Caesars Resort Collection LLC/CRC Finco Inc. 144A, 5.75%, 7/01/25 (a) | | | 256 | |
1,000,000 | | Carnival Corp. 144A, 5.75%, 3/01/27 (a) | | | 907 | |
2,000,000 | | Carnival Corp. 144A, 6.00%,
5/01/29 (a) | | | 1,798 | |
2,500,000 | | Carnival Corp. 144A, 7.63%, 3/01/26 (a) | | | 2,450 | |
2,500,000 | | CDI Escrow Issuer Inc. 144A, 5.75%, 4/01/30 (a) | | | 2,413 | |
1,500,000 | | Churchill Downs Inc. 144A, 4.75%, 1/15/28 (a) | | | 1,406 | |
2,000,000 | | Cinemark USA Inc. 144A, 5.25%,
7/15/28 (a) | | | 1,780 | |
1,800,000 | | Hilton Domestic Operating Co. Inc. 144A, 5.75%, 5/01/28 (a) | | | 1,827 | |
1,050,000 | | International Game Technology PLC 144A, 4.13%, 4/15/26 (a) | | | 991 | |
2,500,000 | | MajorDrive Holdings IV LLC 144A, 6.38%, 6/01/29 (a) | | | 1,984 | |
1,500,000 | | MGM Resorts International, 4.75%, 10/15/28 | | | 1,380 | |
550,000 | | MGM Resorts International, 6.75%, 5/01/25 | | | 564 | |
1,300,000 | | NCL Corp. Ltd. 144A, 5.88%, 3/15/26 (a) | | | 1,203 | |
2,000,000 | | Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. 144A, 5.63%, 9/01/29 (a) | | | 1,603 | |
510,000 | | Royal Caribbean Cruises Ltd. 144A, 5.38%, 7/15/27 (a) | | | 469 | |
1,000,000 | | Royal Caribbean Cruises Ltd. 144A, 5.50%, 8/31/26 (a) | | | 933 | |
900,000 | | Royal Caribbean Cruises Ltd. 144A, 5.50%, 4/01/28 (a) | | | 823 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
596,000 | | Royal Caribbean Cruises Ltd. 144A, 11.50%, 6/01/25 (a) | | $ | 649 | |
2,200,000 | | Scientific Games Holdings LP/Scientific Games U.S. FinCo Inc. 144A, 6.63%, 3/01/30 (a) | | | 2,093 | |
1,800,000 | | Travel + Leisure Co. 144A, 4.50%,
12/01/29 (a) | | | 1,596 | |
1,000,000 | | Travel + Leisure Co., 6.00%, 4/01/27 | | | 1,009 | |
1,000,000 | | Travel + Leisure Co. 144A, 6.63%,
7/31/26 (a) | | | 1,025 | |
1,500,000 | | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 144A, 5.50%, 3/01/25 (a) | | | 1,453 | |
| | | | | 32,636 | |
Media (8%) | | | | |
1,500,000 | | Altice Financing SA 144A, 5.00%,
1/15/28 (a) | | | 1,254 | |
1,500,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.25%, 2/01/31 (a) | | | 1,267 | |
1,000,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.25%, 1/15/34 (a) | | | 797 | |
1,500,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.50%, 8/15/30 (a) | | | 1,311 | |
1,000,000 | | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 5/01/32 | | | 843 | |
1,000,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.50%, 6/01/33 (a) | | | 820 | |
2,100,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.75%, 3/01/30 (a) | | | 1,880 | |
2,000,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.75%, 2/01/32 (a) | | | 1,722 | |
2,550,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 5.38%, 6/01/29 (a) | | | 2,420 | |
2,000,000 | | CSC Holdings LLC 144A, 4.13%,
12/01/30 (a) | | | 1,653 | |
3,300,000 | | CSC Holdings LLC 144A, 4.63%,
12/01/30 (a) | | | 2,530 | |
500,000 | | CSC Holdings LLC 144A, 6.50%,
2/01/29 (a) | | | 476 | |
4,500,000 | | Directv Financing LLC/Directv Financing Co.- Obligor Inc. 144A, 5.88%, 8/15/27 (a) | | | 4,244 | |
1,000,000 | | DISH DBS Corp., 5.13%, 6/01/29 | | | 782 | |
1,100,000 | | DISH DBS Corp. 144A, 5.25%, 12/01/26 (a) | | | 1,012 | |
1,350,000 | | DISH DBS Corp. 144A, 5.75%, 12/01/28 (a) | | | 1,210 | |
1,000,000 | | DISH DBS Corp., 7.38%, 7/01/28 | | | 876 | |
1,500,000 | | DISH DBS Corp., 7.75%, 7/01/26 | | | 1,413 | |
3,400,000 | | Endurance International Group Holdings Inc. 144A, 6.00%, 2/15/29 (a) | | | 2,756 | |
3,000,000 | | Gray Escrow II Inc. 144A, 5.38%,
11/15/31 (a) | | | 2,590 | |
1,000,000 | | Gray Television Inc. 144A, 4.75%,
10/15/30 (a) | | | 871 | |
2,500,000 | | Lamar Media Corp., 4.88%, 1/15/29 | | | 2,388 | |
3,000,000 | | LCPR Senior Secured Financing DAC 144A, 5.13%, 7/15/29 (a) | | | 2,736 | |
1,300,000 | | Match Group Holdings II LLC 144A, 3.63%,
10/01/31 (a) | | | 1,083 | |
1,500,000 | | Match Group Holdings II LLC 144A, 4.63%, 6/01/28 (a) | | | 1,400 | |
2,500,000 | | McGraw-Hill Education Inc. 144A, 8.00%, 8/01/29 (a) | | | 2,241 | |
2,500,000 | | Nexstar Media Inc. 144A, 4.75%,
11/01/28 (a) | | | 2,272 | |
2,500,000 | | Nielsen Finance LLC/Nielsen Finance Co. 144A, 5.63%, 10/01/28 (a) | | | 2,426 | |
1,700,000 | | Scripps Escrow Inc. 144A, 5.88%,
7/15/27 (a) | | | 1,626 | |
1,000,000 | | Sinclair Television Group Inc. 144A, 4.13%, 12/01/30 (a) | | | 831 | |
2,000,000 | | Sinclair Television Group Inc. 144A, 5.50%, 3/01/30 (a) | | | 1,638 | |
1,750,000 | | Sirius XM Radio Inc. 144A, 4.13%, 7/01/30 (a) | | | 1,539 | |
3,300,000 | | Twitter Inc. 144A, 5.00%, 3/01/30 (a) | | | 3,375 | |
1,750,000 | | Uber Technologies Inc. 144A, 4.50%, 8/15/29 (a) | | | 1,511 | |
66 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,500,000 | | Virgin Media Secured Finance PLC 144A, 5.50%, 5/15/29 (a) | | $ | 1,390 | |
| | | | | 59,183 | |
Real Estate (4%) | | | | |
3,600,000 | | Apollo Commercial Real Estate Finance Inc. 144A, 4.63%, 6/15/29 (a) | | | 3,137 | |
2,500,000 | | Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC 144A, 5.00%, 6/15/29 (a) | | | 2,214 | |
1,180,000 | | Diversified Healthcare Trust, 4.75%, 2/15/28 | | | 1,007 | |
2,500,000 | | Iron Mountain Inc. 144A, 4.88%, 9/15/29 (a) | | | 2,295 | |
1,500,000 | | Iron Mountain Inc. 144A, 5.25%, 3/15/28 (a) | | | 1,431 | |
1,500,000 | | iStar Inc., 4.25%, 8/01/25 | | | 1,432 | |
2,750,000 | | Kennedy-Wilson Inc., 4.75%, 3/01/29 | | | 2,540 | |
3,500,000 | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 144A, 4.75%, 6/15/29 (a) | | | 3,146 | |
2,000,000 | | Service Properties Trust, 5.50%, 12/15/27 | | | 1,823 | |
1,000,000 | | Service Properties Trust, 7.50%, 9/15/25 | | | 999 | |
1,500,000 | | Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC 144A, 4.75%,
4/15/28 (a) | | | 1,342 | |
3,600,000 | | XHR LP 144A, 4.88%, 6/01/29 (a) | | | 3,320 | |
| | | | | 24,686 | |
Retail (5%) | | | | |
2,500,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 4.00%, 10/15/30 (a) | | | 2,141 | |
4,500,000 | | Arko Corp. 144A, 5.13%, 11/15/29 (a) | | | 3,988 | |
3,600,000 | | Asbury Automotive Group Inc. 144A, 5.00%, 2/15/32 (a) | | | 3,200 | |
1,000,000 | | Bath & Body Works Inc. 144A, 6.63%, 10/01/30 (a) | | | 997 | |
1,000,000 | | Bath & Body Works Inc., 6.88%, 11/01/35 | | | 979 | |
650,000 | | Bath & Body Works Inc., 7.50%, 6/15/29 | | | 673 | |
2,500,000 | | Crocs Inc. 144A, 4.13%, 8/15/31 (a) | | | 1,999 | |
2,500,000 | | Dealer Tire LLC/DT Issuer LLC 144A, 8.00%, 2/01/28 (a) | | | 2,449 | |
3,550,000 | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co. Inc. 144A, 6.75%, 1/15/30 (a) | | | 3,077 | |
2,000,000 | | FirstCash Inc. 144A, 4.63%, 9/01/28 (a) | | | 1,823 | |
1,750,000 | | FirstCash Inc. 144A, 5.63%, 1/01/30 (a) | | | 1,631 | |
2,000,000 | | Group 1 Automotive Inc. 144A, 4.00%, 8/15/28 (a) | | | 1,802 | |
2,000,000 | | Kontoor Brands Inc. 144A, 4.13%,
11/15/29 (a) | | | 1,738 | |
1,300,000 | | Macy’s Retail Holdings LLC 144A, 5.88%, 4/01/29 (a)(e) | | | 1,235 | |
1,000,000 | | QVC Inc., 4.38%, 9/01/28 | | | 851 | |
2,600,000 | | Sonic Automotive Inc. 144A, 4.88%, 11/15/31 (a) | | | 2,223 | |
1,000,000 | | Yum! Brands Inc., 4.63%, 1/31/32 | | | 910 | |
2,000,000 | | Yum! Brands Inc., 5.38%, 4/01/32 | | | 1,914 | |
2,000,000 | | Yum! Brands Inc., 6.88%, 11/15/37 | | | 2,119 | |
| | | | | 35,749 | |
Service (3%) | | | | |
2,150,000 | | ADT Security Corp. 144A, 4.13%,
8/01/29 (a) | | | 1,829 | |
1,616,000 | | Adtalem Global Education Inc. 144A, 5.50%, 3/01/28 (a) | | | 1,486 | |
2,500,000 | | Albion Financing 1 Sarl/Aggreko Holdings Inc. 144A, 6.13%, 10/15/26 (a) | | | 2,330 | |
1,500,000 | | Avis Budget Car Rental LLC/Avis Budget Finance Inc. 144A, 5.75%, 7/15/27 (a)(e) | | | 1,472 | |
2,600,000 | | Carriage Services Inc. 144A, 4.25%,
5/15/29 (a) | | | 2,265 | |
2,000,000 | | Cimpress PLC 144A, 7.00%, 6/15/26 (a) | | | 1,868 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
2,950,000 | | Covanta Holding Corp. 144A, 4.88%, 12/01/29 (a) | | $ | 2,688 | |
1,180,000 | | Hertz Corp. 144A, 4.63%, 12/01/26 (a) | | | 1,077 | |
2,500,000 | | Madison IAQ LLC 144A, 5.88%, 6/30/29 (a) | | | 2,041 | |
2,000,000 | | Prime Security Services Borrower LLC/Prime Finance Inc. 144A, 3.38%, 8/31/27 (a) | | | 1,711 | |
2,650,000 | | PROG Holdings Inc. 144A, 6.00%,
11/15/29 (a) | | | 2,345 | |
1,000,000 | | United Rentals North America Inc., 3.88%, 2/15/31 | | | 883 | |
| | | | | 21,995 | |
Technology (4%) | | | | |
2,500,000 | | ams-OSRAM AG 144A, 7.00%, 7/31/25 (a) | | | 2,536 | |
2,000,000 | | Castle U.S. Holding Corp. 144A, 9.50%, 2/15/28 (a) | | | 1,848 | |
2,200,000 | | Condor Merger Sub Inc. 144A, 7.38%, 2/15/30 (a) | | | 1,971 | |
2,600,000 | | Consensus Cloud Solutions Inc. 144A, 6.50%, 10/15/28 (a) | | | 2,447 | |
3,525,000 | | Dun & Bradstreet Corp. 144A, 5.00%, 12/15/29 (a) | | | 3,283 | |
3,000,000 | | Elastic NV 144A, 4.13%, 7/15/29 (a) | | | 2,689 | |
3,500,000 | | NCR Corp. 144A, 5.25%, 10/01/30 (a) | | | 3,312 | |
1,750,000 | | Presidio Holdings Inc. 144A, 8.25%,
2/01/28 (a) | | | 1,702 | |
500,000 | | PTC Inc. 144A, 4.00%, 2/15/28 (a) | | | 464 | |
3,500,000 | | Science Applications International Corp. 144A, 4.88%, 4/01/28 (a) | | | 3,352 | |
1,200,000 | | Seagate HDD Cayman, 3.38%, 7/15/31 | | | 977 | |
2,500,000 | | ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 144A, 3.88%, 2/01/29 (a) | | | 2,216 | |
| | | | | 26,797 | |
Telecommunications (4%) | | | | |
3,000,000 | | Advantage Sales & Marketing Inc. 144A, 6.50%, 11/15/28 (a) | | | 2,730 | |
3,000,000 | | Altice France SA 144A, 5.13%, 7/15/29 (a) | | | 2,545 | |
1,000,000 | | Altice France SA, 5.88%, 2/01/27 EUR (b)(f) | | | 1,060 | |
1,000,000 | | Altice France SA 144A, 8.13%, 2/01/27 (a) | | | 1,009 | |
1,000,000 | | Frontier Communications Holdings LLC 144A, 5.88%, 10/15/27 (a) | | | 959 | |
1,900,000 | | Frontier Communications Holdings LLC 144A, 6.00%, 1/15/30 (a)(e) | | | 1,655 | |
1,500,000 | | Frontier Communications Holdings LLC 144A, 6.75%, 5/01/29 (a) | | | 1,353 | |
2,500,000 | | Level 3 Financing Inc. 144A, 4.25%,
7/01/28 (a) | | | 2,117 | |
1,000,000 | | Lumen Technologies Inc., 5.63%, 4/01/25 | | | 977 | |
1,000,000 | | Lumen Technologies Inc. G, 6.88%, 1/15/28 | | | 954 | |
1,000,000 | | Lumen Technologies Inc. P, 7.60%, 9/15/39 | | | 875 | |
3,500,000 | | Sprint Corp., 7.63%, 3/01/26 | | | 3,805 | |
2,500,000 | | Stagwell Global LLC 144A, 5.63%,
8/15/29 (a) | | | 2,210 | |
2,200,000 | | Telecom Italia Capital SA, 6.38%, 11/15/33 | | | 1,926 | |
1,500,000 | | Vmed O2 UK Financing I PLC 144A, 4.25%, 1/31/31 (a) | | | 1,271 | |
| | | | | 25,446 | |
Transportation (2%) | | | | |
1,000,000 | | American Airlines Inc. 144A, 11.75%, 7/15/25 (a) | | | 1,152 | |
3,000,000 | | American Airlines Inc./AAdvantage Loyalty IP Ltd. 144A, 5.75%, 4/20/29 (a) | | | 2,896 | |
2,000,000 | | Delta Air Lines Inc., 3.75%, 10/28/29 | | | 1,767 | |
2,500,000 | | First Student Bidco Inc./First Transit Parent Inc. 144A, 4.00%, 7/31/29 (a) | | | 2,241 | |
1,700,000 | | Fortress Transportation and Infrastructure Investors LLC 144A, 5.50%, 5/01/28 (a) | | | 1,469 | |
Semi-Annual Report 67
Payden High Income Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
2,000,000 | | Fortress Transportation and Infrastructure Investors LLC 144A, 6.50%, 10/01/25 (a) | | $ | 1,909 | |
1,000,000 | | Fortress Transportation and Infrastructure Investors LLC 144A, 9.75%, 8/01/27 (a) | | | 1,022 | |
722,456 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (a) | | | 686 | |
1,025,000 | | United Airlines Holdings Inc., 5.00%,
2/01/24 (e) | | | 1,019 | |
| | | | | 14,161 | |
| |
Utility (2%) | | | | |
500,000 | | Calpine Corp. 144A, 4.50%, 2/15/28 (a) | | | 463 | |
1,500,000 | | Calpine Corp. 144A, 4.63%, 2/01/29 (a) | | | 1,313 | |
1,000,000 | | Calpine Corp. 144A, 5.13%, 3/15/28 (a) | | | 910 | |
381,000 | | Calpine Corp. 144A, 5.25%, 6/01/26 (a) | | | 377 | |
2,000,000 | | FirstEnergy Corp. B, 4.40%, 7/15/27 | | | 1,943 | |
1,500,000 | | FirstEnergy Corp. C, 7.38%, 11/15/31 | | | 1,723 | |
1,500,000 | | NextEra Energy Operating Partners LP 144A, 3.88%, 10/15/26 (a) | | | 1,417 | |
2,500,000 | | NRG Energy Inc. 144A, 3.38%, 2/15/29 (a) | | | 2,122 | |
1,000,000 | | Pattern Energy Operations LP/Pattern Energy Operations Inc. 144A, 4.50%, 8/15/28 (a) | | | 936 | |
1,000,000 | | PG&E Corp., 5.00%, 7/01/28 | | | 921 | |
1,000,000 | | Vistra Operations Co. LLC 144A, 5.00%, 7/31/27 (a) | | | 954 | |
1,250,000 | | Vistra Operations Co. LLC 144A, 5.50%, 9/01/26 (a) | | | 1,247 | |
| | | | | 14,326 | |
Total Corporate Bond (Cost - $680,032) | | | 627,155 | |
| |
Mortgage Backed (3%) | | | | |
4,100,000 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.250%), 9.92%, 11/25/39 (a)(c) | | | 4,210 | |
1,985,333 | | Fannie Mae Connecticut Avenue Securities 2016- C02, (1 mo. LIBOR USD + 12.250%), 12.92%, 9/25/28 (c) | | | 2,274 | |
1,980,098 | | Fannie Mae Connecticut Avenue Securities 2016- C04, (1 mo. LIBOR USD + 10.250%), 10.92%, 1/25/29 (c) | | | 2,131 | |
1,700,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 4.800%), 5.47%, 2/25/50 (a)(c) | | | 1,545 | |
1,200,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 9.500%), 10.17%, 2/25/49 (a)(c) | | | 1,281 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
1,728,087 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2, (1 mo. LIBOR USD + 11.250%), 11.92%, 10/25/29 (c) | | $ | 1,829 | |
900,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 4.600%), 5.27%, 12/25/42 (c) | | | 903 | |
1,820,684 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%), 12.42%, 5/25/43 (a)(c) | | | 1,971 | |
1,550,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 11.17%, 2/25/47 (a)(c) | | | 1,690 | |
Total Mortgage Backed (Cost - $17,014) | | | 17,834 | |
Stocks (0%) | | | | |
Preferred Stock (0%) | | | | |
80 | | Santander Consumer Auto Receivables Trust 2021-C, 0.00%
(Cost - $1,795) | | | 1,353 | |
Total Stocks (Cost - $1,795) | | | 1,353 | |
| |
Investment Company (2%) | | | | |
16,031,621 | | Payden Cash Reserves Money Market Fund *
(Cost - $16,032) | | | 16,032 | |
| |
Total Investments (Cost - $742,727) (99%) | | | 690,651 | |
Other Assets, net of Liabilities (1%) | | | 4,144 | |
| |
Net Assets (100%) | | $ | 694,795 | |
| (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) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (e) | All or a portion of these securities are on loan. At April 30, 2022, the total market value of the Fund’s securities on loan is $7,451 and the total market value of the collateral held by the Fund is $7,801. Amounts in 000s. |
| (f) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (g) | Perpetual security with no stated maturity date. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | | | Currency Sold (000s) | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | |
USD 4,964 | | | | CAD 6,359 | | | Citibank, N.A. | | | | 09/15/2022 | | | $ | 17 | |
USD 2,221 | | | | EUR 2,007 | | | Citibank, N.A. | | | | 09/15/2022 | | | | 86 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 103 | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
CAD 3,043 | | | | USD 2,427 | | | Citibank, N.A. | | | | 09/15/2022 | | | | (60 | ) |
| | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | 43 | |
| | | | | | | | | | | | | | | | |
68 Payden Mutual Funds
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Appreciation
(000s) | |
| 5-Year Interest Rate Swap, Pay Fixed 0.2405% Annually, Receive Variable (0.565%) (1-Month EURIBOR) Monthly | | | 10/29/2023 | | | | EUR 2,343 | | | $ | 9 | | | $ | — | | | $ | 9 | |
| 5-Year Interest Rate Swap, Receive Fixed 3.013% Semi- Annually, Pay Variable 0.105% (1-Month USD LIBOR) Monthly | | | 10/29/2023 | | | | USD 14,240 | | | | 46 | | | | — | | | | 46 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 55 | | | $ | — | | | $ | 55 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 7,451 | |
| Non-cash Collateral2 | | | (7,451 | ) |
| | | | |
| 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, 2022, 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
Payden California Municipal Income Social Impact Fund
The Fund seeks income that is exempt from Federal and California income tax and is consistent with preservation of capital.
| | | | |
| Portfolio Composition - percent of investments | | | | |
General Obligation | | | 46 | % |
Healthcare | | | 14 | % |
Transportation | | | 9 | % |
Water & Sewer | | | 7 | % |
Other | | | 24 | % |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Corporate Bond (1%) | | | | |
500,000 | | Conservation Fund A Nonprofit Corp. 2019, 3.47%, 12/15/29 | | $ | 481 | |
500,000 | | Low Income Investment Fund 2019, 3.71%, 7/01/29 | | | 498 | |
| |
Total Corporate Bond (Cost - $1,000) | | | 979 | |
General Obligation (45%) | | | | |
645,000 | | Abag Finance Authority for Nonprofit Corps A, 5.00%, 9/02/26 | | | 680 | |
455,000 | | Abag Finance Authority for Nonprofit Corps A, 5.00%, 9/02/28 AGM (a) | | | 507 | |
100,000 | | Alameda Community Improvement Commission Successor Agency A, 5.00%, 9/01/28 BAM (a) | | | 105 | |
250,000 | | Alameda Community Improvement Commission Successor Agency A, 5.00%, 9/01/32 BAM (a) | | | 263 | |
200,000 | | Brea Community Benefit Financing Authority, 5.00%, 7/01/29 | | | 211 | |
300,000 | | Brentwood Infrastructure Financing Authority, 4.00%, 10/01/36 | | | 306 | |
1,000,000 | | California Community Choice Financing Authority B-1, 4.00%, 2/01/52 | | | 1,013 | |
325,000 | | California Earthquake Authority B, 1.33%, 7/01/22 | | | 325 | |
1,000,000 | | California Infrastructure & Economic Development Bank A, 4.00%, 5/01/46 | | | 978 | |
410,000 | | California Infrastructure & Economic Development Bank, 5.00%, 8/01/34 | | | 458 | |
500,000 | | California Infrastructure & Economic Development Bank, 5.00%, 8/01/44 | | | 554 | |
1,000,000 | | California Pollution Control Financing Authority 144A, 5.00%, 7/01/39 (b) | | | 1,098 | |
1,130,000 | | California State Public Works Board D, 5.00%, 5/01/23 | | | 1,163 | |
650,000 | | California State Public Works Board, 5.00%, 10/01/25 | | | 700 | |
645,000 | | California State Public Works Board B, 5.00%, 10/01/26 | | | 710 | |
1,000,000 | | California State Public Works Board C, 5.00%, 8/01/27 | | | 1,081 | |
1,000,000 | | California State Public Works Board A, 5.00%, 8/01/31 | | | 1,163 | |
385,000 | | California State Public Works Board C, 5.25%, 10/01/33 | | | 408 | |
300,000 | | City & County of San Francisco CA Community Facilities District No 2014-1 B, 3.11%, 9/01/24 | | | 298 | |
260,000 | | City of Irvine CA, 5.00%, 9/02/22 | | | 263 | |
260,000 | | Coronado Community Development Agency Successor Agency A, 5.00%, 9/01/33 | | | 275 | |
1,000,000 | | County of Santa Barbara CA B, AMT, 5.00%, 12/01/36 | | | 1,084 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,000,000 | | Inglewood Unified School District A, 4.00%, 8/01/22 AGM (a) | | $ | 1,006 | |
500,000 | | Lancaster Redevelopment Agency Successor Agency, 5.00%, 8/01/30 AGM (a) | | | 545 | |
2,460,000 | | Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue A, 5.00%, 6/01/22 | | | 2,467 | |
350,000 | | Los Angeles County Redevelopment Refunding Authority Redev Agency Successor Agency C, 5.25%, 12/01/26 AGM (a) | | | 373 | |
300,000 | | Miracosta Community College District B, 4.00%, 8/01/34 | | | 325 | |
500,000 | | Mount Diablo Unified School District E, 5.00%, 8/01/32 | | | 503 | |
800,000 | | Mountain House Public Financing Authority, 4.00%, 10/01/51 | | | 794 | |
250,000 | | Municipal Improvement Corp. of Los Angeles C, 1.34%, 11/01/26 | | | 226 | |
100,000 | | Municipal Improvement Corp. of Los Angeles A, 5.00%, 5/01/30 | | | 105 | |
500,000 | | Municipal Improvement Corp. of Los Angeles B, 5.00%, 11/01/31 | | | 542 | |
500,000 | | Municipal Improvement Corp. of Los Angeles B, 5.00%, 11/01/38 | | | 526 | |
500,000 | | Napa Valley Community College District, 4.00%, 8/01/23 | | | 512 | |
1,000,000 | | Nuveen, CA Free Quality Municipal Income Fund, AMT A 144A, 0.64%, 10/01/47 (b) | | | 1,000 | |
535,000 | | Oakland Unified School District B, 5.00%, 8/01/25 | | | 576 | |
1,000,000 | | Peninsula Corridor Joint Powers Board A, 5.00%, 6/01/37 | | | 1,148 | |
100,000 | | Peralta Community College District A, 5.00%, 8/01/22 | | | 101 | |
750,000 | | Sacramento Transportation Authority Sales Tax Revenue C, 0.39%, 10/01/38 | | | 750 | |
1,000,000 | | San Bernardino Community College District, 2.40%, 8/01/36 | | | 811 | |
900,000 | | San Diego Association of Governments, 5.00%, 11/15/26 | | | 967 | |
500,000 | | San Diego County Regional Transportation Commission A, 5.00%, 10/01/22 | | | 507 | |
350,000 | | San Diego Public Facilities Financing Authority, 5.00%, 10/15/30 | | | 376 | |
340,000 | | San Diego Public Facilities Financing Authority, 5.00%, 10/15/31 | | | 365 | |
550,000 | | San Diego Public Facilities Financing Authority B, 5.00%, 10/15/32 | | | 588 | |
2,300,000 | | San Diego Unified School District E-2, 5.00%, 7/01/23 | | | 2,377 | |
70 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
500,000 | | San Francisco Unified School District B, 4.00%, 6/15/35 | | $ | 522 | |
250,000 | | San Mateo Joint Powers Financing Authority, 5.00%, 6/15/30 | | | 263 | |
1,550,000 | | Santa Monica Community College District B, 4.00%, 8/01/45 | | | 1,551 | |
2,000,000 | | Santa Monica Community College District B, 5.00%, 8/01/45 | | | 2,269 | |
815,000 | | Santa Monica Public Financing Authority, 4.00%, 7/01/38 | | | 842 | |
200,000 | | Simi Valley Public Financing Authority A, 5.00%, 10/01/29 | | | 211 | |
550,000 | | South Orange County Public Financing Authority, 5.00%, 4/01/34 | | | 598 | |
1,000,000 | | State of California, 4.00%, 11/01/35 | | | 1,035 | |
600,000 | | State of California A, 4.99%, 4/01/39 | | | 605 | |
1,000,000 | | State of California, 5.00%, 4/01/30 | | | 1,147 | |
520,000 | | State of California, 5.00%, 11/01/32 | | | 597 | |
610,000 | | State of California, 5.00%, 12/01/34 | | | 697 | |
625,000 | | State of California, 5.00%, 3/01/35 | | | 708 | |
760,000 | | State of California, 5.00%, 4/01/35 | | | 847 | |
1,000,000 | | Sunnyvale Financing Authority, 4.00%, 4/01/34 | | | 1,050 | |
705,000 | | Sunnyvale Financing Authority, 4.00%, 4/01/50 | | | 714 | |
1,300,000 | | Town of Hillsborough CA A, 0.35%, 6/01/35 | | | 1,300 | |
350,000 | | Union City Community Redevelopment Agency Successor Agency A, 5.00%, 10/01/35 | | | 372 | |
225,000 | | West Hollywood Public Financing Authority A, 4.00%, 4/01/34 | | | 230 | |
| |
Total General Obligation (Cost - $48,657) | | | 46,691 | |
| |
Mortgage Backed (0%) | | | | |
493,498 | | Washington State Housing Finance Commission A - 1, 3.50%, 12/20/35 | | | 450 | |
| |
Revenue (48%) | | | | |
| |
Airport/Port (5%) | | | | |
500,000 | | City of Los Angeles Department of Airports D, AMT, 4.00%, 5/15/51 | | | 482 | |
500,000 | | City of Los Angeles Department of Airports, AMT, 5.00%, 5/15/24 | | | 523 | |
250,000 | | City of Los Angeles Department of Airports A, AMT, 5.00%, 5/15/26 | | | 269 | |
500,000 | | City of Los Angeles Department of Airports, AMT, 5.00%, 5/15/36 | | | 541 | |
1,000,000 | | City of Los Angeles Department of Airports D, AMT, 5.00%, 5/15/37 | | | 1,103 | |
400,000 | | City of Palm Springs CA Passenger Facility Charge Revenue, AMT, 5.00%, 6/01/26 BAM (a) | | | 427 | |
750,000 | | San Diego County Regional Airport Authority B, AMT, 5.00%, 7/01/39 | | | 801 | |
1,100,000 | | San Francisco City & County Airport Comm-San Francisco International Airport A, AMT, 5.00%, 5/01/24 | | | 1,144 | |
| | | | | 5,290 | |
Education (4%) | | | | |
2,300,000 | | California Educational Facilities Authority B, 0.40%, 10/01/36 | | | 2,300 | |
1,000,000 | | California Infrastructure & Economic Development Bank, 4.00%, 11/01/46 | | | 985 | |
120,000 | | California School Finance Authority A 144A, 4.00%, 7/01/22 (b) | | | 120 | |
1,000,000 | | California School Finance Authority 144A, 5.00%, 8/01/38 (b) | | | 1,051 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
250,000 | | Oxnard School District, 5.00%, 8/01/45 BAM (a) | | $ | 266 | |
| | | | | 4,722 | |
Electric & Gas (1%) | | | | |
900,000 | | City of Riverside CA Electric Revenue A, 0.38%, 10/01/29 | | | 900 | |
Healthcare (13%) | | | | |
150,000 | | Abag Finance Authority for Nonprofit Corps C, 0.39%, 8/01/35 | | | 150 | |
750,000 | | California Health Facilities Financing Authority, 3.57%, 11/01/36 | | | 700 | |
200,000 | | California Health Facilities Financing Authority A, 4.00%, 8/15/34 | | | 208 | |
750,000 | | California Health Facilities Financing Authority A, 4.00%, 4/01/36 | | | 751 | |
710,000 | | California Health Facilities Financing Authority A, 5.00%, 11/15/27 | | | 723 | |
500,000 | | California Health Facilities Financing Authority, 5.00%, 2/01/31 | | | 548 | |
350,000 | | California Health Facilities Financing Authority A, 5.00%, 8/15/32 | | | 388 | |
1,000,000 | | California Health Facilities Financing Authority D, 5.00%, 11/01/32 | | | 1,017 | |
1,000,000 | | California Health Facilities Financing Authority A, 5.00%, 11/15/32 | | | 1,017 | |
800,000 | | California Health Facilities Financing Authority, 5.00%, 11/01/34 | | | 896 | |
1,000,000 | | California Health Facilities Financing Authority, 5.00%, 11/15/49 | | | 1,071 | |
650,000 | | California Municipal Finance Authority, 5.00%, 1/01/33 | | | 713 | |
325,000 | | California Municipal Finance Authority B, 5.00%, 5/15/37 | | | 347 | |
500,000 | | California Municipal Finance Authority, 5.00%, 7/01/39 | | | 554 | |
1,000,000 | | California Public Finance Authority B, 0.26%, 8/01/52 | | | 1,000 | |
800,000 | | California Statewide Communities Development Authority A, 0.40%, 8/01/35 | | | 800 | |
2,000,000 | | Regents of the University of California Medical Center Pooled Revenue B-2, 0.30%, 5/15/32 | | | 2,000 | |
1,000,000 | | Regents of the University of California Medical Center Pooled Revenue P, 5.00%, 5/15/39 | | | 1,116 | |
| | | | | 13,999 | |
Housing (4%) | | | | |
800,000 | | County of San Bernardino CA A, 0.39%, 2/15/27 | | | 800 | |
500,000 | | CSCDA Community Improvement Authority A 144A, 3.00%, 9/01/56 (b) | | | 353 | |
645,000 | | Sacramento County Housing Authority C, 0.39%, 7/15/29 | | | 645 | |
1,500,000 | | San Diego Housing Authority, 0.48%, 10/01/60 | | | 1,500 | |
400,000 | | Santa Cruz Redevelopment Agency B, 0.50%, 8/15/35 | | | 400 | |
| | | | | 3,698 | |
Industrial Development/Pollution Control (3%) | | | | |
370,000 | | Emeryville Redevelopment Agency Successor Agency A, 5.00%, 9/01/25 AGM (a) | | | 390 | |
1,000,000 | | Golden State Tobacco Securitization Corp. B, 3.00%, 6/01/46 | | | 882 | |
1,000,000 | | Golden State Tobacco Securitization Corp. A-1, 5.25%, 6/01/47 | | | 1,003 | |
Semi-Annual Report 71
Payden California Municipal Income Social Impact Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
300,000 | | Palm Springs Community Redevelopment Agency Successor Agency, 5.00%, 9/01/29 AGM (a) | | $ | 316 | |
390,000 | | Palm Springs Community Redevelopment Agency Successor Agency, 5.00%, 9/01/31 AGM (a) | | | 410 | |
| | | | | 3,001 | |
Pollution Control (1%) | | | | |
200,000 | | Salinas Valley Solid Waste Authority A, AMT, 5.00%, 8/01/24 AGM (a) | | | 210 | |
35,000 | | South Bayside Waste Management Authority, AMT, 5.00%, 9/01/23 | | | 37 | |
965,000 | | South Bayside Waste Management Authority, AMT, 5.00%, 9/01/23 | | | 1,001 | |
| | | | | 1,248 | |
Power (1%) | | | | |
375,000 | | Los Angeles Department of Water & Power, 5.00%, 7/01/28 | | | 426 | |
750,000 | | Los Angeles Department of Water & Power B, 5.00%, 7/01/52 | | | 847 | |
| | | | | 1,273 | |
Transportation (9%) | | | | |
710,000 | | Bay Area Toll Authority G1, 0.35%, 4/01/47 | | | 710 | |
660,000 | | Bay Area Toll Authority, 4.00%, 4/01/37 | | | 669 | |
750,000 | | City of Long Beach CA Harbor Revenue A, AMT, 5.00%, 5/15/28 | | | 826 | |
1,000,000 | | Foothill-Eastern Transportation Corridor Agency B3, 5.50%, 1/15/53 | | | 1,005 | |
620,000 | | Port of Los Angeles A, AMT, 5.00%, 8/01/24 | | | 652 | |
1,000,000 | | Port of Los Angeles C1, AMT, 5.00%, 8/01/25 | | | 1,068 | |
835,000 | | Port of Los Angeles A, AMT, 5.00%, 8/01/29 | | | 876 | |
1,075,000 | | Port of Oakland H, AMT, 5.00%, 5/01/29 | | | 1,180 | |
1,000,000 | | Riverside County Transportation Commission B1, 4.00%, 6/01/46 | | | 955 | |
1,000,000 | | Santa Clara Valley Transportation Authority, 0.30%, 4/01/36 | | | 1,000 | |
| | | | | 8,941 | |
Water & Sewer (7%) | | | | |
| | |
1,500,000 | | City of Los Angeles CA Wastewater System Revenue A, 5.00%, 6/01/47 | | | 1,699 | |
1,500,000 | | City of San Francisco CA Public Utilities Commission Water Revenue A, 5.00%, 11/01/50 | | | 1,678 | |
300,000 | | City of Santa Monica CA Water Revenue, 4.00%, 8/01/35 | | | 316 | |
300,000 | | City of Santa Monica CA Water Revenue, 4.00%, 8/01/36 | | | 314 | |
500,000 | | East Bay Municipal Utility District Water System Revenue A-2, 0.40%, 6/01/38 | | | 500 | |
100,000 | | Orange County Water District C, 5.00%, 8/15/33 | | | 113 | |
720,000 | | San Diego Public Facilities Financing Authority A, 5.00%, 5/15/23 | | | 741 | |
1,000,000 | | San Diego Public Facilities Financing Authority A, 5.00%, 5/15/37 | | | 1,149 | |
100,000 | | San Diego Public Facilities Financing Authority Water Revenue A, 5.00%, 8/01/32 | | | 108 | |
360,000 | | West Basin Municipal Water District A, 5.00%, 8/01/23 | | | 373 | |
| | | | | 6,991 | |
| |
Total Revenue (Cost - $51,982) | | | 50,063 | |
| |
U.S. Treasury (3%) | | | | |
1,500,000 | | U.S. Treasury Note, 1.13%, 10/31/26 | | | 1,385 | |
1,000,000 | | U.S. Treasury Note, 1.25%, 3/31/28 | | | 907 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,000,000 | | U.S. Treasury Note, 1.38%, 10/31/28 | | $ | 906 | |
500,000 | | U.S. Treasury Note, 1.38%, 12/31/28 | | | 452 | |
| |
Total U.S. Treasury (Cost - $3,972) | | | 3,650 | |
| |
Total Investments (Cost - $106,164) (97%) | | | 101,833 | |
| |
Other Assets, net of Liabilities (3%) | | | 2,682 | |
| |
Net Assets (100%) | | $ | 104,515 | |
| (a) | Payment of principal and/or interest is insured against default by a monoline insurer. |
| (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. |
See notes to financial statements.
72 Payden Mutual Funds
Payden Global Low Duration Fund
The Fund seeks a high level of total return that is consistent with preservation of capital.
| | | | |
| Portfolio Composition - percent of investments | | | |
Corporate Bond | | | 40 | % |
Asset Backed | | | 19 | % |
U.S. Treasury | | | 18 | % |
Mortgage Backed | | | 14 | % |
Commercial Paper | | | 5 | % |
Other | | | 4 | % |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Bonds (91%) | | | | |
Australia (USD) (1%) | | | | |
185,000 | | Macquarie Group Ltd. 144A, (U.S. Secured Overnight Financing Rate + 0.694%), 1.20%, 10/14/25 (a)(b) | | $ | 173 | |
515,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%), 1.53%, 11/28/23 (a)(b) | | | 516 | |
200,000 | | NBN Co. Ltd. 144A, 0.88%, 10/08/24 (a) | | | 188 | |
| | | | | 877 | |
Bermuda (USD) (2%) | | | | |
250,000 | | Bellemeade RE Ltd. 2021-3A 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.000%), 1.29%, 9/25/31 (a)(b) | | | 248 | |
250,000 | | Eagle RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.550%), 1.84%, 4/25/34 (a)(b) | | | 249 | |
250,000 | | Home RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.250%), 1.54%, 1/25/34 (a)(b) | | | 248 | |
150,000 | | Oaktown Re VII Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.600%), 1.89%, 4/25/34 (a)(b) | | | 148 | |
150,000 | | Triton Container International Ltd. 144A, 0.80%, 8/01/23 (a) | | | 145 | |
| | | | | 1,038 | |
Brazil (USD) (1%) | | | | |
200,000 | | Banco Bradesco SA 144A, 2.85%, 1/27/23 (a) | | | 200 | |
260,000 | | Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (a) | | | 261 | |
| | | | | 461 | |
Canada (CAD) (2%) | | | | |
650,000 | | BMW Canada Auto Trust 2021-1A 144A, 0.50%, 7/20/24 CAD (a)(c) | | | 496 | |
155,008 | | Ford Auto Securitization Trust 2020-AA 144A, 0.89%, 8/15/24 CAD (a)(c) | | | 119 | |
49,644 | | GMF Canada Leasing Trust 2020-1A 144A, 0.91%, 7/20/23 CAD (a)(c) | | | 39 | |
460,000 | | GMF Canada Leasing Trust 2020-1A 144A, 1.05%, 11/20/25 CAD (a)(c) | | | 356 | |
250,000 | | MBarc Credit Canada Inc. 2021-AA 144A, 0.63%, 5/15/24 CAD (a)(c) | | | 191 | |
| | | | | 1,201 | |
Canada (USD) (3%) | | | | |
340,000 | | Bank of Nova Scotia, 3.45%, 4/11/25 | | | 337 | |
350,000 | | Canadian Imperial Bank of Commerce, 3.30%, 4/07/25 | | | 345 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
95,000 | | Enbridge Inc., 2.15%, 2/16/24 | | $ | 93 | |
70,000 | | goeasy Ltd. 144A, 5.38%, 12/01/24 (a) | | | 69 | |
385,000 | | Rogers Communications Inc. 144A, 2.95%, 3/15/25 (a) | | | 376 | |
250,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 242 | |
310,000 | | TransCanada PipeLines Ltd., 1.00%, 10/12/24 | | | 291 | |
| | | | | 1,753 | |
Cayman Islands (USD) (9%) | | | | |
200,000 | | ADCB Finance Cayman Ltd. 144A, 4.00%, 3/29/23 (a) | | | 202 | |
376,805 | | Barings CLO Ltd. 2013-IA 144A, (3 mo. LIBOR USD + 0.800%), 1.86%, 1/20/28 (a)(b) | | | 374 | |
428,153 | | BDS 2021-FL8 144A, (1 mo. LIBOR USD + 0.920%), 1.47%, 1/18/36 (a)(b) | | | 420 | |
151,028 | | BDS Ltd. 2020-FL5 144A, (1 mo. Term Secured Overnight Financing Rate + 1.264%), 1.77%, 2/16/37 (a)(b) | | | 150 | |
667,530 | | Bristol Park CLO Ltd. 2016-1A 144A, (3 mo. LIBOR USD + 0.990%), 2.03%, 4/15/29 (a)(b) | | | 666 | |
360,000 | | CIFC Funding Ltd. 2015-2A 144A, (3 mo. LIBOR USD + 1.010%), 2.05%, 4/15/30 (a)(b) | | | 359 | |
250,000 | | Greystone CRE Notes Ltd. 2021-HC2 144A, (1 mo. LIBOR USD + 1.800%), 2.35%, 12/15/39 (a)(b) | | | 250 | |
150,517 | | LCM XX LP 20A 144A, (3 mo. LIBOR USD + 1.040%), 2.10%, 10/20/27 (a)(b) | | | 150 | |
550,000 | | LoanCore Issuer Ltd. 2021-CRE5 144A, (1 mo. LIBOR USD + 1.300%), 1.85%, 7/15/36 (a)(b) | | | 543 | |
992,206 | | Magnetite VII Ltd. 2012-7A 144A, (3 mo. LIBOR USD + 0.800%), 1.84%, 1/15/28 (a)(b) | | | 985 | |
100,000 | | MF1 Ltd. 2020-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 2.964%), 3.47%, 7/15/35 (a)(b) | | | 100 | |
277,712 | | Palmer Square Loan Funding Ltd. 2020-1A 144A, (3 mo. LIBOR USD + 0.800%), 1.28%, 2/20/28 (a)(b) | | | 277 | |
78,014 | | PFP Ltd. 2019-6 144A, (1 mo. LIBOR USD + 1.050%), 1.60%, 4/14/37 (a)(b) | | | 77 | |
210,000 | | PFP Ltd. 2019-6 144A, (1 mo. LIBOR USD + 1.450%), 2.00%, 4/14/37 (a)(b) | | | 209 | |
70,000 | | Seagate HDD Cayman, 4.88%, 3/01/24 | | | 70 | |
850,000 | | Southwick Park CLO LLC 2019-4A 144A, (3 mo. LIBOR USD + 1.060%), 2.12%, 7/20/32 (a)(b) | | | 847 | |
305,567 | | STWD Ltd. 2019-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 1.194%), 1.72%, 7/15/38 (a)(b) | | | 305 | |
Semi-Annual Report 73
Payden Global Low Duration Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
470,000 | | TRTX Issuer Ltd. 2019-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 1.564%), 2.07%, 10/15/34 (a)(b) | | $ | 467 | |
| | | | | 6,451 | |
France (USD) (1%) | | | | |
420,000 | | Banque Federative du Credit Mutuel SA 144A, 1.00%, 2/04/25 (a) | | | 389 | |
450,000 | | BPCE SA 144A, 5.70%, 10/22/23 (a) | | | 460 | |
| | | | | 849 | |
India (USD) (1%) | | | | |
500,000 | | REC Ltd. 144A, 5.25%, 11/13/23 (a) | | | 510 | |
200,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (a) | | | 197 | |
| | | | | 707 | |
Indonesia (USD) (1%) | | | | |
395,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (a) | | | 399 | |
280,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 3.75%, 3/01/23 (a) | | | 283 | |
| | | | | 682 | |
Ireland (USD) (1%) | | | | |
315,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.15%, 10/29/23 | | | 301 | |
280,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24 | | | 261 | |
355,000 | | SMBC Aviation Capital Finance DAC 144A, 3.00%, 7/15/22 (a) | | | 355 | |
| | | | | 917 | |
Italy (USD) (1%) | | | | |
425,000 | | Intesa Sanpaolo SpA 144A, 3.13%, 7/14/22 (a) | | | 425 | |
360,000 | | Republic of Italy Government International | | | | |
| | Bond, 1.25%, 2/17/26 | | | 328 | |
| | | | | 753 | |
Japan (USD) (4%) | | | | |
440,000 | | Mitsubishi UFJ Financial Group Inc., (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.550%), 0.95%, 7/19/25 (b) | | | 414 | |
290,000 | | Renesas Electronics Corp. 144A, 1.54%, 11/26/24 (a) | | | 273 | |
250,000 | | Sumitomo Mitsui Financial Group Inc., 1.47%, 7/08/25 | | | 231 | |
500,000 | | Sumitomo Mitsui Financial Group Inc., 2.45%, 9/27/24 | | | 486 | |
435,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 0.85%, 3/25/24 (a) | | | 414 | |
400,000 | | Suntory Holdings Ltd. 144A, 2.25%, 10/16/24 (a) | | | 384 | |
500,000 | | Takeda Pharmaceutical Co. Ltd., 4.40%, 11/26/23 | | | 508 | |
| | | | | 2,710 | |
Jersey (USD) (0%) | | | | |
70,000 | | Aptiv PLC/Aptiv Corp., 2.40%, 2/18/25 | | | 67 | |
Netherlands (USD) (1%) | | | | |
400,000 | | Mondelez International Holdings Netherlands BV 144A, 0.75%, 9/24/24 (a) | | | 376 | |
310,000 | | Stellantis NV, 5.25%, 4/15/23 | | | 316 | |
| | | | | 692 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| |
New Zealand (USD) (0%) | | | | |
280,000 | | ANZ New Zealand Int’l Ltd. 144A, 2.17%, 2/18/25 (a) | | $ | 270 | |
Norway (USD) (0%) | | | | |
250,000 | | Aker BP ASA 144A, 2.88%, 1/15/26 (a) | | | 238 | |
Panama (USD) (0%) | | | | |
225,000 | | Intercorp Financial Services Inc. 144A, 4.13%, 10/19/27 (a) | | | 210 | |
Saudi Arabia (USD) (0%) | | | | |
200,000 | | Saudi Arabian Oil Co. 144A, 1.25%, 11/24/23 (a) | | | 195 | |
Spain (USD) (0%) | | | | |
200,000 | | Banco Santander SA, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.450%), 0.70%, 6/30/24 (b) | | | 194 | |
Supranational (USD) (0%) | | | | |
70,000 | | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc. 144A, 5.63%, 3/01/24 (a) | | | 71 | |
Sweden (GBP) (1%) | | | | |
250,000 | | Scania CV AB, 1.88%, 6/28/22 GBP (c)(d) | | | 314 | |
Switzerland (USD) (2%) | | | | |
450,000 | | Credit Suisse Group AG 144A, (3 mo. LIBOR USD + 1.240%), 4.21%, 6/12/24 (a)(b) | | | 451 | |
200,000 | | UBS Group AG 144A, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.830%), 1.01%, 7/30/24 (a)(b) | | | 194 | |
500,000 | | UBS Group AG 144A, 3.49%, 5/23/23 (a) | | | 501 | |
| | | | | 1,146 | |
United Kingdom (GBP) (0%) | | | | |
150,000 | | Sage AR Funding No 1 PLC 1A 144A, (Sterling Overnight Index Average + 1.250%), 1.41%, 11/17/30 GBP (a)(b)(c) | | | 189 | |
United Kingdom (USD) (2%) | | | | |
205,000 | | Barclays PLC, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.800%), 1.01%, 12/10/24 (b) | | | 196 | |
420,000 | | British Telecommunications PLC, 4.50%, 12/04/23 | | | 426 | |
660,000 | | NatWest Group PLC, (3 mo. LIBOR USD + 1.470%), 1.98%, 5/15/23 (b) | | | 660 | |
255,000 | | Royalty Pharma PLC, 0.75%, 9/02/23 | | | 247 | |
| | | | | 1,529 | |
United States (USD) (58%) | | | | |
290,000 | | 7-Eleven Inc. 144A, 0.80%, 2/10/24 (a) | | | 277 | |
370,000 | | Albertsons Cos. Inc./Safeway Inc./New Albertsons LP/Albertsons LLC 144A, 3.50%, 2/15/23 (a) | | | 370 | |
190,000 | | American Express Co., 3.38%, 5/03/24 | | | 190 | |
70,000 | | Avient Corp. 144A, 5.75%, 5/15/25 (a) | | | 71 | |
70,000 | | Ball Corp., 4.00%, 11/15/23 | | | 70 | |
345,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.330%), 3.38%, 4/02/26 (b) | | | 338 | |
345,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.110%), 3.84%, 4/25/25 (b) | | | 345 | |
14,710,885 | | Benchmark Mortgage Trust 2018-B6, 0.57%, 10/10/51 (e) | | | 263 | |
95,000 | | Blackstone Private Credit Fund 144A, 1.75%, 9/15/24 (a) | | | 89 | |
74 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
150,000 | | Blue Racer Midstream LLC/Blue Racer Finance Corp. 144A, 7.63%, 12/15/25 (a) | | $ | 155 | |
245,000 | | BMW U.S. Capital LLC 144A, (Secured Overnight Financing Rate + 0.840%), 3.25%, 4/01/25 (a) | | | 243 | |
600,000 | | BRSP Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 1.150%), 1.70%, 8/19/38 (a)(b) | | | 587 | |
450,000 | | BX Commercial Mortgage Trust 2021-SOAR 144A, (1 mo. LIBOR USD + 0.670%), 1.23%, 6/15/38 (a)(b) | | | 439 | |
142,805 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 0.920%), 1.47%, 10/15/36 (a)(b) | | | 142 | |
153,000 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.080%), 1.63%, 10/15/36 (a)(b) | | | 152 | |
311,344 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 1.130%), 1.68%, 10/15/37 (a)(b) | | | 306 | |
200,000 | | BX Trust 2021-ARIA 144A, (1 mo. LIBOR USD + 0.899%), 1.45%, 10/15/36 (a)(b) | | | 195 | |
90,000 | | California Earthquake Authority B, 1.33%, 7/01/22 | | | 90 | |
2,866,932 | | Cantor Commercial Real Estate Lending 2019- CF1, 1.30%, 5/15/52 (e) | | | 163 | |
89,631 | | CARS-DB4 LP 2020-1A 144A, 2.69%, 2/15/50 (a) | | | 87 | |
479,752 | | CARS-DB5 LP 2021-1A 144A, 1.44%, 8/15/51 (a) | | | 431 | |
70,000 | | CDK Global Inc., 5.00%, 10/15/24 | | | 72 | |
70,000 | | CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 | | | 72 | |
148,913 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.60%, 6/15/34 (a)(b) | | | 145 | |
347,464 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 2.90%, 6/15/34 (a)(b) | | | 334 | |
265,000 | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | | | 275 | |
55,000 | | Civitas Resources Inc. 144A, 5.00%, 10/15/26 (a) | | | 52 | |
190,000 | | CNH Industrial Capital LLC, 1.95%, 7/02/23 | | | 187 | |
1,317,207 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 0.900%), 1.45%, 11/15/37 (a)(b) | | | 1,303 | |
34,554 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 1/25/40 (a)(b) | | | 35 | |
45,417 | | Connecticut Avenue Securities Trust 2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 2.77%, 9/25/39 (a)(b) | | | 45 | |
34,585 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 2.100%), 2.77%, 10/25/39 (a)(b) | | | 35 | |
409,232 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 11/25/39 (a)(b) | | | 403 | |
100,000 | | Connecticut Avenue Securities Trust 2020-SBT1 144A, (1 mo. LIBOR USD + 3.650%), 4.32%, 2/25/40 (a)(b) | | | 99 | |
465,000 | | Daimler Finance North America LLC 144A, 0.75%, 3/01/24 (a) | | | 445 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
150,000 | | Daimler Trucks Finance North America LLC 144A, 1.13%, 12/14/23 (a) | | $ | 145 | |
150,000 | | Daimler Trucks Finance North America LLC 144A, 1.63%, 12/13/24 (a) | | | 143 | |
180,000 | | Daimler Trucks Finance North America LLC 144A, 3.50%, 4/07/25 (a) | | | 178 | |
300,000 | | DataBank Issuer 2021-2A 144A, 2.40%, 10/25/51 (a) | | | 276 | |
104,000 | | Devon Energy Corp., 5.88%, 6/15/28 | | | 109 | |
400,000 | | Diamond Issuer 2021-1A 144A, 2.31%, 11/20/51 (a) | | | 361 | |
61,286 | | Drive Auto Receivables Trust 2020-2, 1.42%, 3/17/25 | | | 61 | |
171,429 | | Drive Auto Receivables Trust 2020-1, 2.36%, 3/16/26 | | | 172 | |
225,000 | | Energy Transfer LP, 4.25%, 3/15/23 | | | 227 | |
70,000 | | EQT Corp., 6.63%, 2/01/25 | | | 73 | |
700,000 | | Fannie Mae Connecticut Avenue Securities 2021- R02 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.000%), 2.29%, 11/25/41 (a)(b) | | | 667 | |
250,000 | | First-Citizens Bank & Trust Co., (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (b) | | | 245 | |
300,000 | | Flexential Issuer 2021-1A 144A, 3.25%, 11/27/51 (a) | | | 282 | |
200,000 | | Ford Motor Credit Co. LLC, 5.13%, 6/16/25 | | | 200 | |
202,129 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 9/25/49 (a)(b) | | | 202 | |
4,921 | | Freddie Mac STACR REMIC Trust 2021-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.650%), 0.94%, 1/25/51 (a)(b) | | | 5 | |
150,000 | | Freddie Mac STACR REMIC Trust 2021-HQA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 0.850%), 1.14%, 9/25/41 (a)(b) | | | 146 | |
39,515 | | Freddie Mac STACR REMIC Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 1.700%), 2.37%, 1/25/50 (a)(b) | | | 39 | |
55,075 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 2/25/50 (a)(b) | | | 55 | |
63,374 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.57%, 1/25/50 (a)(b) | | | 63 | |
250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 4.600%), 5.27%, 12/25/42 (b) | | | 251 | |
246,870 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2, (1 mo. LIBOR USD + 11.250%), 11.92%, 10/25/29 (b) | | | 261 | |
70,000 | | Freeport-McMoRan Inc., 4.55%, 11/14/24 | | | 71 | |
245,000 | | FS KKR Capital Corp. 144A, 4.25%, 2/14/25 (a) | | | 236 | |
210,000 | | General Motors Financial Co. Inc., 1.20%, 10/15/24 | | | 197 | |
65,000 | | General Motors Financial Co. Inc., 3.80%, 4/07/25 | | | 64 | |
200,000 | | Genting New York LLC/GENNY Capital Inc. 144A, 3.30%, 2/15/26 (a) | | | 183 | |
420,000 | | Glencore Funding LLC 144A, 4.63%, 4/29/24 (a) | | | 425 | |
110,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.03%, 4/16/25 | | | 109 | |
Semi-Annual Report 75
Payden Global Low Duration Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
80,000 | | GM Financial Consumer Automobile Receivables Trust 2020-1, 2.18%, 5/16/25 | | $ | 79 | |
350,000 | | Goldman Sachs Group Inc., 3.00%, 3/15/24 | | | 347 | |
135,000 | | Golub Capital BDC Inc., 3.38%, 4/15/24 | | | 133 | |
70,000 | | Graphic Packaging International LLC, 4.13%, 8/15/24 | | | 70 | |
125,000 | | Gray Oak Pipeline LLC 144A, 2.00%, 9/15/23 (a) | | | 122 | |
250,000 | | GSK Consumer Healthcare Capital U.S. LLC 144A, 3.02%, 3/24/24 (a) | | | 248 | |
70,000 | | HCA Inc., 5.38%, 2/01/25 | | | 72 | |
205,000 | | Hyundai Capital America 144A, 1.00%, 9/17/24 (a) | | | 191 | |
175,000 | | Hyundai Capital America 144A, 1.15%, 11/10/22 (a) | | | 174 | |
250,000 | | Hyundai Capital America 144A, 1.25%, 9/18/23 (a) | | | 243 | |
130,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24 | | | 127 | |
40,000 | | iStar Inc., 4.75%, 10/01/24 | | | 39 | |
175,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.320%), 4.08%, 4/26/26 (b) | | | 175 | |
125,000 | | Magallanes Inc. 144A, 3.43%, 3/15/24 (a) | | | 124 | |
110,000 | | Magallanes Inc. 144A, 3.64%, 3/15/25 (a) | | | 108 | |
350,000 | | MassMutual Global Funding II 144A, 2.80%, 3/21/25 (a) | | | 344 | |
70,000 | | Meritage Homes Corp., 6.00%, 6/01/25 | | | 71 | |
335,000 | | Microchip Technology Inc., 0.97%, 2/15/24 | | | 320 | |
380,000 | | MMAF Equipment Finance LLC 2020-BA 144A, 0.49%, 8/14/25 (a) | | | 366 | |
360,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.940%), 2.63%, 2/18/26 (b) | | | 347 | |
340,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.160%), 3.62%, 4/17/25 (b) | | | 338 | |
23,712 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 1.700%), 2.37%, 10/15/49 (a)(b) | | | 23 | |
329,896 | | Navient Private Education Refi Loan Trust 2021- CA 144A, 1.06%, 10/15/69 (a) | | | 310 | |
351,060 | | Navient Private Education Refi Loan Trust 2021- FA 144A, 1.11%, 2/18/70 (a) | | | 320 | |
146,474 | | New Residential Mortgage Loan Trust 2017-1A 144A, 4.00%, 2/25/57 (a)(e) | | | 145 | |
253,181 | | New Residential Mortgage Loan Trust 2017-4A 144A, 4.00%, 5/25/57 (a)(e) | | | 248 | |
360,000 | | NextEra Energy Capital Holdings Inc., 2.94%, 3/21/24 | | | 358 | |
180,000 | | NextEra Energy Operating Partners LP 144A, 4.25%, 7/15/24 (a) | | | 179 | |
355,000 | | Nissan Motor Acceptance Co. LLC 144A, 1.05%, 3/08/24 (a) | | | 335 | |
85,000 | | Nissan Motor Acceptance Co. LLC 144A, 1.13%, 9/16/24 (a) | | | 79 | |
536,412 | | Oak Street Investment Grade Net Lease Fund 2020-1A 144A, 1.85%, 11/20/50 (a) | | | 497 | |
500,000 | | ONE Mortgage Trust 2021-PARK 144A, (1 mo. LIBOR USD + 0.700%), 1.25%, 3/15/36 (a)(b) | | | 486 | |
130,000 | | Owl Rock Capital Corp., 4.25%, 1/15/26 | | | 126 | |
85,000 | | Owl Rock Technology Finance Corp. 144A, 3.75%, 6/17/26 (a) | | | 79 | |
70,000 | | Penske Automotive Group Inc., 3.50%, 9/01/25 | | | 68 | |
220,000 | | Protective Life Global Funding 144A, 3.22%, 3/28/25 (a) | | | 217 | |
145,000 | | Qorvo Inc. 144A, 1.75%, 12/15/24 (a) | | | 137 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
70,000 | | Radian Group Inc., 6.63%, 3/15/25 | | $ | 71 | |
165,000 | | Rocket Mortgage LLC/Rocket Mortgage Co- Issuer Inc. 144A, 2.88%, 10/15/26 (a) | | | 146 | |
203,453 | | Santander Bank N.A.-SBCLN 2021-1A 144A, 1.83%, 12/15/31 (a) | | | 199 | |
200,000 | | SBA Tower Trust 144A, 1.63%, 11/15/26 (a) | | | 185 | |
180,000 | | SBA Tower Trust 144A, 1.88%, 1/15/26 (a) | | | 167 | |
264,326 | | SoFi Professional Loan Program Trust 2021-A 144A, 1.03%, 8/17/43 (a) | | | 243 | |
426,367 | | SoFi Professional Loan Program Trust 2021-B 144A, 1.14%, 2/15/47 (a) | | | 391 | |
70,000 | | Sprint Communications Inc., 6.00%, 11/15/22 | | | 71 | |
350,000 | | Stack Infrastructure Issuer LLC 2020-1A 144A, 1.89%, 8/25/45 (a) | | | 324 | |
270,138 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.32%, 4/25/43 (a)(b) | | | 270 | |
250,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.42%, 4/25/43 (a)(b) | | | 250 | |
150,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%), 11.17%, 2/25/47 (a)(b) | | | 164 | |
70,000 | | TerraForm Power Operating LLC 144A, 4.25%, 1/31/23 (a) | | | 70 | |
50,000 | | T-Mobile USA Inc., 2.25%, 2/15/26 | | | 46 | |
55,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 55 | |
70,000 | | Toll Brothers Finance Corp., 4.88%, 11/15/25 | | | 70 | |
185,000 | | Toyota Motor Credit Corp., 2.50%, 3/22/24 | | | 183 | |
70,000 | | TRI Pointe Group Inc./TRI Pointe Homes Inc., 5.88%, 6/15/24 | | | 71 | |
1,000,000 | | U.S. Treasury Note, 0.13%, 3/31/23 | | | 983 | |
850,000 | | U.S. Treasury Note, 0.25%, 6/15/24 | | | 806 | |
921,000 | | U.S. Treasury Note, 0.75%, 11/15/24 | | | 874 | |
3,391,000 | | U.S. Treasury Note, 0.88%, 1/31/24 | | | 3,288 | |
1,268,000 | | U.S. Treasury Note, 1.50%, 8/15/22 (f) | | | 1,269 | |
160,000 | | U.S. Treasury Note, 1.50%, 2/29/24 | | | 157 | |
1,546,000 | | U.S. Treasury Note, 1.50%, 2/15/25 | | | 1,489 | |
3,125,000 | | U.S. Treasury Note, 2.63%, 4/15/25 | | | 3,103 | |
850,000 | | U.S. Treasury Note, 2.75%, 5/31/23 | | | 855 | |
450,000 | | Vantage Data Centers Issuer LLC 2020-1A 144A, 1.65%, 9/15/45 (a) | | | 413 | |
75,000 | | VICI Properties LP, 4.38%, 5/15/25 | | | 75 | |
225,000 | | Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (a) | | | 221 | |
355,000 | | Volkswagen Group of America Finance LLC 144A, 0.88%, 11/22/23 (a) | | | 341 | |
265,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.320%), 3.91%, 4/25/26 (b) | | | 263 | |
7,301,123 | | Wells Fargo Commercial Mortgage Trust 2018- C46, 1.10%, 8/15/51 (e) | | | 261 | |
100,000 | | Westinghouse Air Brake Technologies Corp., 3.20%, 6/15/25 | | | 97 | |
306,306 | | Westlake Automobile Receivables Trust 2019- 3A 144A, 2.49%, 10/15/24 (a) | | | 307 | |
240,000 | | Westlake Automobile Receivables Trust 2020- 1A 144A, 2.80%, 6/16/25 (a) | | | 238 | |
11,708 | | Westlake Automobile Receivables Trust 2018- 3A 144A, 4.00%, 10/16/23 (a) | | | 12 | |
298,500 | | Wingstop Funding LLC 2020-1A 144A, 2.84%, 12/05/50 (a) | | | 273 | |
| | | | | 39,897 | |
Total Bonds (Cost - $65,551) | | | 63,411 | |
Commercial Paper (5%) | | | | |
700,000 | | BASF SE, 0.90%, 6/06/22 (g) | | | 699 | |
600,000 | | Ecolab Inc., 0.75%, 5/09/22 (g) | | | 600 | |
76 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
700,000 | | Fidelity National Information Services, 0.76%, 5/16/22 (g) | | $ | 700 | |
700,000 | | Nutrien Ltd., 0.75%, 5/11/22 (g) | | | 700 | |
700,000 | | Public Service Enterprise Group, 0.86%, 6/01/22 (g) | | | 699 | |
Total Commercial Paper (Cost - $3,398) | | | 3,398 | |
Investment Company (3%) | | | | |
1,863,961 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $1,864) | | | 1,864 | |
Total Investments (Cost - $70,813) (99%) | | | 68,673 | |
Other Assets, net of Liabilities (1%) | | | 515 | |
Net Assets (100%) | | $ | 69,188 | |
| (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, 2022. |
| (c) | Principal in foreign currency. |
| (d) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (e) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (f) | All or a portion of the security is pledged to cover futures contract margin requirements. |
| (g) | Yield to maturity at time of purchase. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency
Sold (000s) | | | Counterparty | | | Settlement
Date | | | Unrealized Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | |
USD 1,302 | | | CAD 1,667 | �� | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | $ | 5 | |
USD 197 | | | GBP 150 | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | 8 | |
USD 333 | | | GBP 254 | | | | State Street Bank & Trust Co. | | | | 06/28/2022 | | | | 14 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 27 | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
CAD 67 | | | USD 53 | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | (1 | ) |
| | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | $ | 26 | |
| | | | | | | | | | | | | | | | |
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 | | 34 | | Sep-23 | | $ | 8,202 | | | $ | (225 | ) | | $ | (225 | ) |
U.S. Treasury 2-Year Note Future | | 49 | | Jun-22 | | | 10,330 | | | | (181 | ) | | | (181 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (406 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | |
U.S. Treasury 5-Year Note Future | | 55 | | Jun-22 | | | (6,197 | ) | | | 263 | | | | 263 | |
| | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | $ | (143) | |
| | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 77
Payden Global Fixed Income Fund
The Fund seeks a high level of total return that is consistent with preservation of capital.
| | |
| Portfolio Composition - percent of investments | | |
Foreign Government | | 38% |
Corporate Bond | | 27% |
Mortgage Backed | | 13% |
Asset Backed | | 11% |
U.S. Treasury | | 7% |
Other | | 4% |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Bonds (93%) | | | | |
Armenia (USD) (0%) | | | | |
750,000 | | Republic of Armenia International Bond 144A, 3.60%, 2/02/31 (a) | | $ | 561 | |
Australia (AUD) (1%) | | | | |
2,450,000 | | Australia Government Bond Series 145, 2.75%, 6/21/35 (b)(c) | | | 1,643 | |
2,700,000 | | Australia Government Bond Series 139, 3.25%, 4/21/25 (b)(c) | | | 1,937 | |
| | | | | 3,580 | |
Australia (USD) (1%) | | | | |
675,000 | | Commonwealth Bank of Australia 144A, 2.69%, 3/11/31 (a) | | | 565 | |
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) | | | 703 | |
| | | | | 1,268 | |
Austria (EUR) (0%) | | | | |
120,000 | | Republic of Austria Government Bond Series 1 144A, 1.65%, 10/21/24 (a)(b)(c) | | | 131 | |
120,000 | | Republic of Austria Government Bond 144A, 2.40%, 5/23/34 (a)(b)(c) | | | 140 | |
390,000 | | Republic of Austria Government Bond 144A, 3.15%, 6/20/44 (a)(b)(c) | | | 540 | |
| | | | | 811 | |
Austria (USD) (0%) | | | | |
210,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49 (a) | | | 204 | |
Belgium (EUR) (1%) | | | | |
100,000 | | Kingdom of Belgium Government Bond Series 74 144A, 0.80%, 6/22/25 (a)(b)(c) | | | 106 | |
700,000 | | Kingdom of Belgium Government Bond Series 75 144A, 1.00%, 6/22/31 (a)(b)(c) | | | 717 | |
410,000 | | Kingdom of Belgium Government Bond Series 78 144A, 1.60%, 6/22/47 (a)(b)(c) | | | 403 | |
| | | | | 1,226 | |
Bermuda (USD) (1%) | | | | |
200,000 | | Bermuda Government International Bond 144A, 3.38%, 8/20/50 (a) | | | 164 | |
1,100,000 | | Eagle RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.050%), 2.34%, 4/25/34 (a)(d) | | | 1,083 | |
300,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 271 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
500,000 | | Home RE Ltd. 2021-2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.250%), 1.54%, 1/25/34 (a)(d) | | $ | 497 | |
| | | | | 2,015 | |
Canada (CAD) (3%) | | | | |
1,700,000 | | Canadian Government Bond, 0.50%, 9/01/25 (c) | | | 1,230 | |
1,780,000 | | Canadian Government Bond, 3.50%, 12/01/45 (c) | | | 1,534 | |
1,300,000 | | Canadian Government Bond, 5.00%, 6/01/37 (c) | | | 1,265 | |
775,000 | | Cologix Canadian Issuer LP 2022-1CAN 144A, 4.94%, 1/25/52 (a)(c) | | | 574 | |
900,000 | | CPPIB Capital Inc. 144A, 1.95%, 9/30/29 (a)(c) | | | 633 | |
400,000 | | Municipal Finance Authority of British Columbia, 2.55%, 10/09/29 (c) | | | 292 | |
500,000 | | OMERS Finance Trust 144A, 2.60%, 5/14/29 (a)(c) | | | 365 | |
700,000 | | Ontario Teachers’ Finance Trust 144A, 1.10%, 10/19/27 (a)(c) | | | 483 | |
700,000 | | Tamarack Valley Energy Ltd. 144A, 7.25%, 5/10/27 (a)(c) | | | 548 | |
| | | | | 6,924 | |
Canada (USD) (2%) | | | | |
212,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (a) | | | 212 | |
525,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 513 | |
1,500,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 1,453 | |
1,075,000 | | TELUS Corp., 3.40%, 5/13/32 | | | 986 | |
600,000 | | Vermilion Energy Inc. 144A, 6.88%, 5/01/30 (a) | | | 587 | |
| | | | | 3,751 | |
Cayman Islands (USD) (5%) | | | | |
540,000 | | Atrium XII 12A 144A, (3 mo. LIBOR USD + 2.800%), 3.94%, 4/22/27 (a)(d) | | | 523 | |
572,744 | | Barings CLO Ltd. 2013-IA 144A, (3 mo. LIBOR USD + 0.800%), 1.86%, 1/20/28 (a)(d) | | | 569 | |
286,233 | | BDS Ltd. 2019-FL4 144A, (1 mo. LIBOR USD + 1.100%), 1.65%, 8/15/36 (a)(d) | | | 286 | |
650,000 | | BDS Ltd. 2021-FL9 144A, (1 mo. LIBOR USD + 2.250%), 2.80%, 11/16/38 (a)(d) | | | 643 | |
324,879 | | CLNC Ltd. 2019-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 1.364%), 1.87%, 8/20/35 (a)(d) | | | 323 | |
900,000 | | DP World Salaam, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.750%), 6.00% (b)(d)(e) | | | 915 | |
250,000 | | FS Rialto 2021-FL3 144A, (1 mo. LIBOR USD + 2.500%), 3.05%, 11/16/36 (a)(d) | | | 242 | |
78 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,050,000 | | Galaxy XXIII CLO Ltd. 2017-23A 144A, (3 mo. LIBOR USD + 3.400%), 4.58%, 4/24/29 (a)(d) | | $ | 1,044 | |
46,133 | | GPMT Ltd. 2019-FL2 144A, (1 mo. LIBOR USD + 1.300%), 1.92%, 2/22/36 (a)(d) | | | 46 | |
400,000 | | Greystone CRE Notes Ltd. 2021-FL3 144A, (1 mo. LIBOR USD + 2.200%), 2.75%, 7/15/39 (a)(d) | | | 388 | |
1,350,000 | | HGI CRE CLO Ltd. 2021-FL2 144A, (1 mo. LIBOR USD + 1.800%), 2.35%, 9/17/36 (a)(d) | | | 1,338 | |
400,000 | | LoanCore Issuer Ltd. 2019-CRE2 144A, (1 mo. LIBOR USD + 1.500%), 2.05%, 5/15/36 (a)(d) | | | 400 | |
900,000 | | Madison Park Funding XLVIII Ltd. 2021-48A 144A, (3 mo. LIBOR USD + 3.000%), 4.04%, 4/19/33 (a)(d) | | | 891 | |
620,000 | | Neuberger Berman Loan Advisers CLO Ltd. 2017-25A 144A, (3 mo. LIBOR USD + 2.850%), 3.89%, 10/18/29 (a)(d) | | | 616 | |
900,000 | | Ocean Trails CLO VII 2019-7A 144A, (3 mo. LIBOR USD + 2.450%), 3.49%, 4/17/30 (a)(d) | | | 890 | |
350,000 | | OCP CLO Ltd. 2014-5A 144A, (3 mo. LIBOR USD + 2.900%), 4.11%, 4/26/31 (a)(d) | | | 340 | |
900,000 | | Octagon Investment Partners 32 Ltd. 2017-1A 144A, (3 mo. LIBOR USD + 2.050%), 3.09%, 7/15/29 (a)(d) | | | 890 | |
300,000 | | OZLM XII Ltd. 2015-12A 144A, (3 mo. LIBOR USD + 1.600%), 2.89%, 4/30/27 (a)(d) | | | 299 | |
154,680 | | PFP Ltd. 2019-5 144A, (1 mo. LIBOR USD + 1.420%), 1.97%, 4/14/36 (a)(d) | | | 154 | |
250,000 | | STWD Ltd. 2021-FL2 144A, (1 mo. LIBOR USD + 2.800%), 3.35%, 4/18/38 (a)(d) | | | 248 | |
400,000 | | Symphony CLO XXIV Ltd. 2020-24A 144A, (3 mo. LIBOR USD + 1.650%), 2.83%, 1/23/32 (a)(d) | | | 398 | |
1,000,000 | | Transocean Inc. 144A, 8.00%, 2/01/27 (a) | | | 791 | |
1,100,000 | | TRTX Issuer Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 2.400%), 2.95%, 3/15/38 (a)(d) | | | 1,092 | |
300,000 | | Voya CLO Ltd. 2015-1A 144A, (3 mo. LIBOR USD + 2.350%), 3.39%, 1/18/29 (a)(d) | | | 286 | |
| | | | | 13,612 | |
| |
Colombia (EUR) (0%) | | | | |
700,000 | | Colombia Government International Bond, 3.88%, 3/22/26 (c) | | | 745 | |
Denmark (DKK) (0%) | | | | |
650,000 | | Denmark Government Bond, 4.50%, 11/15/39 (c) | | | 138 | |
Dominica Republic (USD) (0%) | | | | |
650,000 | | Dominican Republic International Bond 144A, 5.50%, 2/22/29 (a) | | | 610 | |
Egypt (USD) (0%) | | | | |
750,000 | | Egypt Government International Bond 144A, 7.30%, 9/30/33 (a) | | | 564 | |
Finland (EUR) (0%) | | | | |
170,000 | | Finland Government Bond 144A, 2.75%, 7/04/28 (a)(b)(c) | | | 198 | |
400,000 | | Sampo Oyj, (3 mo. EURIBOR + 4.050%), 3.38%, 5/23/49 (b)(c)(d) | | | 418 | |
| | | | | 616 | |
France (EUR) (4%) | | | | |
500,000 | | Credit Mutuel Arkea SA, 1.63%, 4/15/26 (b)(c) | | | 520 | |
1,400,000 | | French Republic Government Bond OAT 144A, 0.50%, 6/25/44 (a)(b)(c) | | | 1,128 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
3,600,000 | | French Republic Government Bond OAT, 0.75%, 11/25/28 (b)(c) | | $ | 3,724 | |
950,000 | | French Republic Government Bond OAT 144A, 1.25%, 5/25/36 (a)(b)(c) | | | 951 | |
3,820,000 | | French Republic Government Bond OAT, 1.75%, 11/25/24 (b)(c) | | | 4,154 | |
| | | | | 10,477 | |
| |
France (USD) (0%) | | | | |
550,000 | | Altice France SA 144A, 5.50%, 10/15/29 (a) | | | 468 | |
400,000 | | BPCE SA 144A, 2.38%, 1/14/25 (a) | | | 383 | |
| | | | | 851 | |
| |
Germany (EUR) (3%) | | | | |
2,970,000 | | Bundesrepublik Deutschland Bundesanleihe, 0.60%, 8/15/26 (b)(c)(f) | | | 3,054 | |
950,000 | | Bundesrepublik Deutschland Bundesanleihe, 1.25%, 8/15/48 (b)(c) | | | 1,052 | |
60,000 | | Bundesrepublik Deutschland Bundesanleihe, 3.25%, 7/04/42 (b)(c) | | | 89 | |
1,600,000 | | Bundesrepublik Deutschland Bundesanleihe Series 5, 4.00%, 1/04/37 (b)(c) | | | 2,375 | |
| | | | | 6,570 | |
| |
Guatemala (USD) (0%) | | | | |
550,000 | | Guatemala Government Bond 144A, 4.65%, 10/07/41 (a) | | | 473 | |
| |
India (USD) (0%) | | | | |
665,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 664 | |
| |
Indonesia (EUR) (0%) | | | | |
290,000 | | Indonesia Government International Bond 144A, 3.75%, 6/14/28 (a)(c) | | | 322 | |
| |
Indonesia (USD) (0%) | | | | |
400,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.45%, 5/15/30 (a) | | | 401 | |
200,000 | | Indonesia Government International Bond 144A, 4.13%, 1/15/25 (a) | | | 203 | |
310,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 4.15%, 3/29/27 (a) | | | 315 | |
| | | | | 919 | |
| |
Ireland (EUR) (4%) | | | | |
500,000 | | BBAM European CLO I DAC 1A 144A, (3 mo. EURIBOR + 2.000%), 2.00%, 7/22/34 (a)(c)(d) | | | 511 | |
550,000 | | Bilbao CLO III DAC 3A 144A, (3 mo. EURIBOR + 3.000%), 3.00%, 5/17/34 (a)(c)(d) | | | 559 | |
550,000 | | BlueMountain EUR CLO DAC 2021-1A 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/34 (a)(c)(d) | | | 561 | |
600,000 | | Bridgepoint CLO DAC 2A 144A, (3 mo. EURIBOR + 2.000%), 2.00%, 4/15/35 (a)(c)(d) | | | 612 | |
650,000 | | Cairn CLO XIII DAC 2021-13A 144A, (3 mo. EURIBOR + 3.400%), 3.40%, 10/20/33 (a)(c)(d) | | | 676 | |
800,000 | | CIFC European Funding CLO IV DAC 4A 144A, (3 mo. EURIBOR + 2.100%), 2.10%, 8/18/35 (a)(c)(d) | | | 822 | |
700,000 | | Hayfin Emerald CLO VI DAC 6A 144A, (3 mo. EURIBOR + 3.500%), 3.50%, 4/15/34 (a)(c)(d) | | | 713 | |
250,000 | | Ireland Government Bond, 1.10%, 5/15/29 (b)(c) | | | 262 | |
100,000 | | Ireland Government Bond, 3.40%, 3/18/24 (b)(c) | | | 112 | |
219,019 | | Last Mile Logistics Pan Euro Finance DAC 1A 144A, (3 mo. EURIBOR + 1.900%), 1.90%, 8/17/33 (a)(c)(d) | | | 229 | |
Semi-Annual Report 79
Payden Global Fixed Income Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
915,896 | | Last Mile Logistics Pan Euro Finance DAC 1X, (3 mo. EURIBOR + 2.700%), 2.70%, 8/17/33 (b)(c)(d) | | $ | 959 | |
239,951 | | Last Mile Securities PE DAC 2021-1A 144A, (3 mo. EURIBOR + 2.350%), 2.35%, 8/17/31 (a)(c)(d) | | | 249 | |
350,000 | | North Westerly VII ESG CLO DAC VII-A 144A, (3 mo. EURIBOR + 0.840%), 0.84%, 5/15/34 (a)(c)(d) | | | 365 | |
900,000 | | Palmer Square European CLO DAC 2021-1A 144A, (3 mo. EURIBOR + 0.870%), 0.87%, 4/15/34 (a)(c)(d) | | | 936 | |
400,000 | | Palmer Square European CLO DAC 2021-2A 144A, (3 mo. EURIBOR + 3.000%), 3.00%, 4/15/35 (a)(c)(d) | | | 411 | |
750,000 | | Sculptor European CLO V DAC 5A 144A, (3 mo. EURIBOR + 1.750%), 1.75%, 1/14/32 (a)(c)(d) | | | 784 | |
700,000 | | Sound Point Euro CLO V Funding DAC 5A 144A, (3 mo. EURIBOR + 3.300%), 3.30%, 7/25/35 (a)(c)(d) | | | 718 | |
550,000 | | St Paul’s CLO XII DAC 12A 144A, (3 mo. EURIBOR + 3.200%), 3.20%, 4/15/33 (a)(c)(d) | | | 568 | |
| | | | | 10,047 | |
| |
Ireland (USD) (0%) | | | | |
400,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32 | | | 333 | |
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) | | | 833 | |
425,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (a)(b) | | | 396 | |
310,000 | | Leviathan Bond Ltd. 144A, 6.75%, 6/30/30 (a)(b) | | | 306 | |
| | | | | 1,535 | |
| |
Italy (EUR) (6%) | | | | |
650,000 | | Almaviva-The Italian Innovation Co. SpA 144A, 4.88%, 10/30/26 (a)(c) | | | 658 | |
350,000 | | doValue SpA 144A, 3.38%, 7/31/26 (a)(c) | | | 348 | |
800,000 | | ERG SpA, 0.50%, 9/11/27 (b)(c) | | | 767 | |
5,800,000 | | Italy Buoni Ordinari del Tesoro BOT, 0.00%, 5/31/22 (b)(c)(f) | | | 6,122 | |
2,660,000 | | Italy Buoni Poliennali Del Tesoro 144A, 0.60%, 8/01/31 (a)(b)(c) | | | 2,330 | |
1,100,000 | | Italy Buoni Poliennali Del Tesoro 144A, 1.50%, 4/30/45 (a)(b)(c) | | | 864 | |
3,600,000 | | Italy Buoni Poliennali Del Tesoro 144A, 1.85%, 7/01/25 (a)(b)(c) | | | 3,837 | |
| | | | | 14,926 | |
| |
Japan (JPY) (11%) | | | | |
627,400,000 | | Japan Government Ten Year Bond Series 341, 0.30%, 12/20/25 (c) | | | 4,892 | |
670,000,000 | | Japan Government Ten Year Bond Series 330, 0.80%, 9/20/23 (c) | | | 5,226 | |
275,000,000 | | Japan Government Thirty Year Bond Series 58, 0.80%, 3/20/48 (c) | | | 2,074 | |
333,200,000 | | Japan Government Thirty Year Bond Series 49, 1.40%, 12/20/45 (c) | | | 2,879 | |
133,000,000 | | Japan Government Thirty Year Bond Series 33, 2.00%, 9/20/40 (c) | | | 1,259 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
80,000,000 | | Japan Government Thirty Year Bond Series 31, 2.20%, 9/20/39 (c) | | $ | 776 | |
190,000,000 | | Japan Government Thirty Year Bond Series 30, 2.30%, 3/20/39 (c) | | | 1,862 | |
372,500,000 | | Japan Government Twenty Year Bond Series 146, 1.70%, 9/20/33 (c) | | | 3,313 | |
675,000,000 | | Japan Government Twenty Year Bond Series 104, 2.10%, 6/20/28 (c) | | | 5,850 | |
| | | | | 28,131 | |
| |
Japan (USD) (0%) | | | | |
690,000 | | Nissan Motor Co. Ltd. 144A, 4.81%, 9/17/30 (a) | | | 648 | |
Kazakhstan (USD) (0%) | | | | |
650,000 | | KazMunayGas National Co. JSC, 5.75%, 4/19/47 (b) | | | 591 | |
Luxembourg (EUR) (0%) | | | | |
300,000 | | Albion Financing 1 Sarl/Aggreko Holdings Inc. 144A, 5.25%, 10/15/26 (a)(c) | | | 301 | |
600,000 | | ContourGlobal Power Holdings SA 144A, 3.13%, 1/01/28 (a)(c) | | | 570 | |
| | | | | 871 | |
| |
Luxembourg (USD) (0%) | | | | |
500,000 | | Albion Financing 1 Sarl/Aggreko Holdings Inc. 144A, 6.13%, 10/15/26 (a) | | | 466 | |
656,073 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (a) | | | 571 | |
| | | | | 1,037 | |
| |
Malaysia (MYR) (0%) | | | | |
1,700,000 | | Malaysia Government Bond Series 307, 3.50%, 5/31/27 (c) | | | 378 | |
Mexico (MXN) (0%) | | | | |
11,660,000 | | Mexican Bonos Series M, 5.75%, 3/05/26 (c) | | | 511 | |
7,760,000 | | Mexican Bonos Series M 20, 8.50%, 5/31/29 (c) | | | 369 | |
| | | | | 880 | |
| |
Mexico (USD) (1%) | | | | |
800,000 | | America Movil SAB de CV 144A, 5.38%, 4/04/32 (a) | | | 730 | |
750,000 | | Cibanco SA Institucion de Banca Multiple Trust CIB/3332 144A, 4.38%, 7/22/31 (a) | | | 606 | |
725,000 | | Corp. Inmobiliaria Vesta SAB de CV 144A, 3.63%, 5/13/31 (a) | | | 637 | |
900,000 | | Mexico City Airport Trust, 3.88%, 4/30/28 (b) | | | 842 | |
400,000 | | Petroleos Mexicanos, 5.95%, 1/28/31 | | | 337 | |
430,000 | | Total Play Telecomunicaciones SA de CV 144A, 6.38%, 9/20/28 (a) | | | 359 | |
| | | | | 3,511 | |
| |
Mongolia (USD) (0%) | | | | |
700,000 | | Mongolia Government International Bond 144A, 4.45%, 7/07/31 (a) | | | 602 | |
Morocco (EUR) (0%) | | | | |
500,000 | | Morocco Government International Bond 144A, 2.00%, 9/30/30 (a)(c) | | | 438 | |
Netherlands (EUR) (2%) | | | | |
400,000 | | American Medical Systems Europe BV, 1.38%, 3/08/28 (c) | | | 404 | |
500,000 | | easyJet FinCo BV, 1.88%, 3/03/28 (b)(c) | | | 471 | |
300,000 | | Netherlands Government Bond 144A, 0.50%, 7/15/26 (a)(b)(c) | | | 314 | |
130,000 | | Netherlands Government Bond 144A, 2.25%, 7/15/22 (a)(b)(c) | | | 138 | |
80 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
530,000 | | Netherlands Government Bond 144A, 4.00%, 1/15/37 (a)(b)(c) | | $ | 758 | |
900,000 | | Stellantis NV, 3.88%, 1/05/26 (b)(c) | | | 1,003 | |
650,000 | | Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 5/09/27 (c) | | | 622 | |
| | | | | 3,710 | |
| |
Netherlands (GBP) (0%) | | | | |
500,000 | | NIBC Bank NV, 3.13%, 11/15/23 (b)(c) | | | 627 | |
Netherlands (USD) (1%) | | | | |
900,000 | | Arcos Dorados BV 144A, 6.13%, 5/27/29 (a) | | | 886 | |
400,000 | | Teva Pharmaceutical Finance Netherlands III BV, 4.75%, 5/09/27 | | | 367 | |
| | | | | 1,253 | |
| |
Poland (EUR) (0%) | | | | |
450,000 | | Ardagh Metal Packaging Finance USA LLC/ Ardagh Metal Packaging Finance PLC 144A, 3.00%, 9/01/29 (a)(c) | | | 389 | |
Poland (PLN) (0%) | | | | |
410,000 | | Republic of Poland Government Bond Series 1029, 2.75%, 10/25/29 (c) | | | 73 | |
Romania (EUR) (0%) | | | | |
380,000 | | Romanian Government International Bond 144A, 2.63%, 12/02/40 (a)(c) | | | 268 | |
Russian Federation (RUB) (0%) | | | | |
14,880,000 | | Russian Federal Bond - OFZ Series 6207, 8.15%, 2/03/27 (c) | | | 13 | |
Singapore (SGD) (0%) | | | | |
280,000 | | Singapore Government Bond, 3.50%, 3/01/27 (c) | | | 212 | |
South Africa (ZAR) (1%) | | | | |
45,000,000 | | Republic of South Africa Government Bond Series 2030, 8.00%, 1/31/30 (c) | | | 2,553 | |
Spain (EUR) (3%) | | | | |
600,000 | | Banco de Sabadell SA, (5 yr. Euro Swap + 6.414%), 6.50% (b)(c)(d)(e) | | | 634 | |
375,000 | | Food Service Project SA 144A, 5.50%, 1/21/27 (a)(c) | | | 371 | |
750,000 | | Grifols Escrow Issuer SA 144A, 3.88%, 10/15/28 (a)(c) | | | 712 | |
250,000 | | Neinor Homes SA 144A, 4.50%, 10/15/26 (a)(c) | | | 247 | |
3,200,000 | | Spain Government Bond, 1.13%, 1/31/26 (c)(f) | | | 3,237 | |
1,150,000 | | Spain Government Bond 144A, 1.25%, 10/31/30 (a)(b)(c) | | | 1,169 | |
660,000 | | Spain Government Bond 144A, 2.90%, 10/31/46 (a)(b)(c) | | | 761 | |
| | | | | 7,131 | |
| |
Spain (USD) (0%) | | | | |
600,000 | | Banco Santander SA, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.900%), 1.72%, 9/14/27 (d) | | | 529 | |
Sri Lanka (USD) (0%) | | | | |
350,000 | | Sri Lanka Government International Bond, 6.85%, 11/03/25 (b) | | | 156 | |
Sweden (SEK) (0%) | | | | |
2,900,000 | | Sweden Government Bond Series 1059, 1.00%, 11/12/26 (b)(c) | | | 288 | |
Switzerland (CHF) (1%) | | | | |
1,050,000 | | Swiss Confederation Government Bond, 0.50%, 5/27/30 (b)(c) | | | 1,063 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Switzerland (USD) (0%) | | | | |
950,000 | | Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.730%), 3.09%, 5/14/32 (a)(d) | | | $ 795 | |
Thailand (THB) (0%) | | | | |
15,100,000 | | Thailand Government Bond, 1.60%, 12/17/29 (c) | | | 410 | |
| |
United Arab Emirates (USD) (0%) | | | | |
299,430 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | | 311 | |
United Kingdom (GBP) (4%) | | | | |
350,000 | | Barclays PLC, 3.00%, 5/08/26 (b)(c) | | | 429 | |
350,000 | | Lloyds Banking Group PLC, (5 yr. UK Government Bonds Note Generic Bid Yield + 4.607%), 5.13% (c)(d)(e) | | | 428 | |
300,000 | | NatWest Group PLC, (1 yr. GBP interest rate swap + 1.490%), 2.88%, 9/19/26 (b)(c)(d) | | | 369 | |
130,000 | | Sage AR Funding No 1 PLC 1A 144A, (Sterling Overnight Index Average + 3.000%), 3.16%, 11/17/30 (a)(c)(d) | | | 161 | |
260,000 | | United Kingdom Gilt, 4.25%, 12/07/55 (b)(c) | | | 509 | |
1,410,000 | | United Kingdom Gilt, 4.25%, 12/07/55 (b)(c) | | | 2,760 | |
1,560,000 | | United Kingdom Gilt, 4.75%, 12/07/38 (b)(c) | | | 2,698 | |
1,420,000 | | United Kingdom Gilt, 5.00%, 3/07/25 (b)(c) | | | 1,949 | |
| | | | | 9,303 | |
| |
United Kingdom (USD) (0%) | | | | |
520,000 | | Fresnillo PLC 144A, 4.25%, 10/02/50 (a) | | | 429 | |
United States (EUR) (2%) | | | | |
700,000 | | BorgWarner Inc., 1.00%, 5/19/31 (c) | | | 621 | |
550,000 | | Capital One Financial Corp., 1.65%, 6/12/29 (c) | | | 531 | |
850,000 | | Discovery Communications LLC, 1.90%, 3/19/27 (c) | | | 865 | |
550,000 | | International Flavors & Fragrances Inc., 1.80%, 9/25/26 (c) | | | 572 | |
700,000 | | Morgan Stanley, (3 mo. EURIBOR + 0.820%), 1.10%, 4/29/33 (c)(d) | | | 634 | |
550,000 | | MPT Operating Partnership LP/MPT Finance Corp., 0.99%, 10/15/26 (c) | | | 516 | |
650,000 | | Southern Co., (5 yr. Euro Swap + 2.108%), 1.88%, 9/15/81 (c)(d) | | | 584 | |
| | | | | 4,323 | |
| |
United States (GBP) (0%) | | | | |
350,000 | | General Motors Financial Co. Inc., 2.35%, 9/03/25 (b)(c) | | | 425 | |
United States (USD) (32%) | | | | |
400,000 | | American Campus Communities Operating Partnership LP, 2.25%, 1/15/29 | | | 372 | |
390,000 | | American Equity Investment Life Holding Co., 5.00%, 6/15/27 | | | 400 | |
1,000,000 | | American Homes 4 Rent LP, 2.38%, 7/15/31 | | | 828 | |
1,025,000 | | American Tower Corp., 2.30%, 9/15/31 | | | 835 | |
255,450 | | Arbys Funding LLC 2020-1A 144A, 3.24%, 7/30/50 (a) | | | 239 | |
800,000 | | AT&T Inc., 4.35%, 3/01/29 | | | 808 | |
875,000 | | Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.010%), 1.20%, 10/24/26 (d) | | | 790 | |
350,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.210%), 3.97%, 2/07/30 (d) | | | 339 | |
1,000,000 | | Blackstone Secured Lending Fund, 2.75%, 9/16/26 | | | 915 | |
825,000 | | Boeing Co., 2.20%, 2/04/26 | | | 753 | |
Semi-Annual Report 81
Payden Global Fixed Income Fund continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | |
400,000 | | Boston Properties LP, 2.90%, 3/15/30 | | $ | 360 | |
750,000 | | Broadcom Inc. 144A, 3.50%, 2/15/41 (a) | | | 584 | |
225,000 | | BX Commercial Mortgage Trust 2021-SOAR 144A, (1 mo. LIBOR USD + 1.800%), 2.36%, 6/15/38 (a)(d) | | | 218 | |
637,500 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 2.85%, 10/15/36 (a)(d) | | | 624 | |
950,000 | | BX Commercial Mortgage Trust 2021-VOLT 144A, (1 mo. LIBOR USD + 2.400%), 2.95%, 9/15/36 (a)(d) | | | 917 | |
2,293,942 | | Cantor Commercial Real Estate Lending 2019- CF1, 1.30%, 5/15/52 (g) | | | 130 | |
268,893 | | CARS-DB4 LP 2020-1A 144A, 3.25%, 2/15/50 (a) | | | 257 | |
350,000 | | CARS-DB4 LP 2020-1A 144A, 4.17%, 2/15/50 (a) | | | 341 | |
220,000 | | Centene Corp., 4.25%, 12/15/27 | | | 214 | |
750,000 | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, 3/01/50 | | | 616 | |
297,826 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.050%), 2.60%, 6/15/34 (a)(d) | | | 290 | |
76,786 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 1/25/40 (a)(d) | | | 77 | |
526,155 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 11/25/39 (a)(d) | | | 519 | |
150,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.67%, 1/25/40 (a)(d) | | | 138 | |
1,350,000 | | Corebridge Financial Inc. 144A, 3.90%, 4/05/32 (a) | | | 1,268 | |
900,000 | | Crescent Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 888 | |
825,000 | | DataBank Issuer 2021-1A 144A, 2.06%, 2/27/51 (a) | | | 757 | |
1,296,750 | | DB Master Finance LLC 2021-1A 144A, 2.49%, 11/20/51 (a) | | | 1,141 | |
478,080 | | DB Master Finance LLC 2017-1A 144A, 4.03%, 11/20/47 (a) | | | 471 | |
400,000 | | Dell International LLC/EMC Corp., 6.10%, 7/15/27 | | | 428 | |
1,050,000 | | Directv Financing LLC/Directv Financing Co.- Obligor Inc. 144A, 5.88%, 8/15/27 (a) | | | 990 | |
1,100,000 | | Duquesne Light Holdings Inc. 144A, 2.78%, 1/07/32 (a) | | | 930 | |
800,000 | | Equinix Inc., 2.50%, 5/15/31 | | | 673 | |
785,000 | | Evergy Inc., 2.90%, 9/15/29 | | | 720 | |
228,004 | | Fannie Mae Connecticut Avenue Securities 2018- C03, (1 mo. LIBOR USD + 2.150%), 2.82%, 10/25/30 (d) | | | 230 | |
199,095 | | Fannie Mae Connecticut Avenue Securities 2016- C07, (1 mo. LIBOR USD + 9.500%), 10.17%, 5/25/29 (d) | | | 210 | |
495,024 | | Fannie Mae Connecticut Avenue Securities 2016- C04, (1 mo. LIBOR USD + 10.250%), 10.92%, 1/25/29 (d) | | | 533 | |
498,124 | | Fannie Mae Connecticut Avenue Securities 2016- C05, (1 mo. LIBOR USD + 10.750%), 11.42%, 1/25/29 (d) | | | 544 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
413,256 | | Fannie Mae-Aces 2018-M13, 3.87%, 9/25/30 (g) | | $ | 422 | |
1,050,000 | | Flexential Issuer 2021-1A 144A, 3.25%, 11/27/51 (a) | | | 988 | |
160,938 | | FN AL3577 30YR, 3.50%, 4/01/43 | | | 159 | |
489,003 | | FN AS4168 30YR, 4.00%, 12/01/44 | | | 494 | |
961,014 | | FN BP6345 30YR, 3.00%, 6/01/50 | | | 911 | |
1,305,021 | | FN BP6626 30YR, 2.00%, 8/01/50 | | | 1,157 | |
584,971 | | FN FM1717 30YR, 3.50%, 12/01/45 | | | 578 | |
1,074,842 | | FN FM3162 30YR, 3.00%, 11/01/46 | | | 1,036 | |
1,768,261 | | FN FM7194 30YR, 2.50%, 3/01/51 | | | 1,618 | |
1,444,762 | | FN FM9195 30YR, 2.50%, 10/01/51 | | | 1,320 | |
1,395,682 | | FN FS0007 30YR, 3.00%, 8/01/50 | | | 1,323 | |
1,400,000 | | FNCL, 3.00%, 30YR TBA (h) | | | 1,320 | |
1,350,000 | | FNCL, 3.50%, 30YR TBA (h) | | | 1,310 | |
1,416,868 | | FR RA3728 30YR, 2.00%, 10/01/50 | | | 1,255 | |
2,297,783 | | FR SB8509 15YR, 2.00%, 1/01/36 | | | 2,157 | |
512,719 | | FR SD0674 30YR, 2.50%, 9/01/51 | | | 469 | |
1,229,616 | | FR SD0729 30YR, 2.00%, 10/01/51 | | | 1,088 | |
793,338 | | FR SD8064 30YR, 4.00%, 5/01/50 | | | 795 | |
1,014,692 | | FR ZT0534 30YR, 3.50%, 12/01/47 | | | 999 | |
425,000 | | Freddie Mac STACR REMIC Trust 2021-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.650%), 1.94%, 1/25/34 (a)(d) | | | 422 | |
400,000 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 2.500%), 3.17%, 2/25/50 (a)(d) | | | 383 | |
114,264 | | Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 4/25/49 (a)(d) | | | 115 | |
138,812 | | Freddie Mac STACR Trust 2019-DNA3 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 7/25/49 (a)(d) | | | 139 | |
600,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.97%, 10/25/48 (a)(d) | | | 603 | |
228,432 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.32%, 1/25/49 (a)(d) | | | 231 | |
200,000 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 2.700%), 3.37%, 10/25/49 (a)(d) | | | 196 | |
800,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 3.400%), 3.69%, 8/25/33 (a)(d) | | | 758 | |
350,000 | | FS KKR Capital Corp. 144A, 4.25%, 2/14/25 (a) | | | 337 | |
528,105 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 524 | |
715,395 | | G2 MA4195 30YR, 3.00%, 1/20/47 | | | 688 | |
2,316,376 | | G2 MA7472 30YR, 2.50%, 7/20/51 | | | 2,155 | |
350,000 | | General Motors Co., 6.25%, 10/02/43 | | | 363 | |
575,000 | | GLP Capital LP/GLP Financing II Inc., 4.00%, 1/15/31 | | | 521 | |
500,000 | | Goldman Sachs Group Inc., 2.60%, 2/07/30 | | | 435 | |
425,000 | | Hyundai Capital America 144A, 1.80%, 1/10/28 (a) | | | 367 | |
685,000 | | Invitation Homes Operating Partnership LP, 4.15%, 4/15/32 | | | 655 | |
350,000 | | ITC Holdings Corp. 144A, 2.95%, 5/14/30 (a) | | | 317 | |
350,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.510%), 2.74%, 10/15/30 (d) | | | 312 | |
416,549 | | JPMorgan Chase Bank N.A.-CACLN 2021-2 144A, 2.28%, 12/26/28 (a) | | | 407 | |
850,000 | | Kosmos Energy Ltd. 144A, 7.13%, 4/04/26 (a) | | | 832 | |
82 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
860,000 | | Lennar Corp., 4.50%, 4/30/24 | | $ | 873 | |
680,000 | | Life Storage LP, 2.20%, 10/15/30 | | | 571 | |
800,000 | | Magallanes Inc. 144A, 5.14%, 3/15/52 (a) | | | 715 | |
290,000 | | National Fuel Gas Co., 5.50%, 1/15/26 | | | 299 | |
470,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39 (a) | | | 675 | |
850,000 | | Owl Rock Capital Corp., 3.75%, 7/22/25 | | | 816 | |
63,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39 (a) | | | 91 | |
645,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 569 | |
600,000 | | Phillips Edison Grocery Center Operating Partnership I LP, 2.63%, 11/15/31 | | | 496 | |
750,000 | | Plains All American Pipeline LP B, (3 mo. LIBOR USD + 4.110%), 6.13% (d)(e) | | | 632 | |
293,250 | | Planet Fitness Master Issuer LLC 2019-1A 144A, 3.86%, 12/05/49 (a) | | | 268 | |
700,000 | | Progress Residential Trust 2019-SFR4 144A, 2.69%, 10/17/36 (a) | | | 684 | |
400,000 | | Sabine Pass Liquefaction LLC, 5.63%, 3/01/25 | | | 415 | |
500,000 | | SBA Tower Trust 144A, 2.84%, 1/15/25 (a) | | | 486 | |
900,000 | | Simon Property Group LP, 2.45%, 9/13/29 | | | 791 | |
312,000 | | Southwestern Energy Co., 8.38%, 9/15/28 | | | 338 | |
700,000 | | Spirit Realty LP, 2.10%, 3/15/28 | | | 611 | |
139,763 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%), 2.32%, 4/25/43 (a)(d) | | | 140 | |
850,000 | | Stellantis Finance U.S. Inc. 144A, 2.69%, 9/15/31 (a) | | | 704 | |
822,938 | | Taco Bell Funding LLC 2021-1A 144A, 1.95%, 8/25/51 (a) | | | 735 | |
640,000 | | Toledo Hospital B, 5.33%, 11/15/28 | | | 662 | |
4,030,000 | | U.S. Treasury Bond, 1.88%, 2/15/51 | | | 3,160 | |
3,610,000 | | U.S. Treasury Bond, 2.25%, 8/15/46 (i)(j) | | | 3,050 | |
5,130,000 | | U.S. Treasury Bond, 4.50%, 5/15/38 | | | 6,142 | |
130,000 | | U.S. Treasury Note, 1.25%, 11/30/26 | | | 121 | |
6,148,000 | | U.S. Treasury Note, 1.88%, 2/15/32 | | | 5,615 | |
700,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (a) | | | 701 | |
250,000 | | Venture Global Calcasieu Pass LLC 144A, 3.88%, 11/01/33 (a) | | | 218 | |
800,000 | | VMware Inc., 2.20%, 8/15/31 | | | 652 | |
800,000 | | Welltower Inc., 3.85%, 6/15/32 | | | 762 | |
550,000 | | Workday Inc., 3.80%, 4/01/32 | | | 521 | |
| | | | | | |
| | | | | 84,019 | |
| | | | | | |
Uzbekistan (USD) (0%) | | | | |
650,000 | | Republic of Uzbekistan International Bond 144A, 3.90%, 10/19/31 (a) | | | 530 | |
| | | | | | |
Virgin Islands (British) (USD) (1%) | | | | |
1,000,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (b) | | | 993 | |
550,000 | | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 144A, 5.25%, 4/27/29 (a) | | | 523 | |
| | | | | | |
| | | | | 1,516 | |
| | | | | | |
Total Bonds (Cost - $276,574) | | | 241,155 | |
| | | | | | |
Bank Loans(k) (2%) | | | | |
507,000 | | Ascent Resources Utica Holdings LLC Term Loan 2L, (LIBOR USD 3-Month + 9.000%), 10.02%, 11/01/25 | | | 543 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
1,050,500 | | DirectV Financing LLC Closing Date Term Loan 1L, (LIBOR USD 3-Month + 5.000%), 5.76%, 8/02/27 | | $ | 1,048 | |
314,271 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 3.76%, 2/05/25 | | | 312 | |
349,125 | | Southwestern Energy Co. Term Loan B 1L, (LIBOR USD 3-Month + 1.500%), 3.30%, 6/22/27 | | | 349 | |
797,188 | | Standard Industries Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.79%, 9/22/28 | | | 796 | |
481,228 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.26%, 2/05/27 | | | 474 | |
474,225 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 10/22/25 | | | 472 | |
1,097,250 | | Whatabrands LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 8/03/28 | | | 1,087 | |
| | | | | | |
Total Bank Loans (Cost - $5,061) | | | 5,081 | |
| | | | | | |
| |
Investment Company (3%) | | | | |
4,723,483 | | Payden Cash Reserves Money Market Fund * | | | 4,723 | |
146,702 | | Payden Floating Rate Fund, SI Class * | | | 1,432 | |
| | | | | | |
Total Investment Company (Cost - $6,192) | | | 6,155 | |
| | | | | | |
| |
Total Investments (Cost - $287,827) (96%) | | | 252,391 | |
Other Assets, net of Liabilities (4%) | | | 11,873 | |
| | | | | | |
Net Assets (100%) | | $ | 264,264 | |
| | | | | | |
| (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, 2022. |
| (e) | Perpetual security with no stated maturity date. |
| (f) | Yield to maturity at time of purchase. |
| (g) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (h) | Security was purchased on a delayed delivery basis. |
| (i) | All or a portion of the security is pledged to cover futures contract margin requirements. |
| (j) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (k) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
Semi-Annual Report 83
Payden Global Fixed Income Fund continued
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | |
RUB 17,890 | | USD 160 | | | Credit Suisse First Boston Corp. | | | | 05/18/2022 | | | $ | 82 | |
USD 4,474 | | AUD 6,103 | | | Barclays Bank PLC | | | | 05/16/2022 | | | | 161 | |
USD 4,357 | | CAD 5,531 | | | Barclays Bank PLC | | | | 05/16/2022 | | | | 52 | |
USD 442 | | MYR 1,856 | | | Barclays Bank PLC | | | | 06/14/2022 | | | | 16 | |
USD 464 | | THB 15,270 | | | Barclays Bank PLC | | | | 06/14/2022 | | | | 18 | |
USD 33,693 | | JPY 4,167,100 | | | Citibank, N.A. | | | | 05/10/2022 | | | | 1,571 | |
USD 1,236 | | CHF 1,151 | | | Citibank, N.A. | | | | 07/19/2022 | | | | 48 | |
USD 210 | | PLN 906 | | | Citibank, N.A. | | | | 07/19/2022 | | | | 7 | |
USD 2,957 | | ZAR 43,500 | | | Citibank, N.A. | | | | 07/19/2022 | | | | 226 | |
USD 11,843 | | GBP 9,059 | | | HSBC Bank USA, N.A. | | | | 05/10/2022 | | | | 452 | |
USD 98 | | CNH 625 | | | HSBC Bank USA, N.A. | | | | 05/23/2022 | | | | 4 | |
USD 2,065 | | CHF 1,937 | | | HSBC Bank USA, N.A. | | | | 06/21/2022 | | | | 68 | |
USD 2,027 | | GBP 1,571 | | | HSBC Bank USA, N.A. | | | | 06/21/2022 | | | | 51 | |
USD 181 | | DKK 1,235 | | | HSBC Bank USA, N.A. | | | | 07/19/2022 | | | | 5 | |
USD 1,391 | | MXN 27,980 | | | HSBC Bank USA, N.A. | | | | 07/19/2022 | | | | 42 | |
USD 335 | | SEK 3,182 | | | HSBC Bank USA, N.A. | | | | 07/19/2022 | | | | 10 | |
USD 246 | | SGD 336 | | | HSBC Bank USA, N.A. | | | | 07/19/2022 | | | | 3 | |
USD 2,027 | | AUD 2,707 | | | HSBC Bank USA, N.A. | | | | 07/20/2022 | | | | 111 | |
USD 2,662 | | GBP 2,063 | | | HSBC Bank USA, N.A. | | | | 07/21/2022 | | | | 67 | |
USD 70,861 | | EUR 64,910 | | | State Street Bank & Trust Co. | | | | 05/10/2022 | | | | 2,352 | |
USD 4,176 | | EUR 3,745 | | | State Street Bank & Trust Co. | | | | 05/17/2022 | | | | 222 | |
USD 2,054 | | EUR 1,869 | | | State Street Bank & Trust Co. | | | | 06/16/2022 | | | | 77 | |
USD 2,029 | | AUD 2,710 | | | State Street Bank & Trust Co. | | | | 07/13/2022 | | | | 112 | |
USD 3,960 | | AUD 5,334 | | | State Street Bank & Trust Co. | | | | 07/19/2022 | | | | 186 | |
USD 7,750 | | CAD 9,791 | | | State Street Bank & Trust Co. | | | | 07/19/2022 | | | | 131 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 6,074 | |
| | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | |
AUD 6,103 | | USD 4,369 | | | Barclays Bank PLC | | | | 05/16/2022 | | | | (56 | ) |
AUD 2,710 | | USD 1,943 | | | State Street Bank & Trust Co. | | | | 07/13/2022 | | | | (25 | ) |
CAD 5,531 | | USD 4,331 | | | Barclays Bank PLC | | | | 05/16/2022 | | | | (26 | ) |
CHF 1,937 | | USD 2,034 | | | HSBC Bank USA, N.A. | | | | 06/21/2022 | | | | (37 | ) |
EUR 3,745 | | USD 4,310 | | | State Street Bank & Trust Co. | | | | 05/17/2022 | | | | (356 | ) |
EUR 1,869 | | USD 2,063 | | | State Street Bank & Trust Co. | | | | 06/16/2022 | | | | (87 | ) |
GBP 1,571 | | USD 2,057 | | | HSBC Bank USA, N.A. | | | | 06/21/2022 | | | | (81 | ) |
IDR 20,530,000 | | USD 1,430 | | | Citibank, N.A. | | | | 07/12/2022 | | | | (21 | ) |
JPY 250,600 | | USD 2,030 | | | State Street Bank & Trust Co. | | | | 07/20/2022 | | | | (92 | ) |
NOK 23,776 | | USD 2,668 | | | HSBC Bank USA, N.A. | | | | 07/21/2022 | | | | (132 | ) |
SGD 1,912 | | USD 1,408 | | | Citibank, N.A. | | | | 07/12/2022 | | | | (25 | ) |
USD 232 | | RUB 17,890 | | | HSBC Bank USA, N.A. | | | | 05/18/2022 | | | | (10 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | (948 | ) |
| | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | 5,126 | |
| | | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bund Future | | | 63 | | | | | | Jun-22 | | | $ | 10,208 | | | $ | (416 | ) | | | $(416) | |
Euro-Buxl Future | | | 6 | | | | | | Jun-22 | | | | 1,082 | | | | (185 | ) | | | (185) | |
Euro-Schatz Future | | | 40 | | | | | | Jun-22 | | | | 4,648 | | | | (67 | ) | | | (67) | |
Long Gilt Future | | | 9 | | | | | | Jun-22 | | | | 1,340 | | | | (29 | ) | | | (29) | |
U.S. Long Bond Future | | | 17 | | | | | | Jun-22 | | | | 2,392 | | | | (237 | ) | | | (237) | |
U.S. Treasury 2-Year Note Future | | | 68 | | | | | | Jun-22 | | | | 14,335 | | | | (217 | ) | | | (217) | |
84 Payden Mutual Funds
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
U.S. Ultra Bond Future | | | 14 | | | | | | Jun-22 | | | $ | 2,246 | | | $ | (263 | ) | | | $(263 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (1,414 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | | 74 | | | | | | Jun-22 | | | | (9,928 | ) | | | 108 | | | | 108 | |
Euro-Oat Future | | | 30 | | | | | | Jun-22 | | | | (4,616 | ) | | | 125 | | | | 125 | |
U.S. 10-Year Ultra Future | | | 84 | | | | | | Jun-22 | | | | (10,836 | ) | | | 797 | | | | 797 | |
U.S. Treasury 10-Year Note Future | | | 19 | | | | | | Jun-22 | | | | (2,264 | ) | | | 72 | | | | 72 | |
U.S. Treasury 5-Year Note Future | | | 3 | | | | | | Jun-22 | | | | 338 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 1,102 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | $(312 | ) |
| | | | | | | �� | | | | | | | | | | | | | | | |
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, Pay Fixed 0.2990% Semi- | | | | | | | | | | | | | | | | | | | | |
Annually, Receive Variable 1.2673% (3-Month USD LIBOR) Quarterly | | | 07/30/2031 | | | | USD 4,681 | | | $ | 639 | | | $ | — | | | $ | 639 | |
10-Year Interest Rate Swap, Receive Fixed 1.125% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 1.510% (3M KWCDC) Quarterly | | | 10/07/2029 | | | | KRW 1,584,200 | | | | (163 | ) | | | — | | | | (163 | ) |
10-Year Interest Rate Swap, Receive Fixed 1.800% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 1.500% (3M KWCDC) Quarterly | | | 09/23/2031 | | | | KRW 2,288,000 | | | | (176 | ) | | | — | | | | (176 | ) |
5-Year Interest Rate Swap, Receive Fixed 2.350% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 1.700% (CNRR007) Quarterly | | | 07/03/2025 | | | | CNY 11,800 | | | | — | | | | — | | | | — | |
5-Year Interest Rate Swap, Receive Fixed 2.580% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 2.580% (CNRR007) Quarterly | | | 02/05/2025 | | | | CNY 2,350 | | | | 3 | | | | — | | | | 3 | |
5-Year Interest Rate Swap, Receive Fixed 2.635% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 2.000% (CNRR007) Quarterly | | | 01/08/2026 | | | | CNY 38,600 | | | | 47 | | | | — | | | | 47 | |
5-Year Interest Rate Swap, Receive Fixed 2.715% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 2.000% (CNRR007) Quarterly | | | 09/16/2025 | | | | CNY 12,200 | | | | 21 | | | | — | | | | 21 | |
5-Year Interest Rate Swap, Receive Fixed 2.720% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 2.000% (CNRR007) Quarterly | | | 10/14/2025 | | | | CNY 10,000 | | | | 17 | | | | — | | | | 17 | |
5-Year Interest Rate Swap, Receive Fixed 2.920% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 1.7000% (CNRR007) Quarterly | | | 01/17/2025 | | | | CNY 11,580 | | | | 28 | | | | — | | | | 28 | |
5-Year Interest Rate Swap, Receive Fixed 2.960% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 2.000% (CNRR007) Quarterly | | | 12/09/2024 | | | | CNY 28,890 | | | | 77 | | | | — | | | | 77 | |
5-Year Interest Rate Swap, Receive Fixed 2.4810% Quarterly, | | | | | | | | | | | | | | | | | | | | |
Pay Variable 1.7500% (CNRR007) Quarterly | | | 09/22/2026 | | | | CNY 33,000 | | | | 6 | | | | — | | | | 6 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 499 | | | $ | — | | | $ | 499 | |
| | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Zero-Coupon Inflation Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Notional
Amount
(000s) | | | Value
(000s) | | | Upfront
payments/
receipts
(000s) | | | Unrealized
Depreciation
(000s) | |
10 Year Zero-Coupon Inflation Swap, Receive Fixed 2.5625% at Maturity, Pay Variable (Change in CPI) at Maturity | | | 07/30/2031 | | | | USD 4,066 | | | $ | (405 | ) | | $ | — | | | $ | (405 | ) |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 85
Payden Global Fixed Income Fund continued
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 1.70% (CNRR007) Quarterly, Counterparty: Goldman Sachs & Co. | | | 05/08/2025 | | | | CNY 16,000 | | | $ | (35 | ) | | $ | — | | | $ | (35 | ) |
| | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
86 Payden Mutual Funds
Payden Emerging Markets Bond Fund
| | | | | | | | | | |
The Fund seeks a high level of total return. | | Portfolio Composition - percent of investments | | | |
| | | |
| | Foreign Government | | | 68% | |
| | Corporate Bond | | | 30% | |
| | Investment Company | | | 2% | |
| | | | | | |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Bonds (97%) | | | | |
| |
Angola (USD) (2%) | | | | |
4,640,000 | | Angolan Government International Bond 144A, 8.25%, 5/09/28 (a) | | $ | 4,468 | |
3,730,000 | | Angolan Government International Bond 144A, 8.75%, 4/14/32 (a) | | | 3,539 | |
7,270,000 | | Angolan Government International Bond 144A, 9.38%, 5/08/48 (a) | | | 6,581 | |
| | | | | 14,588 | |
Argentina (ARS) (0%) | | | | |
44,420,000 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a)(b) | | | 358 | |
| |
Argentina (USD) (2%) | | | | |
8,331,273 | | Argentine Republic Government International Bond, 0.50%, 7/09/30 | | | 2,637 | |
1,718,995 | | Argentine Republic Government International Bond, 1.00%, 7/09/29 | | | 555 | |
11,397,476 | | Argentine Republic Government International Bond, 1.13%, 7/09/35 | | | 3,267 | |
10,679,090 | | Argentine Republic Government International Bond, 2.00%, 1/09/38 | | | 3,861 | |
4,697,500 | | Argentine Republic Government International Bond, 2.50%, 7/09/41 | | | 1,580 | |
850,000 | | Ciudad Autonoma De Buenos Aires 144A, 7.50%, 6/01/27 (a) | | | 780 | |
2,610,000 | | Pampa Energia SA 144A, 7.50%, 1/24/27 (a) | | | 2,428 | |
1,348,500 | | Province of Santa Fe 144A, 7.00%, 3/23/23 (a) | | | 1,284 | |
3,265,000 | | Provincia de Buenos Aires Government Bonds, 3.00%, 9/01/37 | | | 1,069 | |
4,272,678 | | Provincia de Cordoba 144A, 5.00%, 12/10/25 (a) | | | 3,525 | |
| | | | | 20,986 | |
Armenia (USD) (1%) | | | | |
6,950,000 | | Republic of Armenia International Bond 144A, 3.60%, 2/02/31 (a) | | | 5,196 | |
5,390,000 | | Republic of Armenia International Bond 144A, 3.95%, 9/26/29 (a) | | | 4,339 | |
1,480,000 | | Republic of Armenia International Bond 144A, 7.15%, 3/26/25 (a) | | | 1,460 | |
| | | | | 10,995 | |
Austria (USD) (0%) | | | | |
1,040,000 | | Klabin Austria GmbH 144A, 3.20%, 1/12/31 (a) | | | 827 | |
1,370,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49 (a) | | | 1,330 | |
| | | | | 2,157 | |
Bahrain (USD) (2%) | | | | |
7,855,000 | | Bahrain Government International Bond 144A, 5.25%, 1/25/33 (a) | | | 6,945 | |
3,470,000 | | Bahrain Government International Bond 144A, 5.63%, 9/30/31 (a) | | | 3,213 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | |
3,500,000 | | Bahrain Government International Bond 144A, 5.63%, 5/18/34 (a) | | $ | 3,160 | |
4,255,000 | | Bahrain Government International Bond 144A, 6.75%, 9/20/29 (a) | | | 4,324 | |
| | | | | 17,642 | |
Belarus (USD) (0%) | | | | |
1,450,000 | | Republic of Belarus International Bond 144A, 6.20%, 2/28/30 (a) | | | 210 | |
1,010,000 | | Republic of Belarus International Bond 144A, 6.88%, 2/28/23 (a) | | | 172 | |
1,145,000 | | Republic of Belarus International Bond 144A, 7.63%, 6/29/27 (a) | | | 177 | |
| | | | | 559 | |
Bermuda (USD) (1%) | | | | |
2,710,000 | | Bermuda Government International Bond 144A, 3.38%, 8/20/50 (a) | | | 2,223 | |
1,810,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 1,634 | |
685,000 | | Geopark Ltd. 144A, 6.50%, 9/21/24 (a) | | | 697 | |
610,000 | | Geopark Ltd., 6.50%, 9/21/24 (c) | | | 621 | |
4,440,000 | | Star Energy Geothermal Darajat II/Star Energy Geothermal Salak 144A, 4.85%, 10/14/38 (a)(d) | | | 4,256 | |
| | | | | 9,431 | |
Brazil (BRL) (1%) | | | | |
24,700,000 | | Brazil Letras do Tesouro Nacional, 1/01/23 BRL (b)(e) | | | 4,599 | |
26,300,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/29 BRL (b) | | | 4,848 | |
| | | | | 9,447 | |
Brazil (USD) (2%) | | | | |
4,460,000 | | Brazilian Government International Bond, 4.75%, 1/14/50 | | | 3,381 | |
4,780,000 | | Brazilian Government International Bond, 5.00%, 1/27/45 | | | 3,857 | |
3,860,000 | | BRF SA 144A, 5.75%, 9/21/50 (a) | | | 3,034 | |
1,220,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.446%), 3.88%, 4/15/31 (a)(f) | | | 1,098 | |
4,332,010 | | USJ-Acucar e Alcool S/A 144A, 9.88%, 11/09/23 (a)(g) | | | 2,253 | |
| | | | | 13,623 | |
Cayman Islands (USD) (0%) | | | | |
1,285,000 | | DP World Salaam, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.750%), 6.00% (c)(f)(h) | | | 1,306 | |
868,000 | | Odebrecht Oil & Gas Finance Ltd.
144A (a)(e)(h) | | | 4 | |
| | | | | 1,310 | |
Semi-Annual Report 87
Payden Emerging Markets Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Chile (CLP) (1%) | | | | |
2,070,000,000 | | Bonos de la Tesoreria de la Republica en pesos 144A, 4.00%, 3/01/23 CLP (a)(b)(c) | | $ | 2,349 | |
5,445,000,000 | | Bonos de la Tesoreria de la Republica en pesos 144A, 5.80%, 6/01/24 CLP (a)(b)(c) | | | 6,221 | |
| | | | | 8,570 | |
Chile (USD) (0%) | | | | |
1,480,000 | | VTR Comunicaciones SpA 144A, 4.38%, 4/15/29 (a) | | | 1,256 | |
| |
Colombia (COP) (1%) | | | | |
22,905,100,000 | | Colombian TES Series B, 7.00%, 3/26/31 COP (b) | | | 4,703 | |
33,890,000,000 | | Colombian TES Series B, 9.25%, 5/28/42 COP (b) | | | 7,632 | |
| | | | | 12,335 | |
Colombia (USD) (2%) | | | | |
5,912,000 | | Colombia Government International Bond, 3.13%, 4/15/31 | | | 4,614 | |
3,295,000 | | Colombia Government International Bond, 3.25%, 4/22/32 | | | 2,525 | |
1,440,000 | | Colombia Government International Bond, 4.13%, 2/22/42 | | | 1,010 | |
4,680,000 | | Colombia Government International Bond, 5.00%, 6/15/45 | | | 3,493 | |
3,959,000 | | Colombia Government International Bond, 6.13%, 1/18/41 | | | 3,506 | |
4,870,000 | | Colombia Government International Bond, 7.38%, 9/18/37 | | | 5,032 | |
| | | | | 20,180 | |
Costa Rica (USD) (1%) | | | | |
2,600,000 | | Costa Rica Government International Bond 144A, 7.00%, 4/04/44 (a) | | | 2,487 | |
4,300,000 | | Costa Rica Government International Bond 144A, 7.16%, 3/12/45 (a) | | | 4,173 | |
| | | | | 6,660 | |
Dominica Republic (USD) (5%) | | | | |
5,195,000 | | Dominican Republic International Bond 144A, 4.50%, 1/30/30 (a) | | | 4,497 | |
2,080,000 | | Dominican Republic International Bond 144A, 4.88%, 9/23/32 (a) | | | 1,752 | |
2,225,000 | | Dominican Republic International Bond 144A, 5.30%, 1/21/41 (a) | | | 1,763 | |
5,090,000 | | Dominican Republic International Bond 144A, 5.50%, 2/22/29 (a) | | | 4,776 | |
7,075,000 | | Dominican Republic International Bond 144A, 5.88%, 1/30/60 (a) | | | 5,397 | |
3,225,000 | | Dominican Republic International Bond 144A, 6.00%, 7/19/28 (a) | | | 3,199 | |
4,775,000 | | Dominican Republic International Bond 144A, 6.00%, 2/22/33 (a) | | | 4,349 | |
2,570,000 | | Dominican Republic International Bond 144A, 6.40%, 6/05/49 (a) | | | 2,188 | |
2,300,000 | | Dominican Republic International Bond 144A, 6.50%, 2/15/48 (a) | | | 1,986 | |
5,960,000 | | Dominican Republic International Bond 144A, 6.85%, 1/27/45 (a) | | | 5,384 | |
3,715,000 | | Dominican Republic International Bond 144A, 6.88%, 1/29/26 (a) | | | 3,906 | |
| | | | | 39,197 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Ecuador (USD) (3%) | | | | |
1,866,899 | | Ecuador Government International Bond 144A–, 7/31/30 (a)(e) | | $ | 1,020 | |
22,012,250 | | Ecuador Government International Bond 144A, 0.50%, 7/31/40 (a) | | | 12,036 | |
14,559,458 | | Ecuador Government International Bond 144A, 1.00%, 7/31/35 (a) | | | 9,114 | |
8,095,000 | | Ecuador Government International Bond 144A, 5.00%, 7/31/30 (a) | | | 6,600 | |
| | | | | 28,770 | |
Egypt (EUR) (0%) | | | | |
3,120,000 | | Egypt Government International Bond 144A, 6.38%, 4/11/31 EUR (a)(b) | | | 2,489 | |
| |
Egypt (USD) (3%) | | | | |
2,240,000 | | Egypt Government International Bond 144A, 5.75%, 5/29/24 (a) | | | 2,096 | |
3,220,000 | | Egypt Government International Bond 144A, 7.30%, 9/30/33 (a) | | | 2,420 | |
1,760,000 | | Egypt Government International Bond 144A, 7.50%, 1/31/27 (a) | | | 1,566 | |
4,885,000 | | Egypt Government International Bond 144A, 7.63%, 5/29/32 (a) | | | 3,821 | |
2,300,000 | | Egypt Government International Bond, 7.63%, 5/29/32 (c) | | | 1,799 | |
4,370,000 | | Egypt Government International Bond 144A, 7.90%, 2/21/48 (a) | | | 3,011 | |
3,595,000 | | Egypt Government International Bond 144A, 8.50%, 1/31/47 (a) | | | 2,620 | |
4,120,000 | | Egypt Government International Bond 144A, 8.70%, 3/01/49 (a) | | | 3,025 | |
2,870,000 | | Egypt Government International Bond 144A, 8.75%, 9/30/51 (a) | | | 2,114 | |
6,260,000 | | Egypt Government International Bond 144A, 8.88%, 5/29/50 (a) | | | 4,632 | |
| | | | | 27,104 | |
Gabon (USD) (1%) | | | | |
5,145,000 | | Gabon Government International Bond 144A, 6.63%, 2/06/31 (a) | | | 4,664 | |
| |
Ghana (USD) (3%) | | | | |
2,140,000 | | Ghana Government International Bond 144A–, 4/07/25 (a)(d)(e) | | | 1,320 | |
3,290,000 | | Ghana Government International Bond 144A, 6.38%, 2/11/27 (a) | | | 2,247 | |
2,800,000 | | Ghana Government International Bond 144A, 7.63%, 5/16/29 (a) | | | 1,778 | |
1,130,000 | | Ghana Government International Bond 144A, 7.75%, 4/07/29 (a) | | | 722 | |
5,360,000 | | Ghana Government International Bond 144A, 8.13%, 3/26/32 (a) | | | 3,316 | |
2,105,000 | | Ghana Government International Bond, 8.13%, 3/26/32 (c) | | | 1,302 | |
1,910,000 | | Ghana Government International Bond 144A, 8.63%, 4/07/34 (a) | | | 1,160 | |
9,970,000 | | Ghana Government International Bond 144A, 8.63%, 6/16/49 (a) | | | 5,808 | |
6,910,000 | | Ghana Government International Bond 144A, 10.75%, 10/14/30 (a) | | | 6,858 | |
| | | | | 24,511 | |
Guatemala (USD) (1%) | | | | |
3,560,000 | | Guatemala Government Bond 144A, 4.65%, 10/07/41 (a) | | | 3,059 | |
88 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,755,000 | | Guatemala Government Bond 144A, 4.90%, 6/01/30 (a) | | $ | 1,725 | |
3,965,000 | | Guatemala Government Bond 144A, 6.13%, 6/01/50 (a) | | | 3,805 | |
| | | | | 8,589 | |
India (USD) (1%) | | | | |
1,672,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (a) | | | 1,441 | |
3,239,900 | | Adani Transmission Ltd. 144A, 4.25%, 5/21/36 (a) | | | 2,882 | |
775,000 | | ReNew Power Ltd. 144A, 6.45%, 9/27/22 (a) | | | 777 | |
2,585,000 | | ReNew Power Pvt. Ltd. 144A, 5.88%, 3/05/27 (a) | | | 2,456 | |
3,725,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 3,719 | |
| | | | | 11,275 | |
Indonesia (USD) (3%) | | | | |
2,250,000 | | Cikarang Listrindo Tbk PT 144A, 4.95%, 9/14/26 (a) | | | 2,209 | |
2,920,000 | | Hutama Karya Persero PT 144A, 3.75%, 5/11/30 (a) | | | 2,781 | |
1,260,000 | | Indonesia Asahan Aluminium Persero PT 144A, 4.75%, 5/15/25 (a) | | | 1,262 | |
2,340,000 | | Indonesia Asahan Aluminium Persero PT 144A, 5.45%, 5/15/30 (a) | | | 2,350 | |
1,530,000 | | Indonesia Asahan Aluminium Persero PT 144A, 6.53%, 11/15/28 (a) | | | 1,669 | |
3,290,000 | | Indonesia Government International Bond 144A, 7.75%, 1/17/38 (a) | | | 4,185 | |
2,060,000 | | Indonesia Government International Bond, 8.50%, 10/12/35 (c) | | | 2,770 | |
3,690,000 | | Pertamina Persero PT 144A, 6.50%, 11/07/48 (a) | | | 3,993 | |
864,000 | | Perusahaan Listrik Negara PT 144A, 4.88%, 7/17/49 (a) | | | 736 | |
1,950,000 | | Perusahaan Listrik Negara PT 144A, 5.25%, 5/15/47 (a) | | | 1,763 | |
5,210,000 | | Perusahaan Listrik Negara PT 144A, 6.15%, 5/21/48 (a) | | | 5,243 | |
| | | | | 28,961 | |
Ireland (USD) (0%) | | | | |
2,000,000 | | C&W Senior Financing DAC 144A, 6.88%, 9/15/27 (a) | | | 1,943 | |
| |
Israel (USD) (1%) | | | | |
3,615,000 | | 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)(f) | | | 3,344 | |
2,615,000 | | Leviathan Bond Ltd. 144A, 6.75%,
6/30/30 (a)(c)(d) | | | 2,585 | |
1,690,000 | | 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)(f) | | | 1,542 | |
| | | | | 7,471 | |
Ivory Coast (EUR) (1%) | | | | |
1,915,000 | | Ivory Coast Government International Bond 144A, 4.88%, 1/30/32 EUR (a)(b) | | | 1,704 | |
2,646,000 | | Ivory Coast Government International Bond 144A, 5.25%, 3/22/30 EUR (a)(b) | | | 2,509 | |
2,250,000 | | Ivory Coast Government International Bond 144A, 5.88%, 10/17/31 EUR (a)(b) | | | 2,129 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,070,000 | | Ivory Coast Government International Bond 144A, 6.63%, 3/22/48 EUR (a)(b) | | $ | 1,751 | |
| | | | | 8,093 | |
Ivory Coast (USD) (1%) | | | | |
2,391,280 | | Ivory Coast Government International Bond 144A, 5.75%, 12/31/32 (a) | | | 2,284 | |
4,530,000 | | Ivory Coast Government International Bond 144A, 6.13%, 6/15/33 (a) | | | 4,175 | |
| | | | | 6,459 | |
Jersey (USD) (0%) | | | | |
3,975,000 | | Galaxy Pipeline Assets Bidco Ltd. 144A, 2.63%, 3/31/36 (a) | | | 3,336 | |
| |
Jordan (USD) (1%) | | | | |
4,990,000 | | Jordan Government International Bond 144A, 5.85%, 7/07/30 (a) | | | 4,448 | |
1,570,000 | | Jordan Government International Bond 144A, 6.13%, 1/29/26 (a) | | | 1,529 | |
| | | | | 5,977 | |
Kazakhstan (KZT) (1%) | | | | |
2,098,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a)(b) | | | 3,943 | |
| |
Kazakhstan (USD) (2%) | | | | |
7,375,000 | | Kazakhstan Government International Bond 144A, 6.50%, 7/21/45 (a) | | | 8,360 | |
4,375,000 | | KazMunayGas National Co. JSC 144A, 5.75%, 4/19/47 (a) | | | 3,979 | |
975,000 | | KazMunayGas National Co. JSC 144A, 6.38%, 10/24/48 (a) | | | 935 | |
| | | | | 13,274 | |
Kenya (USD) (1%) | | | | |
1,095,000 | | Republic of Kenya Government International Bond 144A, 6.88%, 6/24/24 (a) | | | 1,060 | |
4,470,000 | | Republic of Kenya Government International Bond 144A, 7.00%, 5/22/27 (a) | | | 3,988 | |
1,405,000 | | Republic of Kenya Government International Bond 144A, 7.25%, 2/28/28 (a) | | | 1,238 | |
2,480,000 | | Republic of Kenya Government International Bond 144A, 8.00%, 5/22/32 (a) | | | 2,143 | |
2,520,000 | | Republic of Kenya Government International Bond 144A, 8.25%, 2/28/48 (a) | | | 1,941 | |
| | | | | 10,370 | |
Lebanon (USD) (0%) | | | | |
2,950,000 | | Lebanon Government International Bond, 6.00%, 1/27/23 (c)(g) | | | 361 | |
3,000,000 | | Lebanon Government International Bond, 6.20%, 2/26/25 (c)(g) | | | 363 | |
1,805,000 | | Lebanon Government International Bond, 6.60%, 11/27/26 (c)(g) | | | 221 | |
1,096,000 | | Lebanon Government International Bond, 6.65%, 2/26/30 (c)(g) | | | 132 | |
1,540,000 | | Lebanon Government International Bond, 6.75%, 11/29/27 (c)(g) | | | 187 | |
1,210,000 | | Lebanon Government International Bond, 6.85%, 5/25/29 (g) | | | 144 | |
2,590,000 | | Lebanon Government International Bond, 7.00%, 3/23/32 (c)(g) | | | 317 | |
| | | | | 1,725 | |
Semi-Annual Report 89
Payden Emerging Markets Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
Luxembourg (USD) (1%) | | | | |
3,065,000 | | EIG Pearl Holdings Sarl 144A, 4.39%, 11/30/46 (a) | | $ | 2,604 | |
2,325,199 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (a) | | | 2,023 | |
2,522,000 | | Millicom International Cellular SA 144A, 4.50%, 4/27/31 (a) | | | 2,188 | |
| | | | | 6,815 | |
Malaysia (USD) (1%) | | | | |
6,700,000 | | 1MDB Energy Ltd., 5.99%, 5/11/22 (c) | | | 6,683 | |
2,360,000 | | Petronas Capital Ltd. 144A, 4.55%, 4/21/50 (a) | | | 2,406 | |
| | | | | 9,089 | |
Mauritius (USD) (0%) | | | | |
1,085,000 | | Azure Power Solar Energy Pvt. Ltd. 144A, 5.65%, 12/24/24 (a) | | | 1,092 | |
2,500,000 | | Network i2i Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.277%), 5.65% (a)(f)(h) | | | 2,466 | |
| | | | | 3,558 | |
Mexico (MXN) (1%) | | | | |
26,900,000 | | Grupo Televisa SAB, 7.25%, 5/14/43 MXN (b) | | | 835 | |
121,300,000 | | Mexican Bonos Series M 20, 7.50%, 6/03/27 MXN (b) | | | 5,576 | |
| | | | | 6,411 | |
Mexico (USD) (6%) | | | | |
1,130,000 | | Cemex SAB de CV 144A, 3.88%, 7/11/31 (a) | | | 960 | |
1,690,000 | | Cemex SAB de CV 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.534%), 5.13% (a)(f)(h) | | | 1,546 | |
2,795,000 | | Cibanco SA Institucion de Banca Multiple Trust CIB/3332 144A, 4.38%, 7/22/31 (a) | | | 2,259 | |
3,775,394 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (a) | | | 3,605 | |
330,000 | | Grupo Bimbo SAB de CV 144A, 4.00%, 9/06/49 (a) | | | 284 | |
2,390,000 | | Grupo Bimbo SAB de CV 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.280%), 5.95% (a)(f)(h) | | | 2,405 | |
2,920,000 | | Mexico City Airport Trust 144A, 3.88%, 4/30/28 (a) | | | 2,731 | |
4,380,000 | | Mexico City Airport Trust 144A, 5.50%, 7/31/47 (a) | | | 3,501 | |
2,645,000 | | Mexico Government International Bond, 4.40%, 2/12/52 | | | 2,118 | |
5,393,000 | | Petroleos Mexicanos, 6.49%, 1/23/27 | | | 5,185 | |
3,810,000 | | Petroleos Mexicanos, 6.50%, 3/13/27 | | | 3,647 | |
3,950,000 | | Petroleos Mexicanos, 6.50%, 6/02/41 | | | 2,950 | |
3,180,000 | | Petroleos Mexicanos, 6.63%, 6/15/35 | | | 2,585 | |
7,746,000 | | Petroleos Mexicanos, 6.70%, 2/16/32 | | | 6,690 | |
6,609,000 | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 4,789 | |
4,985,000 | | Petroleos Mexicanos, 6.95%, 1/28/60 | | | 3,624 | |
2,885,000 | | Petroleos Mexicanos, 7.69%, 1/23/50 | | | 2,260 | |
2,370,000 | | Trust Fibra Uno 144A, 6.39%, 1/15/50 (a) | | | 2,215 | |
| | | | | 53,354 | |
Mongolia (USD) (1%) | | | | |
5,645,000 | | Development Bank of Mongolia LLC 144A, 7.25%, 10/23/23 (a) | | | 5,610 | |
4,610,000 | | Mongolia Government International Bond 144A, 4.45%, 7/07/31 (a) | | | 3,963 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
1,310,000 | | Mongolia Government International Bond 144A, 5.13%, 4/07/26 (a) | | $ | 1,235 | |
| | | | | 10,808 | |
Morocco (USD) (0%) | | | | |
2,435,000 | | Morocco Government International Bond 144A, 3.00%, 12/15/32 (a) | | | 1,936 | |
| |
Netherlands (USD) (1%) | | | | |
6,725,000 | | Minejesa Capital BV 144A, 5.63%, 8/10/37 (a) | | | 5,681 | |
4,614,688 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (a) | | | 4,382 | |
2,370,000 | | Prosus NV 144A, 4.03%, 8/03/50 (a) | | | 1,651 | |
| | | | | 11,714 | |
Nigeria (USD) (4%) | | | | |
4,020,000 | | Nigeria Government International Bond 144A, 6.13%, 9/28/28 (a) | | | 3,450 | |
7,860,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (a) | | | 7,000 | |
2,480,000 | | Nigeria Government International Bond, 6.50%, 11/28/27 (c) | | | 2,209 | |
2,065,000 | | Nigeria Government International Bond 144A, 7.14%, 2/23/30 (a) | | | 1,771 | |
1,010,000 | | Nigeria Government International Bond 144A, 7.38%, 9/28/33 (a) | | | 811 | |
3,690,000 | | Nigeria Government International Bond 144A, 7.63%, 11/28/47 (a)(d) | | | 2,642 | |
3,405,000 | | Nigeria Government International Bond 144A, 7.70%, 2/23/38 (a) | | | 2,574 | |
4,910,000 | | Nigeria Government International Bond 144A, 7.88%, 2/16/32 (a) | | | 4,137 | |
5,315,000 | | Nigeria Government International Bond 144A, 8.38%, 3/24/29 (a) | | | 4,973 | |
3,475,000 | | Nigeria Government International Bond 144A, 8.75%, 1/21/31 (a) | | | 3,159 | |
| | | | | 32,726 | |
Oman (USD) (3%) | | | | |
6,300,000 | | Oman Government International Bond 144A, 5.38%, 3/08/27 (a) | | | 6,342 | |
3,785,000 | | Oman Government International Bond 144A, 6.00%, 8/01/29 (a) | | | 3,837 | |
2,095,000 | | Oman Government International Bond 144A, 6.25%, 1/25/31 (a) | | | 2,138 | |
7,540,000 | | Oman Government International Bond 144A, 6.50%, 3/08/47 (a) | | | 6,922 | |
3,370,000 | | Oman Government International Bond 144A, 6.75%, 1/17/48 (a) | | | 3,169 | |
4,460,000 | | Oman Government International Bond 144A, 7.00%, 1/25/51 (a) | | | 4,305 | |
2,050,000 | | Oman Government International Bond 144A, 7.38%, 10/28/32 (a) | | | 2,261 | |
| | | | | 28,974 | |
Pakistan (USD) (1%) | | | | |
500,000 | | Pakistan Government International Bond, 6.00%, 4/08/26 (c) | | | 410 | |
1,680,000 | | Pakistan Government International Bond 144A, 6.00%, 4/08/26 (a) | | | 1,379 | |
6,380,000 | | Pakistan Government International Bond 144A, 7.38%, 4/08/31 (a) | | | 4,900 | |
200,000 | | Pakistan Government International Bond, 8.88%, 4/08/51 (c) | | | 144 | |
90 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,665,000 | | Pakistan Government International Bond 144A, 8.88%, 4/08/51 (a) | | $ | 1,916 | |
| | | | | 8,749 | |
Panama (USD) (2%) | | | | |
3,090,000 | | Aeropuerto Internacional de Tocumen SA 144A, 5.13%, 8/11/61 (a) | | | 2,660 | |
4,800,000 | | AES Panama Generation Holdings SRL 144A, 4.38%, 5/31/30 (a) | | | 4,278 | |
2,630,000 | | Banco Nacional de Panama 144A, 2.50%, 8/11/30 (a) | | | 2,230 | |
2,655,000 | | Panama Government International Bond, 4.30%, 4/29/53 | | | 2,222 | |
1,865,000 | | Panama Government International Bond, 4.50%, 5/15/47 | | | 1,631 | |
3,695,000 | | Panama Government International Bond, 6.70%, 1/26/36 | | | 4,154 | |
| | | | | 17,175 | |
Paraguay (USD) (1%) | | | | |
1,415,000 | | Paraguay Government International Bond 144A, 5.40%, 3/30/50 (a) | | | 1,259 | |
2,745,000 | | Paraguay Government International Bond 144A, 5.60%, 3/13/48 (a) | | | 2,492 | |
2,330,000 | | Paraguay Government International Bond 144A, 6.10%, 8/11/44 (a) | | | 2,307 | |
| | | | | 6,058 | |
Peru (PEN) (1%) | | | | |
6,210,000 | | Fondo MIVIVIENDA SA 144A, 7.00%, 2/14/24 PEN (a)(b) | | | 1,626 | |
38,260,000 | | Peru Government Bond, 5.35%, 8/12/40 PEN (b) | | | 7,268 | |
| | | | | 8,894 | |
Philippines (USD) (0%) | | | | |
1,995,000 | | Philippine Government International Bond, 3.70%, 3/01/41 | | | 1,760 | |
| |
Qatar (USD) (2%) | | | | |
1,790,000 | | Qatar Energy 144A, 2.25%, 7/12/31 (a) | | | 1,565 | |
8,220,000 | | Qatar Government International Bond 144A, 4.40%, 4/16/50 (a) | | | 8,352 | |
3,725,000 | | Qatar Government International Bond 144A, 4.82%, 3/14/49 (a) | | | 4,013 | |
3,260,000 | | Qatar Government International Bond 144A, 5.10%, 4/23/48 (a) | | | 3,636 | |
| | | | | 17,566 | |
Romania (EUR) (1%) | | | | |
6,435,000 | | Romanian Government International Bond 144A, 3.38%, 1/28/50 EUR (a)(b) | | | 4,614 | |
2,726,000 | | Romanian Government International Bond 144A, 4.63%, 4/03/49 EUR (a)(b) | | | 2,403 | |
| | | | | 7,017 | |
Romania (USD) (1%) | | | | |
2,030,000 | | Romanian Government International Bond 144A, 3.00%, 2/27/27 (a) | | | 1,893 | |
7,760,000 | | Romanian Government International Bond 144A, 5.13%, 6/15/48 (a) | | | 7,070 | |
| | | | | 8,963 | |
Russian Federation (RUB) (0%) | | | | |
894,500,000 | | Russian Federal Bond - OFZ Series 6224, 6.90%, 5/23/29 RUB (b) | | | 765 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| |
Saudi Arabia (USD) (2%) | | | | |
2,810,000 | | Saudi Arabian Oil Co. 144A, 3.50%, 11/24/70 (a) | | $ | 2,161 | |
6,550,000 | | Saudi Arabian Oil Co. 144A, 4.25%, 4/16/39 (a) | | | 6,279 | |
6,965,000 | | Saudi Government International Bond 144A, 3.75%, 1/21/55 (a) | | | 6,106 | |
885,000 | | Saudi Government International Bond 144A, 5.25%, 1/16/50 (a) | | | 961 | |
| | | | | 15,507 | |
Senegal (USD) (1%) | | | | |
11,305,000 | | Senegal Government International Bond 144A, 6.25%, 5/23/33 (a) | | | 10,141 | |
2,685,000 | | Senegal Government International Bond 144A, 6.75%, 3/13/48 (a) | | | 2,147 | |
| | | | | 12,288 | |
Serbia (USD) (1%) | | | | |
5,105,000 | | Serbia International Bond 144A, 2.13%, 12/01/30 (a) | | | 3,831 | |
| |
South Africa (USD) (3%) | | | | |
2,670,000 | | Eskom Holdings SOC Ltd. 144A, 6.35%, 8/10/28 (a) | | | 2,643 | |
1,975,000 | | Eskom Holdings SOC Ltd. 144A, 6.75%, 8/06/23 (a) | | | 1,928 | |
2,235,000 | | Eskom Holdings SOC Ltd., 7.13%, 2/11/25 (c) | | | 2,141 | |
770,000 | | Eskom Holdings SOC Ltd. 144A, 7.13%, 2/11/25 (a) | | | 738 | |
1,605,000 | | Eskom Holdings SOC Ltd. 144A, 8.45%, 8/10/28 (a) | | | 1,549 | |
1,725,000 | | Republic of South Africa Government International Bond, 4.30%, 10/12/28 | | | 1,578 | |
2,700,000 | | Republic of South Africa Government International Bond, 5.65%, 9/27/47 | | | 2,148 | |
3,540,000 | | Republic of South Africa Government International Bond, 5.75%, 9/30/49 | | | 2,818 | |
2,320,000 | | Republic of South Africa Government International Bond, 5.88%, 6/22/30 (d) | | | 2,282 | |
2,050,000 | | Republic of South Africa Government International Bond, 5.88%, 4/20/32 | | | 1,953 | |
3,230,000 | | Republic of South Africa Government International Bond, 7.30%, 4/20/52 | | | 3,033 | |
1,705,000 | | Transnet SOC Ltd. 144A, 4.00%, 7/26/22 (a) | | | 1,684 | |
| | | | | 24,495 | |
South Africa (ZAR) (2%) | | | | |
176,370,000 | | Republic of South Africa Government Bond Series 2037, 8.50%, 1/31/37 ZAR (b) | | | 9,233 | |
113,800,000 | | Republic of South Africa Government Bond Series 2048, 8.75%, 2/28/48 ZAR (b) | | | 5,858 | |
| | | | | 15,091 | |
Spain (USD) (0%) | | | | |
2,560,000 | | AI Candelaria Spain SA 144A, 5.75%, 6/15/33 (a) | | | 2,136 | |
| |
Sri Lanka (USD) (2%) | | | | |
2,875,000 | | Sri Lanka Government International Bond 144A, 5.88%, 7/25/22 (a) | | | 1,377 | |
7,595,000 | | Sri Lanka Government International Bond 144A, 6.20%, 5/11/27 (a) | | | 3,280 | |
9,250,000 | | Sri Lanka Government International Bond 144A, 6.83%, 7/18/26 (a) | | | 4,056 | |
7,765,000 | | Sri Lanka Government International Bond 144A, 6.85%, 11/03/25 (a) | | | 3,465 | |
Semi-Annual Report 91
Payden Emerging Markets Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,885,000 | | Sri Lanka Government International Bond 144A, 7.55%, 3/28/30 (a) | | $ | 807 | |
6,165,000 | | Sri Lanka Government International Bond 144A, 7.85%, 3/14/29 (a) | | | 2,659 | |
| | | | | 15,644 | |
Thailand (USD) (0%) | | | | |
1,805,000 | | Bangkok Bank PCL 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.729%), 5.00% (a)(f)(h) | | | 1,766 | |
| |
Turkey (USD) (2%) | | | | |
970,000 | | TC Ziraat Bankasi AS, 5.13%, 5/03/22 | | | 970 | |
5,025,000 | | Turkey Government International Bond, 4.25%, 4/14/26 | | | 4,455 | |
3,995,000 | | Turkey Government International Bond, 6.13%, 10/24/28 | | | 3,575 | |
3,915,000 | | Turkey Government International Bond, 7.25%, 12/23/23 | | | 3,987 | |
3,345,000 | | Turkey Government International Bond, 7.38%, 2/05/25 | | | 3,342 | |
| | | | | 16,329 | |
Ukraine (EUR) (0%) | | | | |
1,385,000 | | Ukraine Government International Bond 144A, 4.38%, 1/27/30 EUR (a)(b) | | | 470 | |
2,790,000 | | Ukraine Government International Bond 144A, 6.75%, 6/20/26 EUR (a)(b) | | | 982 | |
| | | | | 1,452 | |
Ukraine (UAH) (0%) | | | | |
56,920,000 | | Ukraine Government International Bond 144A, 11.67%, 11/22/23 UAH (a)(b) | | | 1,175 | |
| |
Ukraine (USD) (1%) | | | | |
2,695,000 | | Ukraine Government International Bond 144A, 1.26%, 5/31/40 (a)(i) | | | 791 | |
4,360,000 | | Ukraine Government International Bond 144A, 7.25%, 3/15/33 (a) | | | 1,413 | |
980,000 | | Ukraine Government International Bond 144A, 7.38%, 9/25/32 (a) | | | 316 | |
1,135,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/25 (a) | | | 386 | |
3,005,000 | | Ukraine Government International Bond, 7.75%, 9/01/25 (c) | | | 1,022 | |
6,015,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/26 (a) | | | 2,052 | |
4,668,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/27 (a) | | | 1,580 | |
| | | | | 7,560 | |
United Arab Emirates (USD) (3%) | | | | |
7,623,000 | | Abu Dhabi Crude Oil Pipeline LLC 144A, 4.60%, 11/02/47 (a) | | | 7,566 | |
1,500,000 | | Abu Dhabi Government International Bond 144A, 3.13%, 9/30/49 (a) | | | 1,244 | |
2,614,024 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | | 2,719 | |
1,025,000 | | DP World PLC 144A, 5.63%, 9/25/48 (a) | | | 1,030 | |
1,110,000 | | DP World PLC 144A, 6.85%, 7/02/37 (a) | | | 1,266 | |
2,445,000 | | First Abu Dhabi Bank PJSC, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.138%), 4.50% (c)(f)(h) | | | 2,425 | |
2,100,000 | | NBK Tier 1 Ltd. 144A, (6 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.875%), 3.63% (a)(f)(h) | | | 1,931 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,725,000 | | Ruwais Power Co. PJSC 144A, 6.00%, 8/31/36 (a) | | $ | 3,199 | |
| | | | | 21,380 | |
United Kingdom (IDR) (1%) | | | | |
| | Standard Chartered Bank 144A, 8.25%, 5/19/36 IDR (a)(b) | | | 9,011 | |
| |
United Kingdom (USD) (0%) | | | | |
2,530,000 | | MARB BondCo PLC 144A, 3.95%, 1/29/31 (a) | | | 2,106 | |
| |
United States (IDR) (0%) | | | | |
36,100,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.25%, 5/17/36
IDR (a)(b) | | | 2,676 | |
| |
United States (UAH) (0%) | | | | |
13,700,000 | | Citigroup Global Markets Holdings Inc. 1 144A, 14.41%, 10/17/22 UAH (a)(b) | | | 400 | |
| |
United States (USD) (1%) | | | | |
2,795,000 | | Kosmos Energy Ltd. 144A, 7.13%,
4/04/26 (a)(d) | | | 2,735 | |
1,200,000 | | MercadoLibre Inc., 3.13%, 1/14/31 | | | 972 | |
1,530,000 | | NBM U.S. Holdings Inc. 144A, 6.63%, 8/06/29 (a) | | | 1,564 | |
2,180,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 1,923 | |
| | | | | 7,194 | |
Uruguay (UYU) (1%) | | | | |
191,069,498 | | Uruguay Government International Bond, 3.88%, 7/02/40 UYU (b) | | | 5,236 | |
188,148,118 | | Uruguay Government International Bond, 4.38%, 12/15/28 UYU (b) | | | 5,431 | |
| | | | | 10,667 | |
Uzbekistan (USD) (2%) | | | | |
6,680,000 | | Republic of Uzbekistan International Bond | | | | |
| | 144A, 3.70%, 11/25/30 (a) | | | 5,478 | |
4,350,000 | | Republic of Uzbekistan International Bond | | | | |
| | 144A, 3.90%, 10/19/31 (a) | | | 3,550 | |
3,465,000 | | Republic of Uzbekistan International Bond 144A, 5.38%, 2/20/29 (a) | | | 3,339 | |
| | | | | 12,367 | |
Venezuela (USD) (0%) | | | | |
3,630,000 | | Petroleos de Venezuela SA, 5.38%,
4/12/27 (c)(g) | | | 248 | |
3,440,000 | | Petroleos de Venezuela SA, 6.00%,
11/15/26 (c)(g) | | | 235 | |
1,122,500 | | Petroleos de Venezuela SA, 8.50%,
10/27/20 (c)(g) | | | 191 | |
2,890,000 | | Petroleos de Venezuela SA, 9.00%,
11/17/21 (c)(g) | | | 213 | |
1,420,000 | | Venezuela Government International Bond, 7.00%, 3/31/38 (c)(g) | | | 121 | |
4,560,000 | | Venezuela Government International Bond, 7.65%, 4/21/25 (c)(g) | | | 390 | |
2,350,000 | | Venezuela Government International Bond, 7.75%, 10/13/19 (c)(g) | | | 201 | |
5,300,000 | | Venezuela Government International Bond, 9.25%, 9/15/27 (g) | | | 453 | |
| | | | | 2,052 | |
Virgin Islands (British) (USD) (3%) | | | | |
23,600,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (c) | | | 23,433 | |
92 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Zambia (USD) (1%) | | | | |
4,750,000 | | Zambia Government International Bond 144A, 8.50%, 4/14/24 (a) | | $ | 3,594 | |
5,145,000 | | Zambia Government International Bond 144A, 8.97%, 7/30/27 (a) | | | 3,856 | |
| | | | | 7,450 | |
| |
Total Bonds (Cost - $1,027,721) | | | 846,590 | |
| |
Investment Company (2%) | | | | |
17,995,595 | | Payden Cash Reserves Money Market Fund* | | | | |
| | (Cost - $17,996) | | | 17,996 | |
Total Investments (Cost - $1,045,717) (99%) | | | 864,586 | |
Other Assets, net of Liabilities (1%) | | | 13,140 | |
| |
Net Assets (100%) | | $ | 877,726 | |
| | | | | | |
| (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) | All or a portion of these securities are on loan. At April 30, 2022, the total market value of the Fund’s securities on loan is $4,837 and the total market value of the collateral held by the Fund is $5,073. Amounts in 000s. |
| (e) | Yield to maturity at time of purchase. |
| (f) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. |
| (g) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (h) | Perpetual security with no stated maturity date. |
| (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. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | |
RUB 1,032,527 | | USD 8,978 | | BB&T Capital Markets Inc. | | | 05/18/2022 | | | $ | 4,962 | |
RUB 103,753 | | USD 898 | | HSBC Bank USA, N.A. | | | 05/18/2022 | | | | 503 | |
USD 483 | | THB 16,200 | | Barclays Bank PLC | | | 06/14/2022 | | | | 10 | |
USD 8,848 | | THB 291,150 | | Barclays Bank PLC | | | 06/14/2022 | | | | 341 | |
USD 1,005 | | PEN 3,785 | | Barclays Bank PLC | | | 07/18/2022 | | | | 28 | |
USD 4,515 | | PLN 19,555 | | BNP PARIBAS | | | 05/17/2022 | | | | 114 | |
USD 22,023 | | ZAR 336,200 | | BNP PARIBAS | | | 06/13/2022 | | | | 842 | |
USD 9,695 | | PEN 36,454 | | BNP PARIBAS | | | 07/18/2022 | | | | 284 | |
USD 915 | | BRL 4,485 | | HSBC Bank USA, N.A. | | | 07/14/2022 | | | | 29 | |
USD 35,338 | | EUR 32,017 | | HSBC Bank USA, N.A. | | | 09/15/2022 | | | | 1,285 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,398 | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
COP 2,168,000 | | USD 571 | | Citibank, N.A. | | | 06/23/2022 | | | | (28 | ) |
MYR 18,627 | | USD 4,438 | | Barclays Bank PLC | | | 06/14/2022 | | | | (163 | ) |
PEN 2,485 | | USD 659 | | Barclays Bank PLC | | | 07/18/2022 | | | | (18 | ) |
USD 4,222 | | RUB 329,090 | | BNP PARIBAS | | | 05/18/2022 | | | | (221 | ) |
USD 428 | | COP 1,712,000 | | Citibank, N.A. | | | 06/23/2022 | | | | (1 | ) |
USD 10,218 | | RUB 807,190 | | HSBC Bank USA, N.A. | | | 05/18/2022 | | | | (680 | ) |
USD 6,396 | | MXN 136,150 | | HSBC Bank USA, N.A. | | | 06/15/2022 | | | | (214 | ) |
ZAR 163,710 | | USD 10,572 | | BNP PARIBAS | | | 06/13/2022 | | | | (258 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,583 | ) |
| | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | $ | 6,815 | |
| | | | | | | | | | | | |
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 38 Index), Pay 5% Quarterly, Receive upon credit default | | | 06/21/2027 | | | $ | 24,850 | | | $ | (516 | ) | | $ | (1,383 | ) | | $ | 867 | |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 93
Payden Emerging Markets 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 | | $ | 4,837 | |
Non-cash Collateral2 | | | (4,837 | ) |
| | | | |
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, 2022, 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.
94 Payden Mutual Funds
Payden Emerging Markets Local Bond Fund
| | | | | | | | |
The Fund seeks a high level of total return. | | Portfolio Composition - percent of investments | | | |
| | Foreign Government | | | 77% | |
| | Corporate Bond | | | 19% | |
| | Investment Company | | | 4% | |
| | | | | | |
| | | | | | | | |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Bonds (94%) | | | | |
| |
Argentina (ARS) (0%) | | | | |
8,765,600 | | YPF SA 144A, 16.50%, 5/09/22
ARS (a)(b) | | $ | 71 | |
| |
Brazil (BRL) (8%) | | | | |
2,900,000 | | Brazil Letras do Tesouro Nacional, 11.82%, 7/01/23 BRL (b)(c) | | | 508 | |
1,100,000 | | Brazil Letras do Tesouro Nacional, 12.69%, 1/01/23 BRL (b)(c) | | | 205 | |
1,060,854 | | Brazil Notas do Tesouro Nacional Serie B, 6.00%, 8/15/50 BRL (b) | | | 221 | |
5,500,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/25 BRL (b) | | | 1,062 | |
3,500,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/31 BRL (b) | | | 631 | |
| | | | | 2,627 | |
| |
Chile (CLP) (1%) | | | | |
95,000,000 | | Bonos de la Tesoreria de la Republica en pesos 144A, 4.00%, 3/01/23 CLP (a)(b)(d) | | | 108 | |
275,000,000 | | Bonos de la Tesoreria de la Republica en pesos 144A, 5.80%, 6/01/24 CLP (a)(b)(d) | | | 314 | |
| | | | | 422 | |
| |
China (CNY) (8%) | | | | |
8,250,000 | | China Government Bond, 2.85%, 6/04/27 CNY (b) | | | 1,263 | |
2,000,000 | | China Government Bond, 3.02%, 10/22/25 CNY (b) | | | 309 | |
6,230,000 | | China Government Bond Series 1906, 3.29%, 5/23/29 CNY (b) | | | 976 | |
| | | | | 2,548 | |
| |
Colombia (COP) (8%) | | | | |
1,952,591,085 | | Colombian TES, 3.30%, 3/17/27 COP (b) | | | 491 | |
778,000,000 | | Colombian TES Series B, 6.00%, 4/28/28 COP (b) | | | 161 | |
805,500,000 | | Colombian TES Series B, 7.00%, 3/26/31 COP (b) | | | 165 | |
899,000,000 | | Colombian TES Series B, 7.00%, 6/30/32 COP (b) | | | 181 | |
1,410,000,000 | | Colombian TES Series B, 7.50%, 8/26/26 COP (b) | | | 328 | |
1,489,000,000 | | Colombian TES Series B, 9.25%, 5/28/42 COP (b) | | | 335 | |
1,027,000,000 | | Colombian TES Series B, 10.00%, 7/24/24 COP (b) | | | 265 | |
445,000,000 | | Empresas Publicas de Medellin ESP 144A, 7.63%, 9/10/24 COP (a)(b) | | | 106 | |
1,436,000,000 | | Empresas Publicas de Medellin ESP 144A, 8.38%, 11/08/27 COP (a)(b) | | | 312 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
655,000,000 | | Financiera de Desarrollo Territorial SA Findeter 144A, 7.88%, 8/12/24 COP (a)(b) | | $ | 159 | |
| | | | | 2,503 | |
| |
Czech Republic (CZK) (2%) | | | | |
8,610,000 | | Czech Republic Government Bond Series 121, 1.20%, 3/13/31 CZK (b) | | | 287 | |
10,830,000 | | Czech Republic Government Bond Series 105, 2.75%, 7/23/29 CZK (b) | | | 419 | |
| | | | | 706 | |
| |
Dominica Republic (DOP) (1%) | | | | |
13,900,000 | | Dominican Republic International Bond 144A, 9.75%, 6/05/26 DOP (a)(b) | | | 256 | |
| |
Dominica Republic (USD) (1%) | | | | |
210,000 | | Dominican Republic International Bond 144A, 6.00%, 2/22/33 (a) | | | 191 | |
| |
Ghana (USD) (1%) | | | | |
360,000 | | Ghana Government International Bond 144A, 7.75%, 4/07/29 (a) | | | 230 | |
| |
Hungary (HUF) (2%) | | | | |
139,000,000 | | Hungary Government Bond Series 30/A, 3.00%, 8/21/30 HUF (b) | | | 293 | |
124,000,000 | | Hungary Government Bond Series 31/A, 3.25%, 10/22/31 HUF (b) | | | 261 | |
20,000,000 | | Hungary Government Bond Series 25/B, 5.50%, 6/24/25 HUF (b) | | | 53 | |
29,800,000 | | Hungary Government Bond Series 28/A, 6.75%, 10/22/28 HUF (b) | | | 82 | |
| | | | | 689 | |
| |
Indonesia (IDR) (4%) | | | | |
2,300,000,000 | | Indonesia Treasury Bond Series FR64, 6.13%, 5/15/28 IDR (b) | | | 154 | |
10,000,000,000 | | Indonesia Treasury Bond Series FR87, 6.50%, 2/15/31 IDR (b) | | | 666 | |
7,700,000,000 | | Indonesia Treasury Bond Series FR68, 8.38%, 3/15/34 IDR (b) | | | 578 | |
| | | | | 1,398 | |
| |
Ivory Coast (USD) (0%) | | | | |
200,000 | | Ivory Coast Government International Bond 144A, 6.13%, 6/15/33 (a) | | | 184 | |
| |
Kazakhstan (KZT) (1%) | | | | |
223,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a)(b) | | | 419 | |
| |
Luxembourg (BRL) (1%) | | | | |
1,810,695 | | Swiss Insured Brazil Power Finance Sarl 144A, 9.85%, 7/16/32 BRL (a)(b) | | | 341 | |
Semi-Annual Report 95
Payden Emerging Markets Local Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Malaysia (MYR) (6%) | | | | |
2,390,000 | | Malaysia Government Bond Series 307, 3.50%, 5/31/27 MYR (b) | | $ | 532 | |
3,270,000 | | Malaysia Government Bond Series 0219, 3.89%, 8/15/29 MYR (b) | | | 721 | |
795,000 | | Malaysia Government Bond Series 0316, 3.90%, 11/30/26 MYR (b) | | | 182 | |
2,620,000 | | Malaysia Government Bond Series 0317, 4.76%, 4/07/37 MYR (b) | | | 594 | |
| | | | | 2,029 | |
| |
Mexico (MXN) (8%) | | | | |
39,300 | | America Movil SAB de CV, 6.45%, 12/05/22 MXN (b) | | | 190 | |
7,270,000 | | Grupo Televisa SAB, 7.25%, 5/14/43 MXN (b) | | | 226 | |
4,400,000 | | Mexican Bonos Series M 20, 7.50%, 6/03/27 MXN (b) | | | 202 | |
12,500,000 | | Mexican Bonos Series M, 7.75%, 11/13/42 MXN (b) | | | 531 | |
6,600,000 | | Mexican Bonos Series M 20, 8.50%, 5/31/29 MXN (b) | | | 314 | |
8,100,000 | | Mexican Bonos Series M 30, 8.50%, 11/18/38 MXN (b) | | | 375 | |
7,750,758 | | Mexican Udibonos Series S, 3.50%, 11/16/23 MXN (b) | | | 377 | |
6,900,000 | | Petroleos Mexicanos, 7.19%, 9/12/24 MXN (b) | | | 314 | |
| | | | | 2,529 | |
| |
Nigeria (USD) (0%) | | | | |
205,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (a) | | | 183 | |
| |
Oman (USD) (1%) | | | | |
200,000 | | Oman Government International Bond 144A, 7.38%, 10/28/32 (a) | | | 221 | |
| |
Peru (PEN) (6%) | | | | |
2,520,000 | | Banco de Credito del Peru S.A. 144A, 4.65%, 9/17/24 PEN (a)(b) | | | 611 | |
2,545,000 | | Fondo MIVIVIENDA SA 144A, 7.00%, 2/14/24 PEN (a)(b) | | | 666 | |
2,136,000 | | Peru Government Bond, 5.35%, 8/12/40 PEN (b) | | | 406 | |
1,185,000 | | Peru Government Bond, 5.40%, 8/12/34 PEN (b) | | | 245 | |
| | | | | 1,928 | |
| |
Philippines (PHP) (1%) | | | | |
17,000,000 | | Philippine Government International Bond, 6.25%, 1/14/36 PHP (b) | | | 338 | |
| |
Poland (PLN) (2%) | | | | |
645,000 | | Republic of Poland Government Bond Series 0726, 2.50%, 7/25/26 PLN (b) | | | 123 | |
2,530,000 | | Republic of Poland Government Bond Series 5Y, 3.75%, 5/25/27 PLN (b) | | | 497 | |
| | | | | 620 | |
| |
Romania (RON) (2%) | | | | |
2,155,000 | | Romania Government Bond Series 15Y, 3.65%, 9/24/31 RON (b) | | | 352 | |
770,000 | | Romania Government Bond Series 15YR, 5.80%, 7/26/27 RON (b) | | | 157 | |
| | | | | 509 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Russian Federation (RUB) (1%) | | | | |
26,000,000 | | Russian Federal Bond - OFZ Series 6234, 4.50%, 7/16/25 RUB (b) | | $ | 22 | |
45,150,000 | | Russian Federal Bond - OFZ Series 6224, 6.90%, 5/23/29 RUB (b) | | | 39 | |
14,100,000 | | Russian Federal Bond - OFZ Series 6215, 7.00%, 8/16/23 RUB (b) | | | 12 | |
99,775,000 | | Russian Federal Bond - OFZ Series 6212, 7.05%, 1/19/28 RUB (b) | | | 85 | |
34,000,000 | | Russian Federal Bond - OFZ Series 6229, 7.15%, 11/12/25 RUB (b) | | | 29 | |
23,000,000 | | Russian Federal Bond - OFZ Series 6221, 7.70%, 3/23/33 RUB (b) | | | 20 | |
67,770,000 | | Russian Federal Bond - OFZ Series 6207, 8.15%, 2/03/27 RUB (b) | | | 58 | |
| | | | | 265 | |
| |
Senegal (USD) (0%) | | | | |
205,000 | | Senegal Government International Bond 144A, 6.25%, 5/23/33 (a) | | | 184 | |
| |
South Africa (ZAR) (10%) | | | | |
27,900,000 | | Republic of South Africa Government Bond Series R214, 6.50%, 2/28/41 ZAR (b) | | | 1,142 | |
1,300,000 | | Republic of South Africa Government Bond Series 2030, 8.00%, 1/31/30 ZAR (b) | | | 74 | |
17,380,000 | | Republic of South Africa Government Bond Series 2037, 8.50%, 1/31/37 ZAR (b) | | | 910 | |
20,000,000 | | Republic of South Africa Government Bond Series 2048, 8.75%, 2/28/48 ZAR (b) | | | 1,029 | |
| | | | | 3,155 | |
| |
South Korea (MXN) (1%) | | | | |
5,000,000 | | Export-Import Bank of Korea Series 19, 7.93%, 7/30/26 MXN (b) | | | 234 | |
| |
Thailand (THB) (5%) | | | | |
14,300,000 | | Thailand Government Bond, 3.30%, 6/17/38 THB (b) | | | 404 | |
29,700,000 | | Thailand Government Bond, 3.65%, 6/20/31 THB (b) | | | 935 | |
5,300,000 | | Thailand Government Bond, 4.88%, 6/22/29 THB (b) | | | 177 | |
| | | | | 1,516 | |
| |
Ukraine (USD) (0%) | | | | |
205,000 | | Ukraine Government International Bond 144A, 6.88%, 5/21/29 (a) | | | 65 | |
| |
United Kingdom (EGP) (1%) | | | | |
3,510,000 | | HSBC Bank PLC 144A, 14.35%, 7/16/25 EGP (a)(b) | | | 189 | |
| |
United Kingdom (IDR) (3%) | | | | |
8,600,000,000 | | Standard Chartered Bank 144A, 6.50%, 2/20/31 IDR (a)(b) | | | 573 | |
5,000,000,000 | | Standard Chartered Bank 144A, 8.25%, 5/19/36 IDR (a)(b) | | | 370 | |
| | | | | 943 | |
| |
United Kingdom (ZMW) (1%) | | | | |
4,530,000 | | Standard Chartered Bank 144A, 15.00%, 11/19/26 ZMW (a)(b) | | | 214 | |
| |
United States (EGP) (1%) | | | | |
4,000,000 | | Citigroup Global Markets 144A, 12.09%, 1/08/25 EGP (a)(b) | | | 217 | |
96 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
4,000,000 | | Citigroup Global Markets Holdings Inc. 144A, 12.67%, 11/25/22 EGP (a)(b)(c) | | $ | 202 | |
| | | 419 | |
| |
United States (IDR) (4%) | | | | |
2,200,000,000 | | JPMorgan Chase Bank N.A. 144A, 7.50%, 4/18/40 IDR (a)(b) | | | 155 | |
11,894,000,000 | | JPMorgan Chase Bank N.A. 144A, 9.50%, 7/17/31 IDR (a)(b) | | | 953 | |
4,400,000,000 | | JPMorgan Chase Bank N.A. (Indonesia Treasury Bond) 144A, 8.38%, 3/17/34 IDR (a)(b) | | | 330 | |
| | | 1,438 | |
| |
United States (UAH) (1%) | | | | |
8,500,000 | | Citigroup Global Markets Holdings Inc. 144A, 13.41%, 10/17/22 UAH (a)(b) | | | 248 | |
| |
Uruguay (UYU) (1%) | | | | |
6,002,390 | | Uruguay Government International Bond, 3.88%, 7/02/40 UYU (b) | | | 165 | |
8,251,091 | | Uruguay Government International Bond, 4.38%, 12/15/28 UYU (b) | | | 238 | |
| | | 403 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Uzbekistan (UZS) (1%) | | | | |
2,960,000,000 | | Republic of Uzbekistan International Bond 144A, 14.00%, 7/19/24 UZS (a)(b) | | $ | 248 | |
| |
Total Bonds (Cost - $40,330) | | | 30,463 | |
| |
Investment Company (4%) | | | | |
1,192,449 | | Payden Cash Reserves Money Market Fund* (Cost - $1,192) | | | 1,192 | |
| |
Total Investments (Cost - $41,522) (98%) | | | 31,655 | |
Other Assets, net of Liabilities (2%) | | | 556 | |
| |
Net Assets (100%) | | $ | 32,211 | |
| (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) | Yield to maturity at time of purchase. |
| (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. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency
Sold
(000s) | | | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
BRL 6,826 | | | USD 1,337 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/14/2022 | | | $ | 12 | |
RUB 87,783 | | | USD 763 | | | | | | | | BB&T Capital Markets Inc. | | | | 05/18/2022 | | | | 422 | |
RUB 9,637 | | | USD 97 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/18/2022 | | | | 33 | |
TRY 862 | | | USD 55 | | | | | | | | BNP PARIBAS | | | | 05/24/2022 | | | | 2 | |
TRY 1,672 | | | USD 110 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/24/2022 | | | | 1 | |
USD 656 | | | IDR 9,451,000 | | | | | | | | Barclays Bank PLC | | | | 05/19/2022 | | | | 5 | |
USD 169 | | | TRY 2,534 | | | | | | | | Barclays Bank PLC | | | | 05/24/2022 | | | | 1 | |
USD 452 | | | MYR 1,929 | | | | | | | | Barclays Bank PLC | | | | 06/14/2022 | | | | 9 | |
USD 341 | | | THB 11,460 | | | | | | | | Barclays Bank PLC | | | | 06/14/2022 | | | | 6 | |
USD 986 | | | PEN 3,711 | | | | | | | | Barclays Bank PLC | | | | 07/18/2022 | | | | 28 | |
USD 146 | | | HUF 50,700 | | | | | | | | BNP PARIBAS | | | | 05/18/2022 | | | | 5 | |
USD 895 | | | ZAR 13,680 | | | | | | | | BNP PARIBAS | | | | 06/13/2022 | | | | 33 | |
USD 132 | | | RON 609 | | | | | | | | BNP PARIBAS | | | | 07/13/2022 | | | | 3 | |
USD 68 | | | CLP 56,500 | | | | | | | | BNP PARIBAS | | | | 07/18/2022 | | | | 3 | |
USD 494 | | | PEN 1,857 | | | | | | | | BNP PARIBAS | | | | 07/18/2022 | | | | 15 | |
USD 971 | | | COP 3,821,000 | | | | | | | | Citibank, N.A. | | | | 06/23/2022 | | | | 14 | |
USD 240 | | | PLN 1,034 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/17/2022 | | | | 8 | |
USD 157 | | | CZK 3,580 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/18/2022 | | | | 4 | |
USD 436 | | | CNH 2,790 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/23/2022 | | | | 17 | |
USD 461 | | | ZAR 6,960 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/13/2022 | | | | 23 | |
USD 472 | | | BRL 2,266 | | | | | | | | HSBC Bank USA, N.A. | | | | 07/14/2022 | | | | 24 | |
USD 757 | | | EUR 684 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | 29 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 697 | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
CLP 681,768 | | | USD 832 | | | | | | | | BNP PARIBAS | | | | 07/18/2022 | | | | (45 | ) |
COP 939,000 | | | USD 247 | | | | | | | | Citibank, N.A. | | | | 06/23/2022 | | | | (12 | ) |
CZK 21,270 | | | USD 942 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/18/2022 | | | | (32 | ) |
EUR 72 | | | USD 78 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | (2 | ) |
HUF 158,700 | | | USD 455 | | | | | | | | BNP PARIBAS | | | | 05/18/2022 | | | | (14 | ) |
IDR 10,361,000 | | | USD 720 | | | | | | | | Barclays Bank PLC | | | | 05/19/2022 | | | | (6 | ) |
MXN 8,450 | | | USD 420 | | | | | | | | Citibank, N.A. | | | | 06/15/2022 | | | | (10 | ) |
MYR 8,676 | | | USD 2,061 | | | | | | | | Barclays Bank PLC | | | | 06/14/2022 | | | | (70 | ) |
Semi-Annual Report 97
Payden Emerging Markets Local Bond Fund continued
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency
Sold
(000s) | | | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
PEN 450 | | | USD 120 | | | | | | | | BNP PARIBAS | | | | 07/18/2022 | | | $ | (3 | ) |
PLN 6,944 | | | USD 1,604 | | | | | | | | BNP PARIBAS | | | | 05/17/2022 | | | | (42 | ) |
RON 3,097 | | | USD 676 | | | | | | | | BNP PARIBAS | | | | 07/13/2022 | | | | (23 | ) |
THB 50,050 | | | USD 1,521 | | | | | | | | Barclays Bank PLC | | | | 06/14/2022 | | | | (59 | ) |
USD 336 | | | PHP 17,710 | | | | | | | | Barclays Bank PLC | | | | 07/25/2022 | | | | (2 | ) |
USD 245 | | | RUB 19,130 | | | | | | | | BNP PARIBAS | | | | 05/18/2022 | | | | (13 | ) |
USD 1,000 | | | RUB 78,290 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/18/2022 | | | | (57 | ) |
USD 39 | | | MXN 830 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/15/2022 | | | | (1 | ) |
ZAR 7,330 | | | USD 475 | | | | | | | | BNP PARIBAS | | | | 06/13/2022 | | | | (13 | ) |
ZAR 16,040 | | | USD 1,086 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/13/2022 | | | | (76 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (480 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | 217 | |
| | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared 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 2.49% Quarterly, Pay Variable 1.75% (CNRR007) Quarterly | | 04/25/2027 | | CNY 8,100 | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
See notes to financial statements.
98 Payden Mutual Funds
Payden Emerging Markets Corporate Bond Fund
| | | | | | | | | | |
The Fund seeks a high level of total return. | | Portfolio Composition - percent of investments | | | |
| | | |
| | Corporate Bond | | | 90% | |
| | Bank Loans | | | 5% | |
| | Foreign Government | | | 2% | |
| | Cash equivalent | | | 3% | |
| | | | | | |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Bonds (97%) | | | | |
| |
Argentina (ARS) (0%) | | | | |
2,000,000 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a)(b) | | $ | 16 | |
| |
Argentina (USD) (1%) | | | | |
275,000 | | Pampa Energia SA 144A, 7.38%, 7/21/23 (a) | | | 275 | |
150,000 | | Pampa Energia SA 144A, 7.50%, 1/24/27 (a) | | | 140 | |
255,000 | | Provincia de Buenos Aires Government Bonds, 3.00%, 9/01/37 | | | 83 | |
| | | | | 498 | |
Austria (USD) (1%) | | | | |
230,000 | | Klabin Austria GmbH 144A, 3.20%, 1/12/31 (a) | | | 183 | |
200,000 | | Klabin Austria GmbH 144A, 5.75%, 4/03/29 (a) | | | 197 | |
200,000 | | Klabin Austria GmbH 144A, 7.00%, 4/03/49 (a) | | | 194 | |
| | | | | 574 | |
Bahamas (USD) (1%) | | | | |
245,000 | | Intercorp Peru Ltd. 144A, 3.88%, 8/15/29 (a) | | | 219 | |
| |
Bermuda (USD) (4%) | | | | |
238,030 | | Digicel Group Holdings Ltd. 144A, 8.00%, 4/01/25 (a) | | | 199 | |
111,149 | | Digicel Group Holdings Ltd., 10.00%, 4/01/24 | | | 111 | |
850,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 767 | |
200,000 | | Ooredoo International Finance Ltd. 144A, 5.00%, 10/19/25 (a) | | | 209 | |
520,000 | | Star Energy Geothermal Darajat II/Star Energy Geothermal Salak 144A, 4.85%, 10/14/38 (a) | | | 499 | |
| | | | | 1,785 | |
Brazil (USD) (2%) | | | | |
430,000 | | BRF SA 144A, 5.75%, 9/21/50 (a) | | | 338 | |
220,000 | | Itau Unibanco Holding SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.446%), 3.88%, 4/15/31 (a)(c) | | | 198 | |
336,619 | | Prumo Participacoes e Investimentos S/A 144A, 7.50%, 12/31/31 (a) | | | 331 | |
456,905 | | USJ-Acucar e Alcool S/A 144A, 9.88%, 11/09/23 (a)(d) | | | 238 | |
| | | | | 1,105 | |
Canada (CAD) (0%) | | | | |
200,000 | | Tamarack Valley Energy Ltd. 144A, 7.25%, 5/10/27 CAD (a)(b) | | | 156 | |
| |
Canada (USD) (1%) | | | | |
200,000 | | International Petroleum Corp. 144A, 7.25%, 2/01/27 (a)(e) | | | 198 | |
250,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 242 | |
| | | | | 440 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | |
Cayman Islands (USD) (9%) | | | | |
125,000 | | American Airlines Inc. Term Loan 1L, (LIBOR USD 3-Month + 4.750%), 5.81%, 4/20/28 (f) | | $ | 127 | |
669,262 | | Bioceanico Sovereign Certificate Ltd. 144A, 2.44%, 6/05/34 (a)(g) | | | 448 | |
200,000 | | Country Garden Holdings Co. Ltd., 5.40%, 5/27/25 (e) | | | 147 | |
855,000 | | Dar Al-Arkan Sukuk Co. Ltd., 6.88%, 2/26/27 (e) | | | 863 | |
600,000 | | DP World Salaam, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.750%), 6.00% (c)(e)(h) | | | 610 | |
405,000 | | Energuate Trust 144A, 5.88%, 5/03/27 (a) | | | 393 | |
200,000 | | Kaisa Group Holdings Ltd., 9.75%, 9/28/23 (e) | | | 42 | |
200,000 | | Kaisa Group Holdings Ltd., 11.50%, 1/30/23 (e) | | | 42 | |
280,000 | | Logan Group Co. Ltd., 4.25%, 7/12/25 (e) | | | 81 | |
200,000 | | MAF Global Securities Ltd., (5 yr. Swap Semi 30/360 USD + 3.476%), 5.50% (c)(e)(h) | | | 199 | |
270,000 | | Melco Resorts Finance Ltd. 144A, 5.38%, 12/04/29 (a) | | | 217 | |
98,900 | | Odebrecht Oil & Gas Finance Ltd. 144A, 0.00% (a)(g)(h) | | | — | |
210,000 | | Sands China Ltd., 5.40%, 8/08/28 | | | 198 | |
215,000 | | Shimao Group Holdings Ltd., 5.60%, 7/15/26 (e) | | | 53 | |
150,000 | | Transocean Inc. 144A, 8.00%, 2/01/27 (a) | | | 119 | |
200,000 | | Vale Overseas Ltd., 6.25%, 8/10/26 | | | 211 | |
430,000 | | Wynn Macau Ltd. 144A, 5.63%, 8/26/28 (a) | | | 343 | |
| | | | | 4,093 | |
Chile (USD) (2%) | | | | |
219,407 | | Alfa Desarrollo SpA 144A, 4.55%, 9/27/51 (a) | | | 172 | |
192,472 | | Celeo Redes Operacion Chile SA 144A, 5.20%, 6/22/47 (a) | | | 186 | |
260,000 | | Chile Electricity PEC SpA 144A, 3.13%, 1/25/28 (a)(g) | | | 200 | |
200,000 | | LA Construccion SA 144A, 4.75%, 2/07/32 (a) | | | 176 | |
200,000 | | VTR Comunicaciones SpA 144A, 4.38%, 4/15/29 (a) | | | 170 | |
| | | | | 904 | |
Colombia (USD) (3%) | | | | |
215,000 | | Banco de Bogota SA 144A, 6.25%, 5/12/26 (a) | | | 213 | |
200,000 | | Bancolombia SA, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.944%), 4.63%, 12/18/29 (c) | | | 187 | |
610,000 | | Colombia Telecomunicaciones SA ESP 144A, 4.95%, 7/17/30 (a) | | | 550 | |
520,000 | | Ecopetrol SA, 5.38%, 6/26/26 | | | 512 | |
| | | | | 1,462 | |
Semi-Annual Report 99
Payden Emerging Markets Corporate Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | |
Egypt (USD) (0%) | | | | |
200,000 | | Egypt Government International Bond 144A, 7.63%, 5/29/32 (a) | | $ | 156 | |
| |
France (USD) (1%) | | | | |
425,000 | | Altice France SA 144A, 5.13%, 7/15/29 (a) | | | 360 | |
| |
Guatemala (USD) (0%) | | | | |
200,000 | | CT Trust 144A, 5.13%, 2/03/32 (a) | | | 187 | |
| |
India (USD) (8%) | | | | |
640,000 | | Adani Electricity Mumbai Ltd. 144A, 3.95%, 2/12/30 (a) | | | 552 | |
192,000 | | Adani International Container Terminal Pvt. Ltd. 144A, 3.00%, 2/16/31 (a) | | | 166 | |
420,000 | | Adani Ports & Special Economic Zone Ltd. 144A, 5.00%, 8/02/41 (a) | | | 374 | |
564,263 | | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt. Ltd./Wardha Solar Maharash 144A, 4.63%, 10/15/39 (a) | | | 474 | |
226,250 | | Adani Transmission Ltd. 144A, 4.25%, 5/21/36 (a) | | | 201 | |
405,300 | | JSW Hydro Energy Ltd. 144A, 4.13%, 5/18/31 (a) | | | 353 | |
250,000 | | Reliance Industries Ltd. 144A, 3.63%, 1/12/52 (a) | | | 199 | |
410,000 | | ReNew Power Ltd. 144A, 6.45%, 9/27/22 (a) | | | 411 | |
330,000 | | ReNew Power Pvt. Ltd. 144A, 5.88%, 3/05/27 (a) | | | 314 | |
620,000 | | Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (a) | | | 619 | |
225,000 | | Summit Digitel Infrastructure Pvt. Ltd. 144A, 2.88%, 8/12/31 (a) | | | 184 | |
| | | | | 3,847 | |
Indonesia (USD) (1%) | | | | |
200,000 | | Cikarang Listrindo Tbk PT 144A, 4.95%, 9/14/26 (a) | | | 197 | |
200,000 | | Cikarang Listrindo Tbk PT, 4.95%, 9/14/26 (e) | | | 196 | |
| | | | | 393 | |
Ireland (USD) (1%) | | | | |
250,000 | | C&W Senior Financing DAC 144A, 6.88%, 9/15/27 (a) | | | 243 | |
220,000 | | Credit Bank of Moscow Via CBOM Finance PLC 144A, 3.88%, 9/21/26 (a) | | | 42 | |
| | | | | 285 | |
Isle of Man (USD) (1%) | | | | |
70,000 | | AngloGold Ashanti Holdings PLC, 6.50%, 4/15/40 | | | 75 | |
200,000 | | Gohl Capital Ltd., 4.25%, 1/24/27 (e) | | | 186 | |
| | | | | 261 | |
Israel (USD) (3%) | | | | |
410,000 | | Bank Hapoalim BM 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.155%), 3.26%, 1/21/32 (a)(c)(e) | | | 373 | |
610,000 | | 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)(e) | | | 564 | |
260,000 | | Energean Israel Finance Ltd. 144A, 4.88%, 3/30/26 (a)(e) | | | 242 | |
220,000 | | Leviathan Bond Ltd. 144A, 6.75%,
6/30/30 (a)(e) | | | 218 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
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 (a)(c)(e) | | $ | 228 | |
| | | | | 1,625 | |
Jersey (USD) (1%) | | | | |
310,000 | | Galaxy Pipeline Assets Bidco Ltd. 144A, 2.63%, 3/31/36 (a) | | | 260 | |
| |
Kazakhstan (KZT) (0%) | | | | |
70,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT (a)(b) | | | 132 | |
| |
Luxembourg (USD) (5%) | | | | |
220,000 | | B2W Digital Lux Sarl 144A, 4.38%, 12/20/30 (a) | | | 181 | |
405,221 | | FEL Energy VI Sarl 144A, 5.75%, 12/01/40 (a) | | | 352 | |
230,000 | | Hidrovias International Finance Sarl 144A, 4.95%, 2/08/31 (a) | | | 186 | |
301,454 | | JBS USA LUX SA Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 2.80%, 5/01/26 (f) | | | 301 | |
200,000 | | Millicom International Cellular SA 144A, 4.50%, 4/27/31 (a) | | | 173 | |
180,000 | | Millicom International Cellular SA 144A, 5.13%, 1/15/28 (a) | | | 170 | |
220,000 | | Movida Europe SA 144A, 5.25%, 2/08/31 (a) | | | 183 | |
220,000 | | Petrorio Luxembourg Trading Sarl 144A, 6.13%, 6/09/26 (a)(i) | | | 212 | |
210,000 | | Rumo Luxembourg Sarl 144A, 5.25%, 1/10/28 (a)(i) | | | 206 | |
260,000 | | Unigel Luxembourg SA 144A, 8.75%, 10/01/26 (a) | | | 270 | |
230,000 | | Usiminas International Sarl 144A, 5.88%, 7/18/26 (a) | | | 230 | |
| | | | | 2,464 | |
Marshall Islands (USD) (1%) | | | | |
331,632 | | Nakilat Inc. 144A, 6.07%, 12/31/33 (a) | | | 361 | |
| |
Mauritius (USD) (4%) | | | | |
200,000 | | Greenko Power II Ltd. 144A, 4.30%, 12/13/28 (a) | | | 177 | |
300,000 | | Greenko Solar Mauritius Ltd. 144A, 5.95%, 7/29/26 (a) | | | 294 | |
486,750 | | India Cleantech Energy 144A, 4.70%, 8/10/26 (a)(i) | | | 447 | |
820,000 | | Network i2i Ltd. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.277%), 5.65% (a)(c)(h) | | | 809 | |
| | | | | 1,727 | |
Mexico (MXN) (0%) | | | | |
2,200,000 | | Mexican Bonos Series M 20, 8.50%, 5/31/29 MXN (b) | | | 105 | |
1,600,000 | | Mexican Bonos Series M 30, 8.50%, 11/18/38 MXN (b) | | | 74 | |
| | | | | 179 | |
Mexico (USD) (11%) | | | | |
200,000 | | Alsea SAB de CV 144A, 7.75%, 12/14/26 (a) | | | 201 | |
210,000 | | America Movil SAB de CV 144A, 5.38%, 4/04/32 (a) | | | 192 | |
200,000 | | Banco Mercantil del Norte SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.643%),
5.88% (a)(c)(h) | | | 179 | |
100 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
415,000 | | Banco Mercantil del Norte SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.035%), 6.88% (a)(c)(h) | | $ | 411 | |
200,000 | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.995%), 5.95%, 10/01/28 (a)(c) | | | 201 | |
210,000 | | BBVA Bancomer SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.650%), 5.13%, 1/18/33 (a)(c) | | | 197 | |
630,000 | | Cemex SAB de CV 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.534%), 5.13% (a)(c)(h) | | | 576 | |
640,000 | | Cibanco SA Institucion de Banca Multiple Trust CIB/3332 144A, 4.38%, 7/22/31 (a) | | | 517 | |
220,000 | | Corp. Inmobiliaria Vesta SAB de CV 144A, 3.63%, 5/13/31 (a) | | | 193 | |
270,000 | | Electricidad Firme de Mexico Holdings SA de CV 144A, 4.90%, 11/20/26 (a) | | | 239 | |
216,608 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (a) | | | 207 | |
220,000 | | Grupo Axo SAPI de CV 144A, 5.75%, 6/08/26 (a) | | | 202 | |
200,000 | | Grupo Bimbo SAB de CV 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.280%), 5.95% (a)(c)(h) | | | 201 | |
205,000 | | Mexico City Airport Trust 144A, 3.88%, 4/30/28 (a) | | | 192 | |
204,926 | | Mexico Generadora de Energia S de rl 144A, 5.50%, 12/06/32 (a) | | | 202 | |
220,000 | | Orbia Advance Corp. SAB de CV 144A, 1.88%, 5/11/26 (a) | | | 197 | |
60,000 | | Petroleos Mexicanos, 6.49%, 1/23/27 | | | 58 | |
200,000 | | Petroleos Mexicanos, 6.70%, 2/16/32 | | | 173 | |
70,000 | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 51 | |
600,000 | | Trust Fibra Uno 144A, 4.87%, 1/15/30 (a) | | | 566 | |
210,000 | | Trust Fibra Uno 144A, 6.39%, 1/15/50 (a) | | | 196 | |
| | | | | 5,151 | |
Netherlands (USD) (5%) | | | | |
210,000 | | Equate Petrochemical BV 144A, 2.63%, 4/28/28 (a) | | | 191 | |
635,000 | | Minejesa Capital BV 144A, 5.63%, 8/10/37 (a) | | | 537 | |
180,614 | | MV24 Capital BV 144A, 6.75%, 6/01/34 (a) | | | 172 | |
130,000 | | Petrobras Global Finance BV, 5.60%, 1/03/31 | | | 128 | |
415,000 | | Prosus NV 144A, 4.03%, 8/03/50 (a) | | | 289 | |
200,000 | | Prosus NV 144A, 4.99%, 1/19/52 (a) | | | 157 | |
500,000 | | Teva Pharmaceutical Finance Netherlands III BV, 4.75%, 5/09/27 | | | 458 | |
645,000 | | Teva Pharmaceutical Finance Netherlands III BV, 6.75%, 3/01/28 (i) | | | 656 | |
| | | | | 2,588 | |
Nigeria (USD) (0%) | | | | |
216,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (a) | | | 192 | |
| |
Panama (USD) (2%) | | | | |
620,000 | | AES Panama Generation Holdings SRL 144A, 4.38%, 5/31/30 (a) | | | 552 | |
218,183 | | UEP Penonome II SA 144A, 6.50%, 10/01/38 (a) | | | 213 | |
| | | | | 765 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Paraguay (USD) (1%) | | | | |
615,000 | | Telefonica Celular del Paraguay SA 144A, 5.88%, 4/15/27 (a) | | $ | 617 | |
| |
Peru (USD) (0%) | | | | |
220,000 | | Auna SAA 144A, 6.50%, 11/20/25 (a) | | | 209 | |
| |
Qatar (USD) (1%) | | | | |
260,460 | | Ras Laffan Liquefied Natural Gas Co. Ltd. 3 144A, 5.84%, 9/30/27 (a) | | | 276 | |
| |
Russian Federation (RUB) (0%) | | | | |
9,150,000 | | Russian Federal Bond - OFZ Series 6224, 6.90%, 5/23/29 RUB (b) | | | 8 | |
| |
Singapore (USD) (1%) | | | | |
443,813 | | Continuum Energy Levanter Pte Ltd. 144A, 4.50%, 2/09/27 (a) | | | 410 | |
| |
Spain (USD) (3%) | | | | |
660,000 | | AI Candelaria Spain SA 144A, 5.75%, 6/15/33 (a) | | | 551 | |
1,055,000 | | EnfraGen Energia Sur SA/EnfraGen Spain SA/ Prime Energia SpA 144A, 5.38%, 12/30/30 (a) | | | 759 | |
| | | | | 1,310 | |
Sri Lanka (USD) (0%) | | | | |
250,000 | | Sri Lanka Government International Bond 144A, 6.85%, 11/03/25 (a) | | | 112 | |
| |
SUPRANATIONAL (USD) (1%) | | | | |
200,000 | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc. 144A, 5.25%, 8/15/27 (a) | | | 172 | |
215,000 | | Promigas SA ESP/Gases del Pacifico SAC 144A, 3.75%, 10/16/29 (a) | | | 188 | |
| | | | | 360 | |
Thailand (USD) (0%) | | | | |
210,000 | | Bangkok Bank PCL 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.729%), 5.00% (a)(c)(h) | | | 205 | |
| |
Turkey (USD) (1%) | | | | |
310,000 | | Turkiye Sise ve Cam Fabrikalari AS 144A, 6.95%, 3/14/26 (a) | | | 303 | |
200,000 | | Ulker Biskuvi Sanayi AS 144A, 6.95%, 10/30/25 (a) | | | 172 | |
| | | | | 475 | |
Ukraine (USD) (0%) | | | | |
215,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/26 (a) | | | 73 | |
| |
United Arab Emirates (USD) (5%) | | | | |
928,233 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | | 966 | |
280,000 | | Emirates Semb Corp. Water & Power Co. PJSC 144A, 4.45%, 8/01/35 (a) | | | 280 | |
200,000 | | First Abu Dhabi Bank PJSC, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.138%), 4.50% (c)(e)(h) | | | 198 | |
415,000 | | NBK Tier 1 Financing 2 Ltd., (6 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.832%), 4.50% (c)(e)(h) | | | 399 | |
290,000 | | NBK Tier 1 Ltd. 144A, (6 yr. US Treasury Curve Rate T Note Constant Maturity + 2.875%), 3.63% (a)(c)(h) | | | 267 | |
Semi-Annual Report 101
Payden Emerging Markets Corporate Bond Fund continued
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
310,000 | | Sweihan PV Power Co. PJSC 144A, 3.63%, 1/31/49 (a) | | $ | 272 | |
| | | | | 2,382 | |
United Kingdom (USD) (4%) | | | | |
200,000 | | Energean PLC 144A, 6.50%, 4/30/27 (a) | | | 189 | |
450,000 | | Jaguar Land Rover Automotive PLC 144A, 5.50%, 7/15/29 (a) | | | 375 | |
300,000 | | MARB BondCo PLC 144A, 3.95%, 1/29/31 (a) | | | 250 | |
840,000 | | Vedanta Resources Finance II PLC 144A, 8.95%, 3/11/25 (a) | | | 800 | |
200,000 | | Vedanta Resources Finance II PLC 144A, 13.88%, 1/21/24 (a) | | | 208 | |
| | | | | 1,822 | |
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) | | | 497 | |
| |
United States (USD) (9%) | | | | |
420,000 | | Coral U.S. Co.-Borrower LLC Term Loan B6 1L, (LIBOR USD 1-Month + 3.000%), 3.55%, 10/01/29 (f) | | | 416 | |
200,000 | | Crescent Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 197 | |
250,000 | | Crocs Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.45%, 2/19/29 (f) | | | 245 | |
250,000 | | Directv Financing LLC/Directv Financing Co.- Obligor Inc. 144A, 5.88%, 8/15/27 (a) | | | 236 | |
200,000 | | General Motors Financial Co. Inc. A, (3 mo. LIBOR USD + 3.598%), 5.75% (c)(h) | | | 184 | |
225,000 | | Kosmos Energy Ltd. 144A, 7.13%, 4/04/26 (a) | | | 220 | |
250,000 | | McGraw-Hill Education Inc. 144A, 5.75%, 8/01/28 (a) | | | 224 | |
200,000 | | MercadoLibre Inc., 3.13%, 1/14/31 | | | 162 | |
635,000 | | MIC Glen LLC Term Loan 2L, (LIBOR USD 3-Month + 6.750%), 7.25%, 7/21/29 (f) | | | 627 | |
120,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 106 | |
200,000 | | Sasol Financing USA LLC, 6.50%, 9/27/28 | | | 199 | |
285,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.42%,
4/25/43 (a)(c) | | | 285 | |
100,000 | | Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 144A, 8.50%, 10/15/26 (a) | | | 94 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
510,000 | | Tacala Investment Corp. Term Loan B 2L, (LIBOR USD 1-Month + 7.500%), 8.26%, 2/05/28 (f) | | $ | 502 | |
200,000 | | United Natural Foods Inc. 144A, 6.75%, 10/15/28 (a) | | | 200 | |
275,000 | | Vistra Corp. 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.740%), 7.00% (a)(c)(h) | | | 268 | |
| | | | | 4,165 | |
Virgin Islands (British) (USD) (2%) | | | | |
1,000,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (e) | | | 993 | |
190,000 | | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 144A, 5.25%, 4/27/29 (a) | | | 181 | |
| | | | | 1,174 | |
| |
Total Bonds (Cost - $51,926) | | | 46,280 | |
| |
Investment Company (4%) | | | | |
2,161,909 | | Payden Cash Reserves Money Market Fund* (Cost - $2,162) | | | 2,162 | |
Total Investments (Cost - $54,088) (101%) | | | 48,442 | |
Liabilities in excess of Other Assets (-1%) | | | (242 | ) |
| | | | | | |
| |
Net Assets (100%) | | $ | 48,200 | |
| | | | | | |
| (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) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. |
| (d) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (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) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (g) | Yield to maturity at time of purchase. |
| (h) | Perpetual security with no stated maturity date. |
| (i) | All or a portion of these securities are on loan. At April 30, 2022, the total market value of the Fund’s securities on loan is $690 and the total market value of the collateral held by the Fund is $718. Amounts in 000s. |
|
| Open Forward Currency Contracts to USD |
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
RUB 7,246 | | | USD 61 | | | | | | | | BB&T Capital Markets Inc. | | | | 05/18/2022 | | | $ | 37 | |
RUB 2,524 | | | USD 22 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/18/2022 | | | | 12 | |
USD 297 | | | IDR 4,312,000 | | | | | | | | Barclays Bank PLC | | | | 05/19/2022 | | | | — | |
USD 166 | | | CAD 212 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | 1 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 50 | |
| | | | | | | | | | | | | | | | | | | | |
102 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency
Sold (000s) | | | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
USD 127 | | | RUB 9,770 | | | | | | | | HSBC Bank USA, N.A. | | | | 05/18/2022 | | | $ | (5 | ) |
USD 212 | | | MXN 4,520 | | | | | | | | HSBC Bank USA, N.A. | | | | 06/15/2022 | | | | (7 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | 38 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | 7 | | | | Jun-22 | | | $ | (834 | ) | | $ | 8 | | | $ | 8 | |
| | | | | | | | | | | | | | | | | | | | |
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 Brazil), Pay 1% Quarterly, Receive upon credit default | | | 06/21/2027 | | | $ | 1,450 | | | $ | 81 | | | $ | 72 | | | $ | 9 | |
Protection Bought (Relevant Credit: Markit CDX, North America High Yield Series 38 Index), Pay 5% Quarterly, Receive upon credit default | | | 06/21/2027 | | | | 565 | | | | (12 | ) | | | (32 | ) | | | 20 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 69 | | | $ | 40 | | | $ | 29 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 690 | |
Non-cash Collateral2 | | | (690 | ) |
| | | | |
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, 2022, 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 Equity Income Fund
| | | | | | | | | | |
The Fund seeks growth of capital and some current income. | | Portfolio Composition - percent of investments | | | |
| | | |
| | Financials | | | 21% | |
| | Healthcare | | | 17% | |
| | Energy | | | 15% | |
| | Technology | | | 14% | |
| | Industrials | | | 7% | |
| | Other | | | 26% | |
| | | | | | | | |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Stocks (95%) | | | | |
| |
Common Stock (90%) | | | | |
| |
Communication Services (2%) | | | | |
488,600 | | Interpublic Group of Cos. Inc. | | $ | 15,938 | |
296,800 | | Verizon Communications Inc. | | | 13,742 | |
| | | | | 29,680 | |
Consumer Discretionary (5%) | | | | |
37,300 | | Home Depot Inc. | | | 11,205 | |
66,300 | | McDonald’s Corp. | | | 16,519 | |
186,000 | | Sony Group Corp. (a) | | | 16,081 | |
89,900 | | Target Corp. | | | 20,556 | |
197,900 | | Wyndham Hotels & Resorts Inc. | | | 17,407 | |
| | | | | 81,768 | |
Consumer Staples (6%) | | | | |
172,400 | | Archer-Daniels-Midland Co. | | | 15,440 | |
259,100 | | Coca-Cola Co. | | | 16,740 | |
41,000 | | Costco Wholesale Corp. | | | 21,801 | |
186,600 | | Mondelez International Inc., Class A | | | 12,032 | |
106,700 | | PepsiCo Inc. | | | 18,321 | |
| | | | | 84,334 | |
Energy (15%) | | | | |
524,100 | | Canadian Natural Resources Ltd. | | | 32,438 | |
259,800 | | Chesapeake Energy Corp. | | | 21,309 | |
142,900 | | Chevron Corp. | | | 22,388 | |
252,100 | | Devon Energy Corp. | | | 14,665 | |
432,600 | | Enbridge Inc. | | | 18,879 | |
729,700 | | Enterprise Products Partners LP | | | 18,907 | |
375,600 | | EQT Corp. | | | 14,930 | |
336,200 | | Phillips 66 | | | 29,169 | |
502,200 | | Tourmaline Oil Corp. (a) | | | 25,864 | |
619,800 | | Williams Cos. Inc. | | | 21,253 | |
| | | | | 219,802 | |
Financials (17%) | | | | |
65,800 | | Ameriprise Financial Inc. | | | 17,469 | |
866,300 | | Ares Capital Corp. (b) | | | 17,560 | |
217,000 | | Ares Management Corp., Class A | | | 14,370 | |
169,300 | | Arthur J Gallagher & Co. | | | 28,525 | |
450,100 | | Bank of America Corp. | | | 16,060 | |
107,500 | | Chubb Ltd. (a) | | | 22,193 | |
405,900 | | Citizens Financial Group Inc. | | | 15,992 | |
36,100 | | Goldman Sachs Group Inc. | | | 11,028 | |
120,300 | | JPMorgan Chase & Co. | | | 14,359 | |
388,800 | | MetLife Inc. | | | 25,536 | |
136,100 | | Morgan Stanley | | | 10,968 | |
42,900 | | PNC Financial Services Group Inc. | | | 7,126 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
264,600 | | Toronto-Dominion Bank | | $ | 19,112 | |
328,500 | | Wells Fargo & Co. | | | 14,332 | |
| | | | | 234,630 | |
Healthcare (17%) | | | | |
149,000 | | Abbott Laboratories | | | 16,911 | |
166,500 | | AbbVie Inc. | | | 24,456 | |
254,200 | | Bristol Myers Squibb Co. | | | 19,134 | |
298,900 | | CVS Health Corp. | | | 28,733 | |
114,200 | | Eli Lilly and Co. | | | 33,361 | |
93,100 | | Johnson & Johnson | | | 16,801 | |
256,700 | | Medtronic PLC | | | 26,789 | |
130,900 | | Merck & Co. Inc. | | | 11,610 | |
596,200 | | Pfizer Inc. | | | 29,256 | |
73,700 | | UnitedHealth Group Inc. | | | 37,480 | |
| | | | | 244,531 | |
Industrials (8%) | | | | |
157,800 | | Emerson Electric Co. | | | 14,230 | |
149,700 | | General Dynamics Corp. | | | 35,409 | |
112,400 | | Raytheon Technologies Corp. | | | 10,668 | |
169,300 | | Republic Services Inc. | | | 22,732 | |
92,500 | | Union Pacific Corp. | | | 21,672 | |
| | | | | 104,711 | |
Materials (2%) | | | | |
172,900 | | CF Industries Holdings Inc. | | | 16,742 | |
153,300 | | Eastman Chemical Co. | | | 15,739 | |
| | | | | 32,481 | |
Technology (14%) | | | | |
98,400 | | Analog Devices Inc. | | | 15,191 | |
206,000 | | Apple Inc. | | | 32,476 | |
60,800 | | Broadcom Inc. | | | 33,707 | |
473,200 | | Cisco Systems Inc. | | | 23,177 | |
119,700 | | Microsoft Corp. | | | 33,219 | |
187,200 | | Paychex Inc. | | | 23,724 | |
163,000 | | QUALCOMM Inc. | | | 22,769 | |
63,500 | | Texas Instruments Inc. | | | 10,811 | |
| | | | | 195,074 | |
Utilities (4%) | | | | |
170,400 | | Duke Energy Corp. | | | 18,771 | |
418,900 | | Exelon Corp. | | | 19,596 | |
328,300 | | NextEra Energy Inc. | | | 23,316 | |
| | | | | 61,683 | |
Total Common Stock | | | 1,288,694 | |
| |
Preferred Stock (0%) | | | | |
130,000 | | Selective Insurance Group Inc., 4.60%(c) | | | 2,512 | |
| |
Total Preferred Stock | | | 2,512 | |
104 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Real Estate Investment Trust (5%) | | | | |
60,600 | | AvalonBay Communities Inc. | | $ | 13,785 | |
87,800 | | Digital Realty Trust Inc. | | | 12,829 | |
116,500 | | Prologis Inc. | | | 18,674 | |
91,500 | | Sun Communities Inc. | | | 16,065 | |
Total Real Estate Investment Trust | | | 61,353 | |
| |
Total Stocks (Cost - $1,198,514) | | | 1,352,559 | |
| |
Corporate Bond (1%) | | | | |
6,000,000 | | General Motors Financial Co. Inc. B, (3 mo. LIBOR USD + 3.436%), 6.50% (b)(c)(d) | | | 5,820 | |
2,800,000 | | Land O’ Lakes Inc. 144A, 7.00% (b)(c)(e) | | | 2,860 | |
9,000,000 | | SVB Financial Group E, (10 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.064%), 4.70% (c)(d) | | | 7,408 | |
| |
Total Corporate Bond (Cost - $16,323) | | | 16,088 | |
| |
Investment Company (5%) | | | | |
70,798,212 | | Payden Cash Reserves Money Market Fund 1.00%* (Cost - $70,798) | | | 70,798 | |
| |
Total Investments (Cost - $1,285,635) (101%) | | | 1,439,445 | |
Liabilities, in excess of Other Assets (-1%) | | | (8,764 | ) |
| |
Net Assets (100%) | | $ | 1,430,681 | |
| (a) | Principal in foreign currency. |
| (b) | All or a portion of these securities are on loan. At April 30, 2022, the total market value of the Fund’s securities on loan is $474 and the total market value of the collateral held by the Fund is $17,242. Amounts in 000s. |
| (c) | Perpetual security with no stated maturity date. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2022. |
| (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
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
USD 1,133 | | | EUR 1,024 | | | | | | | | Citibank, N.A. | | | | 09/15/2022 | | | $ | 44 | |
USD 78,162 | | | CAD 99,935 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | 411 | |
USD 150 | | | GBP 115 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | 6 | |
USD 20,357 | | | JPY 2,398,300 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | 1,736 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 2,197 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation | | | | | | | | | | | | | | | | | | $ | 2,197 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 474 | |
Non-cash Collateral2 | | | (474 | ) |
| | | | |
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, 2022, 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 105
| | |
Statements of Assets and Liabilities | | |
April 30, 2022 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | Payden
Cash Reserves
Money Market
Fund | | | | | | Payden
Limited
Maturity
Fund | | | | | | Payden
Low Duration
Fund | | | | |
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value * | | $ | 449,779 | | | | | | | $ | 2,094,668 | | | | | | | $ | 1,359,123 | | | | | |
Affiliated investments, at value ** | | | — | | | | | | | | 43,595 | | | | | | | | 30,070 | | | | | |
Repurchase agreements, at value *** | | | 104,000 | | | | | | | | — | | | | | | | | — | | | | | |
Foreign cash **** | | | — | | | | | | | | 3,005 | | | | | | | | 388 | | | | | |
Cash | | | 5,021 | | | | | | | | 53 | | | | | | | | — | | | | | |
Cash pledged for financial futures contracts | | | — | | | | | | | | 13 | | | | | | | | 331 | | | | | |
Cash pledged for centrally cleared swaps | | | — | | | | | | | | — | | | | | | | | 9 | | | | | |
Receivable for: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest and dividends | | | 43 | | | | | | | | 4,630 | | | | | | | | 3,981 | | | | | |
Investments sold | | | — | | | | | | | | 3,853 | | | | | | | | 63,859 | | | | | |
Fund shares sold | | | 58 | | | | | | | | 2,065 | | | | | | | | 419 | | | | | |
Futures | | | — | | | | | | | | 95 | | | | | | | | 171 | | | | | |
Forward currency contracts | | | — | | | | | | | | 884 | | | | | | | | 363 | | | | | |
Variation margin on centrally cleared swaps | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Receivable from Advisor (Note 3) | | | 20 | | | | | | | | 508 | | | | | | | | — | | | | | |
Other assets | | | 1,117 | | | | | | | | 90 | | | | | | | | 63 | | | | | |
Total Assets | | | 560,038 | | | | | | | | 2,153,459 | | | | | | | | 1,458,777 | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for: | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | | | | | 262 | | | | | | | | 8 | | | | | |
Investments purchased | | | 79,966 | | | | | | | | 67,382 | | | | | | | | 55,819 | | | | | |
Fund shares redeemed | | | 8 | | | | | | | | 382 | | | | | | | | 573 | | | | | |
Futures | | | — | | | | | | | | — | | | | | | | | 211 | | | | | |
Variation margin on centrally cleared swaps | | | — | | | | | | | | — | | | | | | | | 15 | | | | | |
Distributions payable | | | 10 | | | | | | | | 80 | | | | | | | | 89 | | | | | |
Liability for securities on loan (Note 2) | | | — | | | | | | | | 4,391 | | | | | | | | — | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | — | | | | | | | | — | | | | | | | | 166 | | | | | |
Administration fees (Note 3) | | | 67 | | | | | | | | 253 | | | | | | | | 173 | | | | | |
Distribution fees (Notes 3) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Trustee fees and expenses | | | 6 | | | | | | | | 28 | | | | | | | | 18 | | | | | |
Other liabilities | | | 59 | | | | | | | | 340 | | | | | | | | 370 | | | | | |
Total Liabilities | | | 80,116 | | | | | | | | 73,118 | | | | | | | | 57,442 | | | | | |
NET ASSETS | | $ | 479,922 | | | | | | | $ | 2,080,341 | | | | | | | $ | 1,401,335 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | $ | 479,922 | | | | | | | $ | 2,101,229 | | | | | | | $ | 1,450,996 | | | | | |
Distributable earnings (loss) | | | — | | | | | | | | (20,888 | ) | | | | | | | (49,661 | ) | | | | |
NET ASSETS | | $ | 479,922 | | | | | | | $ | 2,080,341 | | | | | | | $ | 1,401,335 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSET VALUE — offering and redemption price per share in whole dollars | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | $ | 479,922 | | | | | | | $ | 623,321 | | | | | | | $ | 1,125,755 | | | | | |
Shares Outstanding | | | 479,916 | | | | | | | | 66,197 | | | | | | | | 115,567 | | | | | |
Net Asset Value Per Share | | $ | 1.00 | | | | | | | $ | 9.42 | | | | | | | $ | 9.74 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | — | | | | | | | $ | 1,457,020 | | | | | | | $ | 275,580 | | | | | |
Shares Outstanding | | | — | | | | | | | | 154,693 | | | | | | | | 28,297 | | | | | |
Net Asset Value Per Share | | | — | | | | | | | $ | 9.42 | | | | | | | $ | 9.74 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Shares Outstanding | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Net Asset Value Per Share | | | — | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* Investments, at cost | | $ | 449,779 | | | | | | | $ | 2,121,088 | | | | | | | $ | 1,400,073 | | | | | |
** Affiliated investments, at cost | | | — | | | | | | | | 43,989 | | | | | | | | 30,070 | | | | | |
*** Repurchase agreements, at cost | | | 104,000 | | | | | | | | — | | | | | | | | — | | | | | |
**** Foreign cash, at cost | | | — | | | | | | | | 3,037 | | | | | | | | 398 | | | | | |
| (a) | SI Class Net Asset Value Per Share are calculated using unrounded net assets $92.39, divided by unrounded shares 9.16. |
See notes to financial statements.
106 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 | |
| | | | $ | 23,600 | | | | | | | | | | | | | | | $ | 109,309 | | | | | | | | | | | $ | 1,127,467 | | | | | | | | | | | $ | 386,309 | | | | | | | | | | | $ | 169,577 | | | | | | | | | | | $ | 877,245 | | | | | | | | | | | $ | 192,248 | | | | | |
| | | | | 944 | | | | | | | | | | | | | | | | 934 | | | | | | | | | | | | 24,800 | | | | | | | | | | | | 3,598 | | | | | | | | | | | | 4,927 | | | | | | | | | | | | 70,925 | | | | | | | | | | | | 8,286 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 8,020 | | | | | | | | | | | | — | | | | | | | | | | | | 3,094 | | | | | | | | | | | | 1,085 | | | | | | | | | | | | 2 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 186 | | | | | | | | | | | | 20 | | | | | | | | | | | | 49 | | | | | | | | | | | | 82 | | | | | | | | | | | | 1,581 | | | | | |
| | | | | 21 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 270 | | | | | | | | | | | | 489 | | | | | | | | | | | | 100 | | | | | | | | | | | | 3,792 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 106 | | | | | | | | | | | | 6,353 | | | | | | | | | | | | — | | | | | |
| | | | | 51 | | | | | | | | | | | | | | | | 222 | | | | | | | | | | | | 6,783 | | | | | | | | | | | | 3,543 | | | | | | | | | | | | 1,059 | | | | | | | | | | | | 3,618 | | | | | | | | | | | | 783 | | | | | |
| | | | | 18 | | | | | | | | | | | | | | | | 967 | | | | | | | | | | | | 15,090 | | | | | | | | | | | | — | | | | | | | | | | | | 1,154 | | | | | | | | | | | | 9,653 | | | | | | | | | | | | 5,481 | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 3 | | | | | | | | | | | | 165 | | | | | | | | | | | | 934 | | | | | | | | | | | | 90 | | | | | | | | | | | | 605 | | | | | | | | | | | | 100 | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 310 | | | | | | | | | | | | 52 | | | | | | | | | | | | 22 | | | | | | | | | | | | 317 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 2,998 | | | | | | | | | | | | — | | | | | | | | | | | | 824 | | | | | | | | | | | | 3,554 | | | | | | | | | | | | 3 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 114 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 377 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 9 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 50 | | | | | | | | | | | | 39 | | | | | | | | | | | | 22 | | | | | | | | | | | | 28 | | | | | | | | | | | | 20 | | | | | |
| | | | | | 24,646 | | | | | | | | | | | | | | | | 111,435 | | | | | | | | | | | | 1,186,253 | | | | | | | | | | | | 394,984 | | | | | | | | | | | | 181,024 | | | | | | | | | | | | 977,634 | | | | | | | | | | | | 208,504 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 198 | | | | | | | | | | | | — | | | | | | | | | | | | 31 | | | | | | | | | | | | 556 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 29,736 | | | | | | | | | | | | 80,774 | | | | | | | | | | | | 5,895 | | | | | | | | | | | | 4,286 | | | | | | | | | | | | 23,975 | | | | | | | | | | | | 5,168 | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 97 | | | | | | | | | | | | 149 | | | | | | | | | | | | 332 | | | | | | | | | | | | 5 | | | | | | | | | | | | 106 | | | | | | | | | | | | 1 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 306 | | | | | | | | | | | | 118 | | | | | | | | | | | | 28 | | | | | | | | | | | | 40 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 6 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 36 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 2,942 | | | | | | | | | | | | 1,473 | | | | | | | | | | | | 574 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 21 | | | | | | | | | | | | 186 | | | | | | | | | | | | 123 | | | | | | | | | | | | 28 | | | | | | | | | | | | 184 | | | | | | | | | | | | 17 | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 10 | | | | | | | | | | | | 139 | | | | | | | | | | | | 49 | | | | | | | | | | | | 22 | | | | | | | | | | | | 119 | | | | | | | | | | | | 26 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 18 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 14 | | | | | | | | | | | | 5 | | | | | | | | | | | | 2 | | | | | | | | | | | | 12 | | | | | | | | | | | | 2 | | | | | |
| | | | | 23 | | | | | | | | | | | | | | | | 94 | | | | | | | | | | | | 279 | | | | | | | | | | | | 170 | | | | | | | | | | | | 51 | | | | | | | | | | | | 133 | | | | | | | | | | | | 49 | | | | | |
| | | | | | 33 | | | | | | | | | | | | | | | | 29,995 | | | | | | | | | | | | 85,005 | | | | | | | | | | | | 8,165 | | | | | | | | | | | | 5,033 | | | | | | | | | | | | 25,125 | | | | | | | | | | | | 5,263 | | | | | |
| | | | $ | 24,613 | | | | | | | | | | | | | | | $ | 81,440 | | | | | | | | | | | $ | 1,101,248 | | | | | | | | | | | $ | 386,819 | | | | | | | | | | | $ | 175,991 | | | | | | | | | | | $ | 952,509 | | | | | | | | | | | $ | 203,241 | | | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 33,767 | | | | | | | | | | | | | | | $ | 130,268 | | | | | | | | | | | $ | 1,218,586 | | | | | | | | | | | $ | 426,079 | | | | | | | | | | | $ | 185,245 | | | | | | | | | | | $ | 992,408 | | | | | | | | | | | $ | 209,853 | | | | | |
| | | | | | (9,154 | ) | | | | | | | | | | | | | | | (48,828 | ) | | | | | | | | | | | (117,338 | ) | | | | | | | | | | | (39,260 | ) | | | | | | | | | | | (9,254 | ) | | | | | | | | | | | (39,899 | ) | | | | | | | | | | | (6,612 | ) | | | | |
| | | | $ | 24,613 | | | | | | | | | | | | | | | $ | 81,440 | | | | | | | | | | | $ | 1,101,248 | | | | | | | | | | | $ | 386,819 | | | | | | | | | | | $ | 175,991 | | | | | | | | | | | $ | 952,509 | | | | | | | | | | | $ | 203,241 | | | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 24,613 | | | | | | | | | | | | | | | $ | 81,440 | | | | | | | | | | | $ | 342,033 | | | | | | | | | | | $ | 386,819 | | | | | | | | | | | $ | 128,922 | | | | | | | | | | | $ | 148,091 | | | | | | | | | | | $ | 24,558 | | | | | |
| | | | | 2,544 | | | | | | | | | | | | | | | | 9,913 | | | | | | | | | | | | 35,208 | | | | | | | | | | | | 38,372 | | | | | | | | | | | | 13,263 | | | | | | | | | | | | 15,416 | | | | | | | | | | | | 2,518 | | | | | |
| | | | $ | 9.67 | | | | | | | | | | | | | | | $ | 8.22 | | | | | | | | | | | $ | 9.71 | | | | | | | | | | | $ | 10.08 | | | | | | | | | | | $ | 9.72 | | | | | | | | | | | $ | 9.61 | | | | | | | | | | | $ | 9.75 | | | | | |
| | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 718,455 | | | | | | | | | | | | — | | | | | | | | | | | $ | 47,069 | | | | | | | | | | | $ | 804,418 | | | | | | | | | | | $ | 178,683 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 74,043 | | | | | | | | | | | | — | | | | | | | | | | | | 4,842 | | | | | | | | | | | | 83,647 | | | | | | | | | | | | 18,312 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 9.70 | | | | | | | | | | | $ | 10.09 | (a) | | | | | | | | | | $ | 9.72 | | | | | | | | | | | $ | 9.62 | | | | | | | | | | | $ | 9.76 | | | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 40,760 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | �� | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 4,208 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 9.69 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 25,278 | | | | | | | | | | | | | | | $ | 115,787 | | | | | | | | | | | $ | 1,238,038 | | | | | | | | | | | $ | 424,163 | | | | | | | | | | | $ | 180,268 | | | | | | | | | | | $ | 915,968 | | | | | | | | | | | $ | 195,405 | | | | | |
| | | | | 944 | | | | | | | | | | | | | | | | 934 | | | | | | | | | | | | 24,800 | | | | | | | | | | | | 3,598 | | | | | | | | | | | | 4,927 | | | | | | | | | | | | 70,925 | | | | | | | | | | | | 8,286 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 8,347 | | | | | | | | | | | | — | | | | | | | | | | | | 3,211 | | | | | | | | | | | | 1,086 | | | | | | | | | | | | 2 | | | | | |
See notes to financial statements.
Semi-Annual Report 107
| | |
Statements of Assets & Liabilities continued | | |
April 30, 2022 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | Payden
High Income
Fund | | | | Payden
California Municipal
Social Impact
Fund | | | | Payden
Global Low
Duration Fund | | |
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value * | | | $ | 674,619 | | | | | | | | | $ | 101,833 | | | | | | | | | $ | 66,809 | | | | | | |
Affiliated investments, at value ** | | | | 16,032 | | | | | | | | | | — | | | | | | | | | | 1,864 | | | | | | |
Foreign cash *** | | | | 207 | | | | | | | | | | — | | | | | | | | | | 40 | | | | | | |
Cash | | | | 2,717 | | | | | | | | | | 9,635 | | | | | | | | | | — | | | | | | |
Cash pledged for financial futures contracts | | | | — | | | | | | | | | | 45 | | | | | | | | | | 8 | | | | | | |
Cash pledged for centrally cleared swaps | | | | 113 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Receivable for: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest and dividends | | | | 10,143 | | | | | | | | | | 976 | | | | | | | | | | 248 | | | | | | |
Investments sold | | | | 963 | | | | | | | | | | 1,004 | | | | | | | | | | 1,845 | | | | | | |
Fund shares sold | | | | 102 | | | | | | | | | | 346 | | | | | | | | | | — | | | | | | |
Futures | | | | — | | | | | | | | | | — | | | | | | | | | | 9 | | | | | | |
Forward currency contracts | | | | 103 | | | | | | | | | | — | | | | | | | | | | 27 | | | | | | |
Variation margin on centrally cleared swaps | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Receivable from Advisor (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Other assets | | | | 42 | | | | | | | | | | 18 | | | | | | | | | | 2 | | | | | | |
Total Assets | | | | 705,041 | | | | | | | | | | 113,857 | | | | | | | | | | 70,852 | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Forward currency contracts | | | | 60 | | | | | | | | | | — | | | | | | | | | | 1 | | | | | | |
Investments purchased | | | | 1,827 | | | | | | | | | | 9,258 | | | | | | | | | | 1,572 | | | | | | |
Fund shares redeemed | | | | 94 | | | | | | | | | | 19 | | | | | | | | | | 2 | | | | | | |
Futures | | | | — | | | | | | | | | | — | | | | | | | | | | 14 | | | | | | |
Variation margin on centrally cleared swaps | | | | 10 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Distributions payable | | | | — | | | | | | | | | | 34 | | | | | | | | | | — | | | | | | |
Liability for securities on loan (Note 2) | | | | 7,801 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | 197 | | | | | | | | | | 4 | | | | | | | | | | 16 | | | | | | |
Administration fees (Note 3) | | | | 90 | | | | | | | | | | 12 | | | | | | | | | | 9 | | | | | | |
Distribution fees (Notes 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Trustee fees and expenses | | | | 11 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | |
Other liabilities | | | | 156 | | | | | | | | | | 14 | | | | | | | | | | 49 | | | | | | |
Total Liabilities | | | | 10,246 | | | | | | | | | | 9,342 | | | | | | | | | | 1,664 | | | | | | |
NET ASSETS | | | $ | 694,795 | | | | | | | | | $ | 104,515 | | | | | | | | | $ | 69,188 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | | $ | 747,755 | | | | | | | | | $ | 109,119 | | | | | | | | | $ | 71,502 | | | | | | |
Distributable earnings (loss) | | | | (52,960 | ) | | | | | | | | | (4,604 | ) | | | | | | | | | (2,314 | ) | | | | | |
NET ASSETS | | | $ | 694,795 | | | | | | | | | $ | 104,515 | | | | | | | | | $ | 69,188 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSET VALUE — offering and redemption price per share in whole dollars | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $ | 304,098 | | | | | | | | | $ | 104,515 | | | | | | | | | $ | 69,188 | | | | | | |
Shares Outstanding | | | | 48,601 | | | | | | | | | | 10,720 | | | | | | | | | | 7,133 | | | | | | |
Net Asset Value Per Share | | | $ | 6.26 | | | | | | | | | $ | 9.75 | | | | | | | | | $ | 9.70 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $ | 390,697 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Shares Outstanding | | | | 62,546 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Net Asset Value Per Share | | | $ | 6.25 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Shares Outstanding | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Net Asset Value Per Share | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* Investments, at cost | | | $ | 726,695 | | | | | | | | | $ | 106,164 | | | | | | | | | $ | 68,949 | | | | | | |
** Affiliated investments, at cost | | | | 16,032 | | | | | | | | | | — | | | | | | | | | | 1,864 | | | | | | |
*** Foreign cash, at cost | | | | 207 | | | | | | | | | | — | | | | | | | | | | 41 | | | | | | |
| (a) | SI Class Net Asset Value Per Share are calculated using unrounded net assets $91.07, divided by unrounded shares 19.066. |
See notes to financial statements.
108 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $246,236 | | | | | | | | | | | | | | | | $846,590 | | | | | | | | | | | | $30,463 | | | | | | | | | | | | $46,280 | | | | | | | | | | | | $1,368,647 | | | | | |
| | | | | 6,155 | | | | | | | | | | | | | | | | 17,996 | | | | | | | | | | | | 1,192 | | | | | | | | | | | | 2,162 | | | | | | | | | | | | 70,798 | | | | | |
| | | | | 7,464 | | | | | | | | | | | | | | | | 1,237 | | | | | | | | | | | | 232 | | | | | | | | | | | | 31 | | | | | | | | | | | | 4,662 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 3,223 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 120 | | | | | |
| | | | | 103 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 14 | | | | | | | | | | | | — | | | | | |
| | | | | 6 | | | | | | | | | | | | | | | | 1,470 | | | | | | | | | | | | 30 | | | | | | | | | | | | 90 | | | | | | | | | | | | — | | | | | |
| | | | | 1,551 | | | | | | | | | | | | | | | | 14,864 | | | | | | | | | | | | 673 | | | | | | | | | | | | 636 | | | | | | | | | | | | 2,336 | | | | | |
| | | | | 2,637 | | | | | | | | | | | | | | | | 2,198 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 402 | | | | | | | | | | | | | | | | 962 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 181 | | | | | |
| | | | | 66 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 2 | | | | | | | | | | | | — | | | | | |
| | | | | 6,074 | | | | | | | | | | | | | | | | 8,398 | | | | | | | | | | | | 697 | | | | | | | | | | | | 50 | | | | | | | | | | | | 2,197 | | | | | |
| | | | | 43 | | | | | | | | | | | | | | | | 176 | | | | | | | | | | | | 3 | | | | | | | | | | | | 6 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 61 | | | | | | | | | | | | | | | | 76 | | | | | | | | | | | | 20 | | | | | | | | | | | | 19 | | | | | | | | | | | | 50 | | | | | |
| | | | | | 270,798 | | | | | | | | | | | | | | | | 897,190 | | | | | | | | | | | | 33,310 | | | | | | | | | | | | 49,290 | | | | | | | | | | | | 1,448,991 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 251 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 330 | | | | | | | | | | | | 2 | | | | | | | | | | | | — | | | | | |
| | | | | 948 | | | | | | | | | | | | | | | | 1,583 | | | | | | | | | | | | 480 | | | | | | | | | | | | 12 | | | | | | | | | | | | — | | | | | |
| | | | | 4,910 | | | | | | | | | | | | | | | | 8,950 | | | | | | | | | | | | 168 | | | | | | | | | | | | 307 | | | | | | | | | | | | — | | | | | |
| | | | | 36 | | | | | | | | | | | | | | | | 3,107 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 133 | | | | | |
| | | | | 92 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 5,073 | | | | | | | | | | | | — | | | | | | | | | | | | 718 | | | | | | | | | | | | 17,242 | | | | | |
| | | | | 150 | | | | | | | | | | | | | | | | 362 | | | | | | | | | | | | 67 | | | | | | | | | | | | 2 | | | | | | | | | | | | 441 | | | | | |
| | | | | 33 | | | | | | | | | | | | | | | | 111 | | | | | | | | | | | | 4 | | | | | | | | | | | | 6 | | | | | | | | | | | | 184 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 15 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 9 | | | | | |
| | | | | 3 | | | | | | | | | | | | | | | | 15 | | | | | | | | | | | | 1 | | | | | | | | | | | | 1 | | | | | | | | | | | | 21 | | | | | |
| | | | | 111 | | | | | | | | | | | | | | | | 248 | | | | | | | | | | | | 49 | | | | | | | | | | | | 42 | | | | | | | | | | | | 280 | | | | | |
| | | | | | 6,534 | | | | | | | | | | | | | | | | 19,464 | | | | | | | | | | | | 1,099 | | | | | | | | | | | | 1,090 | | | | | | | | | | | | 18,310 | | | | | |
| | | | | $264,264 | | | | | | | | | | | | | | | | $877,726 | | | | | | | | | | | | $32,211 | | | | | | | | | | | | $48,200 | | | | | | | | | | | | $1,430,681 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $293,178 | | | | | | | | | | | | | | | | $1,099,332 | | | | | | | | | | | | $63,610 | | | | | | | | | | | | $53,761 | | | | | | | | | | | | $1,153,284 | | | | | |
| | | | | (28,914 | ) | | | | | | | | | | | | | | | (221,606 | ) | | | | | | | | | | | (31,399 | ) | | | | | | | | | | | (5,561 | ) | | | | | | | | | | | 277,397 | | | | | |
| | | | | | $264,264 | | | | | | | | | | | | | | | | $877,726 | | | | | | | | | | | | $32,211 | | | | | | | | | | | | $48,200 | | | | | | | | | | | | $1,430,681 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $107,112 | | | | | | | | | | | | | | | | $360,670 | | | | | | | | | | | | $32,211 | | | | | | | | | | | | $4,780 | | | | | | | | | | | | $481,769 | | | | | |
| | | | | 12,929 | | | | | | | | | | | | | | | | 33,078 | | | | | | | | | | | | 6,685 | | | | | | | | | | | | 532 | | | | | | | | | | | | 27,638 | | | | | |
| | | | | $8.28 | | | | | | | | | | | | | | | | $10.90 | | | | | | | | | | | | $4.82 | | | | | | | | | | | | $8.98 | | | | | | | | | | | | $17.43 | | | | | |
| | | | | | | |
| | | | | $157,152 | | | | | | | | | | | | | | | | $484,208 | | | | | | | | | | | | — | | | | | | | | | | | | $43,420 | | | | | | | | | | | | $928,653 | | | | | |
| | | | | 18,994 | | | | | | | | | | | | | | | | 44,471 | | | | | | | | | | | | — | | | | | | | | | | | | 4,825 | | | | | | | | | | | | 53,190 | | | | | |
| | | | | $8.27 | | | | | | | | | | | | | | | | $10.89 | | | | | | | | | | | | $4.78 | (a) | | | | | | | | | | | $9.00 | | | | | | | | | | | | $17.46 | | | | | |
| | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $32,848 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | $20,259 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 3,008 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1,164 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | $10.92 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | $17.40 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $281,635 | | | | | | | | | | | | | | | | $1,027,721 | | | | | | | | | | | | $40,330 | | | | | | | | | | | | $51,926 | | | | | | | | | | | | $1,214,837 | | | | | |
| | | | | 6,192 | | | | | | | | | | | | | | | | 17,996 | | | | | | | | | | | | 1,192 | | | | | | | | | | | | 2,162 | | | | | | | | | | | | 70,798 | | | | | |
| | | | | 7,579 | | | | | | | | | | | | | | | | 1,266 | | | | | | | | | | | | 239 | | | | | | | | | | | | 31 | | | | | | | | | | | | 4,769 | | | | | |
See notes to financial statements.
Semi-Annual Report 109
Period ended April 30, 2022 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Payden
Cash Reserves
Money Market
Fund | | | | Payden
Limited
Maturity
Fund | | | | Payden
Low Duration
Fund | | |
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest income (Note 2) | | | $ | 303 | | | | | | | | | $ | 7,751 | | | | | | | | | $ | 10,478 | | | | | | |
Dividend income | | | | — | | | | | | | | | | 492 | | | | | | | | | | — | | | | | | |
Dividend income from affiliated investment (Note 2) | | | | — | | | | | | | | | | 428 | | | | | | | | | | 1 | | | | | | |
Income from securities lending | | | | — | | | | | | | | | | 14 | | | | | | | | | | 3 | | | | | | |
Investment Income | | | | 303 | | | | | | | | | | 8,685 | | | | | | | | | | 10,482 | | | | | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | 369 | | | | | | | | | | 2,883 | | | | | | | | | | 2,009 | | | | | | |
Administration fees (Note 3) | | | | 369 | | | | | | | | | | 1,641 | | | | | | | | | | 1,116 | | | | | | |
Shareholder servicing fees | | | | — | | | | | | | | | | 523 | | | | | | | | | | 388 | | | | | | |
Distribution fees (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Custodian fees | | | | 30 | | | | | | | | | | 104 | | | | | | | | | | 45 | | | | | | |
Transfer agent fees | | | | 15 | | | | | | | | | | 51 | | | | | | | | | | 28 | | | | | | |
Registration and filing fees | | | | 22 | | | | | | | | | | 19 | | | | | | | | | | 33 | | | | | | |
Trustee fees and expenses | | | | 30 | | | | | | | | | | 169 | | | | | | | | | | 85 | | | | | | |
Printing and mailing costs | | | | 7 | | | | | | | | | | 33 | | | | | | | | | | 19 | | | | | | |
Loan commitment fees | | | | — | | | | | | | | | | 14 | | | | | | | | | | 9 | | | | | | |
Legal fees | | | | 6 | | | | | | | | | | 33 | | | | | | | | | | 23 | | | | | | |
Publication expense | | | | 4 | | | | | | | | | | 22 | | | | | | | | | | 16 | | | | | | |
Pricing fees | | | | 2 | | | | | | | | | | 52 | | | | | | | | | | 25 | | | | | | |
Fund accounting fees | | | | 31 | | | | | | | | | | 150 | | | | | | | | | | 91 | | | | | | |
Insurance | | | | 4 | | | | | | | | | | 23 | | | | | | | | | | 17 | | | | | | |
Audit fees | | | | 18 | | | | | | | | | | 21 | | | | | | | | | | 21 | | | | | | |
Interest expense | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Other expenses | | | | 11 | | | | | | | | | | 74 | | | | | | | | | | — | | | | | | |
Gross Expenses | | | | 918 | | | | | | | | | | 5,812 | | | | | | | | | | 3,925 | | | | | | |
Expense subsidy (Note 3) | | | | (640 | ) | | | | | | | | | (3,438 | ) | | | | | | | | | (746 | ) | | | | | |
Net Expenses | | | | 278 | | | | | | | | | | 2,374 | | | | | | | | | | 3,179 | | | | | | |
Net Investment Income | | | | 25 | | | | | | | | | | 6,311 | | | | | | | | | | 7,303 | | | | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | — | | | | | | | | | | (1,417 | ) | | | | | | | | | (12,307 | ) | | | | | |
Foreign currency transactions | | | | — | | | | | | | | | | 87 | | | | | | | | | | 184 | | | | | | |
Forward foreign exchange contracts | | | | — | | | | | | | | | | 1,400 | | | | | | | | | | 1,944 | | | | | | |
Futures contracts | | | | — | | | | | | | | | | 2,736 | | | | | | | | | | 1,657 | | | | | | |
Written option contracts | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Swap contracts | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | — | | | | | | | | | | (29,767 | ) | | | | | | | | | (42,364 | ) | | | | | |
Translation of assets and liabilities in foreign currencies | | | | — | | | | | | | | | | (56 | ) | | | | | | | | | (12 | ) | | | | | |
Forward foreign exchange contracts | | | | — | | | | | | | | | | 3,843 | | | | | | | | | | 575 | | | | | | |
Affiliated Investments | | | | — | | | | | | | | | | (417 | ) | | | | | | | | | — | | | | | | |
Futures contracts | | | | — | | | | | | | | | | 1,531 | | | | | | | | | | (685 | ) | | | | | |
Written option contracts | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Swap contracts | | | | — | | | | | | | | | | — | | | | | | | | | | (48 | ) | | | | | |
Net Realized and Unrealized Losses | | | | 0 | | | | | | | | | | (22,060 | ) | | | | | | | | | (51,056 | ) | | | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | 25 | | | | | | | | | $ | (15,749 | ) | | | | | | | | $ | (43,753 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
110 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 305 | | | | | | | | | | | | | | | $ | 1,042 | | | | | | | | | | | $ | 16,808 | | | | | | | | | | | $ | 7,158 | | | | | | | | | | | $ | 2,913 | | | | | | | | | | | $ | 13,837 | | | | | | | | | | | $ | 3,866 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 303 | | | | | | | | | | | | 853 | | | | | | | | | | | | 202 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | 1 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 7 | | | | | | | | | | | | 11 | | | | | | | | | | | | 1 | | | | | | | | | | | | 7 | | | | | | | | | | | | 1 | | | | | |
| | | | | | 305 | | | | | | | | | | | | | | | | 1,042 | | | | | | | | | | | | 16,815 | | | | | | | | | | | | 7,169 | | | | | | | | | | | | 3,217 | | | | | | | | | | | | 14,698 | | | | | | | | | | | | 4,070 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 33 | | | | | | | | | | | | | | | | 123 | | | | | | | | | | | | 1,659 | | | | | | | | | | | | 761 | | | | | | | | | | | | 518 | | | | | | | | | | | | 2,459 | | | | | | | | | | | | 560 | | | | | |
| | | | | 18 | | | | | | | | | | | | | | | | 69 | | | | | | | | | | | | 906 | | | | | | | | | | | | 326 | | | | | | | | | | | | 141 | | | | | | | | | | | | 738 | | | | | | | | | | | | 153 | | | | | |
| | | | | 4 | | | | | | | | | | | | | | | | 46 | | | | | | | | | | | | 157 | | | | | | | | | | | | 160 | | | | | | | | | | | | 7 | | | | | | | | | | | | 43 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 55 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 4 | | | | | | | | | | | | | | | | 10 | | | | | | | | | | | | 62 | | | | | | | | | | | | 13 | | | | | | | | | | | | 17 | | | | | | | | | | | | 43 | | | | | | | | | | | | 10 | | | | | |
| | | | | 7 | | | | | | | | | | | | | | | | 10 | | | | | | | | | | | | 37 | | | | | | | | | | | | 18 | | | | | | | | | | | | 15 | | | | | | | | | | | | 27 | | | | | | | | | | | | 15 | | | | | |
| | | | | 9 | | | | | | | | | | | | | | | | 10 | | | | | | | | | | | | 40 | | | | | | | | | | | | 27 | | | | | | | | | | | | 16 | | | | | | | | | | | | 38 | | | | | | | | | | | | 20 | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 4 | | | | | | | | | | | | 87 | | | | | | | | | | | | 22 | | | | | | | | | | | | 12 | | | | | | | | | | | | 60 | | | | | | | | | | | | 12 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 15 | | | | | | | | | | | | 6 | | | | | | | | | | | | 3 | | | | | | | | | | | | 13 | | | | | | | | | | | | 3 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 7 | | | | | | | | | | | | 2 | | | | | | | | | | | | 1 | | | | | | | | | | | | 6 | | | | | | | | | | | | 1 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 18 | | | | | | | | | | | | 7 | | | | | | | | | | | | 3 | | | | | | | | | | | | 15 | | | | | | | | | | | | 3 | | | | | |
| | | | | 1 | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 14 | | | | | | | | | | | | 5 | | | | | | | | | | | | 3 | | | | | | | | | | | | 10 | | | | | | | | | | | | 2 | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | 7 | | | | | | | | | | | | 16 | | | | | | | | | | | | 14 | | | | | | | | | | | | 31 | | | | | | | | | | | | 54 | | | | | | | | | | | | 29 | | | | | |
| | | | | 6 | | | | | | | | | | | | | | | | 10 | | | | | | | | | | | | 66 | | | | | | | | | | | | 27 | | | | | | | | | | | | 17 | | | | | | | | | | | | 59 | | | | | | | | | | | | 15 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | 13 | | | | | | | | | | | | 5 | | | | | | | | | | | | 2 | | | | | | | | | | | | 10 | | | | | | | | | | | | 2 | | | | | |
| | | | | 21 | | | | | | | | | | | | | | | | 22 | | | | | | | | | | | | 23 | | | | | | | | | | | | 22 | | | | | | | | | | | | 24 | | | | | | | | | | | | 25 | | | | | | | | | | | | 31 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | — | | | | | |
| | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 4 | | | | | | | | | | | | 15 | | | | | | | | | | | | 9 | | | | | |
| | | | | 106 | | | | | | | | | | | | | | | | 315 | | | | | | | | | | | | 3,176 | | | | | | | | | | | | 1,415 | | | | | | | | | | | | 814 | | | | | | | | | | | | 3,616 | | | | | | | | | | | | 865 | | | | | |
| | | | | | (55 | ) | | | | | | | | | | | | | | | (110 | ) | | | | | | | | | | | (377 | ) | | | | | | | | | | | (2 | ) | | | | | | | | | | | (226 | ) | | | | | | | | | | | (1,132 | ) | | | | | | | | | | | (242 | ) | | | | |
| | | | | 51 | | | | | | | | | | | | | | | | 205 | | | | | | | | | | | | 2,799 | | | | | | | | | | | | 1,413 | | | | | | | | | | | | 588 | | | | | | | | | | | | 2,484 | | | | | | | | | | | | 623 | | | | | |
| | | | | | 254 | | | | | | | | | | | | | | | | 837 | | | | | | | | | | | | 14,016 | | | | | | | | | | | | 5,756 | | | | | | | | | | | | 2,629 | | | | | | | | | | | | 12,214 | | | | | | | | | | | | 3,447 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 7 | | | | | | | | | | | | | | | | (1,784 | ) | | | | | | | | | | | (16,784 | ) | | | | | | | | | | | 9 | | | | | | | | | | | | (800 | ) | | | | | | | | | | | (12,407 | ) | | | | | | | | | | | (94 | ) | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (106 | ) | | | | | | | | | | | — | | | | | | | | | | | | (80 | ) | | | | | | | | | | | 62 | | | | | | | | | | | | 8 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 3,463 | | | | | | | | | | | | — | | | | | | | | | | | | 1,159 | | | | | | | | | | | | 6,861 | | | | | | | | | | | | 23 | | | | | |
| | | | | (129 | ) | | | | | | | | | | | | | | | (348 | ) | | | | | | | | | | | 3,184 | | | | | | | | | | | | (783 | ) | | | | | | | | | | | 435 | | | | | | | | | | | | 10,909 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 466 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (1,835 | ) | | | | | | | | | | | 148 | | | | | | | | | | | | (363 | ) | | | | | | | | | | | (11,082 | ) | | | | | | | | | | | — | | | | | |
| | | | | (1,290 | ) | | | | | | | | | | | | | | | (6,358 | ) | | | | | | | | | | | (122,084 | ) | | | | | | | | | | | (60,129 | ) | | | | | | | | | | | (13,096 | ) | | | | | | | | | | | (37,521 | ) | | | | | | | | | | | (3,330 | ) | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (281 | ) | | | | | | | | | | | — | | | | | | | | | | | | (101 | ) | | | | | | | | | | | (25 | ) | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 1,047 | | | | | | | | | | | | — | | | | | | | | | | | | 413 | | | | | | | | | | | | 757 | | | | | | | | | | | | 3 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 77 | | | | | | | | | | | | | | | | 134 | | | | | | | | | | | | 3,014 | | | | | | | | | | | | (681 | ) | | | | | | | | | | | 182 | | | | | | | | | | | | 3,120 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 183 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 2,763 | | | | | | | | | | | | (81 | ) | | | | | | | | | | | 325 | | | | | | | | | | | | (616 | ) | | | | | | | | | | | — | | | | | |
| | | | | | (1,335 | ) | | | | | | | | | | | | | | | (8,356 | ) | | | | | | | | | | | (127,619 | ) | | | | | | | | | | | (61,517 | ) | | | | | | | | | | | (11,926 | ) | | | | | | | | | | | (39,293 | ) | | | | | | | | | | | (3,390 | ) | | | | |
| | | | $ | (1,081 | ) | | | | | | | | | | | | | | $ | (7,519 | ) | | | | | | | | | | $ | (113,603 | ) | | | | | | | | | | $ | (55,761 | ) | | | | | | | | | | $ | (9,297 | ) | | | | | | | | | | $ | (27,079 | ) | | | | | | | | | | $ | 57 | | | | | |
| | | | | | | |
See notes to financial statements.
Semi-Annual Report 111
| | |
Statements of Operations continued | | |
Period ended April 30, 2022 (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) | | | $ | 20,482 | | | | | | | | | $ | 802 | | | | | | | | | $ | 681 | | | | | | |
Interest from affiliated investments | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Dividend income | | | | 340 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Dividend income from affiliated investment (Note 2) | | | | 1 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Income from securities lending | | | | 50 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Foreign tax withholdings | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investment Income | | | | 20,873 | | | | | | | | | | 802 | | | | | | | | | | 681 | | | | | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | 1,308 | | | | | | | | | | 148 | | | | | | | | | | 115 | | | | | | |
Administration fees (Note 3) | | | | 560 | | | | | | | | | | 70 | | | | | | | | | | 58 | | | | | | |
Shareholder servicing fees | | | | 119 | | | | | | | | | | 29 | | | | | | | | | | 38 | | | | | | |
Distribution fees (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Custodian fees | | | | 13 | | | | | | | | | | — | | | | | | | | | | 7 | | | | | | |
Transfer agent fees | | | | 21 | | | | | | | | | | 9 | | | | | | | | | | 8 | | | | | | |
Registration and filing fees | | | | 13 | | | | | | | | | | 1 | | | | | | | | | | 10 | | | | | | |
Trustee fees and expenses | | | | 47 | | | | | | | | | | 5 | | | | | | | | | | 3 | | | | | | |
Printing and mailing costs | | | | 18 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | |
Loan commitment fees | | | | 4 | | | | | | | | | | 1 | | | | | | | | | | — | | | | | | |
Legal fees | | | | 11 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | |
Publication expense | | | | 8 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | |
Pricing fees | | | | 19 | | | | | | | | | | 6 | | | | | | | | | | 16 | | | | | | |
Fund accounting fees | | | | 46 | | | | | | | | | | 9 | | | | | | | | | | 9 | | | | | | |
Insurance | | | | 1 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | |
Audit fees | | | | 25 | | | | | | | | | | 21 | | | | | | | | | | 23 | | | | | | |
Interest expense | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Other expenses | | | | 14 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Gross Expenses | | | | 2,227 | | | | | | | | | | 303 | | | | | | | | | | 291 | | | | | | |
Expense subsidy (Note 3) | | | | (11 | ) | | | | | | | | | (94 | ) | | | | | | | | | (88 | ) | | | | | |
Net Expenses | | | | 2,216 | | | | | | | | | | 209 | | | | | | | | | | 203 | | | | | | |
Net Investment Income | | | | 18,657 | | | | | | | | | | 593 | | | | | | | | | | 478 | | | | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | 2,016 | | | | | | | | | | (240 | ) | | | | | | | | | (583 | ) | | | | | |
Foreign currency transactions | | | | 21 | | | | | | | | | | — | | | | | | | | | | 14 | | | | | | |
Forward foreign exchange contracts | | | | 255 | | | | | | | | | | — | | | | | | | | | | 386 | | | | | | |
Futures contracts | | | | — | | | | | | | | | | (9 | ) | | | | | | | | | 67 | | | | | | |
Swap contracts | | | | 192 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | (72,165 | ) | | | | | | | | | (6,815 | ) | | | | | | | | | (2,353 | ) | | | | | |
Translation of assets and liabilities in foreign currencies | | | | 39 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Forward foreign exchange contracts | | | | 62 | | | | | | | | | | — | | | | | | | | | | (35 | ) | | | | | |
Affiliated Investments | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Futures contracts | | | | — | | | | | | | | | | 63 | | | | | | | | | | (99 | ) | | | | | |
Swap contracts | | | | (577 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Net Realized and Unrealized Losses | | | | (70,157 | ) | | | | | | | | | (7,001 | ) | | | | | | | | | (2,603 | ) | | | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | (51,500 | ) | | | | | | | | $ | (6,408 | ) | | | | | | | | $ | (2,125 | ) | | | | | |
| | | | | |
See notes to financial statements.
112 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 |
| | | | | | | | | |
| | $ | 2,863 | | | | | | | | | $ | 28,114 | | | | | | | | | $ | 1,283 | | | | | | | | | $ | 1,395 | | | | | | | | | | | | | | $ | 328 | |
| | | 25 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | 24 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 19,727 | |
| | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 2 | |
| | | 1 | | | | | | | | | | 38 | | | | | | | | | | — | | | | | | | | | | 9 | | | | | | | | | | | | | | | 24 | |
| | | (2 | ) | | | | | | | | | (169 | ) | | | | | | | | | (48 | ) | | | | | | | | | (1 | ) | | | | | | | | | | | | | | (483 | ) |
| | | 2,911 | | | | | | | | | | 27,983 | | | | | | | | | | 1,235 | | | | | | | | | | 1,403 | | | | | | | | | | | | | | | 19,598 | |
| | | | | | | | | |
| | | 437 | | | | | | | | | | 1,938 | | | | | | | | | | 121 | | | | | | | | | | 214 | | | | | | | | | | | | | | | 4,254 | |
| | | 218 | | | | | | | | | | 646 | | | | | | | | | | 30 | | | | | | | | | | 40 | | | | | | | | | | | | | | | 1,276 | |
| | | 77 | | | | | | | | | | 112 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 244 | |
| | | — | | | | | | | | | | 55 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 25 | |
| | | 25 | | | | | | | | | | 40 | | | | | | | | | | 1 | | | | | | | | | | 17 | | | | | | | | | | | | | | | 85 | |
| | | 20 | | | | | | | | | | 94 | | | | | | | | | | 8 | | | | | | | | | | 12 | | | | | | | | | | | | | | | 48 | |
| | | 17 | | | | | | | | | | 48 | | | | | | | | | | 15 | | | | | | | | | | 18 | | | | | | | | | | | | | | | 31 | |
| | | 22 | | | | | | | | | | 70 | | | | | | | | | | 5 | | | | | | | | | | 3 | | | | | | | | | | | | | | | 116 | |
| | | 4 | | | | | | | | | | 25 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | | | | | | | | | | 25 | |
| | | 2 | | | | | | | | | | 6 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 10 | |
| | | 5 | | | | | | | | | | 14 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | | | | | | | | | | 26 | |
| | | 4 | | | | | | | | | | 10 | | | | | | | | | | 1 | | | | | | | | | | 1 | | | | | | | | | | | | | | | 19 | |
| | | 37 | | | | | | | | | | 16 | | | | | | | | | | 6 | | | | | | | | | | 12 | | | | | | | | | | | | | | | 2 | |
| | | 24 | | | | | | | | | | 31 | | | | | | | | | | 6 | | | | | | | | | | 9 | | | | | | | | | | | | | | | 102 | |
| | | 3 | | | | | | | | | | 10 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 18 | |
| | | 22 | | | | | | | | | | 25 | | | | | | | | | | 15 | | | | | | | | | | 25 | | | | | | | | | | | | | | | 21 | |
| | | — | | | | | | | | | | 1 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | 2 | |
| | | 9 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | 1 | | | | | | | | | | | | | | | — | |
| | | 926 | | | | | | | | | | 3,141 | | | | | | | | | | 210 | | | | | | | | | | 354 | | | | | | | | | | | | | | | 6,304 | |
| | | (20 | ) | | | | | | | | | (68 | ) | | | | | | | | | (11 | ) | | | | | | | | | (124 | ) | | | | | | | | | | | | | | (507 | ) |
| | | 906 | | | | | | | | | | 3,073 | | | | | | | | | | 199 | | | | | | | | | | 230 | | | | | | | | | | | | | | | 5,797 | |
| | | 2,005 | | | | | | | | | | 24,910 | | | | | | | | | | 1,036 | | | | | | | | | | 1,173 | | | | | | | | | | | | | | | 13,801 | |
| | | | | | | | | |
| | | (3,926 | ) | | | | | | | | | (25,158 | ) | | | | | | | | | (1,803 | ) | | | | | | | | | (57 | ) | | | | | | | | | | | | | | 114,264 | |
| | | (2,128 | ) | | | | | | | | | (160 | ) | | | | | | | | | (22 | ) | | | | | | | | | (4 | ) | | | | | | | | | | | | | | 229 | |
| | | 11,645 | | | | | | | | | | 3,513 | | | | | | | | | | (264 | ) | | | | | | | | | (7 | ) | | | | | | | | | | | | | | 7,796 | |
| | | 34 | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | 9 | | | | | | | | | | | | | | | — | |
| | | (202 | ) | | | | | | | | | (256 | ) | | | | | | | | | — | | | | | | | | | | (51 | ) | | | | | | | | | | | | | | — | |
| | | (32,165 | ) | | | | | | | | | (140,450 | ) | | | | | | | | | (5,023 | ) | | | | | | | | | (5,953 | ) | | | | | | | | | | | | | | (161,036 | ) |
| | | (131 | ) | | | | | | | | | (47 | ) | | | | | | | | | (25 | ) | | | | | | | | | — | | | | | | | | | | | | | | | (197 | ) |
| | | 3,596 | | | | | | | | | | 4,619 | | | | | | | | | | 511 | | | | | | | | | | 53 | | | | | | | | | | | | | | | 1,976 | |
| | | (24 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | | — | |
| | | (446 | ) | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | 8 | | | | | | | | | | | | | | | — | |
| | | 617 | | | | | | | | | | 871 | | | | | | | | | | — | | | | | | | | | | 26 | | | | | | | | | | | | | | | — | |
| | | (23,130 | ) | | | | | | | | | (157,068 | ) | | | | | | | | | (6,626 | ) | | | | | | | | | (5,976 | ) | | | | | | | | | | | | | | (36,968 | ) |
| | $ | (21,125 | ) | | | | | | | | $ | (132,158 | ) | | | | | | | | $ | (5,590 | ) | | | | | | | | $ | (4,803 | ) | | | | | | | | | | | | | $ | (23,167 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 113
| | |
Statements of Changes in Net Assets | | |
For the period ended April 30, 2022 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Cash Reserves
Money Market Fund | | | | | | | | | Payden Limited
Maturity Fund | | | | |
| | | 2022 | | | | | | 2021 | | | | | | | | | 2022 | | | | | | 2021 | | | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 25 | | | | | | | $ | 41 | | | | | | | | | | | $ | 6,311 | | | | | | | $ | 12,045 | | | | | |
Net realized gains (losses) | | | — | | | | | | | | 3 | | | | | | | | | | | | 2,806 | | | | | | | | 1,324 | | | | | |
Change in net unrealized appreciation/(depreciation) | | | — | | | | | | | | — | | | | | | | | | | | | (24,866 | ) | | | | | | | (2,158 | ) | | | | |
Change in Net Assets Resulting from Operations | | | 25 | | | | | | | | 44 | | | | | | | | | | | | (15,749 | ) | | | | | | | 11,211 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | (28 | ) | | | | | | | (55 | ) | | | | | | | | | | | (2,347 | ) | | | | | | | (9,551 | ) | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | (5,026 | ) | | | | | | | (2,189 | ) | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (28 | ) | | | | | | | (55 | ) | | | | | | | | | | | (7,373 | ) | | | | | | | (11,740 | ) | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 22,176,259 | | | | | | | | 34,468,408 | | | | | | | | | | | | 295,387 | | | | | | | | 1,543,584 | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | 351,758 | | | | | | | | 1,476,441 | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 5 | | | | | | | | 18 | | | | | | | | | | | | 2,307 | | | | | | | | 9,292 | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | 4,632 | | | | | | | | 2,008 | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | (22,197,097 | ) | | | | | | | (34,319,254 | ) | | | | | | | | | | | (517,534 | ) | | | | | | | (1,922,548 | ) | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | (282,620 | ) | | | | | | | (78,229 | ) | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Change in Net Assets from Capital Transactions | | | (20,833 | ) | | | | | | | 149,172 | | | | | | | | | | | | (146,070 | ) | | | | | | | 1,030,548 | | | | | |
Total Change in Net Assets | | | (20,836 | ) | | | | | | | 149,161 | | | | | | | | | | | | (169,192 | ) | | | | | | | 1,030,019 | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 500,758 | | | | | | | | 351,597 | | | | | | | | | | | | 2,249,533 | | | | | | | | 1,219,514 | | | | | |
End of period | | $ | 479,922 | | | | | | | $ | 500,758 | | | | | | | | | | | $ | 2,080,341 | | | | | | | $ | 2,249,533 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | 500,749 | | | | | | | | 351,577 | | | | | | | | | | | | 89,467 | | | | | | | | 128,347 | | | | | |
Shares sold | | | 22,176,259 | | | | | | | | 34,468,408 | | | | | | | | | | | | 31,162 | | | | | | | | 391,996 | | | | | |
Shares issued in reinvestment of distributions | | | 5 | | | | | | | | 18 | | | | | | | | | | | | 244 | | | | | | | | 975 | | | | | |
Shares redeemed | | | (22,197,097 | ) | | | | | | | (34,319,254 | ) | | | | | | | | | | | (54,676 | ) | | | | | | | (431,851 | ) | | | | |
Change in shares outstanding | | | (20,833 | ) | | | | | | | 149,172 | | | | | | | | | | | | (23,270 | ) | | | | | | | (38,880 | ) | | | | |
Outstanding shares at end of period | | | 479,916 | | | | | | | | 500,749 | | | | | | | | | | | | 66,197 | | | | | | | | 89,467 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | — | | | | | | | | — | | | | | | | | | | | | 146,939 | | | | | | | | — | | | | | |
Shares sold | | | — | | | | | | | | — | | | | | | | | | | | | 37,097 | | | | | | | | 154,939 | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | | | — | | | | | | | | | | | | 489 | | | | | | | | 211 | | | | | |
Shares redeemed | | | — | | | | | | | | — | | | | | | | | | | | | (29,832 | ) | | | | | | | (8,211 | ) | | | | |
Change in shares outstanding | | | — | | | | | | | | — | | | | | | | | | | | | 7,754 | | | | | | | | 146,939 | | | | | |
Outstanding shares at end of period | | | — | | | | | | | | — | | | | | | | | | | | | 154,693 | | | | | | | | 146,939 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | — | | | | | | | | — | | | | | | | | | | | | 237,176 | | | | | | | | 1,494,841 | | | | | |
Sale of investments (excluding government) | | | — | | | | | | | | — | | | | | | | | | | | | 435,749 | | | | | | | | 790,961 | | | | | |
Purchase of government securities | | | — | | | | | | | | — | | | | | | | | | | | | 15,950 | | | | | | | | 177,278 | | | | | |
Sale of government securities | | | — | | | | | | | | — | | | | | | | | | | | | 77,578 | | | | | | | | 170,329 | | | | | |
See notes to financial statements.
114 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden
Low Duration Fund | | | | | Payden
U.S. Government Fund | | | | | | Payden
GNMA Fund | | | | | Payden
Core Bond Fund | |
| 2022 | | | 2021 | | | | | 2022 | | | 2021 | | | | | | 2022 | | | 2021 | | | | | 2022 | | | 2021 | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 7,303 | | | $ | 13,363 | | | | | $ | 254 | | | $ | 542 | | | | | | | $ | 837 | | | $ | 1,561 | | | | | $ | 14,016 | | | $ | 25,970 | |
| | (8,522 | ) | | | 8,975 | | | | | | (122 | ) | | | 369 | | | | | | | | (2,132 | ) | | | 330 | | | | | | (12,078 | ) | | | 5,151 | |
| | (42,534 | ) | | | (9,127 | ) | | | | | (1,213 | ) | | | (993 | ) | | | | | | | (6,224 | ) | | | (2,901 | ) | | | | | (115,541 | ) | | | (17,951 | ) |
| | (43,753 | ) | | | 13,211 | | | | | | (1,081 | ) | | | (82 | ) | | | | | | | (7,519 | ) | | | (1,010 | ) | | | | | (113,603 | ) | | | 13,170 | |
| | | | | | | | | | |
| | (12,609 | ) | | | (28,656 | ) | | | | | (303 | ) | | | (781 | ) | | | | | | | (1,701 | ) | | | (3,205 | ) | | | | | (5,032 | ) | | | (18,665 | ) |
| | (529 | ) | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (10,677 | ) | | | (30,656 | ) |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (527 | ) | | | (1,672 | ) |
| | (13,138 | ) | | | (28,656 | ) | | | | | (303 | ) | | | (781 | ) | | | | | | | (1,701 | ) | | | (3,205 | ) | | | | | (16,236 | ) | | | (50,993 | ) |
| | | | | | | | | | |
| | 208,316 | | | | 647,944 | | | | | | 5,928 | | | | 9,313 | | | | | | | | 3,568 | | | | 14,145 | | | | | | 19,075 | | | | 117,230 | |
| | 285,030 | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 7,654 | | | | 169,622 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 2,735 | | | | 7,881 | |
| | 11,883 | | | | 27,285 | | | | | | 289 | | | | 742 | | | | | | | | 1,493 | | | | 2,881 | | | | | | 4,053 | | | | 16,079 | |
| | 529 | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 10,675 | | | | 30,652 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 526 | | | | 1,670 | |
| | (646,109 | ) | | | (588,689 | ) | | | | | (9,096 | ) | | | (27,676 | ) | | | | | | | (16,414 | ) | | | (33,307 | ) | | | | | (49,478 | ) | | | (298,592 | ) |
| | (5,500 | ) | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (49,438 | ) | | | (103,427 | ) |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (4,230 | ) | | | (7,578 | ) |
| | (145,851 | ) | | | 86,540 | | | | | | (2,879 | ) | | | (17,621 | ) | | | | | | | (11,353 | ) | | | (16,281 | ) | | | | | (58,428 | ) | | | (66,463 | ) |
| | | | | | | | | | |
| | (202,742 | ) | | | 71,095 | | | | | | (4,263 | ) | | | (18,484 | ) | | | | | | | (20,573 | ) | | | (20,496 | ) | | | | | (188,267 | ) | | | (104,286 | ) |
| | 1,604,077 | | | | 1,532,982 | | | | | | 28,876 | | | | 47,360 | | | | | | | | 102,013 | | | | 122,509 | | | | | | 1,289,515 | | | | 1,393,801 | |
| $ | 1,401,335 | | | $ | 1,604,077 | | | | | $ | 24,613 | | | $ | 28,876 | | | | | | | $ | 81,440 | | | $ | 102,013 | | | | | $ | 1,101,248 | | | $ | 1,289,515 | |
| | |
| | | | | | | | | | |
| | 158,480 | | | | 150,001 | | | | | | 2,807 | | | | 4,491 | | | | | | | | 11,191 | | | | 12,940 | | | | | | 37,762 | | | | 52,925 | |
| | 20,817 | | | | 220,128 | | | | | | 603 | | | | 891 | | | | | | | | 406 | | | | 1,506 | | | | | | 1,834 | | | | 10,684 | |
| | 1,190 | | | | 2,680 | | | | | | 29 | | | | 71 | | | | | | | | 170 | | | | 309 | | | | | | 390 | | | | 1,457 | |
| | (64,920 | ) | | | (214,329 | ) | | | | | (895 | ) | | | (2,646 | ) | | | | | | | (1,854 | ) | | | (3,564 | ) | | | | | (4,778 | ) | | | (27,304 | ) |
| | (42,913 | ) | | | 8,479 | | | | | | (263 | ) | | | (1,684 | ) | | | | | | | (1,278 | ) | | | (1,749 | ) | | | | | (2,554 | ) | | | (15,163 | ) |
| | | | | | | | | | |
| | 115,567 | | | | 158,480 | | | | | | 2,544 | | | | 2,807 | | | | | | | | 9,913 | | | | 11,191 | | | | | | 35,208 | | | | 37,762 | |
| | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 76,964 | | | | 68,256 | |
| | | | | | | | | | |
| | 28,801 | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 740 | | | | 15,389 | |
| | 54 | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 1,028 | | | | 2,788 | |
| | (558 | ) | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (4,689 | ) | | | (9,469 | ) |
| | 28,297 | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (2,921 | ) | | | 8,708 | |
| | 28,297 | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 74,043 | | | | 76,964 | |
| | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 4,301 | | | | 4,122 | |
| | | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 263 | | | | 719 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 51 | | | | 152 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (407 | ) | | | (692 | ) |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (93 | ) | | | 179 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 4,208 | | | | 4,301 | |
| | |
| | 159,431 | | | | 937,870 | | | | | | — | | | | 1,383 | | | | | | | | — | | | | — | | | | | | 85,325 | | | | 619,825 | |
| | 428,525 | | | | 824,656 | | | | | | 151 | | | | 1,423 | | | | | | | | — | | | | 30 | | | | | | 141,093 | | | | 607,619 | |
| | 690,593 | | | | 1,264,868 | | | | | | 5,991 | | | | 6,326 | | | | | | | | 7,104 | | | | 43,599 | | | | | | 231,187 | | | | 555,185 | |
| | 668,787 | | | | 1,325,352 | | | | | | 8,736 | | | | 23,006 | | | | | | | | 18,831 | | | | 62,491 | | | | | | 231,083 | | | | 567,992 | |
See notes to financial statements.
Semi-Annual Report 115
| | |
Statements of Changes in Net Assets continued | | |
For the period ended April 30, 2022 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Corporate
Bond Fund | | | | | | Payden Strategic
Income Fund | | |
| | | 2022 | | | | 2021 | | | | | | 2022 | | | | 2021 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 5,756 | | | | | $ | 11,723 | | | | | | | | | | | $ | 2,629 | | | | | $ | 4,385 | | | | | |
Net realized gains (losses) | | | (626 | ) | | | | | 11,316 | | | | | | | | | | | | 351 | | | | | | 2,119 | | | | | |
Change in net unrealized appreciation/(depreciation) | | | (60,891 | ) | | | | | (8,355 | ) | | | | | | | | | | | (12,277 | ) | | | | | 162 | | | | | |
Change in Net Assets Resulting from Operations | | | (55,761 | ) | | | | | 14,684 | | | | | | | | | | | | (9,297 | ) | | | | | 6,666 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | (17,565 | ) | | | | | (18,726 | ) | | | | | | | | | | | (3,309 | ) | | | | | (3,013 | ) | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | (1,158 | ) | | | | | (1,423 | ) | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (17,565 | ) | | | | | (18,726 | ) | | | | | | | | | | | (4,467 | ) | | | | | (4,436 | ) | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 52,649 | | | | | | 117,961 | | | | | | | | | | | | 10,473 | | | | | | 97,650 | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | 430 | | | | | | 10,026 | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 16,394 | | | | | | 17,618 | | | | | | | | | | | | 3,235 | | | | | | 2,937 | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | 1,158 | | | | | | 1,412 | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | (69,033 | ) | | | | | (151,353 | ) | | | | | | | | | | | (22,553 | ) | | | | | (38,779 | ) | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | (529 | ) | | | | | (12,150 | ) | | | | |
Change in Net Assets from Capital Transactions | | | 10 | | | | | | (15,774 | ) | | | | | | | | | | | (7,786 | ) | | | | | 61,096 | | | | | |
Total Change in Net Assets | | | (73,316 | ) | | | | | (19,816 | ) | | | | | | | | | | | (21,550 | ) | | | | | 63,326 | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 460,135 | | | | | | 479,951 | | | | | | | | | | | | 197,541 | | | | | | 134,215 | | | | | |
End of period | | $ | 386,819 | | | | | $ | 460,135 | | | | | | | | | | | $ | 175,991 | | | | | $ | 197,541 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | 38,478 | | | | | | 39,873 | | | | | | | | | | | | 14,142 | | | | | | 8,260 | | | | | |
Shares sold | | | 4,627 | | | | | | 48,018 | | | | | | | | | | | | 1,030 | | | | | | 9,298 | | | | | |
Shares issued in reinvestment of distributions | | | 1,434 | | | | | | 1,462 | | | | | | | | | | | | 317 | | | | | | 280 | | | | | |
Shares redeemed | | | (6,167 | ) | | | | | (50,875 | ) | | | | | | | | | | | (2,226 | ) | | | | | (3,696 | ) | | | | |
Change in shares outstanding | | | (106 | ) | | | | | (1,395 | ) | | | | | | | | | | | (879 | ) | | | | | 5,882 | | | | | |
Outstanding shares at end of period | | | 38,372 | | | | | | 38,478 | | | | | | | | | | | | 13,263 | | | | | | 14,142 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | — | | | | | | — | | | | | | | | | | | | 4,739 | | | | | | 4,802 | | | | | |
Shares sold | | | — | | | | | | — | | | | | | | | | | | | 42 | | | | | | 953 | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | — | | | | | | | | | | | | 113 | | | | | | 135 | | | | | |
Shares redeemed | | | — | | | | | | — | | | | | | | | | | | | (52 | ) | | | | | (1,151 | ) | | | | |
Change in shares outstanding | | | — | | | | | | — | | | | | | | | | | | | 103 | | | | | | (63 | ) | | | | |
Outstanding shares at end of period | | | — | | | | | | — | | | | | | | | | | | | 4,842 | | | | | | 4,739 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | | | | | | �� | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | 70,920 | | | | | | 226,009 | | | | | | | | | | | | 26,122 | | | | | | 130,115 | | | | | |
Sale of investments (excluding government) | | | 75,615 | | | | | | 238,992 | | | | | | | | | | | | 28,631 | | | | | | 87,752 | | | | | |
Purchase of government securities | | | — | | | | | | 2,028 | | | | | | | | | | | | 2,736 | | | | | | 65,804 | | | | | |
Sale of government securities | | | 532 | | | | | | 1,267 | | | | | | | | | | | | 14,991 | | | | | | 58,866 | | | | | |
See notes to financial statements.
116 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Absolute Return
Bond Fund | | | | | Payden Floating Rate
Fund | | | | | Payden High Income
Fund | | | | | Payden California
Municipal Social Impact
Fund |
| 2022 | | 2021 | | | | | 2022 | | 2021 | | | | | 2022 | | 2021 | | | | | 2022 | | 2021 |
| | | | | | | | | | |
| | $ 12,214 | | | | $ 20,225 | | | | | | | | $ 3,447 | | | | $ 3,406 | | | | | | | | $ 18,657 | | | | $ 30,599 | | | | | | | | $ 593 | | | | $ 1,083 | |
| | (5,191 | ) | | | 9,175 | | | | | | | | (63 | ) | | | 1,074 | | | | | | | | 2,484 | | | | 27,141 | | | | | | | | (249 | ) | | | 32 | |
| | (34,102 | ) | | | (70 | ) | | | | | | | (3,327 | ) | | | 1,707 | | | | | | | | (72,641 | ) | | | 8,997 | | | | | | | | (6,752 | ) | | | 273 | |
| | (27,079 | ) | | | 29,330 | | | | | | | | 57 | | | | 6,187 | | | | | | | | (51,500 | ) | | | 66,737 | | | | | | | | (6,408 | ) | | | 1,388 | |
| | | | | | | | | | |
| | (2,187 | ) | | | (2,879 | ) | | | | | | | (390 | ) | | | (565 | ) | | | | | | | (17,000 | ) | | | (30,997 | ) | | | | | | | (644 | ) | | | (2,187 | ) |
| | (12,995 | ) | | | (18,338 | ) | | | | | | | (3,066 | ) | | | (2,841 | ) | | | | | | | (1,924 | ) | | | — | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | (12 | ) | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | (61 | ) | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | (15,182 | ) | | | (21,217 | ) | | | | | | | (3,456 | ) | | | (3,479 | ) | | | | | | | (18,924 | ) | | | (30,997 | ) | | | | | | | (644 | ) | | | (2,187 | ) |
| | | | | | | | | | |
| | 20,737 | | | | 58,149 | | | | | | | | 4,343 | | | | 2,838 | | | | | | | | 151,727 | | | | 284,884 | | | | | | | | 33,027 | | | | 29,318 | |
| | 78,503 | | | | 226,113 | | | | | | | | 16,216 | | | | 126,996 | | | | | | | | 401,213 | | | | — | | | | | | | | — | | | | — | |
| | | | | | | | | | |
| | 2,172 | | | | 2,852 | | | | | | | | 380 | | | | 558 | | | | | | | | 15,195 | | | | 29,357 | | | | | | | | 453 | | | | 1,720 | |
| | 12,036 | | | | 17,461 | | | | | | | | 1,931 | | | | 2,337 | | | | | | | | 886 | | | | — | | | | | | | | — | | | | — | |
| | | | | | | | | | |
| | (19,410 | ) | | | (43,642 | ) | | | | | | | (414 | ) | | | (3,032 | ) | | | | | | | (541,805 | ) | | | (134,774 | ) | | | | | | | (9,666 | ) | | | (6,574 | ) |
| | (129,222 | ) | | | (57,788 | ) | | | | | | | (6,942 | ) | | | (8,454 | ) | | | | | | | (2,400 | ) | | | — | | | | | | | | — | | | | — | |
| | (35,184 | ) | | | 203,145 | | | | | | | | 15,514 | | | | 121,243 | | | | | | | | 24,816 | | | | 179,467 | | | | | | | | 23,814 | | | | 24,464 | |
| | (77,445 | ) | | | 211,258 | | | | | | | | 12,115 | | | | 123,951 | | | | | | | | (45,608 | ) | | | 215,207 | | | | | | | | 16,762 | | | | 23,665 | |
| | 1,029,954 | | | | 818,696 | | | | | | | | 191,126 | | | | 67,175 | | | | | | | | 740,403 | | | | 525,196 | | | | | | | | 87,753 | | | | 64,088 | |
| | $ 952,509 | | | | $1,029,954 | | | | | | | | $203,241 | | | | $191,126 | | | | | | | | $ 694,795 | | | | $ 740,403 | | | | | | | | $104,515 | | | | $87,753 | |
| | |
| | | | | | | | | | |
| | 15,064 | | | | 13,340 | | | | | | | | 2,094 | | | | 2,058 | | | | | | | | 107,757 | | | | 81,419 | | | | | | | | 8,366 | | | | 6,056 | |
| | 2,107 | | | | 5,770 | | | | | | | | 427 | | | | 287 | | | | | | | | 22,485 | | | | 41,743 | | | | | | | | 3,259 | | | | 2,767 | |
| | 221 | | | | 283 | | | | | | | | 39 | | | | 57 | | | | | | | | 2,285 | | | | 4,298 | | | | | | | | 44 | | | | 163 | |
| | (1,976 | ) | | | (4,329 | ) | | | | | | | (42 | ) | | | (308 | ) | | | | | | | (83,926 | ) | | | (19,703 | ) | | | | | | | (949 | ) | | | (620 | ) |
| | 352 | | | | 1,724 | | | | | | | | 424 | | | | 36 | | | | | | | | (59,156 | ) | | | 26,338 | | | | | | | | 2,354 | | | | 2,310 | |
| | 15,416 | | | | 15,064 | | | | | | | | 2,518 | | | | 2,094 | | | | | | | | 48,601 | | | | 107,757 | | | | | | | | 10,720 | | | | 8,366 | |
| | |
| | 87,581 | | | | 69,145 | | | | | | | | 17,183 | | | | 5,003 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | 8,090 | | | | 22,434 | | | | | | | | 1,640 | | | | 12,795 | | | | | | | | 62,781 | | | | — | | | | | | | | — | | | | — | |
| | 1,223 | | | | 1,733 | | | | | | | | 196 | | | | 236 | | | | | | | | 141 | | | | — | | | | | | | | — | | | | — | |
| | (13,247 | ) | | | (5,731 | ) | | | | | | | (707 | ) | | | (851 | ) | | | | | | | (376 | ) | | | — | | | | | | | | — | | | | — | |
| | (3,934 | ) | | | 18,436 | | | | | | | | 1,129 | | | | 12,180 | | | | | | | | 62,546 | | | | — | | | | | | | | — | | | | — | |
| | 83,647 | | | | 87,581 | | | | | | | | 18,312 | | | | 17,183 | | | | | | | | 62,546 | | | | — | | | | | | | | — | | | | — | |
| | |
| | 415,062 | | | | 996,183 | | | | | | | | 44,751 | | | | 165,009 | | | | | | | | 300,681 | | | | 621,428 | | | | | | | | 62,132 | | | | 88,652 | |
| | 476,168 | | | | 817,953 | | | | | | | | 35,626 | | | | 43,497 | | | | | | | | 251,743 | | | | 452,665 | | | | | | | | 46,274 | | | | 77,538 | |
| | 113,698 | | | | 68,533 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 3,659 | | | | 10,009 | |
| | 109,842 | | | | 31,805 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 1,323 | | | | 8,141 | |
See notes to financial statements.
Semi-Annual Report 117
| | |
Statements of Changes in Net Assets continued | | |
For the period ended April 30, 2022 (Unaudited) and year ended October 31st
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Low
Duration Fund | | | | | | | | | Payden Global Fixed
Income Fund | | | | |
| | | 2022 | | | | | | 2021 | | | | | | | | | 2022 | | | | | | 2021 | | | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 478 | | | | | | | $ | 1,002 | | | | | | | | | | | $ | 2,005 | | | | | | | $ | 3,190 | | | | | |
Net realized gains (losses) | | | (116 | ) | | | | | | | 734 | | | | | | | | | | | | 5,423 | | | | | | | | 6,121 | | | | | |
Change in net unrealized appreciation/(depreciation) | | | (2,487 | ) | | | | | | | (670 | ) | | | | | | | | | | | (28,553 | ) | | | | | | | (8,456 | ) | | | | |
Change in Net Assets Resulting from Operations | | | (2,125 | ) | | | | | | | 1,066 | | | | | | | | | | | | (21,125 | ) | | | | | | | 855 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | (942 | ) | | | | | | | (1,029 | ) | | | | | | | | | | | (4,003 | ) | | | | | | | (5,601 | ) | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | (3,991 | ) | | | | | | | (445 | ) | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (942 | ) | | | | | | | (1,029 | ) | | | | | | | | | | | (7,994 | ) | | | | | | | (6,046 | ) | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 1,996 | | | | | | | | 26,922 | | | | | | | | | | | | 6,223 | | | | | | | | 147,369 | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | 45,639 | | | | | | | | 127,091 | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | 937 | | | | | | | | 1,024 | | | | | | | | | | | | 3,976 | | | | | | | | 5,572 | | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | 3,991 | | | | | | | | 445 | | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | (16,903 | ) | | | | | | | (38,069 | ) | | | | | | | | | | | (68,219 | ) | | | | | | | (151,242 | ) | | | | |
SI Class | | | — | | | | | | | | — | | | | | | | | | | | | (2,220 | ) | | | | | | | (125 | ) | | | | |
Adviser Class | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
Change in Net Assets from Capital Transactions | | | (13,970 | ) | | | | | | | (10,123 | ) | | | | | | | | | | | (10,610 | ) | | | | | | | 129,110 | | | | | |
Total Change in Net Assets | | | (17,037 | ) | | | | | | | (10,086 | ) | | | | | | | | | | | (39,729 | ) | | | | | | | 123,919 | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 86,225 | | | | | | | | 96,311 | | | | | | | | | | | | 303,993 | | | | | | | | 180,074 | | | | | |
End of period | | $ | 69,188 | | | | | | | $ | 86,225 | | | | | | | | | | | $ | 264,264 | | | | | | | $ | 303,993 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | 8,535 | | | | | | | | 9,534 | | | | | | | | | | | | 19,469 | | | | | | | | 19,306 | | | | | |
Shares sold | | | 200 | | | | | | | | 2,649 | | | | | | | | | | | | 710 | | | | | | | | 47,100 | | | | | |
Shares issued in reinvestment of distributions | | | 94 | | | | | | | | 101 | | | | | | | | | | | | 443 | | | | | | | | 599 | | | | | |
Shares redeemed | | | (1,696 | ) | | | | | | | (3,749 | ) | | | | | | | | | | | (7,693 | ) | | | | | | | (47,536 | ) | | | | |
Change in shares outstanding | | | (1,402 | ) | | | | | | | (999 | ) | | | | | | | | | | | (6,540 | ) | | | | | | | 163 | | | | | |
Outstanding shares at end of period | | | 7,133 | | | | | | | | 8,535 | | | | | | | | | | | | 12,929 | | | | | | | | 19,469 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | — | | | | | | | | — | | | | | | | | | | | | 13,707 | | | | | | | | — | | | | | |
Shares sold | | | — | | | | | | | | — | | | | | | | | | | | | 5,097 | | | | | | | | 13,672 | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | | | — | | | | | | | | | | | | 447 | | | | | | | | 48 | | | | | |
Shares redeemed | | | — | | | | | | | | — | | | | | | | | | | | | (257 | ) | | | | | | | (13 | ) | | | | |
Change in shares outstanding | | | — | | | | | | | | — | | | | | | | | | | | | 5,287 | | | | | | | | 13,707 | | | | | |
Outstanding shares at end of period | | | — | | | | | | | | — | | | | | | | | | | | | 18,994 | | | | | | | | 13,707 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | 10,190 | | | | | | | | 42,078 | | | | | | | | | | | | 28,975 | | | | | | | | 234,491 | | | | | |
Sale of investments (excluding government) | | | 27,060 | | | | | | | | 53,077 | | | | | | | | | | | | 49,890 | | | | | | | | 122,217 | | | | | |
Purchase of government securities | | | 44,233 | | | | | | | | 104,198 | | | | | | | | | | | | 38,255 | | | | | | | | 55,314 | | | | | |
Sale of government securities | | | 43,602 | | | | | | | | 106,826 | | | | | | | | | | | | 39,474 | | | | | | | | 28,062 | | | | | |
See notes to financial statements.
118 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Emerging Markets
Bond Fund | | | | | Payden Emerging
Markets Local Bond
Fund | | | | | Payden Emerging
Markets
Corporate Bond Fund | | | | | Payden Equity
Income Fund |
| 2022 | | 2021 | | | | | 2022 | | 2021 | | | | | 2022 | | 2021 | | | | | 2022 | | 2021 |
| | | | | | | | | | |
| | $ 24,910 | | | | $ 52,924 | | | | | | | | $ 1,036 | | | | $ 4,507 | | | | | | | | $ 1,173 | | | | $ 2,203 | | | | | | | | $ 13,801 | | | | $ 32,265 | |
| | (22,061 | ) | | | 13,114 | | | | | | | | (2,089 | ) | | | (3,353 | ) | | | | | | | (110 | ) | | | 693 | | | | | | | | 122,289 | | | | 279,970 | |
| | (135,007 | ) | | | (2,534 | ) | | | | | | | (4,537 | ) | | | 5,172 | | | | | | | | (5,866 | ) | | | (82 | ) | | | | | | | (159,257 | ) | | | 179,647 | |
| | (132,158 | ) | | | 63,504 | | | | | | | | (5,590 | ) | | | 6,326 | | | | | | | | (4,803 | ) | | | 2,814 | | | | | | | | (23,167 | ) | | | 491,882 | |
| | | | | | | | | | |
| | (9,508 | ) | | | (15,708 | ) | | | | | | | (1,044 | ) | | | — | | | | | | | | (161 | ) | | | (210 | ) | | | | | | | (87,554 | ) | | | (9,418 | ) |
| | (15,109 | ) | | | (34,219 | ) | | | | | | | — | | | | — | | | | | | | | (1,550 | ) | | | (1,978 | ) | | | | | | | (205,490 | ) | | | (20,044 | ) |
| | (1,200 | ) | | | (3,028 | ) | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (3,493 | ) | | | (260 | ) |
| | — | | | | — | | | | | | | | — | | | | (4,517 | ) | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | (25,817 | ) | | | (52,955 | ) | | | | | | | (1,044 | ) | | | (4,517 | ) | | | | | | | (1,711 | ) | | | (2,188 | ) | | | | | | | (296,537 | ) | | | (29,722 | ) |
| | | | | | | | | | |
| | 211,570 | | | | 162,204 | | | | | | | | 126 | | | | 2,422 | | | | | | | | 122 | | | | 2,023 | | | | | | | | 27,185 | | | | 118,262 | |
| | 115,087 | | | | 129,433 | | | | | | | | — | | | | — | | | | | | | | 10,000 | | | | 8,752 | | | | | | | | 89,956 | | | | 272,917 | |
| | 10,530 | | | | 37,259 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 4,081 | | | | 7,560 | |
| | 8,068 | | | | 13,619 | | | | | | | | 1,010 | | | | 3,722 | | | | | | | | 161 | | | | 210 | | | | | | | | 84,259 | | | | 7,718 | |
| | 12,779 | | | | 29,305 | | | | | | | | — | | | | — | | | | | | | | 1,336 | | | | 1,827 | | | | | | | | 175,011 | | | | 18,708 | |
| | 1,145 | | | | 2,927 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 3,449 | | | | 258 | |
| | (80,865 | ) | | | (180,948 | ) | | | | | | | (5,842 | ) | | | (92,614 | ) | | | | | | | (85 | ) | | | (916 | ) | | | | | | | (70,295 | ) | | | (221,646 | ) |
| | (92,998 | ) | | | (285,828 | ) | | | | | | | — | | | | — | | | | | | | | (10,233 | ) | | | (2,298 | ) | | | | | | | (350,398 | ) | | | (283,148 | ) |
| | (35,353 | ) | | | (28,224 | ) | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (3,243 | ) | | | (5,859 | ) |
| | 149,963 | | | | (120,253 | ) | | | | | | | (4,706 | ) | | | (86,470 | ) | | | | | | | 1,301 | | | | 9,598 | | | | | | | | (39,995 | ) | | | (85,230 | ) |
| | (8,012 | ) | | | (109,704 | ) | | | | | | | (11,340 | ) | | | (84,661 | ) | | | | | | | (5,213 | ) | | | 10,224 | | | | | | | | (359,699 | ) | | | 376,930 | |
| | | | | | | | | | |
| | 885,738 | | | | 995,442 | | | | | | | | 43,551 | | | | 128,212 | | | | | | | | 53,413 | | | | 43,189 | | | | | | | | 1,790,380 | | | | 1,413,450 | |
| | $ 877,726 | | | | $ 885,738 | | | | | | | | $ 32,211 | | | | $ 43,551 | | | | | | | | $ 48,200 | | | | $53,413 | | | | | | | | $1,430,681 | | | | $1,790,380 | |
| | |
| | | | | | | | | | |
| | 21,308 | | | | 21,749 | | | | | | | | 7,613 | | | | 21,947 | | | | | | | | 511 | | | | 385 | | | | | | | | 25,248 | | | | 30,281 | |
| | 17,733 | | | | 12,036 | | | | | | | | 23 | | | | 394 | | | | | | | | 13 | | | | 194 | | | | | | | | 1,475 | | | | 5,941 | |
| | 671 | | | | 1,013 | | | | | | | | 190 | | | | 611 | | | | | | | | 17 | | | | 20 | | | | | | | | 4,583 | | | | 394 | |
| | (6,634 | ) | | | (13,490 | ) | | | | | | | (1,141 | ) | | | (15,339 | ) | | | | | | | (9 | ) | | | (88 | ) | | | | | | | (3,668 | ) | | | (11,368 | ) |
| | 11,770 | | | | (441 | ) | | | | | | | (928 | ) | | | (14,334 | ) | | | | | | | 21 | | | | 126 | | | | | | | | 2,390 | | | | (5,033 | ) |
| | 33,078 | | | | 21,308 | | | | | | | | 6,685 | | | | 7,613 | | | | | | | | 532 | | | | 511 | | | | | | | | 27,638 | | | | 25,248 | |
| | |
| | | | | | | | | | |
| | 41,370 | | | | 50,931 | | | | | | | | — | | | | — | | | | | | | | 4,725 | | | | 3,929 | | | | | | | | 58,007 | | | | 57,334 | |
| | 9,906 | | | | 9,599 | | | | | | | | — | | | | — | | | | | | | | 979 | | | | 839 | | | | | | | | 4,883 | | | | 13,718 | |
| | 1,060 | | | | 2,183 | | | | | | | | — | | | | — | | | | | | | | 137 | | | | 177 | | | | | | | | 9,508 | | | | 950 | |
| | (7,865 | ) | | | (21,343 | ) | | | | | | | — | | | | — | | | | | | | | (1,016 | ) | | | (220 | ) | | | | | | | (19,208 | ) | | | (13,995 | ) |
| | 3,101 | | | | (9,561 | ) | | | | | | | — | | | | — | | | | | | | | 100 | | | | 796 | | | | | | | | (4,817 | ) | | | 673 | |
| | 44,471 | | | | 41,370 | | | | | | | | — | | | | — | | | | | | | | 4,825 | | | | 4,725 | | | | | | | | 53,190 | | | | 58,007 | |
| | |
| | | | | | | | | | |
| | 4,898 | | | | 4,023 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 936 | | | | 845 | |
| | 844 | | | | 2,761 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 214 | | | | 381 | |
| | 94 | | | | 218 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 188 | | | | 13 | |
| | (2,828 | ) | | | (2,104 | ) | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | (174 | ) | | | (303 | ) |
| | (1,890 | ) | | | 875 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 228 | | | | 91 | |
| | 3,008 | | | | 4,898 | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 1,164 | | | | 936 | |
| | |
| | | | | | | | | | |
| | 340,503 | | | | 612,131 | | | | | | | | 14,453 | | | | 35,044 | | | | | | | | 23,510 | | | | 49,190 | | | | | | | | 800,497 | | | | 1,557,743 | |
| | 207,003 | | | | 741,546 | | | | | | | | 18,438 | | | | 119,272 | | | | | | | | 21,597 | | | | 41,007 | | | | | | | | 1,144,904 | | | | 1,602,495 | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | | | — | | | | — | |
| | — | | | | — | | | | | | | | — | | | | — | | | | | | | | 907 | | | | 18 | | | | | | | | — | | | | — | |
See notes to financial statements.
Semi-Annual Report 119
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Notes to Financial Statements | | |
April 30, 2022 (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. This report contains 18 Funds. The Payden/Kravitz Cash Balance Plan Fund is contained in a separate report. 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.
120 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 October 31st. When a range of rates is disclosed, the
Fund holds more than one position within the same tranche at varying rates.
Bank loans are subject to various restrictive covenants that protect the lender or investor. Loans with fewer or no restrictive covenants, “covenant light” loans, provide the issuer more flexibility and reduce investor protections in the event of a breach, and may cause the fund to experience more difficulty or delay in enforcing its rights. A significant portion of bank loans are “covenant light.”
In connection with floating rate loan interests, the Funds may also enter into unfunded loan commitments (“commitments”). In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked- to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations.
Foreign Currency Translation
The accounting records of the Funds are maintained in U.S. dollars. Each of the Funds (except Cash Reserves Money Market, U.S. Government, GNMA and California Municipal Social Impact Funds) may purchase securities that are denominated in foreign currencies. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the current exchange rates. Purchases and sales of securities, income and expenses are translated into U.S. dollars at the exchange rates on the dates of the respective transactions. Each of these Funds does not isolate that portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in security prices.
Reported net realized foreign exchange gains or losses arise from purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates of securities transactions, and the differences between the amounts of income or expenses recorded on each of these Fund’s books and the U.S. dollar equivalents of the amounts actually received or paid. Net unrealized appreciation/depreciation from translation of assets and liabilities denominated in foreign currency arise from changes in the value of assets and liabilities resulting from changes in the foreign exchange rates.
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
Semi-Annual Report 121
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Notes to Financial Statements continued | | |
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 (“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.
122 Payden Mutual Funds
Upon entering into a centrally cleared swap, a Fund is required to deposit and maintain initial margin deposit of cash or securities as required by the exchange on which the contract is traded. Pursuant to the centrally cleared swap, that Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margin and are recorded as unrealized gains or losses by that Fund. When the contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, credit spreads and/or market values associated with these transactions.
A Fund may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net
settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
A Fund may enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
A Fund may enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex swaps, the notional principal amount may decline (or amortize) over time.
For financial reporting purposes, swap interest and amortization are classified as realized or unrealized gain or loss on swap contracts.
Options Transactions
Option techniques may be utilized by a Fund to hedge against changes in interest rates, foreign currency exchange rates or security prices in order to establish more definitely the effective return on securities or currencies held or intended to be acquired by the Fund, to reduce the volatility of the currency exposure associated with investment 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
Semi-Annual Report 123
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Notes to Financial Statements continued | | |
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, 2022 (000s)
| | | | | | | | |
Underlying Risk | | Derivative
Assets ($) | | | Derivative
Liabilities ($) | |
Limited Maturity | | | | | | | | |
Interest rate1 | | | 2,170 | | | | — | |
Foreign currency2,3 | | | 884 | | | | (262 | ) |
| | | | | | | | |
Total | | | 3,054 | | | | (262 | ) |
| | | | | | | | |
Low Duration | | | | | | | | |
Interest rate1 | | | 4,753 | | | | (6,709 | ) |
Foreign currency2,3 | | | 363 | | | | (8 | ) |
| | | | | | | | |
Total | | | 5,116 | | | | (6,717 | ) |
| | | | | | | | |
U.S. Government | | | | | | | | |
Interest rate1 | | | 16 | | | | — | |
| | | | | | | | |
Core Bond | | | | | | | | |
Interest rate1 | | | 14,309 | | | | (9,583 | ) |
Foreign currency2,3 | | | 2,998 | | | | (198 | ) |
| | | | | | | | |
Total | | | 17,307 | | | | (9,781 | ) |
| | | | | | | | |
| | | | | | | | |
Underlying Risk | | Derivative
Assets ($) | | | Derivative
Liabilities ($) | |
Corporate Bond | | | | | | | | |
Interest rate1 | | | 2,205 | | | | (3,123 | ) |
| | | | | | | | |
Strategic Income | | | | | | | | |
Credit1 | | | — | | | | (94 | ) |
Interest rate1 | | | 1,219 | | | | (789 | ) |
Foreign currency2,3 | | | 824 | | | | (31 | ) |
| | | | | | | | |
Total | | | 2,043 | | | | (914 | ) |
| | | | | | | | |
Absolute Return Bond | | | | | | | | |
Credit1 | | | 1,827 | | | | — | |
Equity4 | | | 845 | | | | — | |
Interest rate1 | | | 6,673 | | | | (5,586 | ) |
Foreign currency2,3 | | | 3,554 | | | | (556 | ) |
| | | | | | | | |
Total | | | 12,899 | | | | (6,142 | ) |
| | | | | | | | |
Floating Rate | | | | | | | | |
Foreign currency2,3 | | | 3 | | | | — | |
| | | | | | | | |
High Income | | | | | | | | |
Interest rate1 | | | 55 | | | | — | |
Foreign currency2,3 | | | 103 | | | | (60 | ) |
| | | | | | | | |
Total | | | 158 | | | | (60 | ) |
| | | | | | | | |
Global Low Duration | | | | | | | | |
Interest rate1 | | | 263 | | | | (406 | ) |
Foreign currency2,3 | | | 27 | | | | (1 | ) |
| | | | | | | | |
Total | | | 290 | | | | (407 | ) |
| | | | | | | | |
Global Fixed Income | | | | | | | | |
Interest rate1 | | | 1,940 | | | | (2,193 | ) |
Foreign currency2,3 | | | 6,074 | | | | (948 | ) |
| | | | | | | | |
Total | | | 8,014 | | | | (3,141 | ) |
| | | | | | | | |
Emerging Markets Bond | | | | | | | | |
Credit1 | | | 867 | | | | — | |
Foreign currency2,3 | | | 8,398 | | | | (1,583 | ) |
| | | | | | | | |
Total | | | 9,265 | | | | (1,583 | ) |
| | | | | | | | |
Emerging Markets Local Bond | | | | | | | | |
Interest rate1 | | | — | | | | — | |
Foreign currency2,3 | | | 697 | | | | (480 | ) |
| | | | | | | | |
Total | | | 697 | | | | (480 | ) |
| | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | |
Credit1 | | | 29 | | | | — | |
Interest rate1 | | | 8 | | | | — | |
Foreign currency2,3 | | | 50 | | | | (12 | ) |
| | | | | | | | |
Total | | | 87 | | | | (12 | ) |
| | | | | | | | |
Equity Income | | | | | | | | |
Foreign currency2,3 | | | 2,197 | | | | — | |
| | | | | | | | |
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. |
124 Payden Mutual Funds
The Effect of Derivative Instruments on the Statements of Operations
For the Period Ended April 30, 2022 (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 | | $ | 2,736 | | | | — | | | | — | | | | — | | | $ | 2,736 | |
Foreign exchange | | | — | | | $ | 1,400 | | | | — | | | | — | | | | 1,400 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 2,736 | | | | 1,400 | | | | — | | | | — | | | | 4,136 | |
| | | | | | | | | | | | | | | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 1,657 | | | | — | | | | — | | | | — | | | | 1,657 | |
Foreign exchange | | | — | | | | 1,944 | | | | — | | | | — | | | | 1,944 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 1,657 | | | | 1,944 | | | | — | | | | — | | | | 3,601 | |
| | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (129 | ) | | | — | | | | — | | | | — | | | | (129 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (129 | ) | | | — | | | | — | | | | — | | | | (129 | ) |
| | | | | | | | | | | | | | | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (348 | ) | | | — | | | | — | | | | — | | | | (348 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (348 | ) | | | — | | | | — | | | | — | | | | (348 | ) |
| | | | | | | | | | | | | | | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 3,184 | | | | — | | | | — | | | $ | (1,835 | ) | | | 1,349 | |
Foreign exchange | | | — | | | | 3,463 | | | | — | | | | — | | | | 3,463 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 3,184 | | | | 3,463 | | | | — | | | | (1,835 | ) | | | 4,812 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 148 | | | | 148 | |
Interest rate | | | (783 | ) | | | — | | | | — | | | | — | | | | (783 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (783 | ) | | | — | | | | — | | | | 148 | | | | (635 | ) |
| | | | | | | | | | | | | | | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (47 | ) | | | (47 | ) |
Interest rate | | | 435 | | | | — | | | | — | | | | (316 | ) | | | 119 | |
Foreign exchange | | | — | | | | 1,159 | | | | — | | | | — | | | | 1,159 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 435 | | | | 1,159 | | | | — | | | | (363 | ) | | | 1,231 | |
| | | | | | | | | | | | | | | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 1,208 | | | | 1,208 | |
Equity | | | — | | | | — | | | $ | (127 | ) | | | — | | | | (127 | ) |
Interest rate | | | 10,909 | | | | — | | | | — | | | | (12,290 | ) | | | (1,381 | ) |
Foreign exchange | | | — | | | | 6,861 | | | | — | | | | — | | | | 6,861 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 10,909 | | | | 6,861 | | | | (127 | ) | | | (11,082 | ) | | | 6,561 | |
| | | | | | | | | | | | | | | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | 23 | | | | — | | | | — | | | | 23 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 23 | | | | — | | | | — | | | | 23 | |
| | | | | | | | | | | | | | | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | — | | | | — | | | | — | | | | 192 | | | | 192 | |
Foreign exchange | | | — | | | | 255 | | | | — | | | | — | | | | 255 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 255 | | | | — | | | | 192 | | | | 447 | |
| | | | | | | | | | | | | | | | | | | | |
California Municipal Social Impact | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (9 | ) | | | — | | | | — | | | | — | | | | (9 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (9 | ) | | | — | | | | — | | | | — | | | | (9 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 67 | | | | — | | | | — | | | | — | | | | 67 | |
Foreign exchange | | | — | | | | 386 | | | | — | | | | — | | | | 386 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 67 | | | | 386 | | | | — | | | | — | | | | 453 | |
| | | | | | | | | | | | | | | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 34 | | | | — | | | | — | | | | (202 | ) | | | (168 | ) |
Foreign exchange | | | — | | | | 11,645 | | | | — | | | | — | | | | 11,645 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 34 | | | | 11,645 | | | | — | | | | (202 | ) | | | 11,477 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (256 | ) | | | (256 | ) |
Foreign exchange | | | — | | | | 3,513 | | | | — | | | | — | | | | 3,513 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 3,513 | | | | — | | | | (256 | ) | | | 3,257 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Amount of Net Realized Gain or (Loss) on Derivatives Recognized in
Income | |
Underlying risk | | Futures1 | | | Forward
Currency
Contracts2 | | | Options3 | | | Swaps4 | | | Total | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | $ | (264 | ) | | | — | | | | — | | | $ | (264 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | (264 | ) | | | — | | | | — | | | | (264 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | $ | (51 | ) | | | (51 | ) |
Interest rate | | $ | 9 | | | | — | | | | — | | | | — | | | | 9 | |
Foreign exchange | | | — | | | | (7 | ) | | | — | | | | — | | | | (7 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 9 | | | | (7 | ) | | | — | | | | (51 | ) | | | (49 | ) |
| | | | | | | | | | | | | | | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | 7,796 | | | | — | | | | — | | | | 7,796 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 7,796 | | | | — | | | | — | | | | 7,796 | |
| | | | | | | | | | | | | | | | | | | | |
| 1 | Net realized gains (losses) from futures contracts. |
| 2 | Net realized gains (losses) from forward foreign exchange contracts. |
| 3 | Net realized gains (losses) from written option contracts and purchased options which are included in net realized gain on investments. |
| 4 | Net realized gains (losses) from swap contracts. |
The Effect of Derivative Instruments on the Statements of Operations
For the Period Ended April 30, 2022 (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 | | $ | 1,531 | | | | — | | | | — | | | | — | | | $ | 1,531 | |
Foreign exchange | | | — | | | $ | 3,843 | | | | — | | | | — | | | | 3,843 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 1,531 | | | | 3,843 | | | | — | | | | — | | | | 5,374 | |
| | | | | | | | | | | | | | | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (685 | ) | | | — | | | | — | | | $ | (48 | ) | | | (733 | ) |
Foreign exchange | | | — | | | | 575 | | | | — | | | | — | | | | 575 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (685 | ) | | | 575 | | | | — | | | | (48 | ) | | | (158 | ) |
| | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 77 | | | | — | | | | — | | | | — | | | | 77 | |
| | | | | | | | | | | | | | | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 134 | | | | — | | | | — | | | | — | | | | 134 | |
| | | | | | | | | | | | | | | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 3,014 | | | | — | | | | — | | | | 2,763 | | | | 5,777 | |
Foreign exchange | | | — | | | | 1,047 | | | | — | | | | — | | | | 1,047 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 3,014 | | | | 1,047 | | | | — | | | | 2,763 | | | | 6,824 | |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (81 | ) | | | (81 | ) |
Interest rate | | | (681 | ) | | | — | | | | — | | | | — | | | | (681 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (681 | ) | | | — | | | | — | | | | (81 | ) | | | (762 | ) |
| | | | | | | | | | | | | | | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | (102 | ) | | | (102 | ) |
Interest rate | | | 182 | | | | — | | | | — | | | | 427 | | | | 609 | |
Foreign exchange | | | — | | | | 413 | | | | — | | | | — | | | | 413 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 182 | | | | 413 | | | | — | | | | 325 | | | | 920 | |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 125
| | |
Notes to Financial Statements continued | | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation or (Depreciation) on Derivatives
Recognized in Income | |
Underlying risk | | Futures5 | | | Forward
Currency
Contracts6 | | | Options7 | | | Swaps8 | | | Total | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | $ | 1,827 | | | $ | 1,827 | |
Equity | | | — | | | | — | | | $ | 550 | | | | — | | | | 550 | |
Interest rate | | $ | 3,120 | | | | — | | | | 183 | | | | (2,443 | ) | | | 860 | |
Foreign exchange | | | — | | | $ | 757 | | | | — | | | | — | | | | 757 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 3,120 | | | | 757 | | | | 733 | | | | (616 | ) | | | 3,994 | |
| | | | | | | | | | | | | | | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | 3 | | | | — | | | | — | | | | 3 | |
| | | | | | | | | | | | | | | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | — | | | | — | | | | — | | | | (577 | ) | | | (577 | ) |
Foreign exchange | | | — | | | | 62 | | | | — | | | | — | | | | 62 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 62 | | | | — | | | | (577 | ) | | | (515 | ) |
| | | | | | | | | | | | | | | | | | | | |
California Municipal Social Impact | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | 63 | | | | — | | | | — | | | | — | | | | 63 | |
| | | | | | | | | | | | | | | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (99 | ) | | | — | | | | — | | | | — | | | | (99 | ) |
Foreign exchange | | | — | | | | (35 | ) | | | — | | | | — | | | | (35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (99 | ) | | | (35 | ) | | | — | | | | — | | | | (134 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | (446 | ) | | | — | | | | — | | | | 617 | | | | 171 | |
Foreign exchange | | | — | | | | 3,596 | | | | — | | | | — | | | | 3,596 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | (446 | ) | | | 3,596 | | | | — | | | | 617 | | | | 3,767 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 871 | | | | 871 | |
Foreign exchange | | | — | | | | 4,619 | | | | — | | | | — | | | | 4,619 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | 4,619 | | | | — | | | | 871 | | | | 5,490 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | 511 | | | | — | | | | — | | | | 511 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | |
Credit | | | — | | | | — | | | | — | | | | 26 | | | | 26 | |
Interest rate | | | 8 | | | | — | | | | — | | | | — | | | | 8 | |
Foreign exchange | | | — | | | | 53 | | | | — | | | | — | | | | 53 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | 8 | | | | 53 | | | | — | | | | 26 | | | | 87 | |
| | | | | | | | | | | | | | | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | — | | | | 1,976 | | | | — | | | | — | | | | 1,976 | |
| | | | | | | | | | | | | | | | | | | | |
| 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, 2022 the average notional amount of derivatives as a percent of average net assets were as follows:
| | | | | | | | |
| | | Foreign
currency | | Credit | | Interest
rate | | Equity |
Limited Maturity | | 6% | | 0% | | 0% | | 0% |
Low Duration | | 3% | | 0% | | 1% | | 0% |
| | | | | | | | |
| | | Foreign
currency | | Credit | | Interest
rate | | Equity |
Core Bond | | 7% | | 0% | | 3% | | 0% |
Strategic Income | | 12% | | 2% | | 10% | | 0% |
Absolute Return Bond | | 13% | | 4% | | 36% | | 0% |
High Income | | 1% | | 0% | | 2% | | 0% |
Global Low Duration | | 7% | | 0% | | 0% | | 0% |
Global Fixed Income | | 54% | | 0% | | 1387% | | 0% |
Emerging Markets Bond | | 15% | | 3% | | 0% | | 0% |
Emerging Markets Local Bond | | 62% | | 0% | | 3% | | 0% |
Emerging Markets Corporate Bond | | 2% | | 4% | | 0% | | 0% |
Equity Income | | 9% | | 0% | | 0% | | 0% |
Counterparty Credit Risk
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by a Fund. For OTC options purchased, a Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Fund 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.
126 Payden Mutual Funds
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g. $500,000) before a transfer is required, which is determined at the close of business of a Fund and additional required collateral is delivered to/pledged by a Fund on the next business day. Typically, a Fund and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties
that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
At April 30, 2022, 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 | | $ | 43 | | | | — | |
Futures Contracts | | | 66 | | | $ | 92 | |
Forward Currency Contracts | | | 6,074 | | | | 948 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 6,183 | | | | 1,040 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (5,123 | ) | | | (698 | ) |
| | | | | | | | |
| Total derivative assets and liabilities subject to a MNA | | $ | 1,060 | | | $ | 342 | |
| | | | | | | | |
Emerging Markets Local Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Centrally Cleared Swaps | | $ | 3 | | | $ | — | |
Forward Currency Contracts | | | 697 | | | | 480 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 700 | | | | 480 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (439 | ) | | | (22 | ) |
| | | | | | | | |
| Total derivative assets and liabilities subject to a MNA | | $ | 261 | | | $ | 458 | |
| | | | | | | | |
Emerging Markets Bond | | | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Centrally Cleared Swaps | | $ | 176 | | | $ | — | |
Forward Currency Contracts | | | 8,398 | | | | 1,583 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 8,574 | | | | 1,583 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (5,138 | ) | | | (28 | ) |
| | | | | | | | |
| Total derivative assets and liabilities subject to a MNA | | $ | 3,435 | | | $ | 1,554 | |
| | | | | | | | |
Semi-Annual Report 127
| | |
Notes to Financial Statements continued | | |
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, 2022 (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 | | $ | 247 | | | $ | (82 | ) | | | — | | | | — | | | $ | 165 | |
HSBC Bank USA, N.A | | | 813 | | | | (260 | ) | | | — | | | | — | | | | 553 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,060 | | | $ | (342 | ) | | | — | | | | — | | | $ | 718 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
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 | | $ | 82 | | | $ | (82 | ) | | | — | | | | — | | | | — | |
HSBC Bank USA, N.A | | | 260 | | | | (260 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 342 | | | $ | (342 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
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 | | $ | 49 | | | $ | (49 | ) | | | — | | | | — | | | | — | |
BNP PARIBAS | | | 60 | | | | (60 | ) | | | — | | | | — | | | | — | |
HSBC Bank USA, N.A | | | 151 | | | | (151 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 260 | | | $ | (260 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
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 | | $ | 137 | | | $ | (49 | ) | | | — | | | | — | | | $ | 88 | |
BNP PARIBAS | | | 153 | | | | (60 | ) | | | — | | | | — | | | | 93 | |
HSBC Bank USA, N.A | | | 168 | | | | (151 | ) | | | — | | | | — | | | | 17 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 458 | | | $ | (260 | ) | | | — | | | | — | | | $ | 198 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | | Derivatives
Available
for Offset1 | | | Non-Cash
Collateral
Received | | | Cash
Collateral
Received | | | Net Amount of
Derivative
Assets2 | |
Barclays Bank PLC | | $ | 379 | | | $ | (181 | ) | | | — | | | | — | | | $ | 198 | |
BNP PARIBAS | | | 1,240 | | | | (479 | ) | | | — | | | | — | | | | 761 | |
HSBC Bank USA, N.A | | | 1,817 | | | | (894 | ) | | | — | | | | — | | | | 923 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 3,436 | | | $ | (1,554 | ) | | | — | | | | — | | | $ | 1,882 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
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 | | $ | 181 | | | $ | (181 | ) | | | — | | | | — | | | | — | |
BNP PARIBAS | | | 479 | | | | (479 | ) | | | — | | | | — | | | | — | |
HSBC Bank USA, N.A | | | 894 | | | | (894 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,554 | | | $ | (1,554 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| 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. |
128 Payden Mutual Funds
Credit Enhancements
Certain obligations held in the Funds have credit enhancement or liquidity features that may, under certain circumstances, provide for repayment of principal and interest on the obligation upon demand date, interest rate reset date or final maturity. These enhancements may include: letters of credit, liquidity guarantees, security purchase agreements, and third party insurance (e.g. AGM, AMBAC and BAM).
TBA Sale Commitments
Some Funds entered into TBA sale commitments, within dollar roll agreements, to hedge their portfolio position or to sell mortgage backed securities they own under delayed delivery arrangements. Proceeds from TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at approximately the current value of the underlying securities. The contract is “marked-to-market” daily and the change in the value is recorded by the Fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the Fund entered the commitment.
Securities Lending
Pursuant to a securities lending agreement with The Bank of New York Mellon, the Funds (except Cash Reserves Money Market) may lend securities to qualified institutions. It is each Fund’s policy that at origination all loans are secured by collateral of at least 102% of the value of the U.S. securities loaned and 105% of the value of the foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. The collateral is maintained by the custodian. Cash collateral is reinvested in the 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, which are subject to offset under a MSLA, if applicable, is included within each Fund’s Schedule of Investments under the heading “Offsetting Assets and Liabilities”. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to MSLA on the Statements of Assets and Liabilities.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. Dividends from net investment income and net realized gains on foreign currency transactions are declared and paid monthly for all Funds except the Cash Reserves Money Market, Limited Maturity, Short Bond, U.S. Government, GNMA and California Municipal 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, 2022, the Funds did not record any liability for uncertain tax positions.
Semi-Annual Report 129
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Notes to Financial Statements continued | | |
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, 2022, 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, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Affiliated Investments
Each of the Payden funds (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, 2021 | | | Purchases | | | Sales | | | Dividends | | | Value
April 30, 2022 | | | Net Realized
Gain | | | Net Change in
Unrealized
Appreciation
(Depreciation) | |
| | | | | | | |
Investments in Cash Reserves Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Limited Maturity | | $ | 19,586,290 | | | $ | 567,618,973 | | | $ | 570,215,913 | | | $ | 797 | | | $ | 16,989,350 | | | | — | | | | — | |
Low Duration | | | 13,067,645 | | | | 440,342,919 | | | | 423,340,732 | | | | 871 | | | | 30,069,832 | | | | — | | | | — | |
U.S. Government | | | 1,231,736 | | | | 13,614,737 | | | | 13,902,547 | | | | 73 | | | | 943,926 | | | | — | | | | — | |
GNMA | | | 1,645,850 | | | | 17,266,771 | | | | 17,979,063 | | | | 87 | | | | 933,558 | | | | — | | | | — | |
Core Bond | | | 9,491,781 | | | | 230,105,699 | | | | 214,797,369 | | | | 429 | | | | 24,800,111 | | | | — | | | | — | |
Corporate Bond | | | 9,317,672 | | | | 54,200,196 | | | | 59,919,881 | | | | 284 | | | | 3,597,987 | | | | — | | | | — | |
Strategic Income | | | 16,468,211 | | | | 32,161,279 | | | | 43,702,848 | | | | 128 | | | | 4,926,642 | | | | — | | | | — | |
Absolute Return Bond | | | 16,098,534 | | | | 379,399,551 | | | | 324,573,017 | | | | 1,465 | | | | 70,925,068 | | | | — | | | | — | |
Floating Rate | | | 18,414,477 | | | | 39,764,051 | | | | 49,892,513 | | | | 1,050 | | | | 8,286,015 | | | | — | | | | — | |
High Income | | | 63,684,041 | | | | 245,178,571 | | | | 292,830,991 | | | | 1,305 | | | | 16,031,621 | | | | — | | | | — | |
Global Low Duration | | | 1,992,741 | | | | 34,619,503 | | | | 34,748,283 | | | | 95 | | | | 1,863,961 | | | | — | | | | — | |
Global Fixed Income | | | 6,442,301 | | | | 52,956,473 | | | | 54,675,291 | | | | 201 | | | | 4,723,483 | | | | — | | | | — | |
Emerging Markets Bond | | | 12,017,290 | | | | 352,603,531 | | | | 346,625,226 | | | | 789 | | | | 17,995,595 | | | | — | | | | — | |
Emerging Markets Local Bond | | | 131,850 | | | | 17,249,847 | | | | 16,189,248 | | | | 70 | | | | 1,192,449 | | | | — | | | | — | |
Emerging Markets Corporate Bond | | | 4,449,319 | | | | 18,801,922 | | | | 21,089,332 | | | | 104 | | | | 2,161,909 | | | | — | | | | — | |
Equity Income | | | 21,652,964 | | | | 449,950,750 | | | | 400,805,502 | | | | 1,902 | | | | 70,798,212 | | | | — | | | | — | |
| | | | | | | |
Investments in Floating Rate Fund — SI Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Limited Maturity | | | 17,522,750 | | | | — | | | | — | | | | 426,799 | | | | 26,605,782 | | | | — | | | $ | (416,968 | ) |
Global Fixed Income | | | 1,455,286 | | | | — | | | | — | | | | 24,353 | | | | 1,431,813 | | | | — | | | | (23,673 | ) |
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, 2022.
Line of Credit
The Payden funds (except Cash Reserves Money Market) have entered into a Credit Agreement with Bank of New York Mellon under which the bank has agreed to make loans to one or more of the Funds upon request by such Fund(s) and subject to the conditions of the Credit Agreement. The interest rate for any such loan will vary depending upon the type of borrowing chosen by the Fund. The aggregate of all such loans to the Funds may not exceed $75 million. No Fund took a loan during
130 Payden Mutual Funds
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. 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 2020 | | | FY 2021 | | | FY 2022 | |
Cash Reserves Money Market | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % | | | 0.50 | % | | | 0.25 | % | | | n/a | | | $ | 425,137 | | | $ | 451,269 | | | $ | 302,634 | |
Limited Maturity | | | 0.28 | % | | | 0.28 | % | | | 0.25 | % | | | 0.25 | % | | | 0.60 | % | | | 0.25 | % | | | 0.20 | % | | | 2,779,713 | | | | 4,778,705 | | | | 3,437,925 | |
Low Duration | | | 0.28 | % | | | 0.28 | % | | | 0.25 | % | | | 0.25 | % | | | 0.60 | % | | | 0.43 | % | | | 0.38 | % | | | 1,421,862 | | | | 1,319,206 | | | | 746,537 | |
U.S. Government | | | 0.28 | % | | | 0.28 | % | | | 0.25 | % | | | 0.25 | % | | | 0.60 | % | | | 0.43 | % | | | n/a | | | | 127,100 | | | | 128,799 | | | | 55,208 | |
GNMA | | | 0.27 | % | | | 0.27 | % | | | 0.27 | % | | | 0.27 | % | | | 0.50 | % | | | 0.15 | % | | | n/a | | | | 264,362 | | | | 257,058 | | | | 109,781 | |
Core Bond | | | 0.28 | % | | | 0.28 | % | | | 0.25 | % | | | 0.25 | % | | | 0.60 | % | | | 0.53 | % | | | 0.42 | % | | | 492,210 | | | | 712,335 | | | | 377,073 | |
Corporate Bond | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % | | | 1.00 | % | | | 0.65 | % | | | 0.55 | % | | | 56,398 | | | | 22,954 | | | | 1,489 | |
Strategic Income | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | n/a | | | | 0.65 | % | | | 0.55 | % | | | 334,464 | | | | 386,478 | | | | 225,359 | |
Absolute Return Bond | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | n/a | | | | 0.70 | % | | | 0.47 | % | | | 1,703,932 | | | | 2,176,157 | | | | 1,132,317 | |
Floating Rate | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | n/a | | | | 0.70 | % | | | 0.60 | % | | | 204,662 | | | | 298,845 | | | | 242,196 | |
High Income | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % | | | 0.75 | % | | | n/a | | | | 0.55 | % | | | — | | | | — | | | | 11,677 | |
California Municipal Social Impact | | | 0.32 | % | | | 0.32 | % | | | 0.25 | % | | | 0.25 | % | | | 0.80 | % | | | 0.45 | % | | | n/a | | | | 174,738 | | | | 170,982 | | | | 93,546 | |
Global Low Duration | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.25 | % | | | 0.70 | % | | | 0.53 | % | | | n/a | | | | 178,826 | | | | 199,680 | | | | 87,838 | |
Global Fixed Income | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.25 | % | | | 0.70 | % | | | n/a | | | | 0.55 | % | | | 123,205 | | | | 69,044 | | | | 19,632 | |
Emerging Markets Bond | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 1.25 | % | | | n/a | | | | 0.69 | % | | | 276,554 | | | | 155,479 | | | | 68,036 | |
Emerging Markets Local Bond | | | 0.60 | % | | | 0.60 | % | | | 0.60 | % | | | 0.60 | % | | | 1.50 | % | | | 0.99 | % | | | 0.75 | % | | | — | | | | 55,435 | | | | 11,347 | |
Emerging Markets Corporate Bond | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | n/a | | | | 0.95 | % | | | 0.85 | % | | | 213,678 | | | | 218,452 | | | | 124,226 | |
Equity Income | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.30 | % | | | 0.80 | % | | | n/a | | | | 0.65 | % | | | 732,844 | | | | 779,256 | | | | 507,458 | |
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, 2023 (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
Semi-Annual Report 131
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Notes to Financial Statements continued | | |
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.
4. Fair Value Measurement
Various inputs are used in determining the value of each Fund’s investments and other financial instruments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels: Level 1 — quoted prices in active markets for identical investments, Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.), and Level 3 — significant unobservable inputs (including fund’s own assumptions in determining the fair value of investments). See Note 2 — Securities Valuation for a summary of the inputs used in valuing the Funds’ investments and other financial instruments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | Level 1-Quoted
Prices | | | Level 2-Other
Significant
Observable Inputs | | | Level 3-Significant
Unobservable Inputs | | | | |
| | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Total | |
| | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | |
Cash Reserves Money Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | — | | | | — | | | $ | 104,000 | | | | — | | | | — | | | | — | | | $ | 104,000 | |
U.S. Government | | | — | | | | — | | | | 54,997 | | | | — | | | | — | | | | — | | | | 54,997 | |
U.S. Treasury | | | — | | | | — | | | | 389,814 | | | | — | | | | — | | | | — | | | | 389,814 | |
Investment Company | | $ | 4,968 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,968 | |
132 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) | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 514,111 | | | | — | | | | — | | | | — | | | $ | 514,111 | |
Commercial Paper | | | — | | | | — | | | | 170,922 | | | | — | | | | — | | | | — | | | | 170,922 | |
Corporate Bond | | | — | | | | — | | | | 889,764 | | | | — | | | | — | | | | — | | | | 889,764 | |
Mortgage Backed | | | — | | | | — | | | | 157,161 | | | | — | | | | — | | | | — | | | | 157,161 | |
U.S. Government | | | — | | | | — | | | | 362,710 | | | | — | | | | — | | | | — | | | | 362,710 | |
Investment Company | | $ | 16,989 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 16,989 | |
Investments Valued at NAV1 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 26,606 | |
| | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 341,743 | | | | — | | | | — | | | | — | | | | 341,743 | |
Bank Loans | | | — | | | | — | | | | 1,647 | | | | — | | | | — | | | | — | | | | 1,647 | |
Commercial Paper | | | — | | | | — | | | | 52,641 | | | | — | | | | — | | | | — | | | | 52,641 | |
Corporate Bond | | | — | | | | — | | | | 440,185 | | | | — | | | | — | | | | — | | | | 440,185 | |
Mortgage Backed | | | — | | | | — | | | | 200,714 | | | | — | | | | — | | | | — | | | | 200,714 | |
Municipal | | | — | | | | — | | | | 1,416 | | | | — | | | | — | | | | — | | | | 1,416 | |
U.S. Government | | | — | | | | — | | | | 320,777 | | | | — | | | | — | | | | — | | | | 320,777 | |
Investment Company | | | 30,070 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 30,070 | |
| | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed | | | — | | | | — | | | | 17,747 | | | | — | | | | — | | | | — | | | | 17,747 | |
U.S. Government | | | — | | | | — | | | | 5,853 | | | | — | | | | — | | | | — | | | | 5,853 | |
Investment Company | | | 944 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 944 | |
| | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed | | | — | | | | — | | | | 109,309 | | | | — | | | | — | | | | — | | | | 109,309 | |
Investment Company | | | 934 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 934 | |
| | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 88,141 | | | | — | | | | — | | | | — | | | | 88,141 | |
Bank Loans | | | — | | | | — | | | | 21,814 | | | | — | | | | — | | | | — | | | | 21,814 | |
Corporate Bond | | | — | | | | — | | | | 360,525 | | | | — | | | | — | | | | — | | | | 360,525 | |
Foreign Government | | | — | | | | — | | | | 52,608 | | | | — | | | | — | | | | — | | | | 52,608 | |
Mortgage Backed | | | — | | | | — | | | | 302,502 | | | | — | | | | — | | | | — | | | | 302,502 | |
Municipal | | | — | | | | — | | | | 30,510 | | | | — | | | | — | | | | — | | | | 30,510 | |
U.S. Government | | | — | | | | — | | | | 271,367 | | | | — | | | | — | | | | — | | | | 271,367 | |
Investment Company | | | 24,800 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 24,800 | |
| | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 15,186 | | | | — | | | | — | | | | — | | | | 15,186 | |
Bank Loans | | | — | | | | — | | | | 2,617 | | | | — | | | | — | | | | — | | | | 2,617 | |
Corporate Bond | | | — | | | | — | | | | 359,535 | | | | — | | | | — | | | | — | | | | 359,535 | |
Foreign Government | | | — | | | | — | | | | 1,656 | | | | — | | | | — | | | | — | | | | 1,656 | |
Mortgage Backed | | | — | | | | — | | | | 4,142 | | | | — | | | | — | | | | — | | | | 4,142 | |
Municipal | | | — | | | | — | | | | 3,173 | | | | — | | | | — | | | | — | | | | 3,173 | |
Investment Company | | | 3,598 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,598 | |
| | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 25,759 | | | | — | | | | — | | | | — | | | | 25,759 | |
Bank Loans | | | — | | | | — | | | | 5,185 | | | | — | | | | — | | | | — | | | | 5,185 | |
Corporate Bond | | | — | | | | — | | | | 77,070 | | | | — | | | | — | | | | — | | | | 77,070 | |
Foreign Government | | | — | | | | — | | | | 7,517 | | | | — | | | | — | | | | — | | | | 7,517 | |
Mortgage Backed | | | — | | | | — | | | | 15,687 | | | | — | | | | — | | | | — | | | | 15,687 | |
Municipal | | | — | | | | — | | | | 7,380 | | | | — | | | | — | | | | — | | | | 7,380 | |
U.S. Government | | | — | | | | — | | | | 27,326 | | | | — | | | | — | | | | — | | | | 27,326 | |
Common Stock | | | 2,957 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,957 | |
Preferred Stock | | | 696 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 696 | |
Investment Company | | | 4,927 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,927 | |
Semi-Annual Report 133
| | |
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) | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 260,832 | | | | — | | | | — | | | | — | | | $ | 260,832 | |
Bank Loans | | | — | | | | — | | | | 29,053 | | | | — | | | | — | | | | — | | | | 29,053 | |
Corporate Bond | | | — | | | | — | | | | 214,643 | | | | — | | | | — | | | | — | | | | 214,643 | |
Foreign Government | | | — | | | | — | | | | 52,559 | | | | — | | | | — | | | | — | | | | 52,559 | |
Mortgage Backed | | | — | | | | — | | | | 299,064 | �� | | | — | | | | — | | | | — | | | | 299,064 | |
U.S. Government | | | — | | | | — | | | | 14,086 | | | | — | | | | — | | | | — | | | | 14,086 | |
Options Purchased | | $ | 844 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 844 | |
Preferred Stock | | | 6,164 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,164 | |
Investment Company | | | 70,925 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 70,925 | |
| | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 1,486 | | | | — | | | | — | | | | — | | | | 1,486 | |
Bank Loans | | | — | | | | — | | | | 157,644 | | | | — | | | | — | | | | — | | | | 157,644 | |
Corporate Bond | | | — | | | | — | | | | 27,900 | | | | — | | | | — | | | | — | | | | 27,900 | |
Mortgage Backed | | | — | | | | — | | | | 4,372 | | | | — | | | | — | | | | — | | | | 4,372 | |
Preferred Stock | | | 846 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 846 | |
Investment Company | | | 8,286 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 8,286 | |
| | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 6,024 | | | | — | | | | — | | | | — | | | | 6,024 | |
Bank Loans | | | — | | | | — | | | | 22,253 | | | | — | | | | — | | | | — | | | | 22,253 | |
Corporate Bond | | | — | | | | — | | | | 627,155 | | | | — | | | | — | | | | — | | | | 627,155 | |
Mortgage Backed | | | — | | | | — | | | | 17,834 | | | | — | | | | — | | | | — | | | | 17,834 | |
Preferred Stock | | | 1,353 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,353 | |
Investment Company | | | 16,032 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 16,032 | |
| | | | | | | |
California Municipal Social Impact | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 979 | | | | — | | | | — | | | | — | | | | 979 | |
Mortgage Backed | | | — | | | | — | | | | 450 | | | | — | | | | — | | | | — | | | | 450 | |
Municipal | | | — | | | | — | | | | 96,754 | | | | — | | | | — | | | | — | | | | 96,754 | |
U.S. Government | | | — | | | | — | | | | 3,650 | | | | — | | | | — | | | | — | | | | 3,650 | |
| | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 12,912 | | | | — | | | | — | | | | — | | | | 12,912 | |
Corporate Bond | | | — | | | | — | | | | 27,491 | | | | — | | | | — | | | | — | | | | 27,491 | |
Foreign Government | | | — | | | | — | | | | 611 | | | | — | | | | — | | | | — | | | | 611 | |
Mortgage Backed | | | — | | | | — | | | | 9,483 | | | | — | | | | — | | | | — | | | | 9,483 | |
Municipal | | | — | | | | — | | | | 90 | | | | — | | | | — | | | | — | | | | 90 | |
U.S. Government | | | — | | | | — | | | | 12,824 | | | | — | | | | — | | | | — | | | | 12,824 | |
Commercial Paper | | | — | | | | — | | | | 3,398 | | | | — | | | | — | | | | — | | | | 3,398 | |
Investment Company | | | 1,864 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,864 | |
| | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 26,850 | | | | — | | | | — | | | | — | | | | 26,850 | |
Bank Loans | | | — | | | | — | | | | 5,081 | | | | — | | | | — | | | | — | | | | 5,081 | |
Corporate Bond | | | — | | | | — | | | | 67,636 | | | | — | | | | — | | | | — | | | | 67,636 | |
Foreign Government | | | — | | | | — | | | | 96,054 | | | | — | | | | — | | | | — | | | | 96,054 | |
Mortgage Backed | | | — | | | | — | | | | 32,527 | | | | — | | | | — | | | | — | | | | 32,527 | |
U.S. Government | | | — | | | | — | | | | 18,088 | | | | — | | | | — | | | | — | | | | 18,088 | |
Investment Company | | | 4,723 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,723 | |
Investments Valued at NAV1 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,432 | |
| | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 259,808 | | | | — | | | | — | | | | — | | | | 259,808 | |
Foreign Government | | | — | | | | — | | | | 586,782 | | | | — | | | | — | | | | — | | | | 586,782 | |
Investment Company | | | 17,996 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 17,996 | |
| | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 6,041 | | | | — | | | | — | | | | — | | | | 6,041 | |
Foreign Government | | | — | | | | — | | | | 24,422 | | | | — | | | | — | | | | — | | | | 24,422 | |
Investment Company | | | 1,192 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,192 | |
134 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) | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | — | | | $ | 2,218 | | | | — | | | | — | | | | — | | | $ | 2,218 | |
Corporate Bond | | | — | | | | — | | | | 42,974 | | | | — | | | | — | | | | — | | | | 42,974 | |
Foreign Government | | | — | | | | — | | | | 803 | | | | — | | | | — | | | | — | | | | 803 | |
Mortgage Backed | | | — | | | | — | | | | 285 | | | | — | | | | — | | | | — | | | | 285 | |
Investment Company | | $ | 2,162 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,162 | |
| | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 16,088 | | | | — | | | | — | | | | — | | | | 16,088 | |
Common Stock | | | 1,288,694 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,288,694 | |
Preferred Stock | | | 2,512 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,512 | |
Real Estate Investment Trust | | | 61,353 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 61,353 | |
Investment Company | | | 70,798 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 70,798 | |
| 1 | As of April 30, 2022, certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
Semi-Annual Report 135
| | |
Notes to Financial Statements continued | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Other Financial Instruments1 | |
| | | 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 | | | — | | | | — | | | $ | 883 | | | $ | (261 | ) | | | — | | | | — | | | $ | 622 | |
Futures | | $ | 2,170 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,170 | |
| | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 363 | | | | (8 | ) | | | — | | | | — | | | | 355 | |
Futures | | | 4,753 | | | | (6,653 | ) | | | — | | | | — | | | | — | | | | — | | | | (1,900 | ) |
Swaps | | | — | | | | — | | | | — | | | | (56 | ) | | | — | | | | — | | | | (56 | ) |
| | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 16 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 16 | |
| | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 2,998 | | | | (198 | ) | | | — | | | | — | | | | 2,800 | |
Futures | | | 11,622 | | | | (7,902 | ) | | | — | | | | — | | | | — | | | | — | | | | 3,720 | |
Swaps | | | — | | | | — | | | | 2,687 | | | | (1,682 | ) | | | — | | | | — | | | | 1,005 | |
| | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 2,205 | | | | (3,123 | ) | | | — | | | | — | | | | — | | | | — | | | | (918 | ) |
| | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 824 | | | | (31 | ) | | | — | | | | — | | | | 793 | |
Futures | | | 808 | | | | (532 | ) | | | — | | | | — | | | | — | | | | — | | | | 276 | |
Swaps | | | — | | | | — | | | | 411 | | | | (351 | ) | | | — | | | | — | | | | 60 | |
| | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 3,554 | | | | (556 | ) | | | — | | | | — | | | | 2,998 | |
Futures | | | 6,673 | | | | (798 | ) | | | — | | | | — | | | | — | | | | — | | | | 5,875 | |
Swaps | | | — | | | | — | | | | 1,827 | | | | (4,788 | ) | | | — | | | | — | | | | (2,961 | ) |
| | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 3 | | | | — | | | | — | | | | — | | | | 3 | |
| | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 103 | | | | (60 | ) | | | — | | | | — | | | | 43 | |
Swaps | | | — | | | | — | | | | 55 | | | | — | | | | — | | | | — | | | | 55 | |
| | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 27 | | | | (1 | ) | | | — | | | | — | | | | 26 | |
Futures | | | 263 | | | | (406 | ) | | | — | | | | — | | | | — | | | | — | | | | (143 | ) |
| | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 6,074 | | | | (948 | ) | | | — | | | | — | | | | 5,126 | |
Futures | | | 1,102 | | | | (1,414 | ) | | | — | | | | — | | | | — | | | | — | | | | (312 | ) |
Swaps | | | — | | | | — | | | | 838 | | | | (779 | ) | | | — | | | | — | | | | 59 | |
| | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 8,398 | | | | (1,583 | ) | | | — | | | | — | | | | 6,815 | |
Swaps | | | — | | | | — | | | | 867 | | | | — | | | | — | | | | — | | | | 867 | |
| | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 697 | | | | (480 | ) | | | — | | | | — | | | | 217 | |
Swaps | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 50 | | | | (12 | ) | | | — | | | | — | | | | 38 | |
Futures | | | 8 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 8 | |
Swaps | | | — | | | | — | | | | 29 | | | | — | | | | — | | | | — | | | | 29 | |
| | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 2,197 | | | | — | | | | — | | | | — | | | | 2,197 | |
| 1 | Other financial instruments are swaps, futures contracts, forward currency contracts and options written. Swaps, futures contracts and forward currency contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
136 Payden Mutual Funds
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, 2021, the following Funds had available for Federal income tax purposes unused capital losses as follows (000’s):
| | | | |
| | | Total | |
Limited Maturity | | $ | 2,194 | |
U.S. Government | | | 7,379 | |
GNMA | | | 39,339 | |
Floating Rate | | | 3,386 | |
High Income | | | 3,191 | |
California Municipal Social Impact | | | 88 | |
Emerging Markets Bond | | | 14,661 | |
Emerging Markets Local Bond | | | 20,010 | |
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 | | $ | 553,779 | | | | — | | | | — | | | | — | |
Low Duration | | | 1,430,152 | | | $ | 5,644 | | | $ | (48,220 | ) | | $ | (42,576 | ) |
U.S. Government | | | 26,222 | | | | 65 | | | | (1,727 | ) | | | (1,662 | ) |
Core Bond | | | 1,263,697 | | | | 21,067 | | | | (125,311 | ) | | | (104,244 | ) |
Corporate Bond | | | 427,761 | | | | 3,382 | | | | (42,154 | ) | | | (38,772 | ) |
Strategic Income | | | 185,359 | | | | 2,920 | | | | (12,604 | ) | | | (9,684 | ) |
Absolute Return Bond | | | 983,655 | | | | 14,207 | | | | (47,175 | ) | | | (32,968 | ) |
High Income | | | 742,816 | | | | 4,872 | | | | (56,894 | ) | | | (52,022 | ) |
California Municipal Social Impact | | | 106,164 | | | | 167 | | | | (4,498 | ) | | | (4,331 | ) |
Global Fixed Income | | | 287,961 | | | | 8,354 | | | | (39,212 | ) | | | (30,858 | ) |
Emerging Markets Bond | | | 1,049,927 | | | | 12,057 | | | | (189,856 | ) | | | (177,799 | ) |
Emerging Markets Local Bond | | | 41,581 | | | | 998 | | | | (10,762 | ) | | | (9,764 | ) |
Emerging Markets Corporate Bond | | | 54,090 | | | | 197 | | | | (5,770 | ) | | | (5,573 | ) |
Equity Income | | | 1,256,850 | | | | 198,109 | | | | (43,467 | ) | | | 154,642 | |
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 137
For the share outstanding for the periods ended April 30, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Cash Reserves Money Market Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
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) | | | 0.00 | (1) | | | 0.01 | | | | 0.02 | | | | 0.01 | |
Net realized and unrealized gain | | | 0.00 | (1) | | | 0.00 | (1) | | | 0.00 | (1) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.00 | | | | 0.00 | | | | 0.01 | | | | 0.02 | | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.00 | )(1) | | | (0.00 | )(1) | | | (0.01 | ) | | | (0.02 | ) | | | (0.01 | ) |
From net realized gains | | | — | | | | — | | | | (0.00 | )(1) | | | (0.00 | )(1) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.00 | )(1) | | | (0.00 | )(1) | | | (0.01 | ) | | | (0.02 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.01 | %(2) | | | 0.02 | % | | | 0.57 | % | | | 2.10 | % | | | 1.43 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 479,922 | | | $ | 500,758 | | | $ | 351,597 | | | $ | 274,957 | | | $ | 329,996 | |
Ratio of gross expense to average net assets | | | 0.37 | %(3) | | | 0.38 | % | | | 0.39 | % | | | 0.38 | % | | | 0.38 | % |
Ratio of net expense to average net assets | | | 0.11 | %(3) | | | 0.05 | % | | | 0.23 | % | | | 0.25 | % | | | 0.25 | % |
Ratio of investment income less gross expenses to average net assets | | | (0.25 | )%(3) | | | (0.32 | )% | | | 0.35 | % | | | 1.94 | % | | | 1.26 | % |
Ratio of net investment income to average net assets | | | 0.01 | %(3) | | | 0.01 | % | | | 0.51 | % | | | 2.07 | % | | | 1.39 | % |
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 - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 9.51 | | | $ | 9.50 | | | $ | 9.49 | | | $ | 9.46 | | | $ | 9.48 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.02 | | | | 0.06 | | | | 0.15 | | | | 0.25 | | | | 0.20 | |
Net realized and unrealized gains (losses) | | | (0.08 | ) | | | 0.01 | | | | 0.01 | | | | 0.03 | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.06 | ) | | | 0.07 | | | | 0.16 | | | | 0.28 | | | | 0.18 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | �� | | (0.03 | ) | | | (0.06 | ) | | | (0.15 | ) | | | (0.25 | ) | | | (0.20 | ) |
From net realized gains | | | — | | | | — | | | | (0.00 | )(1) | | | (0.00 | )(1) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.03 | ) | | | (0.06 | ) | | | (0.15 | ) | | | (0.25 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.42 | | | $ | 9.51 | | | $ | 9.50 | | | $ | 9.49 | | | $ | 9.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.63 | )%(2) | | | 0.75 | % | | | 1.75 | % | | | 2.99 | % | | | 1.92 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 623,321 | | | $ | 851,146 | | | $ | 1,219,514 | | | $ | 783,645 | | | $ | 784,821 | |
Ratio of gross expense to average net assets | | | 0.52 | %(3) | | | 0.49 | % | | | 0.54 | % | | | 0.55 | % | | | 0.55 | % |
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 | | | 0.27 | %(3) | | | 0.41 | % | | | 1.24 | % | | | 2.29 | % | | | 1.82 | % |
Ratio of net investment income to average net assets | | | 0.54 | %(3) | | | 0.64 | % | | | 1.53 | % | | | 2.59 | % | | | 2.12 | % |
Portfolio turnover rate | | | 15 | %(2) | | | 60 | % | | | 63 | % | | | 74 | % | | | 72 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on April 29, 1994.
| (1) | Amount is less than $0.005. |
See notes to financial statements.
138 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Limited Maturity
Fund - SI Class | | | | | | | | | | |
| | | 2022 | | | 2021 | | | | | | | | | | |
Net asset value — beginning of period | | $ | 9.52 | | | $ | 9.53 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.03 | | | | 0.02 | | | | | | | | | | | | | |
Net realized and unrealized loss | | | (0.10 | ) | | | (0.01 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.07 | ) | | | 0.01 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.03 | ) | | | (0.02 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.42 | | | $ | 9.52 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.61 | )%(1) | | | 0.11 | %(1) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 1,457,020 | | | $ | 1,398,387 | | | | | | | | | | | | | |
Ratio of gross expense to average net assets | | | 0.53 | %(2) | | | 0.51 | %(2) | | | | | | | | | | | | |
Ratio of net expense to average net assets | | | 0.20 | %(2) | | | 0.20 | %(2) | | | | | | | | | | | | |
Ratio of investment income less gross expenses to average net assets | | | 0.26 | %(2) | | | 0.28 | %(2) | | | | | | | | | | | | |
Ratio of net investment income to average net assets | | | 0.60 | %(2) | | | 0.59 | %(2) | | | | | | | | | | | | |
Portfolio turnover rate | | | 15 | %(1) | | | 60 | %(1) | | | | | | | | | | | | |
The Class commenced operations on June 30, 2021. | | | | | | | | | |
(1) Not annualized. (2) Annualized. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Low Duration Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.12 | | | $ | 10.22 | | | $ | 10.10 | | | $ | 9.91 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.08 | | | | 0.18 | | | | 0.18 | | | | 0.24 | | | | 0.22 | |
Net realized and unrealized gains (losses) | | | (0.34 | ) | | | 0.00 | (1) | | | 0.12 | | | | 0.19 | | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.26 | ) | | | 0.18 | | | | 0.30 | | | | 0.43 | | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.09 | ) | | | (0.19 | ) | | | (0.18 | ) | | | (0.24 | ) | | | (0.22 | ) |
From net realized gains | | | (0.03 | ) | | | (0.09 | ) | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (0.00 | )(1) | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.12 | ) | | | (0.28 | ) | | | (0.18 | ) | | | (0.24 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.74 | | | $ | 10.12 | | | $ | 10.22 | | | $ | 10.10 | | | $ | 9.91 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (2.92 | )%(2) | | | 0.84 | % | | | 3.00 | % | | | 4.39 | % | | | 0.39 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 1,125,755 | | | $ | 1,604,077 | | | $ | 1,532,982 | | | $ | 1,523,037 | | | $ | 1,212,308 | |
Ratio of gross expense to average net assets | | | 0.53 | %(3) | | | 0.51 | % | | | 0.53 | % | | | 0.54 | % | | | 0.54 | % |
Ratio of net expense to average net assets | | | 0.43 | %(3) | | | 0.43 | % | | | 0.43 | % | | | 0.43 | % | | | 0.43 | % |
Ratio of investment income less gross expenses to average net assets | | | 0.87 | %(3) | | | 0.75 | % | | | 1.64 | % | | | 2.27 | % | | | 2.06 | % |
Ratio of net investment income to average net assets | | | 0.96 | %(3) | | | 0.83 | % | | | 1.74 | % | | | 2.38 | % | | | 2.17 | % |
Portfolio turnover rate | | | 60 | %(2) | | | 138 | % | | | 211 | % | | | 166 | % | | | 85 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on December 31, 1993.
| (1) | Amount is less than $0.005. |
See notes to financial statements.
Semi-Annual Report 139
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Low
Duration
Fund -
SI Class | | | | | | | | | | | | | |
| | | 2022 | | | | | | | | | | | | | |
Net asset value — beginning of period | | $ | 9.92 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.02 | | | | | | | | | | | | | | | | | |
Net realized and unrealized loss | | | (0.18 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.16 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.02 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.74 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.61 | )%(1) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 275,580 | | | | | | | | | | | | | | | | | |
Ratio of gross expense to average net assets | | | 0.54 | %(2) | | | | | | | | | | | | | | | | |
Ratio of net expense to average net assets | | | 0.38 | %(2) | | | | | | | | | | | | | | | | |
Ratio of investment income less gross expenses to average net assets | | | 1.12 | %(2) | | | | | | | | | | | | | | | | |
Ratio of net investment income to average net assets | | | 1.28 | %(2) | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 60 | %(1) | | | | | | | | | | | | | | | | |
The Class commenced operations on February 28, 2022. | | | | | | | | | |
(1) Not annualized. (2) Annualized. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden U.S. Government Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.29 | | | $ | 10.54 | | | $ | 10.35 | | | $ | 10.11 | | | $ | 10.42 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | (1) | | | 0.15 | (1) | | | 0.19 | (1) | | | 0.24 | (1) | | | 0.15 | (1) |
Net realized and unrealized gains (losses) | | | (0.60 | ) | | | (0.18 | ) | | | 0.25 | | | | 0.30 | | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.49 | ) | | | (0.03 | ) | | | 0.44 | | | | 0.54 | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.22 | ) | | | (0.25 | ) | | | (0.30 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.67 | | | $ | 10.29 | | | $ | 10.54 | | | $ | 10.35 | | | $ | 10.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (4.80 | )%(2) | | | (0.31 | )% | | | 4.26 | % | | | 5.36 | % | | | (0.86 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 24,613 | | | $ | 28,876 | | | $ | 47,360 | | | $ | 39,301 | | | $ | 37,678 | |
Ratio of gross expense to average net assets | | | 0.90 | %(3) | | | 0.77 | % | | | 0.73 | % | | | 0.73 | % | | | 0.62 | % |
Ratio of net expense to average net assets | | | 0.43 | %(3) | | | 0.43 | % | | | 0.43 | % | | | 0.43 | % | | | 0.41 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.69 | %(3) | | | 1.10 | % | | | 1.51 | % | | | 2.00 | % | | | 1.28 | % |
Ratio of net investment income to average net assets | | | 2.15 | %(3) | | | 1.44 | % | | | 1.81 | % | | | 2.30 | % | | | 1.49 | % |
Portfolio turnover rate | | | 27 | %(2) | | | 22 | % | | | 48 | % | | | 49 | % | | | 28 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on December 30, 1994.
| (1) | Based on average shares outstanding. |
See notes to financial statements.
140 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden GNMA Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 9.12 | | | $ | 9.47 | | | $ | 9.42 | | | $ | 8.97 | | | $ | 9.49 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.00 | (1) | | | 0.07 | | | | 0.18 | | | | 0.20 | | | | 0.16 | |
Net realized and unrealized gains (losses) | | | (0.74 | ) | | | (0.15 | ) | | | 0.15 | | | | 0.56 | | | | (0.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.74 | ) | | | (0.08 | ) | | | 0.33 | | | | 0.76 | | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.27 | ) | | | (0.28 | ) | | | (0.31 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 8.22 | | | $ | 9.12 | | | $ | 9.47 | | | $ | 9.42 | | | $ | 8.97 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (8.18 | )%(2) | | | (0.91 | )% | | | 3.52 | % | | | 8.63 | % | | | (2.34 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 81,440 | | | $ | 102,013 | | | $ | 122,509 | | | $ | 132,455 | | | $ | 159,393 | |
Ratio of gross expense to average net assets | | | 0.69 | %(3) | | | 0.69 | % | | | 0.71 | % | | | 0.69 | % | | | 0.68 | % |
Ratio of net expense to average net assets | | | 0.45 | %(3) | | | 0.47 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.59 | %(3) | | | 1.15 | % | | | 1.92 | % | | | 2.51 | % | | | 1.74 | % |
Ratio of net investment income to average net assets | | | 1.83 | %(3) | | | 1.38 | % | | | 2.13 | % | | | 2.70 | % | | | 1.93 | % |
Portfolio turnover rate | | | 6 | %(2) | | | 28 | % | | | 25 | % | | | 18 | % | | | 20 | % |
The Fund commenced operations on August 27, 1999. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.84 | | | $ | 11.13 | | | $ | 10.90 | | | $ | 10.20 | | | $ | 10.73 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.12 | (4) | | | 0.21 | (4) | | | 0.26 | (4) | | | 0.33 | (4) | | | 0.31 | (4) |
Net realized and unrealized gains (losses) | | | (1.10 | ) | | | 0.09 | | | | 0.25 | | | | 0.71 | | | | (0.51 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.98 | ) | | | 0.30 | | | | 0.51 | | | | 1.04 | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.42 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.33 | ) |
From net realized gains | | | (0.01 | ) | | | (0.17 | ) | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.59 | ) | | | (0.28 | ) | | | (0.34 | ) | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.71 | | | $ | 10.84 | | | $ | 11.13 | | | $ | 10.90 | | | $ | 10.20 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (9.24 | )%(2) | | | 1.15 | % | | | 4.76 | % | | | 10.36 | % | | | (1.88 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 342,033 | | | $ | 409,453 | | | $ | 589,061 | | | $ | 695,683 | | | $ | 604,289 | |
Ratio of gross expense to average net assets | | | 0.52 | %(3) | | | 0.51 | % | | | 0.54 | % | | | 0.53 | % | | | 0.53 | % |
Ratio of net expense to average net assets | | | 0.52 | %(3) | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.27 | %(3) | | | 1.93 | % | | | 2.40 | % | | | 3.10 | % | | | 2.95 | % |
Ratio of net investment income to average net assets | | | 2.27 | %(3) | | | 1.92 | % | | | 2.40 | % | | | 3.10 | % | | | 2.95 | % |
Portfolio turnover rate | | | 25 | %(2) | | | 88 | % | | | 125 | % | | | 86 | % | | | 67 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on December 31, 1993.
| (1) | Amount is less than $0.005. |
| (4) | Based on average shares outstanding. |
See notes to financial statements.
Semi-Annual Report 141
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund - SI Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.83 | | | $ | 11.12 | | | $ | 10.89 | | | $ | 10.19 | | | $ | 10.66 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.12 | (1) | | | 0.22 | (1) | | | 0.27 | (1) | | | 0.34 | (1) | | | 0.25 | (1) |
Net realized and unrealized gains (losses) | | | (1.10 | ) | | | 0.09 | | | | 0.25 | | | | 0.71 | | | | (0.43 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.98 | ) | | | 0.31 | | | | 0.52 | | | | 1.05 | | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.43 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.29 | ) |
From net realized gains | | | (0.01 | ) | | | (0.17 | ) | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(2) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.60 | ) | | | (0.29 | ) | | | (0.35 | ) | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.70 | | | $ | 10.83 | | | $ | 11.12 | | | $ | 10.89 | | | $ | 10.19 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (9.20 | )%(3) | | | 1.27 | % | | | 4.88 | % | | | 10.49 | % | | | (1.75 | )%(3) |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 718,455 | | | $ | 833,563 | | | $ | 758,985 | | | $ | 323,935 | | | $ | 296,239 | |
Ratio of gross expense to average net assets | | | 0.52 | %(4) | | | 0.52 | % | | | 0.54 | % | | | 0.54 | % | | | 0.53 | %(4) |
Ratio of net expense to average net assets | | | 0.42 | %(4) | | | 0.42 | % | | | 0.42 | % | | | 0.54 | % | | | 0.42 | %(4) |
Ratio of investment income less gross expenses to average net assets | | | 2.27 | %(4) | | | 1.95 | % | | | 2.37 | % | | | 3.10 | % | | | 3.03 | %(4) |
Ratio of net investment income to average net assets | | | 2.36 | %(4) | | | 2.05 | % | | | 2.48 | % | | | 3.21 | % | | | 3.14 | %(4) |
Portfolio turnover rate | | | 25 | %(3) | | | 88 | % | | | 125 | % | | | 86 | % | | | 67 | %(3) |
The Class commenced operations on January 22, 2018. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund - Adviser Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.81 | | | $ | 11.10 | | | $ | 10.87 | | | $ | 10.17 | | | $ | 10.70 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.10 | (1) | | | 0.19 | (1) | | | 0.24 | (1) | | | 0.30 | (1) | | | 0.28 | (1) |
Net realized and unrealized gains (losses) | | | (1.09 | ) | | | 0.08 | | | | 0.25 | | | | 0.72 | | | | (0.50 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.99 | ) | | | 0.27 | | | | 0.49 | | | | 1.02 | | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | (0.39 | ) | | | (0.26 | ) | | | (0.30 | ) | | | (0.31 | ) |
From net realized gains | | | (0.01 | ) | | | (0.17 | ) | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(2) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.13 | ) | | | (0.56 | ) | | | (0.26 | ) | | | (0.32 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.69 | | | $ | 10.81 | | | $ | 11.10 | | | $ | 10.87 | | | $ | 10.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (9.28 | )%(3) | | | 0.92 | % | | | 4.52 | % | | | 10.13 | % | | | (2.12 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 40,760 | | | $ | 46,499 | | | $ | 45,755 | | | $ | 38,979 | | | $ | 29,799 | |
Ratio of gross expense to average net assets | | | 0.77 | %(4) | | | 0.76 | % | | | 0.79 | % | | | 0.78 | % | | | 0.78 | % |
Ratio of net expense to average net assets | | | 0.77 | %(4) | | | 0.78 | % | | | 0.78 | % | | | 0.78 | % | | | 0.78 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.02 | %(4) | | | 1.71 | % | | | 2.14 | % | | | 2.83 | % | | | 2.71 | % |
Ratio of net investment income to average net assets | | | 2.02 | %(4) | | | 1.70 | % | | | 2.15 | % | | | 2.83 | % | | | 2.71 | % |
Portfolio turnover rate | | | 25 | %(3) | | | 88 | % | | | 125 | % | | | 86 | % | | | 67 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Class commenced operations on November 2, 2009.
| (1) | Based on average shares outstanding. |
| (2) | Amount is less than $0.005. |
See notes to financial statements.
142 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Corporate Bond Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 11.96 | | | $ | 12.04 | | | $ | 11.73 | | | $ | 10.63 | | | $ | 11.38 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.43 | | | | 0.46 | | | | 0.34 | | | | 0.38 | | | | 0.39 | |
Net realized and unrealized gains (losses) | | | (1.58 | ) | | | 0.09 | | | | 0.31 | | | | 1.10 | | | | (0.68 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.15 | ) | | | 0.55 | | | | 0.65 | | | | 1.48 | | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.45 | ) | | | (0.47 | ) | | | (0.33 | ) | | | (0.38 | ) | | | (0.39 | ) |
From net realized gains | | | (0.28 | ) | | | (0.16 | ) | | | (0.01 | ) | | | — | | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.73 | ) | | | (0.63 | ) | | | (0.34 | ) | | | (0.38 | ) | | | (0.46 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.08 | | | $ | 11.96 | | | $ | 12.04 | | | $ | 11.73 | | | $ | 10.63 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (12.34 | )%(1) | | | 3.27 | % | | | 5.65 | % | | | 14.20 | % | | | (2.61 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 386,819 | | | $ | 460,135 | | | $ | 479,951 | | | $ | 463,203 | | | $ | 298,708 | |
Ratio of gross expense to average net assets | | | 0.65 | %(2) | | | 0.65 | % | | | 0.66 | % | | | 0.66 | % | | | 0.72 | % |
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 | | | 2.65 | %(2) | | | 2.47 | % | | | 2.82 | % | | | 3.43 | % | | | 3.52 | % |
Ratio of net investment income to average net assets | | | 2.65 | %(2) | | | 2.47 | % | | | 2.83 | % | | | 3.43 | % | | | 3.59 | % |
Portfolio turnover rate | | | 16 | %(1) | | | 49 | % | | | 58 | % | | | 49 | % | | | 85 | % |
The Fund commenced operations on March 12, 2009. | | | | | | | | | | | | | | | | | | | | |
| | | Payden
Corporate
Bond
Fund -
SI Class | | | | | | | | | | | | | |
| | | 2022 | | | | | | | | | | | | | |
Net asset value — beginning of period | | $ | 10.98 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.06 | | | | | | | | | | | | | | | | | |
Net realized and unrealized loss | | | (0.89 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.83 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.06 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.06 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.09 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (7.60 | )%(1) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 0 | (3) | | | | | | | | | | | | | | | | |
Ratio of gross expense to average net assets | | | 0.25 | %(2) | | | | | | | | | | | | | | | | |
Ratio of net expense to average net assets | | | 0.25 | %(2) | | | | | | | | | | | | | | | | |
Ratio of investment income less gross expenses to average net assets | | | 3.54 | %(2) | | | | | | | | | | | | | | | | |
Ratio of net investment income to average net assets | | | 3.54 | %(2) | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 16 | %(1) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
The Class commenced operations on February 28, 2022.
| (3) | Amount is less than $500. |
See notes to financial statements.
Semi-Annual Report 143
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Strategic Income Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.46 | | | $ | 10.28 | | | $ | 10.21 | | | $ | 9.77 | | | $ | 10.11 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.23 | | | | 0.26 | | | | 0.29 | | | | 0.33 | | | | 0.31 | |
Net realized and unrealized gains (losses) | | | (0.65 | ) | | | 0.20 | | | | 0.08 | | | | 0.45 | | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.42 | ) | | | 0.46 | | | | 0.37 | | | | 0.78 | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.27 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.31 | ) |
From net realized gains | | | (0.08 | ) | | | (0.01 | ) | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.32 | ) | | | (0.28 | ) | | | (0.30 | ) | | | (0.34 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.72 | | | $ | 10.46 | | | $ | 10.28 | | | $ | 10.21 | | | $ | 9.77 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (4.89 | )%(2) | | | 4.37 | % | | | 3.74 | % | | | 8.09 | % | | | (0.33 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 128,922 | | | $ | 147,966 | | | $ | 84,881 | | | $ | 115,545 | | | $ | 146,823 | |
Ratio of gross expense to average net assets | | | 0.86 | %(3) | | | 0.85 | % | | | 0.88 | % | | | 0.87 | % | | | 0.85 | % |
Ratio of net expense to average net assets | | | 0.65 | %(3) | | | 0.66 | % | | | 0.70 | % | | | 0.70 | % | | | 0.72 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.55 | %(3) | | | 2.30 | % | | | 2.68 | % | | | 3.14 | % | | | 2.90 | % |
Ratio of net investment income to average net assets | | | 2.76 | %(3) | | | 2.49 | % | | | 2.86 | % | | | 3.30 | % | | | 3.04 | % |
Portfolio turnover rate | | | 17 | %(2) | | | 90 | % | | | 65 | % | | | 72 | % | | | 66 | % |
The Fund commenced operations on May 8, 2014. �� | | | | | | | | | | | | | | | | | | | | |
| | | Payden Strategic Income Fund - SI Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.46 | | | $ | 10.27 | | | $ | 10.20 | | | $ | 9.77 | | | $ | 10.11 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.23 | | | | 0.28 | | | | 0.31 | | | | 0.35 | | | | 0.32 | |
Net realized and unrealized gains (losses) | | | (0.65 | ) | | | 0.20 | | | | 0.08 | | | | 0.43 | | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.42 | ) | | | 0.48 | | | | 0.39 | | | | 0.78 | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.28 | ) | | | (0.32 | ) | | | (0.33 | ) | | | (0.32 | ) |
From net realized gains | | | (0.08 | ) | | | (0.01 | ) | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | (0.02 | ) | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.32 | ) | | | (0.29 | ) | | | (0.32 | ) | | | (0.35 | ) | | | (0.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.72 | | | $ | 10.46 | | | $ | 10.27 | | | $ | 10.20 | | | $ | 9.77 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (4.84 | )%(2) | | | 4.58 | % | | | 3.90 | % | | | 8.14 | % | | | (0.20 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 47,069 | | | $ | 49,575 | | | $ | 49,334 | | | $ | 49,088 | | | $ | 58,071 | |
Ratio of gross expense to average net assets | | | 0.86 | %(3) | | | 0.85 | % | | | 0.88 | % | | | 0.87 | % | | | 0.85 | % |
Ratio of net expense to average net assets | | | 0.55 | %(3) | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.59 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.56 | %(3) | | | 2.34 | % | | | 2.67 | % | | | 3.13 | % | | | 2.86 | % |
Ratio of net investment income to average net assets | | | 2.87 | %(3) | | | 2.65 | % | | | 3.00 | % | | | 3.45 | % | | | 3.11 | % |
Portfolio turnover rate | | | 17 | %(2) | | | 90 | % | | | 65 | % | | | 72 | % | | | 66 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on May 8, 2014.
| (1) | Amount is less than $0.005. |
See notes to financial statements.
144 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Absolute Return Bond Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.03 | | | $ | 9.92 | | | $ | 10.06 | | | $ | 9.93 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.20 | | | | 0.25 | | | | 0.32 | | | | 0.28 | |
Net realized and unrealized gains (losses) | | | (0.39 | ) | | | 0.12 | | | | (0.13 | ) | | | 0.16 | | | | (0.14 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.25 | ) | | | 0.32 | | | | 0.12 | | | | 0.48 | | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.21 | ) | | | (0.26 | ) | | | (0.35 | ) | | | (0.30 | ) |
From net realized gains | | | (0.03 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.17 | ) | | | (0.21 | ) | | | (0.26 | ) | | | (0.35 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.61 | | | $ | 10.03 | | | $ | 9.92 | | | $ | 10.06 | | | $ | 9.93 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (2.79 | )%(1) | | | 3.22 | % | | | 1.23 | % | | | 4.93 | % | | | 1.40 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 148,091 | | | $ | 151,027 | | | $ | 132,299 | | | $ | 124,347 | | | $ | 105,026 | |
Ratio of gross expense to average net assets | | | 0.74 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.75 | % | | | 0.84 | % |
Ratio of net expense to average net assets | | | 0.70 | %(2) | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.26 | %(2) | | | 1.93 | % | | | 2.44 | % | | | 3.21 | % | | | 2.63 | % |
Ratio of net investment income to average net assets | | | 2.29 | %(2) | | | 1.96 | % | | | 2.48 | % | | | 3.26 | % | | | 2.77 | % |
Portfolio turnover rate | | | 56 | %(1) | | | 95 | % | | | 67 | % | | | 82 | % | | | 145 | % |
The Fund commenced operations on November 6, 2014. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Absolute Return Bond Fund - SI Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.04 | | | $ | 9.93 | | | $ | 10.07 | | | $ | 9.93 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.22 | | | | 0.27 | | | | 0.37 | | | | 0.26 | |
Net realized and unrealized gains (losses) | | | (0.39 | ) | | | 0.12 | | | | (0.13 | ) | | | 0.15 | | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.24 | ) | | | 0.34 | | | | 0.14 | | | | 0.52 | | | | 0.15 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.23 | ) | | | (0.28 | ) | | | (0.38 | ) | | | (0.31 | ) |
From net realized gains | | | (0.03 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.18 | ) | | | (0.23 | ) | | | (0.28 | ) | | | (0.38 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.62 | | | $ | 10.04 | | | $ | 9.93 | | | $ | 10.07 | | | $ | 9.93 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (2.68 | )%(1) | | | 3.46 | % | | | 1.45 | % | | | 5.30 | % | | | 1.55 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 804,418 | | | $ | 878,927 | | | $ | 686,397 | | | $ | 514,279 | | | $ | 34,229 | |
Ratio of gross expense to average net assets | | | 0.74 | %(2) | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 0.84 | % |
Ratio of net expense to average net assets | | | 0.47 | %(2) | | | 0.47 | % | | | 0.47 | % | | | 0.47 | % | | | 0.55 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.25 | %(2) | | | 1.93 | % | | | 2.44 | % | | | 3.13 | % | | | 2.67 | % |
Ratio of net investment income to average net assets | | | 2.52 | %(2) | | | 2.19 | % | | | 2.71 | % | | | 3.40 | % | | | 2.96 | % |
Portfolio turnover rate | | | 56 | %(1) | | | 95 | % | | | 67 | % | | | 82 | % | | | 145 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on November 6, 2014.
See notes to financial statements.
Semi-Annual Report 145
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Floating Rate Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 9.91 | | | $ | 9.51 | | | $ | 9.89 | | | $ | 9.93 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.30 | | | | 0.33 | | | | 0.48 | | | | 0.39 | |
Net realized and unrealized gains (losses) | | | (0.15 | ) | | | 0.39 | | | | (0.38 | ) | | | (0.06 | ) | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.00 | | | | 0.69 | | | | (0.05 | ) | | | 0.42 | | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.28 | ) | | | (0.33 | ) | | | (0.46 | ) | | | (0.38 | ) |
Return of capital | | | — | | | | (0.01 | ) | | | — | | | | (0.00 | )(1) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.16 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.46 | ) | | | (0.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.75 | | | $ | 9.91 | | | $ | 9.51 | | | $ | 9.89 | | | $ | 9.93 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.01 | %(2) | | | 7.29 | % | | | (0.41 | )% | | | 4.33 | % | | | 3.15 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 24,558 | | | $ | 20,753 | | | $ | 19,569 | | | $ | 21,962 | | | $ | 51,467 | |
Ratio of gross expense to average net assets | | | 0.85 | %(3) | | | 0.92 | % | | | 0.97 | % | | | 0.89 | % | | | 0.85 | % |
Ratio of net expense to average net assets | | | 0.70 | %(3) | | | 0.72 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
Ratio of investment income less gross expenses to average net assets | | | 3.14 | %(3) | | | 2.80 | % | | | 3.22 | % | | | 4.22 | % | | | 3.65 | % |
Ratio of net investment income to average net assets | | | 3.29 | %(3) | | | 3.00 | % | | | 3.44 | % | | | 4.36 | % | | | 3.75 | % |
Portfolio turnover rate | | | 18 | %(2) | | | 40 | % | | | 53 | % | | | 29 | % | | | 91 | % |
The Fund commenced operations on November 11, 2013. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Floating Rate Fund - SI Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 9.92 | | | $ | 9.51 | | | $ | 9.90 | | | $ | 9.94 | | | $ | 10.01 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.17 | | | | 0.32 | | | | 0.33 | | | | 0.44 | | | | 0.39 | |
Net realized and unrealized gains (losses) | | | (0.16 | ) | | | 0.39 | | | | (0.38 | ) | | | (0.01 | ) | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.01 | | | | 0.71 | | | | (0.05 | ) | | | 0.43 | | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.29 | ) | | | (0.34 | ) | | | (0.47 | ) | | | (0.39 | ) |
Return of capital | | | — | | | | (0.01 | ) | | | — | | | | (0.00 | )(1) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.17 | ) | | | (0.30 | ) | | | (0.34 | ) | | | (0.47 | ) | | | (0.39 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.76 | | | $ | 9.92 | | | $ | 9.51 | | | $ | 9.90 | | | $ | 9.94 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.06 | %(2) | | | 7.53 | % | | | (0.41 | )% | | | 4.48 | % | | | 3.25 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 178,683 | | | $ | 170,373 | | | $ | 47,606 | | | $ | 54,924 | | | $ | 104,837 | |
Ratio of gross expense to average net assets | | | 0.85 | %(3) | | | 0.89 | % | | | 0.97 | % | | | 0.89 | % | | | 0.85 | % |
Ratio of net expense to average net assets | | | 0.60 | %(3) | | | 0.61 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 3.15 | %(3) | | | 2.77 | % | | | 3.23 | % | | | 4.23 | % | | | 3.66 | % |
Ratio of net investment income to average net assets | | | 3.40 | %(3) | | | 3.05 | % | | | 3.55 | % | | | 4.48 | % | | | 3.86 | % |
Portfolio turnover rate | | | 18 | %(2) | | | 40 | % | | | 53 | % | | | 29 | % | | | 91 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on November 11, 2013.
| (1) | Amount is less than $0.005. |
See notes to financial statements.
146 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden High Income Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 6.87 | | | $ | 6.45 | | | $ | 6.53 | | | $ | 6.25 | | | $ | 6.59 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.17 | | | | 0.33 | | | | 0.34 | | | | 0.35 | | | | 0.35 | |
Net realized and unrealized gains (losses) | | | (0.61 | ) | | | 0.42 | | | | (0.08 | ) | | | 0.28 | | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.44 | ) | | | 0.75 | | | | 0.26 | | | | 0.63 | | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.33 | ) | | | (0.34 | ) | | | (0.35 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 6.26 | | | $ | 6.87 | | | $ | 6.45 | | | $ | 6.53 | | | $ | 6.25 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (6.57 | )%(1) | | | 11.75 | % | | | 4.23 | % | | | 10.37 | % | | | 0.16 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 304,098 | | | $ | 740,403 | | | $ | 525,196 | | | $ | 440,406 | | | $ | 449,939 | |
Ratio of gross expense to average net assets | | | 0.59 | %(2) | | | 0.60 | % | | | 0.62 | % | | | 0.62 | % | | | 0.62 | % |
Ratio of net expense to average net assets | | | 0.59 | %(2) | | | 0.60 | % | | | 0.62 | % | | | 0.62 | % | | | 0.62 | % |
Ratio of investment income less gross expenses to average net assets | | | 4.97 | %(2) | | | 4.75 | % | | | 5.28 | % | | | 5.41 | % | | | 5.36 | % |
Ratio of net investment income to average net assets | | | 4.97 | %(2) | | | 4.75 | % | | | 5.28 | % | | | 5.41 | % | | | 5.36 | % |
Portfolio turnover rate | | | 35 | %(1) | | | 74 | % | | | 124 | % | | | 74 | % | | | 62 | % |
The Fund commenced operations on December 30, 1997. | | | | | | | | | | | | | | | | | | | | |
| | | Payden High
Income
Fund -
SI Class | | | | | | | | | | | | | |
| | | 2022 | | | | | | | | | | | | | |
Net asset value — beginning of period | | $ | 6.57 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.04 | | | | | | | | | | | | | | | | | |
Net realized and unrealized loss | | | (0.30 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.26 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.06 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 6.25 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (3.96 | )%(1) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 390,697 | | | | | | | | | | | | | | | | | |
Ratio of gross expense to average net assets | | | 0.62 | %(2) | | | | | | | | | | | | | | | | |
Ratio of net expense to average net assets | | | 0.55 | %(2) | | | | | | | | | | | | | | | | |
Ratio of investment income less gross expenses to average net assets | | | 5.44 | %(2) | | | | | | | | | | | | | | | | |
Ratio of net investment income to average net assets | | | 5.52 | %(2) | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 35 | %(1) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
The Class commenced operations on February 28, 2022.
See notes to financial statements.
Semi-Annual Report 147
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden California Municipal Social Impact Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.49 | | | $ | 10.58 | | | $ | 10.62 | | | $ | 9.98 | | | $ | 10.28 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.07 | | | | 0.34 | | | | 0.22 | | | | 0.26 | | | | 0.22 | |
Net realized and unrealized gains (losses) | | | (0.74 | ) | | | 0.09 | | | | 0.18 | | | | 0.65 | | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.67 | ) | | | 0.43 | | | | 0.40 | | | | 0.91 | | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.07 | ) | | | (0.34 | ) | | | (0.22 | ) | | | (0.26 | ) | | | (0.22 | ) |
From net realized gains | | | — | | | | (0.18 | ) | | | (0.22 | ) | | | (0.01 | ) | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.07 | ) | | | (0.52 | ) | | | (0.44 | ) | | | (0.27 | ) | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.75 | | | $ | 10.49 | | | $ | 10.58 | | | $ | 10.62 | | | $ | 9.98 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (6.41 | )%(1) | | | 2.38 | % | | | 3.90 | % | | | 9.22 | % | | | (0.39 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 104,515 | | | $ | 87,753 | | | $ | 64,088 | | | $ | 61,866 | | | $ | 57,140 | |
Ratio of gross expense to average net assets | | | 0.65 | %(2) | | | 0.71 | % | | | 0.81 | % | | | 0.70 | % | | | 0.68 | % |
Ratio of net expense to average net assets | | | 0.45 | %(2) | | | 0.47 | % | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.08 | %(2) | | | 1.27 | % | | | 1.80 | % | | | 2.29 | % | | | 2.05 | % |
Ratio of net investment income to average net assets | | | 1.28 | %(2) | | | 1.50 | % | | | 2.08 | % | | | 2.46 | % | | | 2.20 | % |
Portfolio turnover rate | | | 64 | %(1) | | | 140 | % | | | 209 | % | | | 132 | % | | | 161 | % |
The Fund commenced operations on December 17, 1998. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Low Duration Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.10 | | | $ | 10.10 | | | $ | 10.04 | | | $ | 9.87 | | | $ | 10.06 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.13 | | | | 0.19 | | | | 0.28 | | | | 0.23 | |
Net realized and unrealized gains (losses) | | | (0.37 | ) | | | (0.01 | ) | | | 0.07 | | | | 0.17 | | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.23 | ) | | | 0.12 | | | | 0.26 | | | | 0.45 | | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | (0.12 | ) | | | (0.20 | ) | | | (0.28 | ) | | | (0.23 | ) |
From net realized gains | | | (0.05 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (0.00 | )(3) | | | (0.00 | )(3) | | | (0.00 | )(3) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.17 | ) | | | (0.12 | ) | | | (0.20 | ) | | | (0.28 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.70 | | | $ | 10.10 | | | $ | 10.10 | | | $ | 10.04 | | | $ | 9.87 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (2.82 | )%(1) | | | 1.16 | % | | | 2.63 | % | | | 4.61 | % | | | 0.42 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 69,188 | | | $ | 86,225 | | | $ | 96,311 | | | $ | 91,028 | | | $ | 93,737 | |
Ratio of gross expense to average net assets | | | 0.76 | %(2) | | | 0.76 | % | | | 0.72 | % | | | 0.69 | % | | | 0.67 | % |
Ratio of net expense to average net assets | | | 0.53 | %(2) | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % | | | 0.53 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.02 | %(2) | | | 0.91 | % | | | 1.76 | % | | | 2.63 | % | | | 2.13 | % |
Ratio of net investment income to average net assets | | | 1.25 | %(2) | | | 1.13 | % | | | 1.95 | % | | | 2.78 | % | | | 2.28 | % |
Portfolio turnover rate | | | 74 | %(1) | | | 169 | % | | | 197 | % | | | 107 | % | | | 55 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on September 18, 1996.
| (3) | Amount is less than $0.005. |
See notes to financial statements.
148 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Fixed Income Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 9.17 | | | $ | 9.33 | | | $ | 9.24 | | | $ | 8.89 | | | $ | 9.11 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (0.10 | ) | | | 0.19 | | | | 0.23 | | | | 0.19 | | | | 0.16 | |
Net realized and unrealized gains (losses) | | | (0.50 | ) | | | (0.04 | ) | | | 0.12 | | | | 0.63 | | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.60 | ) | | | 0.15 | | | | 0.35 | | | | 0.82 | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.23 | ) | | | (0.26 | ) | | | (0.47 | ) | | | (0.19 | ) |
From net realized gains | | | (0.06 | ) | | | (0.08 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.29 | ) | | | (0.31 | ) | | | (0.26 | ) | | | (0.47 | ) | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 8.28 | | | $ | 9.17 | | | $ | 9.33 | | | $ | 9.24 | | | $ | 8.89 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (7.15 | )%(1) | | | 0.59 | % | | | 3.87 | % | | | 9.56 | % | | | (0.39 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 107,112 | | | $ | 178,480 | | | $ | 180,074 | | | $ | 138,387 | | | $ | 129,003 | |
Ratio of gross expense to average net assets | | | 0.70 | %(2) | | | 0.71 | % | | | 0.78 | % | | | 0.78 | % | | | 0.76 | % |
Ratio of net expense to average net assets | | | 0.70 | %(2) | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.69 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.34 | %(2) | | | 1.19 | % | | | 1.43 | % | | | 1.81 | % | | | 1.70 | % |
Ratio of net investment income to average net assets | | | 1.29 | %(2) | | | 1.20 | % | | | 1.51 | % | | | 1.88 | % | | | 1.78 | % |
Portfolio turnover rate | | | 24 | %(1) | | | 60 | % | | | 88 | % | | | 67 | % | | | 49 | % |
The Fund commenced operations on September 1, 1992. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Fixed
Income Fund - SI Class | | | | | | | | | | |
| | | 2022 | | | 2021 | | | | | | | | | | |
Net asset value — beginning of period | | $ | 9.16 | | | $ | 9.23 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.04 | | | | | | | | | | | | | |
Net realized and unrealized loss | | | (0.73 | ) | | | (0.06 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.59 | ) | | | (0.02 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.05 | ) | | | | | | | | | | | | |
From net realized gains | | | (0.06 | ) | | | — | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.30 | ) | | | (0.05 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 8.27 | | | $ | 9.16 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (7.19 | )%(1) | | | (0.39 | )%(1) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 157,152 | | | $ | 125,513 | | | | | | | | | | | | | |
Ratio of gross expense to average net assets | | | 0.63 | %(2) | | | 0.79 | %(2) | | | | | | | | | | | | |
Ratio of net expense to average net assets | | | 0.55 | %(2) | | | 0.55 | %(2) | | | | | | | | | | | | |
Ratio of investment income less gross expenses to average net assets | | | 1.39 | %(2) | | | 1.11 | %(2) | | | | | | | | | | | | |
Ratio of net investment income to average net assets | | | 1.46 | %(2) | | | 1.35 | %(2) | | | | | | | | | | | | |
Portfolio turnover rate | | | 24 | %(1) | | | 60 | %(1) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
The Class commenced operations on June 30, 2021.
See notes to financial statements.
Semi-Annual Report 149
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Bond Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 13.12 | | | $ | 12.99 | | | $ | 13.58 | | | $ | 12.68 | | | $ | 14.21 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.35 | (1) | | | 0.70 | (1) | | | 0.68 | (1) | | | 0.75 | | | | 0.77 | |
Net realized and unrealized gains (losses) | | | (2.21 | ) | | | 0.14 | | | | (0.62 | ) | | | 0.91 | | | | (1.54 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.86 | ) | | | 0.84 | | | | 0.06 | | | | 1.66 | | | | (0.77 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.36 | ) | | | (0.71 | ) | | | (0.65 | ) | | | (0.76 | ) | | | (0.70 | ) |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.36 | ) | | | (0.71 | ) | | | (0.65 | ) | | | (0.76 | ) | | | (0.76 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.90 | | | $ | 13.12 | | | $ | 12.99 | | | $ | 13.58 | | | $ | 12.68 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (14.40 | )%(2) | | | 6.48 | % | | | 0.58 | % | | | 13.45 | % | | | (5.64 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 360,670 | | | $ | 279,531 | | | $ | 282,521 | | | $ | 409,458 | | | $ | 404,580 | |
Ratio of gross expense to average net assets | | | 0.72 | %(3) | | | 0.71 | % | | | 0.73 | % | | | 0.72 | % | | | 0.75 | % |
Ratio of net expense to average net assets | | | 0.72 | %(3) | | | 0.71 | % | | | 0.73 | % | | | 0.72 | % | | | 0.75 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.79 | %(3) | | | 5.22 | % | | | 5.16 | % | | | 5.65 | % | | | 5.56 | % |
Ratio of net investment income to average net assets | | | 5.79 | %(3) | | | 5.22 | % | | | 5.16 | % | | | 5.65 | % | | | 5.56 | % |
Portfolio turnover rate | | | 25 | %(2) | | | 63 | % | | | 79 | % | | | 73 | % | | | 63 | % |
The Fund commenced operations on December 17, 1998. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Bond Fund - SI Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 13.10 | | | $ | 12.97 | | | $ | 13.56 | | | $ | 12.67 | | | $ | 14.19 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.35 | (1) | | | 0.71 | (1) | | | 0.67 | (1) | | | 0.81 | | | | 0.77 | |
Net realized and unrealized gains (losses) | | | (2.20 | ) | | | 0.13 | | | | (0.60 | ) | | | 0.85 | | | | (1.52 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.85 | ) | | | 0.84 | | | | 0.07 | | | | 1.66 | | | | (0.75 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.36 | ) | | | (0.71 | ) | | | (0.66 | ) | | | (0.77 | ) | | | (0.71 | ) |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.36 | ) | | | (0.71 | ) | | | (0.66 | ) | | | (0.77 | ) | | | (0.77 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.89 | | | $ | 13.10 | | | $ | 12.97 | | | $ | 13.56 | | | $ | 12.67 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (14.35 | )%(2) | | | 6.51 | % | | | 0.64 | % | | | 13.41 | % | | | (5.51 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 484,208 | | | $ | 541,893 | | | $ | 660,615 | | | $ | 582,062 | | | $ | 792,357 | |
Ratio of gross expense to average net assets | | | 0.72 | %(3) | | | 0.71 | % | | | 0.74 | % | | | 0.73 | % | | | 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 | | | 5.78 | %(3) | | | 5.21 | % | | | 5.06 | % | | | 5.68 | % | | | 5.61 | % |
Ratio of net investment income to average net assets | | | 5.80 | %(3) | | | 5.23 | % | | | 5.11 | % | | | 5.72 | % | | | 5.67 | % |
Portfolio turnover rate | | | 25 | %(2) | | | 63 | % | | | 79 | % | | | 73 | % | | | 63 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Class commenced operations on April 9, 2012.
| (1) | Based on average shares outstanding. |
See notes to financial statements.
150 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Bond Fund - Adviser Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 13.13 | | | $ | 13.00 | | | $ | 13.59 | | | $ | 12.69 | | | $ | 14.22 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.34 | (1) | | | 0.67 | (1) | | | 0.64 | (1) | | | 0.73 | | | | 0.72 | |
Net realized and unrealized gains (losses) | | | (2.21 | ) | | | 0.14 | | | | (0.61 | ) | | | 0.90 | | | | (1.53 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (1.87 | ) | | | 0.81 | | | | 0.03 | | | | 1.63 | | | | (0.81 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.34 | ) | | | (0.68 | ) | | | (0.62 | ) | | | (0.73 | ) | | | (0.66 | ) |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.34 | ) | | | (0.68 | ) | | | (0.62 | ) | | | (0.73 | ) | | | (0.72 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.92 | | | $ | 13.13 | | | $ | 13.00 | | | $ | 13.59 | | | $ | 12.69 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (14.45 | )%(2) | | | 6.21 | % | | | 0.33 | % | | | 13.14 | % | | | (5.86 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 32,848 | | | $ | 64,314 | | | $ | 52,306 | | | $ | 67,090 | | | $ | 82,007 | |
Ratio of gross expense to average net assets | | | 0.97 | %(3) | | | 0.96 | % | | | 0.98 | % | | | 0.97 | % | | | 1.00 | % |
Ratio of net expense to average net assets | | | 0.97 | %(3) | | | 0.96 | % | | | 0.98 | % | | | 0.97 | % | | | 1.00 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.51 | %(3) | | | 4.98 | % | | | 4.86 | % | | | 5.40 | % | | | 5.31 | % |
Ratio of net investment income to average net assets | | | 5.51 | %(3) | | | 4.98 | % | | | 4.86 | % | | | 5.40 | % | | | 5.31 | % |
Portfolio turnover rate | | | 25 | %(2) | | | 63 | % | | | 79 | % | | | 73 | % | | | 63 | % |
The Class commenced operations on November 2, 2009. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Local Bond Fund - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 5.72 | | | $ | 5.84 | | | $ | 6.50 | | | $ | 5.97 | | | $ | 6.90 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | (1) | | | 0.28 | (1) | | | 0.58 | | | | 0.37 | | | | 0.42 | |
Net realized and unrealized gains (losses) | | | (0.90 | ) | | | (0.10 | ) | | | (0.93 | ) | | | 0.52 | | | | (0.93 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.76 | ) | | | 0.18 | | | | (0.35 | ) | | | 0.89 | | | | (0.51 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | — | | | | — | | | | (0.15 | ) | | | (0.08 | ) |
Return of capital | | | — | | | | (0.30 | ) | | | (0.31 | ) | | | (0.21 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.14 | ) | | | (0.30 | ) | | | (0.31 | ) | | | (0.36 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 4.82 | | | $ | 5.72 | | | $ | 5.84 | | | $ | 6.50 | | | $ | 5.97 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (13.47 | )%(2) | | | 2.92 | % | | | (5.41 | )% | | | 15.34 | % | | | (7.98 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 32,211 | | | $ | 43,551 | | | $ | 128,212 | | | $ | 216,368 | | | $ | 203,978 | |
Ratio of gross expense to average net assets | | | 1.05 | %(3) | | | 1.05 | % | | | 0.93 | % | | | 0.91 | % | | | 0.84 | % |
Ratio of net expense to average net assets | | | 0.99 | %(3) | | | 0.99 | % | | | 0.93 | % | | | 0.91 | % | | | 0.92 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.09 | %(3) | | | 4.55 | % | | | 5.08 | % | | | 5.71 | % | | | 6.25 | % |
Ratio of net investment income to average net assets | | | 5.15 | %(3) | | | 4.61 | % | | | 5.08 | % | | | 5.71 | % | | | 6.17 | % |
Portfolio turnover rate | | | 39 | %(2) | | | 39 | % | | | 54 | % | | | 62 | % | | | 69 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on November 2, 2011.
| (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, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden
Emerging
Markets
Local Bond
Fund -
SI Class | | | | | | | | | | | | | |
| | | 2022 | | | | | | | | | | | | | |
Net asset value — beginning of period | | $ | 5.30 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.01 | (1) | | | | | | | | | | | | | | | | |
Net realized and unrealized loss | | | (0.48 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.47 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.05 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.05 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 4.78 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (8.86 | )%(2) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 0 | (3) | | | | | | | | | | | | | | | | |
Ratio of gross expense to average net assets | | | 0.57 | %(4) | | | | | | | | | | | | | | | | |
Ratio of net expense to average net assets | | | 0.50 | %(4) | | | | | | | | | | | | | | | | |
Ratio of investment income less gross expenses to average net assets | | | 0.63 | %(4) | | | | | | | | | | | | | | | | |
Ratio of net investment income to average net assets | | | 0.69 | %(4) | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 39 | %(2) | | | | | | | | | | | | | | | | |
The Class commenced operations on February 28, 2022. | | | | | | | | | |
(1) Based on average shares outstanding. (2) Not annualized. (3) Amount is less than $500. (4) Annualized. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Emerging Markets Corporate Bond Fund -
Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.18 | | | $ | 9.99 | | | $ | 9.99 | | | $ | 9.59 | | | $ | 10.33 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.21 | (1) | | | 0.43 | (1) | | | 0.42 | (1) | | | 0.48 | (1) | | | 0.49 | (1) |
Net realized and unrealized gains (losses) | | | (1.00 | ) | | | 0.19 | | | | 0.00 | (2) | | | 0.41 | | | | (0.72 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.79 | ) | | | 0.62 | | | | 0.42 | | | | 0.89 | | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.31 | ) | | | (0.43 | ) | | | (0.40 | ) | | | (0.49 | ) | | | (0.46 | ) |
From net realized gains | | | (0.10 | ) | | | — | | | | — | | | | — | | | | (0.03 | ) |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.41 | ) | | | (0.43 | ) | | | (0.42 | ) | | | (0.49 | ) | | | (0.51 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 8.98 | | | $ | 10.18 | | | $ | 9.99 | | | $ | 9.99 | | | $ | 9.59 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (8.93 | )%(3) | | | 6.08 | % | | | 4.53 | % | | | 9.46 | % | | | (2.26 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 4,780 | | | $ | 5,208 | | | $ | 3,845 | | | $ | 3,681 | | | $ | 4,208 | |
Ratio of gross expense to average net assets | | | 1.33 | %(4) | | | 1.28 | % | | | 1.38 | % | | | 1.32 | % | | | 1.30 | % |
Ratio of net expense to average net assets | | | 0.95 | %(4) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % |
Ratio of investment income less gross expenses to average net assets | | | 3.93 | %(4) | | | 3.80 | % | | | 3.89 | % | | | 4.55 | % | | | 4.49 | % |
Ratio of net investment income to average net assets | | | 4.30 | %(4) | | | 4.13 | % | | | 4.31 | % | | | 4.92 | % | | | 4.84 | % |
Portfolio turnover rate | | | 45 | %(3) | | | 84 | % | | | 105 | % | | | 94 | % | | | 79 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on November 11, 2013.
| (1) | Based on average shares outstanding. |
| (2) | Amount is less than $0.005. |
See notes to financial statements.
152 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Corporate Bond Fund - SI Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.20 | | | $ | 10.01 | | | $ | 10.01 | | | $ | 9.60 | | | $ | 10.34 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.21 | (1) | | | 0.44 | (1) | | | 0.43 | (1) | | | 0.49 | (1) | | | 0.49 | (1) |
Net realized and unrealized gains (losses) | | | (1.00 | ) | | | 0.19 | | | | (0.00 | )(2) | | | 0.42 | | | | (0.71 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.79 | ) | | | 0.63 | | | | 0.43 | | | | 0.91 | | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.31 | ) | | | (0.44 | ) | | | (0.41 | ) | | | (0.50 | ) | | | (0.47 | ) |
From net realized gains | | | (0.10 | ) | | | — | | | | — | | | | — | | | | (0.03 | ) |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.41 | ) | | | (0.44 | ) | | | (0.43 | ) | | | (0.50 | ) | | | (0.52 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.00 | | | $ | 10.20 | | | $ | 10.01 | | | $ | 10.01 | | | $ | 9.60 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (8.87 | )%(3) | | | 6.28 | % | | | 4.52 | % | | | 9.67 | % | | | (2.16 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 43,420 | | | $ | 48,205 | | | $ | 39,344 | | | $ | 36,825 | | | $ | 41,213 | |
Ratio of gross expense to average net assets | | | 1.32 | %(4) | | | 1.28 | % | | | 1.38 | % | | | 1.32 | % | | | 1.31 | % |
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 | | | 3.91 | %(4) | | | 3.82 | % | | | 3.89 | % | | | 4.54 | % | | | 4.49 | % |
Ratio of net investment income to average net assets | | | 4.38 | %(4) | | | 4.25 | % | | | 4.41 | % | | | 5.01 | % | | | 4.95 | % |
Portfolio turnover rate | | | 45 | %(3) | | | 84 | % | | | 105 | % | | | 94 | % | | | 79 | % |
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 - Investor Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 21.25 | | | $ | 15.97 | | | $ | 18.15 | | | $ | 16.20 | | | $ | 16.69 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.33 | | | | 0.38 | | | | 0.36 | | | | 0.40 | | | | 0.38 | |
Net realized and unrealized gains (losses) | | | (0.39 | ) | | | 5.24 | | | | (1.66 | ) | | | 2.03 | | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 2.94 | | | | 5.62 | | | | (1.30 | ) | | | 2.43 | | | | 0.67 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (3.55 | ) | | | (0.34 | ) | | | (0.33 | ) | | | (0.37 | ) | | | (0.34 | ) |
From net realized gains | | | (3.21 | ) | | | — | | | | (0.52 | ) | | | (0.11 | ) | | | (0.82 | ) |
Return of capital | | | — | | | | — | | | | (0.03 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (6.76 | ) | | | (0.34 | ) | | | (0.88 | ) | | | (0.48 | ) | | | (1.16 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 17.43 | | | $ | 21.25 | | | $ | 15.97 | | | $ | 18.15 | | | $ | 16.20 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.85 | )%(1) | | | 35.41 | % | | | (7.49 | )% | | | 15.39 | % | | | 3.92 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 481,769 | | | $ | 536,613 | | | $ | 483,678 | | | $ | 570,662 | | | $ | 476,071 | |
Ratio of gross expense to average net assets | | | 0.74 | %(2) | | | 0.72 | % | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % |
Ratio of net expense to average net assets | | | 0.74 | %(2) | | | 0.72 | % | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.49 | %(2) | | | 1.87 | % | | | 2.17 | % | | | 2.36 | % | | | 2.20 | % |
Ratio of net investment income to average net assets | | | 1.49 | %(2) | | | 1.87 | % | | | 2.17 | % | | | 2.36 | % | | | 2.20 | % |
Portfolio turnover rate | | | 49 | %(1) | | | 95 | % | | | 63 | % | | | 49 | % | | | 42 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on November 1, 1996.
See notes to financial statements.
Semi-Annual Report 153
| | |
Financial Highlights continued | | |
For the share outstanding for the periods ended April 30, 2022 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Equity Income Fund - SI Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 21.27 | | | $ | 15.98 | | | $ | 18.16 | | | $ | 16.21 | | | $ | 16.70 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.35 | | | | 0.38 | | | | 0.36 | | | | 0.41 | | | | 0.39 | |
Net realized and unrealized gains (losses) | | | (0.40 | ) | | | 5.26 | | | | (1.64 | ) | | | 2.03 | | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 2.95 | | | | 5.64 | | | | (1.28 | ) | | | 2.44 | | | | 0.68 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (3.55 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.38 | ) | | | (0.35 | ) |
From net realized gains | | | (3.21 | ) | | | — | | | | (0.52 | ) | | | (0.11 | ) | | | (0.82 | ) |
Return of capital | | | — | | | | — | | | | (0.03 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (6.76 | ) | | | (0.35 | ) | | | (0.90 | ) | | | (0.49 | ) | | | (1.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 17.46 | | | $ | 21.27 | | | $ | 15.98 | | | $ | 18.16 | | | $ | 16.21 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.80 | )%(1) | | | 35.51 | % | | | (7.40 | )% | | | 15.47 | % | | | 4.01 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 928,653 | | | $ | 1,233,890 | | | $ | 916,286 | | | $ | 809,209 | | | $ | 703,181 | |
Ratio of gross expense to average net assets | | | 0.74 | %(2) | | | 0.72 | % | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % |
Ratio of net expense to average net assets | | | 0.65 | %(2) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.60 | %(2) | | | 1.87 | % | | | 2.16 | % | | | 2.36 | % | | | 2.19 | % |
Ratio of net investment income to average net assets | | | 1.68 | %(2) | | | 1.94 | % | | | 2.24 | % | | | 2.45 | % | | | 2.29 | % |
Portfolio turnover rate | | | 49 | %(1) | | | 95 | % | | | 63 | % | | | 49 | % | | | 42 | % |
The Class commenced operations on August 1, 2014. | | | | | | | | | | | | | | | | | | | | |
| | | Payden Equity Income Fund - Adviser Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 21.23 | | | $ | 15.96 | | | $ | 18.13 | | | $ | 16.19 | | | $ | 16.68 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.31 | | | | 0.31 | | | | 0.32 | | | | 0.36 | | | | 0.33 | |
Net realized and unrealized gains (losses) | | | (0.39 | ) | | | 5.26 | | | | (1.65 | ) | | | 2.02 | | | | 0.30 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 2.92 | | | | 5.57 | | | | (1.33 | ) | | | 2.38 | | | | 0.63 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (3.54 | ) | | | (0.30 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.30 | ) |
From net realized gains | | | (3.21 | ) | | | — | | | | (0.52 | ) | | | (0.11 | ) | | | (0.82 | ) |
Return of capital | | | — | | | | — | | | | (0.03 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (6.75 | ) | | | (0.30 | ) | | | (0.84 | ) | | | (0.44 | ) | | | (1.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 17.40 | | | $ | 21.23 | | | $ | 15.96 | | | $ | 18.13 | | | $ | 16.19 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.98 | )%(1) | | | 35.08 | % | | | (7.66 | )% | | | 15.05 | % | | | 3.69 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 20,259 | | | $ | 19,877 | | | $ | 13,486 | | | $ | 16,039 | | | $ | 13,580 | |
Ratio of gross expense to average net assets | | | 0.99 | %(2) | | | 0.97 | % | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % |
Ratio of net expense to average net assets | | | 0.99 | %(2) | | | 0.97 | % | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.23 | %(2) | | | 1.62 | % | | | 1.91 | % | | | 2.11 | % | | | 1.95 | % |
Ratio of net investment income to average net assets | | | 1.23 | %(2) | | | 1.62 | % | | | 1.91 | % | | | 2.11 | % | | | 1.95 | % |
Portfolio turnover rate | | | 49 | %(1) | | | 95 | % | | | 63 | % | | | 49 | % | | | 42 | % |
| | | | | | | | | | | | | | | | | | | | | |
The Class commenced operations on December 1, 2011.
See notes to financial statements.
154 Payden Mutual Funds
| | |
Fund Expenses (Unaudited) | | |
Understanding Your Fund’s Expenses
Shareholders of mutual funds, incur two types of costs: transaction costs incurred from buying or selling fund shares and ongoing costs incurred from the funds daily operations. The table below is provided to highlight ongoing cost only. If transaction costs were included your cost would have been higher.
Actual Expenses
The table below is useful in estimating actual expenses paid during the six-month period ended April 30, 2022. 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, 2021 | | | April 30, 2022 | | | Return | | | Ratio | | | Paid | |
Cash Reserves Money Market | | $ | 1,000.00 | | | $ | 1,000.10 | | | | 0.01 | % | | | 0.11 | % | | $ | 0.56 | |
Limited Maturity Investor Class | | | 1,000.00 | | | | 993.70 | | | | (0.63 | )% | | | 0.25 | % | | | 1.24 | |
Limited Maturity SI Class | | | 1,000.00 | | | | 993.90 | | | | (0.61 | )% | | | 0.20 | % | | | 0.99 | |
Low Duration Investor Class | | | 1,000.00 | | | | 970.80 | | | | (2.92 | )% | | | 0.43 | % | | | 2.10 | |
Low Duration SI Class* | | | 1,000.00 | | | | 983.90 | | | | (1.61 | )% | | | 0.38 | % | | | 0.63 | ** |
U.S. Government | | | 1,000.00 | | | | 952.00 | | | | (4.80 | )% | | | 0.43 | % | | | 2.08 | |
GNMA | | | 1,000.00 | | | | 918.20 | | | | (8.18 | )% | | | 0.45 | % | | | 2.14 | |
Core Bond Investor Class | | | 1,000.00 | | | | 907.60 | | | | (9.24 | )% | | | 0.52 | % | | | 2.44 | |
Core Bond SI Class | | | 1,000.00 | | | | 908.00 | | | | (9.20 | )% | | | 0.42 | % | | | 1.99 | |
Core Bond Adviser Class | | | 1,000.00 | | | | 907.20 | | | | (9.28 | )% | | | 0.77 | % | | | 3.63 | |
Corporate Bond Investor Class | | | 1,000.00 | | | | 876.60 | | | | (12.34 | )% | | | 0.65 | % | | | 3.02 | |
Corporate Bond SI Class* | | | 1,000.00 | | | | 924.00 | | | | (7.60 | )% | | | 0.25 | % | | | 0.40 | ** |
Strategic Income Investor Class | | | 1,000.00 | | | | 951.10 | | | | (4.89 | )% | | | 0.65 | % | | | 3.15 | |
Strategic Income SI Class | | | 1,000.00 | | | | 951.60 | | | | (4.84 | )% | | | 0.55 | % | | | 2.66 | |
Absolute Return Bond Investor Class | | | 1,000.00 | | | | 972.10 | | | | (2.79 | )% | | | 0.70 | % | | | 3.42 | |
Absolute Return Bond SI Class | | | 1,000.00 | | | | 973.20 | | | | (2.68 | )% | | | 0.47 | % | | | 2.30 | |
Floating Rate Investor Class | | | 1,000.00 | | | | 1,000.10 | | | | 0.01 | % | | | 0.70 | % | | | 3.47 | |
Floating Rate SI Class | | | 1,000.00 | | | | 1,000.60 | | | | 0.06 | % | | | 0.60 | % | | | 2.98 | |
High Income Investor Class | | | 1,000.00 | | | | 934.30 | | | | (6.57 | )% | | | 0.59 | % | | | 2.85 | |
High Income SI Class* | | | 1,000.00 | | | | 960.40 | | | | (3.96 | )% | | | 0.55 | % | | | 0.90 | ** |
California Municipal Social Impact | | | 1,000.00 | | | | 935.90 | | | | (6.41 | )% | | | 0.45 | % | | | 2.16 | |
Global Low Duration | | | 1,000.00 | | | | 971.80 | | | | (2.82 | )% | | | 0.53 | % | | | 2.59 | |
Global Fixed Income Investor Class | | | 1,000.00 | | | | 928.50 | | | | (7.15 | )% | | | 0.70 | % | | | 3.35 | |
Global Fixed Income SI Class | | | 1,000.00 | | | | 928.10 | | | | (7.19 | )% | | | 0.55 | % | | | 2.63 | |
Emerging Markets Bond Investor Class | | | 1,000.00 | | | | 856.00 | | | | (14.40 | )% | | | 0.72 | % | | | 3.29 | |
Emerging Markets Bond SI Class | | | 1,000.00 | | | | 856.50 | | | | (14.35 | )% | | | 0.69 | % | | | 3.18 | |
Emerging Markets Bond Adviser Class | | | 1,000.00 | | | | 855.50 | | | | (14.45 | )% | | | 0.97 | % | | | 4.47 | |
Emerging Markets Local Bond Investor Class | | | 1,000.00 | | | | 865.30 | | | | (13.47 | )% | | | 0.99 | % | | | 4.58 | |
Emerging Markets Local Bond SI Class* | | | 1,000.00 | | | | 911.40 | | | | (8.86 | )% | | | 0.50 | % | | | 0.81 | ** |
Emerging Markets Corporate Bond Investor Class | | | 1,000.00 | | | | 910.70 | | | | (8.93 | )% | | | 0.95 | % | | | 4.50 | |
Emerging Markets Corporate Bond SI Class | | | 1,000.00 | | | | 911.30 | | | | (8.87 | )% | | | 0.85 | % | | | 4.03 | |
Equity Income Investor Class | | | 1,000.00 | | | | 981.50 | | | | (1.85 | )% | | | 0.74 | % | | | 3.64 | |
Equity Income SI Class | | | 1,000.00 | | | | 982.00 | | | | (1.80 | )% | | | 0.65 | % | | | 3.20 | |
Equity Income Adviser Class | | | 1,000.00 | | | | 980.20 | | | | (1.98 | )% | | | 0.99 | % | | | 4.87 | |
| * | Inception date of February 28, 2022. |
| ** | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 61 days of expenses, then divided by 365 (to reflect the period shown between February 28, 2022 and April 30, 2022). |
Semi-Annual Report 155
| | |
Fund Expenses (Unaudited) continued | | |
Hypothetical Expenses
The table below is provided so that you can compare a Fund’s ongoing expenses with those of another fund. It uses a hypothetical gross annual return of 5%, which is not the Fund’s actual return, and each Fund’s actual expense ratio (181/365 days) for the six-month period ended April 30, 2022 to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000.
| | | | | | | | | | | | | | | | | | | | |
| | | Value | | | Value | | | 6-Month | | | Expense | | | Expenses | |
| | | November 1, 2021 | | | April 30, 2022 | | | Return | | | Ratio | | | Paid | |
Cash Reserves Money Market | | $ | 1,000.00 | | | $ | 1,024.23 | | | | 2.42 | % | | | 0.11 | % | | $ | 0.57 | |
Limited Maturity Investor Class | | | 1,000.00 | | | | 1,023.55 | | | | 2.36 | % | | | 0.25 | % | | | 1.25 | |
Limited Maturity SI Class | | | 1,000.00 | | | | 1,023.80 | | | | 2.38 | % | | | 0.20 | % | | | 1.00 | |
Low Duration Investor Class | | | 1,000.00 | | | | 1,022.66 | | | | 2.27 | % | | | 0.43 | % | | | 2.16 | |
Low Duration SI Class* | | | 1,000.00 | | | | 1,007.72 | | | | 0.77 | % | | | 0.38 | % | | | 0.64 | ** |
U.S. Government | | | 1,000.00 | | | | 1,022.66 | | | | 2.27 | % | | | 0.43 | % | | | 2.16 | |
GNMA | | | 1,000.00 | | | | 1,022.56 | | | | 2.26 | % | | | 0.45 | % | | | 2.26 | |
Core Bond Investor Class | | | 1,000.00 | | | | 1,022.23 | | | | 2.22 | % | | | 0.52 | % | | | 2.59 | |
Core Bond SI Class | | | 1,000.00 | | | | 1,022.71 | | | | 2.27 | % | | | 0.42 | % | | | 2.11 | |
Core Bond Adviser Class | | | 1,000.00 | | | | 1,020.99 | | | | 2.10 | % | | | 0.77 | % | | | 3.84 | |
Corporate Bond Investor Class | | | 1,000.00 | | | | 1,021.57 | | | | 2.16 | % | | | 0.65 | % | | | 3.26 | |
Corporate Bond SI Class* | | | 1,000.00 | | | | 1,007.94 | | | | 0.79 | % | | | 0.25 | % | | | 0.42 | ** |
Strategic Income Investor Class | | | 1,000.00 | | | | 1,021.57 | | | | 2.16 | % | | | 0.65 | % | | | 3.26 | |
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 Investor Class | | | 1,000.00 | | | | 1,021.32 | | | | 2.13 | % | | | 0.70 | % | | | 3.51 | |
Floating Rate SI Class | | | 1,000.00 | | | | 1,021.82 | | | | 2.18 | % | | | 0.60 | % | | | 3.01 | |
High Income Investor Class | | | 1,000.00 | | | | 1,021.84 | | | | 2.18 | % | | | 0.59 | % | | | 2.98 | |
High Income SI Class* | | | 1,000.00 | | | | 1,007.44 | | | | 0.74 | % | | | 0.55 | % | | | 0.92 | ** |
California Municipal Social Impact | | | 1,000.00 | | | | 1,022.56 | | | | 2.26 | % | | | 0.45 | % | | | 2.26 | |
Global Low Duration | | | 1,000.00 | | | | 1,022.17 | | | | 2.22 | % | | | 0.53 | % | | | 2.66 | |
Global Fixed Income Investor Class | | | 1,000.00 | | | | 1,021.32 | | | | 2.13 | % | | | 0.70 | % | | | 3.51 | |
Global Fixed Income SI Class | | | 1,000.00 | | | | 1,022.07 | | | | 2.21 | % | | | 0.55 | % | | | 2.76 | |
Emerging Markets Bond Investor Class | | | 1,000.00 | | | | 1,021.25 | | | | 2.12 | % | | | 0.72 | % | | | 3.58 | |
Emerging Markets Bond SI Class | | | 1,000.00 | | | | 1,021.37 | | | | 2.14 | % | | | 0.69 | % | | | 3.46 | |
Emerging Markets Bond Adviser Class | | | 1,000.00 | | | | 1,019.98 | | | | 2.00 | % | | | 0.97 | % | | | 4.86 | |
Emerging Markets Local Bond Investor Class | | | 1,000.00 | | | | 1,019.88 | | | | 1.99 | % | | | 0.99 | % | | | 4.96 | |
Emerging Markets Local Bond SI Class* | | | 1,000.00 | | | | 1,007.51 | | | | 0.75 | % | | | 0.50 | % | | | 0.85 | ** |
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 Investor Class | | | 1,000.00 | | | | 1,021.12 | | | | 2.11 | % | | | 0.74 | % | | | 3.71 | |
Equity Income SI Class | | | 1,000.00 | | | | 1,021.57 | | | | 2.16 | % | | | 0.65 | % | | | 3.26 | |
Equity Income Adviser Class | | | 1,000.00 | | | | 1,019.88 | | | | 1.99 | % | | | 0.99 | % | | | 4.97 | |
| * | Inception date of February 28, 2022. |
| ** | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 61 days of expenses, then divided by 365 (to reflect the period shown between February 28, 2022 and April 30, 2022). |
156 Payden Mutual Funds
| | |
Trustees and Officers (Unaudited) | | |
| | | | | | | | | | | | | | | | | | | | |
| Name & Address | | Age | | | | | Position with Fund | | Year
Elected | | | Number of
Portfolios | | | Principal Occupations(s) | | Other Directorships Held |
333 S. Grand Avenue Los Angeles, CA 90071 | | | | | | | | | | | | | | | | | | | | |
Trustees (1) | | | | | | | | | | | | | | | | | | | | |
Stephanie Bell-Rose | | | 64 | | | | | Independent Trustee | | | 2020 | | | | 19 | | | Retired, Senior Managing Director, TIAA | | |
W. D. Hilton, Jr. | | | 75 | | | | | Chairman, Independent Trustee | | | 1993 | | | | 19 | | | Trustee/Administrator, Asbestos Bankruptcy Trusts; General Partner, Mendenhall Partners Ltd.; Private Investor | | |
Thomas V. McKernan, Jr. | | | 77 | | | | | Independent Trustee | | | 1993 | | | | 19 | | | Vice Chair, Automobile Club of Southern California; Director, Forest Lawn Memorial Parks; Director, First American Financial | | |
Rosemarie T. Nassif | | | 80 | | | | | Independent Trustee | | | 2008 | | | | 19 | | | Executive Director, Center for Catholic Education, Loyola Marymount University, President Emerita, Holy Names University | | |
Andrew J. Policano | | | 72 | | | | | Independent Trustee | | | 2008 | | | | 19 | | | Former Dean, The Paul Merage School of Business, University of California, Irvine | | |
Dennis C. Poulsen | | | 79 | | | | | Independent Trustee | | | 1992 | | | | 19 | | | Chairman, Clean Energy Enterprises; Private Investor | | |
Stender E. Sweeney | | | 83 | | | | | Independent Trustee | | | 1992 | | | | 19 | | | Private Investor | | |
Asha B. Joshi | | | 64 | | | | | Interested Trustee | | | 2021 | | | | 19 | | | Managing Director, Payden & Rygel | | |
Jordan H. Lopez | | | 41 | | | | | Interested Trustee | | | 2020 | | | | 19 | | | 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 | | |
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 | | | | | | | Senior Vice President and Compliance Officer, Payden & Rygel | | |
Alejandra Murphy | | | | | | | | Vice President | | | 2021 | | | | | | | Director, Payden & Rygel | | |
Reza Pishva | | | | | | | | Assistant Secretary | | | 2021 | | | | | | | Senior Vice President, Payden & Rygel | | |
| | |
Additional information about the Trustees is included in the SAI and is available without charge, upon request at payden.com or 1800 5 PAYDEN.
| (1) | Trustees do not have a set term of office, but serve until their resignation, death or removal. |
| (2) | Officers are elected by, and serve at the pleasure of, The Board of Trustees. |
Semi-Annual Report 157
(THIS PAGE IS INTENTIONALLY LEFT BLANK)
158
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.
You may elect to receive shareholder reports in paper free of charge. Contract your financial intermediary or, if you invest directly with the Funds, call 1 800 572-9336, to request paper copies.
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.
The Funds file their schedule of portfolio holdings with the SEC monthly on Form N-MFP. These reports are available on the SEC’s wersite at www.sec.gov.
To view the Fund’s proxy voting guidelines and proxy voting record, visit the SEC’s web site at http://www.sec.gov. You may also call 800 572-9336 to request a free copy of the proxy voting guidelines.
U.S. BOND FUNDS
Payden Cash Reserves Money Market Fund (PBHXX)
Payden Limited Maturity Fund — SI Class (PYLSX)
Payden Limited Maturity Fund — Investor Class (PYLMX)
Payden Low Duration Fund — SI Class (PYLDX)
Payden Low Duration Fund — Investor Class (PYSBX)
Payden U.S. Government Fund (PYUSX)
Payden GNMA Fund (PYGNX)
Payden Core Bond Fund — SI Class (PYCSX)
Payden Core Bond Fund — Investor Class (PYCBX)
Payden Core Bond Fund — Adviser Class (PYCWX)
Payden Corporate Bond Fund — SI Class (PYCTX)
Payden Corporate Bond Fund — Investor Class (PYACX)
Payden Strategic Income Fund — SI Class (PYSIX)
Payden Strategic Income Fund — Investor Class (PYSGX)
Payden Absolute Return Bond Fund — SI Class (PYAIX)
Payden Absolute Return Bond Fund — Investor Class (PYARX)
Payden Floating Rate Fund — SI Class (PYFIX)
Payden Floating Rate Fund — Investor Class (PYFRX)
Payden High Income Fund — SI Class (PYCHX)
Payden High Income Fund — Investor Class (PYHRX)
TAX EXEMPT BOND FUND
Payden California Municipal Social Impact Fund (PYCRX)
GLOBAL BOND FUNDS
Payden Global Low Duration Fund (PYGSX)
Payden Global Fixed Income Fund — SI Class (PYGIX)
Payden Global Fixed Income Fund — Investor Class (PYGFX)
Payden Emerging Markets Bond Fund — SI Class (PYEIX)
Payden Emerging Markets Bond Fund — Investor Class (PYEMX)
Payden Emerging Markets Bond Fund — Adviser Class (PYEWX)
Payden Emerging Markets Local Bond Fund — SI Class (PYILX)
Payden Emerging Markets Local Bond Fund — Investor Class (PYELX)
Payden Emerging Markets Corporate Bond Fund — SI Class (PYCIX)
Payden Emerging Markets Corporate Bond Fund — Investor Class (PYCEX)
EQUITY FUND
Payden Eduity Income Fund — SI Class (PYVSX)
Payden Eduity Income Fund — Investor Class (PYVLX)
Payden Eduity Income Fund — Adviser Class (PYVAX)
PAYDEN MUTUAL FUNDS
333 South Grand Avenue, Los Angeles, California 90071
800 572-9336 payden.com payden@UMB.com
IMPORTANT INFORMATION: The information contained in this report is intended for shareholders of the Payden Mutual Funds only. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus which provides further details.
The performance numbers presented in this report are derived from historical market data. There is no guarantee of future performance nor are Fund shares guaranteed. Investment return and principal value of an investment in a Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund shares are sold through Payden & Rygel Distributors, member FINRA.
You may elect to receive shareholder 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 paper copies.
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 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.
The Funds file their schedule of portfolio holdings with the SEC monthly on Form N-MFP. These reports are available on the SEC’s website at www.sec.gov.
To view the Fund’s proxy voting guidelines and proxy voting record, visit the SEC’s web site at www.sec.gov. You may also call 1 800 572-9336 to request a free copy of the proxy voting guidelines.
Semi-Annual Report
| | |
Management Discussion & Analysis | | |
For the six months ended April 30, 2022, the Payden/Kravitz Cash Balance Plan Fund, SI Class (PKBIX) returned -3.07%, the Adviser Class (PKCBX) returned -3.20%, the Retirement Class (PKCRX) returned -3.32% and the Institutional Class (PKCIX) returned -2.98%. The Fund’s benchmark, the 30-year U.S. Treasury Bond Yield from December 31st, returned 0.88%. Going into year-end, the advisor was cognizant of the risks posed by ongoing inflationary pressures, continued global supply chain issues, and a hawkish pivot from the Federal Reserve Bord and other major central banks. In January, as the distribution of potential outcomes expanded, coupled with valuations across most credit sensitive areas in fixed income that were near or below historic averages, the Fund reduced its overall credit risk by roughly 10%. In addition, interest rate sensitivity remained low relative to the Fund’s historical duration profile. Despite the difficult start to the year for risk assets, the advisor’s base case is that the Federal Reserve Board remains in “inflation-fighting” mode and is not likely to change its course of action as a result of recent volatility. For the underlying high yield cash bond exposure, the strategy chose a barbell between BBs/Rising Stars and Energy, which generated positive excess return year-to-date, despite negative index excess returns. Within emerging markets debt, the strategy’s exposure was focused on oil-exporting hard currency sovereigns and countries more remote from current geopolitical tensions. The strategy team broadly maintains its preference for securitized product due to the structural protections and strength in underlying collateral. Finally, the Fund increased its allocation to Equities as an option to diversify via new names given competing macro themes driving the increased market volatility. The Fund employs futures, options, swaps and forward currency contracts to manage sensitivity to undesired risk exposures, as well as for efficient investment purposes. Derivatives contributed 0.12% to the Fund over period.
Semi-Annual Report 1
Portfolio Highlights & Investments
The Fund seeks income and total return consistent with preservation of capital.
| | | | |
Portfolio Composition - percent of investments | |
Mortgage Backed | | | 32 | % |
Asset Backed | | | 23 | % |
Corporate Bond | | | 23 | % |
Investment Company | | | 6 | % |
Foreign Government | | | 6 | % |
Other | | | 10 | % |
Schedule of Investments - April 30, 2022 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (23%) | | | | |
250,000 | | AlbaCore Euro CLO I DAC 1A 144A, (3 mo. EURIBOR + 3.250%), 3.25%, 10/18/34 EUR (a)(b)(c) | | $ | 250 | |
400,000 | | Allegro CLO VII Ltd. 2018-1A 144A, (3 mo. LIBOR USD + 1.900%), 2.94%, 6/13/31 (a)(b) | | | 395 | |
450,000 | | Ammc CLO Ltd. 2017-20A 144A, (3 mo. LIBOR USD + 3.150%), 4.19%, 4/17/29 (a)(b) | | | 447 | |
250,000 | | Anchorage Capital CLO Ltd. 2018-10A 144A, (3 mo. LIBOR USD + 5.750%), 6.79%, 10/15/31 (a)(b) | | | 237 | |
350,000 | | Anchorage Capital CLO Ltd. 2019-11A 144A, (3 mo. LIBOR USD + 3.450%), 4.59%, 7/22/32 (a)(b) | | | 346 | |
250,000 | | Anchorage Capital CLO Ltd. 2019-11A 144A, (3 mo. LIBOR USD + 7.050%), 8.19%, 7/22/32 (a)(b) | | | 246 | |
400,000 | | Arbor Realty Commercial Real Estate Notes Ltd. 2021-FL2 144A, (1 mo. LIBOR USD + 2.950%), 3.50%, 5/15/36 (a)(b) | | | 392 | |
200,000 | | Bain Capital Euro CLO DAC 2018-1X, (3 mo. EURIBOR + 1.700%), 1.70%, 4/20/32 EUR (b)(c)(d) | | | 204 | |
250,000 | | Ballyrock CLO Ltd. 2019-1A 144A, (3 mo. LIBOR USD + 6.750%), 7.79%, 7/15/32 (a)(b) | | | 247 | |
500,000 | | BDS Ltd. 2021-FL7 144A, (1 mo. LIBOR USD + 2.800%), 3.35%, 6/16/36 (a)(b) | | | 494 | |
600,000 | | BDS Ltd. 2020-FL5 144A, (1 mo. Term Secured Overnight Financing Rate + 2.864%), 3.37%, 2/16/37 (a)(b) | | | 582 | |
250,000 | | Benefit Street Partners CLO XVII Ltd. 2019- 17A 144A, (3 mo. LIBOR USD + 6.350%), 7.39%, 7/15/32 (a)(b) | | | 244 | |
250,000 | | Blackrock European CLO IV DAC 4A 144A, (3 mo. EURIBOR + 1.300%), 1.30%, 7/15/30 EUR (a)(b)(c) | | | 259 | |
350,000 | | Blackrock European CLO IV DAC 4A 144A, (3 mo. EURIBOR + 2.650%), 2.65%, 7/15/30 EUR (a)(b)(c) | | | 355 | |
500,000 | | Blackrock European CLO V DAC 5X, (3 mo. EURIBOR + 1.100%), 1.10%, 7/16/31 EUR (b)(c)(d) | | | 516 | |
300,000 | | BRSP Ltd. 2021-FL1 144A, (1 mo. LIBOR USD + 3.450%), 4.00%, 8/19/38 (a)(b) | | | 295 | |
550,000 | | BSPRT Issuer Ltd. 2018-FL4 144A, (1 mo. LIBOR USD + 2.100%), 2.65%, 9/15/35 (a)(b) | | | 551 | |
500,000 | | BSPRT Issuer Ltd. 2018-FL4 144A, (1 mo. LIBOR USD + 2.750%), 3.30%, 9/15/35 (a)(b) | | | 499 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
350,000 | | Carlyle Global Market Strategies Euro CLO DAC 2015-2A 144A, (3 mo. EURIBOR + 0.940%), 0.94%, 11/10/35 EUR (a)(b)(c) | | $ | 364 | |
800,000 | | CARS-DB4 LP 2020-1A 144A, 4.17%, 2/15/50 (a) | | | 780 | |
200,000 | | CARS-DB4 LP 2020-1A 144A, 4.52%, 2/15/50 (a) | | | 193 | |
300,000 | | CARS-DB4 LP 2020-1A 144A, 4.95%, 2/15/50 (a) | | | 286 | |
350,000 | | CHCP Ltd. 2021-FL1 144A, (1 mo. Term Secured Overnight Financing Rate + 3.114%), 3.62%, 2/15/38 (a)(b) | | | 346 | |
300,000 | | CIFC Funding Ltd. 2013-3RA 144A, (3 mo. LIBOR USD + 2.900%), 4.08%, 4/24/31 (a)(b) | | | 297 | |
441,774 | | CLI Funding VIII LLC 2021-1A 144A, 2.38%, 2/18/46 (a) | | | 398 | |
400,000 | | Cologix Canadian Issuer LP 2022-1CAN 144A, 5.68%, 1/25/52 CAD (a)(c) | | | 297 | |
150,000 | | Diamond Infrastructure Funding LLC 2021-1A 144A, 2.36%, 4/15/49 (a) | | | 135 | |
550,000 | | Diamond Infrastructure Funding LLC 2021-1A 144A, 3.48%, 4/15/49 (a) | | | 493 | |
870,750 | | Driven Brands Funding LLC 2019-1A 144A, 4.64%, 4/20/49 (a) | | | 856 | |
148,125 | | Driven Brands Funding LLC 2020-2A 144A, 3.24%, 1/20/51 (a) | | | 134 | |
1,300,000 | | Dryden 39 Euro CLO DAC 2015-39A 144A, (3 mo. EURIBOR + 0.950%), 0.95%, 4/15/35 EUR (a)(b)(c) | | | 1,363 | |
400,000 | | FORT CRE Issuer LLC 2022-FL3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.850%), 2.14%, 2/23/39 (a)(b) | | | 401 | |
300,000 | | FORT CRE Issuer LLC 2022-FL3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.250%), 2.54%, 2/23/39 (a)(b) | | | 300 | |
250,000 | | GoldentTree Loan Management U.S. CLO 1 Ltd. 2021-9A 144A, (3 mo. LIBOR USD + 6.750%), 7.81%, 1/20/33 (a)(b) | | | 230 | |
600,000 | | Greystone CRE Notes Ltd. 2019-FL2 144A, (1 mo. LIBOR USD + 2.400%), 2.95%, 9/15/37 (a)(b) | | | 594 | |
600,000 | | Greystone CRE Notes Ltd. 2019-FL2 144A, (1 mo. LIBOR USD + 2.750%), 3.30%, 9/15/37 (a)(b) | | | 592 | |
300,000 | | Greystone CRE Notes Ltd. 2021-FL3 144A, (1 mo. LIBOR USD + 2.750%), 3.30%, 7/15/39 (a)(b) | | | 292 | |
2 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
311,917 | | Halcyon Loan Advisors Funding Ltd. 2015-2A 144A, (3 mo. LIBOR USD + 1.650%), 2.83%, 7/25/27 (a)(b) | | $ | 312 | |
450,000 | | ITE Rail Fund Levered LP 2021-3A 144A, 2.98%, 6/28/51 (a) | | | 404 | |
326,127 | | JPMorgan Chase Bank N.A.-CACLN 2021-1 144A, 2.37%, 9/25/28 (a) | | | 319 | |
550,000 | | JPMorgan Chase Bank N.A.-CACLN 2021-1 144A, 4.28%, 9/25/28 (a) | | | 525 | |
600,000 | | JPMorgan Chase Bank N.A.-CACLN 2021-2 144A, 4.39%, 12/26/28 (a) | | | 571 | |
550,000 | | JPMorgan Chase Bank N.A.-CACLN 2021-3 144A, 3.69%, 2/26/29 (a) | | | 513 | |
400,000 | | KREF Ltd. 2022-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 1.450%), 1.97%, 2/17/39 (a)(b) | | | 392 | |
300,000 | | LoanCore Issuer Ltd. 2021-CRE5 144A, (1 mo. LIBOR USD + 3.750%), 4.30%, 7/15/36 (a)(b) | | | 289 | |
250,000 | | Madison Park Funding XIII Ltd. 2014-13A 144A, (3 mo. LIBOR USD + 2.850%), 3.89%, 4/19/30 (a)(b) | | | 248 | |
250,000 | | Madison Park Funding XXIV Ltd. 2016-24A 144A, (3 mo. LIBOR USD + 3.850%), 4.91%, 10/20/29 (a)(b) | | | 249 | |
500,000 | | Oak Street Investment Grade Net Lease Fund Series 2020-1A 144A, 3.39%, 11/20/50 (a) | | | 481 | |
300,000 | | Oak Street Investment Grade Net Lease Fund Series 2021-1A 144A, 2.80%, 1/20/51 (a) | | | 283 | |
300,000 | | OCP CLO Ltd. 2018-15A 144A, (3 mo. LIBOR USD + 5.850%), 6.91%, 7/20/31 (a)(b) | | | 292 | |
250,000 | | OCP CLO Ltd. 2015-9A 144A, (3 mo. Term Secured Overnight Financing Rate + 6.800%), 7.21%, 1/15/33 (a)(b) | | | 247 | |
250,000 | | OCP CLO Ltd. 2020-19A 144A, (3 mo. LIBOR USD + 6.500%), 7.56%, 10/20/34 (a)(b) | | | 239 | |
700,000 | | OZLM XII Ltd. 2015-12A 144A, (3 mo. LIBOR USD + 1.600%), 2.89%, 4/30/27 (a)(b) | | | 698 | |
250,000 | | Palmer Square CLO Ltd. 2013-2A 144A, (3 mo. LIBOR USD + 5.850%), 6.89%, 10/17/31 (a)(b) | | | 243 | |
268,813 | | Planet Fitness Master Issuer LLC 2019-1A 144A, 3.86%, 12/05/49 (a) | | | 246 | |
276,000 | | Textainer Marine Containers VII Ltd. 2021-2A 144A, 2.82%, 4/20/46 (a) | | | 249 | |
400,000 | | Trinity Rail Leasing LLC 2021-1A 144A, 3.08%, 7/19/51 (a) | | | 356 | |
600,000 | | TRP LLC 2021-1 144A, 3.06%, 6/19/51 (a) | | | 537 | |
600,000 | | TRP-TRIP Rail Master Funding LLC 2021-2 144A, 3.08%, 6/19/51 (a) | | | 541 | |
300,000 | | VB-S1 Issuer LLC-VBTEL 2022-1A 144A, 5.27%, 2/15/52 (a) | | | 287 | |
656,573 | | Venture XVII CLO Ltd. 2014-17A 144A, (3 mo. LIBOR USD + 0.880%), 1.92%, 4/15/27 (a)(b) | | | 653 | |
347,375 | | Zaxby’s Funding LLC 2021-1A 144A, 3.24%, 7/30/51 (a) | | | 315 | |
Total Asset Backed (Cost - $25,555) | | | 24,399 | |
| |
Bank Loans(e) (5%) | | | | |
584,319 | | Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD 3-Month + 1.750%), 2.76%, 6/01/24 | | | 579 | |
179,550 | | Bally’s Corp. Term Loan B 1L, (LIBOR USD 6-Month + 3.250%), 3.75%, 10/01/28 | | | 178 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
241,254 | | Change Healthcare Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.500%), 3.50%, 3/01/24 | | $ | 241 | |
250,000 | | Crocs Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.45%, 2/19/29 | | | 245 | |
286,500 | | Directv Financing LLC Term Loan 1L, (LIBOR USD 3-Month + 5.000%), 5.76%, 8/02/27 | | | 286 | |
250,000 | | Froneri Lux FinCo Sarl Term Loan B 1L, (6 mo. EURIBOR + 2.375%), 2.38%, 1/31/27 EUR (c) | | | 253 | |
298,243 | | Graham Packaging Co. Inc. Term Loan 1L, (LIBOR USD 1-Month + 3.000%), 3.76%, 8/04/27 | | | 293 | |
199,500 | | Gray Television Inc. Term Loan D 1L, (LIBOR USD 3-Month + 3.000%), 3.46%, 12/01/28 | | | 198 | |
259,114 | | Grifols SA Term Loan B 1L, (3 mo. EURIBOR + 2.250%), 2.25%, 11/15/27 EUR (c) | | | 266 | |
540,153 | | IRB Holding Corp. Term Loan B 1L, (LIBOR USD 3-Month + 2.750%), 3.76%, 2/05/25 | | | 536 | |
165,000 | | MIC Glen LLC Term Loan 2L, (LIBOR USD 1-Month + 6.750%), 7.25%, 7/21/29 | | | 163 | |
2,040 | | PRA Health Sciences Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%), 3.31%, 7/01/28 | | | 2 | |
114,795 | | Standard Industries Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%), 3.79%, 9/22/28 | | | 115 | |
250,000 | | Sunset Debt Merger Sub Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.000%), 4.75%, 10/06/28 | | | 233 | |
485,814 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%), 4.26%, 2/05/27 | | | 479 | |
316,158 | | United Natural Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 3.46%, 10/22/25 | | | 315 | |
349,125 | | Whatabrands LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%), 4.01%, 8/03/28 | | | 346 | |
299,250 | | WR Grace Holdings LLC Term Loan B 1L, (LIBOR USD 3-Month + 3.750%), 4.81%, 9/22/28 | | | 297 | |
323,350 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 2.51%, 5/30/25 | | | 321 | |
Total Bank Loans (Cost - $5,404) | | | 5,346 | |
| |
Corporate Bond (22%) | | | | |
1,000,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (d) | | | 993 | |
250,000 | | Adani Electricity Mumbai Ltd., 3.95%, 2/12/30 (d) | | | 215 | |
183,500 | | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt. Ltd./Wardha Solar Maharash, 4.63%, 10/15/39 (d) | | | 154 | |
300,000 | | Advantage Sales & Marketing Inc. 144A, 6.50%, 11/15/28 (a) | | | 273 | |
225,000 | | AES Panama Generation Holdings SRL, 4.38%, 5/31/30 (d) | | | 201 | |
250,000 | | America Movil SAB de CV 144A, 5.38%, 4/04/32 (a) | | | 228 | |
400,000 | | American Express Co., 3.38%, 5/03/24 | | | 400 | |
350,000 | | Anglo American Capital PLC 144A, 3.88%, 3/16/29 (a) | | | 332 | |
100,000 | | Ascent Resources Utica Holdings LLC/ARU Finance Corp. 144A, 5.88%, 6/30/29 (a) | | | 97 | |
Semi-Annual Report 3
Portfolio Highlights & Investments continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
190,000 | | ASP Unifrax Holdings Inc. 144A, 7.50%, 9/30/29 (a)(f) | | $ | 156 | |
200,000 | | Athabasca Oil Corp. 144A, 9.75%, 11/01/26 (a) | | | 213 | |
200,000 | | Banco de Sabadell SA, (5 yr. Euro Swap + 6.414%), 6.50% EUR (b)(c)(d)(g) | | | 211 | |
200,000 | | Banco Mercantil del Norte SA 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.643%), 5.88% (a)(b)(g) | | | 180 | |
142,000 | | Baytex Energy Corp. 144A, 5.63%, 6/01/24 (a) | | | 142 | |
250,000 | | Blackstone Private Credit Fund 144A, 1.75%, 9/15/24 (a) | | | 234 | |
350,000 | | BRF GmbH, 4.35%, 9/29/26 (d) | | | 332 | |
300,000 | | Broadcom Inc. 144A, 4.00%, 4/15/29 (a) | | | 286 | |
500,000 | | C&W Senior Financing DAC, 6.88%, 9/15/27 (d) | | | 486 | |
200,000 | | Callon Petroleum Co., 6.13%, 10/01/24 | | | 198 | |
250,000 | | Cemex SAB de CV, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.534%), 5.13% (b)(d)(g) | | | 229 | |
200,000 | | Cemex SAB de CV, 7.38%, 6/05/27 (d) | | | 211 | |
650,000 | | Centene Corp., 2.63%, 8/01/31 | | | 541 | |
200,000 | | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 144A, 5.25%, 4/27/29 (a) | | | 190 | |
250,000 | | CIBANCO SA Institucion de Banca Multiple Trust CIB/3332, 4.38%, 7/22/31 (d) | | | 202 | |
400,000 | | Civitas Resources Inc., 7.50%, 4/30/26 | | | 400 | |
200,000 | | Cobra AcquisitionCo LLC 144A, 6.38%, 11/01/29 (a) | | | 153 | |
250,000 | | Colombia Telecomunicaciones SA ESP, 4.95%, 7/17/30 (d) | | | 225 | |
150,000 | | Consolidated Energy Finance SA 144A, 5.63%, 10/15/28 (a) | | | 139 | |
225,000 | | ContourGlobal Power Holdings SA 144A, 3.13%, 1/01/28 EUR (a)(c) | | | 214 | |
175,000 | | Covanta Holding Corp. 144A, 4.88%, 12/01/29 (a) | | | 159 | |
350,000 | | Crescent Energy Finance LLC 144A, 7.25%, 5/01/26 (a) | | | 345 | |
225,000 | | CTP NV, 0.75%, 2/18/27 EUR (c)(d) | | | 208 | |
300,000 | | Dar Al-Arkan Sukuk Co. Ltd., 6.75%, 2/15/25 (d) | | | 305 | |
175,000 | | DISH DBS Corp. 144A, 5.75%, 12/01/28 (a) | | | 157 | |
200,000 | | doValue SpA 144A, 3.38%, 7/31/26 EUR (a)(c) | | | 199 | |
130,000 | | Earthstone Energy Holdings LLC 144A, 8.00%, 4/15/27 (a) | | | 130 | |
300,000 | | Ecopetrol SA, 6.88%, 4/29/30 | | | 297 | |
225,000 | | Energean PLC 144A, 6.50%, 4/30/27 (a) | | | 213 | |
125,000 | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co. Inc. 144A, 6.75%, 1/15/30 (a) | | | 108 | |
100,000 | | Food Service Project SA 144A, 5.50%, 1/21/27 EUR (a)(c) | | | 99 | |
200,000 | | Ford Motor Credit Co. LLC, 4.95%, 5/28/27 | | | 195 | |
200,000 | | Freeport Indonesia PT 144A, 5.32%, 4/14/32 (a) | | | 194 | |
170,000 | | Freeport-McMoRan Inc., 4.38%, 8/01/28 | | | 165 | |
250,000 | | Frontier Communications Holdings LLC 144A, 6.00%, 1/15/30 (a) | | | 218 | |
350,000 | | Geopark Ltd. 144A, 5.50%, 1/17/27 (a) | | | 316 | |
250,000 | | Goldman Sachs Group Inc., (U.S. Secured Overnight Financing Rate + 1.114%), 2.64%, 2/24/28 (b) | | | 230 | |
250,000 | | Grifols Escrow Issuer SA 144A, 3.88%, 10/15/28 EUR (a)(c) | | | 237 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
650,000 | | Grupo Bimbo SAB de CV, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.280%), 5.95% (b)(d)(g) | | $ | 654 | |
300,000 | | Gulfport Energy Corp. 144A, 8.00%, 5/17/26 (a) | | | 309 | |
105,000 | | Hilcorp Energy I LP/Hilcorp Finance Co. 144A, 6.25%, 4/15/32 (a) | | | 103 | |
200,000 | | II-VI Inc. 144A, 5.00%, 12/15/29 (a) | | | 188 | |
375,000 | | International Petroleum Corp. 144A, 7.25%, 2/01/27 (a)(d) | | | 371 | |
250,000 | | Jabil Inc., 4.25%, 5/15/27 | | | 248 | |
250,000 | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc. 144A, 3.75%, 12/01/31 (a) | | | 220 | |
200,000 | | JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 0.915%), 2.60%, 2/24/26 (b) | | | 192 | |
50,000 | | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 144A, 4.75%, 6/01/27 (a) | | | 50 | |
250,000 | | Kosmos Energy Ltd. 144A, 7.75%, 5/01/27 (a) | | | 249 | |
300,000 | | LA Construccion SA 144A, 4.75%, 2/07/32 (a) | | | 265 | |
250,000 | | Laredo Petroleum Inc., 9.50%, 1/15/25 | | | 257 | |
100,000 | | Leviathan Bond Ltd. 144A, 5.75%, 6/30/23 (a)(d) | | | 100 | |
100,000 | | Leviathan Bond Ltd. 144A, 6.13%, 6/30/25 (a)(d) | | | 100 | |
300,000 | | Mauser Packaging Solutions Holding Co., 4.75%, 4/15/24 EUR (c)(d) | | | 311 | |
250,000 | | Meritage Homes Corp. 144A, 3.88%, 4/15/29 (a) | | | 224 | |
200,000 | | Mexico City Airport Trust, 4.25%, 10/31/26 (d) | | | 191 | |
550,000 | | Minejesa Capital BV, 4.63%, 8/10/30 (d) | | | 502 | |
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) | | | 502 | |
350,000 | | Morgan Stanley, (U.S. Secured Overnight Financing Rate + 1.000%), 2.48%, 1/21/28 (b) | | | 323 | |
150,000 | | Mozart Debt Merger Sub Inc. 144A, 5.25%, 10/01/29 (a) | | | 131 | |
225,000 | | MPT Operating Partnership LP/MPT Finance Corp., 2.50%, 3/24/26 GBP (c) | | | 263 | |
200,000 | | Neinor Homes SA, 4.50%, 10/15/26 EUR (c)(d) | | | 198 | |
225,000 | | Northern Oil and Gas Inc. 144A, 8.13%, 3/01/28 (a) | | | 224 | |
300,000 | | Northriver Midstream Finance LP 144A, 5.63%, 2/15/26 (a) | | | 293 | |
200,000 | | Owl Rock Capital Corp., 3.40%, 7/15/26 | | | 185 | |
280,000 | | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, 2/15/28 | | | 247 | |
200,000 | | Penn Virginia Holdings LLC 144A, 9.25%, 8/15/26 (a) | | | 205 | |
450,000 | | Petroleos Mexicanos, 5.13%, 3/15/23 EUR (c)(d) | | | 483 | |
209,000 | | Petroleos Mexicanos, 6.70%, 2/16/32 | | | 180 | |
250,000 | | PRA Group Inc. 144A, 5.00%, 10/01/29 (a) | | | 232 | |
200,000 | | ReNew Power Pvt Ltd., 6.45%, 9/27/22 (d) | | | 200 | |
200,000 | | Rogers Communications Inc. 144A, 2.95%, 3/15/25 (a) | | | 195 | |
300,000 | | Strathcona Resources Ltd. 144A, 6.88%, 8/01/26 (a) | | | 291 | |
300,000 | | Tamarack Valley Energy Ltd. 144A, 7.25%, 5/10/27 CAD (a)(c) | | | 235 | |
250,000 | | Telefonica Celular del Paraguay SA, 5.88%, 4/15/27 (d) | | | 251 | |
115,000 | | TELUS Corp., 3.40%, 5/13/32 | | | 105 | |
300,000 | | T-Mobile USA Inc., 3.75%, 4/15/27 | | | 292 | |
550,000 | | Transnet SOC Ltd., 4.00%, 7/26/22 (d) | | | 543 | |
150,000 | | Transocean Inc. 144A, 8.00%, 2/01/27 (a) | | | 119 | |
125,000 | | Twitter Inc. 144A, 5.00%, 3/01/30 (a) | | | 128 | |
4 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
520,000 | | U.S. Foods Inc. 144A, 6.25%, 4/15/25 (a) | | $ | 535 | |
200,000 | | U.S. Foods Inc. 144A, 4.75%, 2/15/29 (a) | | | 185 | |
249,000 | | United Airlines Pass-Through Trust 20-1, B, 4.88%, 1/15/26 | | | 241 | |
235,000 | | Venture Global Calcasieu Pass LLC 144A, 3.88%, 11/01/33 (a) | | | 205 | |
200,000 | | Volkswagen Group of America Finance LLC 144A, 4.75%, 11/13/28 (a) | | | 204 | |
100,000 | | Voyage Care BondCo PLC 144A, 5.88%, 2/15/27 GBP (a)(c) | | | 123 | |
450,000 | | Wells Fargo & Co., (U.S. Secured Overnight Financing Rate + 1.510%), 3.53%, 3/24/28 (b) | | | 433 | |
200,000 | | Workday Inc., 3.80%, 4/01/32 | | | 189 | |
Total Corporate Bond (Cost - $25,622) | | | 24,084 | |
| |
Foreign Government (6%) | | | | |
425,000 | | Colombia Government International Bond, 4.50%, 3/15/29 | | | 386 | |
625,000 | | Dominican Republic International Bond 144A, 5.50%, 2/22/29 (a) | | | 586 | |
150,000 | | Ecuador Government International Bond, 5.00%, 7/31/30 (d) | | | 122 | |
350,000 | | Egypt Government International Bond, 4.75%, 4/16/26 EUR (c)(d) | | | 312 | |
300,000 | | Guatemala Government Bond 144A, 3.70%, 10/07/33 (a) | | | 258 | |
500,000 | | Ivory Coast Government International Bond, 6.38%, 3/03/28 (d) | | | 498 | |
200,000 | | Mongolia Government International Bond, 8.75%, 3/09/24 (d) | | | 206 | |
300,000 | | Mongolia Government International Bond 144A, 4.45%, 7/07/31 (a) | | | 258 | |
200,000 | | Morocco Government International Bond, 3.50%, 6/19/24 EUR (c)(d) | | | 214 | |
300,000 | | Nigeria Government International Bond, 6.50%, 11/28/27 (d) | | | 267 | |
225,000 | | Nigeria Government International Bond 144A, 8.38%, 3/24/29 (a) | | | 211 | |
550,000 | | Oman Government International Bond, 4.75%, 6/15/26 (d) | | | 542 | |
200,000 | | Oman Government International Bond, 6.00%, 8/01/29 (d) | | | 203 | |
500,000 | | Paraguay Government International Bond 144A, 3.85%, 6/28/33 (a) | | | 444 | |
4,900,000 | | Republic of South Africa Government Bond Series 2030, 8.00%, 1/31/30 ZAR (c) | | | 278 | |
200,000 | | Republic of South Africa Government International Bond, 5.88%, 4/20/32 | | | 191 | |
200,000 | | Republic of Uzbekistan International Bond 144A, 3.90%, 10/19/31 (a) | | | 163 | |
175,000 | | Romanian Government International Bond, 2.88%, 3/11/29 EUR (c)(d) | | | 172 | |
100,000 | | Romanian Government International Bond, 3.62%, 5/26/30 EUR (c)(d) | | | 97 | |
200,000 | | Romanian Government International Bond 144A, 1.75%, 7/13/30 EUR (a)(c) | | | 167 | |
300,000 | | Senegal Government International Bond, 4.75%, 3/13/28 EUR (c)(d) | | | 298 | |
250,000 | | Serbia International Bond, 1.00%, 9/23/28 EUR (c)(d) | | | 202 | |
Total Foreign Government (Cost - $6,809) | | | 6,075 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
| |
Mortgage Backed (32%) | | | | |
100,000 | | ACRE Commercial Mortgage Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 1.750%), 2.30%, 12/18/37 (a)(b) | | $ | 98 | |
200,000 | | ACRE Commercial Mortgage Ltd. 2021-FL4 144A, (1 mo. LIBOR USD + 2.600%), 3.15%, 12/18/37 (a)(b) | | | 195 | |
600,000 | | BBCMS Mortgage Trust 2018-TALL 144A, (1 mo. LIBOR USD + 1.449%), 2.00%, 3/15/37 (a) (b) | | | 557 | |
340,000 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.800%), 2.35%, 10/15/36 (a)(b) | | | 337 | |
552,500 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.000%), 2.55%, 10/15/36 (a)(b) | | | 542 | |
680,000 | | BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.300%), 2.85%, 10/15/36 (a)(b) | | | 666 | |
311,344 | | BX Commercial Mortgage Trust 2020-VKNG 144A, (1 mo. LIBOR USD + 2.750%), 3.30%, 10/15/37 (a)(b) | | | 302 | |
500,000 | | BX Commercial Mortgage Trust 2021-VINO 144A, (1 mo. LIBOR USD + 1.952%), 2.51%, 5/15/38 (a)(b) | | | 481 | |
570,904 | | BX Commercial Mortgage Trust 2021-XL2 144A, (1 mo. LIBOR USD + 3.890%), 4.44%, 10/15/38 (a)(b) | | | 551 | |
500,000 | | BX Trust 2021-LGCY 144A, (1 mo. LIBOR USD + 3.193%), 3.75%, 10/15/23 (a)(b) | | | 479 | |
700,000 | | BX Trust 2018-GW 144A, (1 mo. LIBOR USD + 2.420%), 2.97%, 5/15/35 (a)(b) | | | 674 | |
500,000 | | BX Trust 2021-ARIA 144A, (1 mo. LIBOR USD + 2.594%), 3.15%, 10/15/36 (a)(b) | | | 485 | |
236,000 | | CAMB Commercial Mortgage Trust 2019-LIFE 144A, (1 mo. LIBOR USD + 1.070%), 1.62%, 12/15/37 (a)(b) | | | 235 | |
546,015 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 2.90%, 6/15/34 (a)(b) | | | 525 | |
347,464 | | CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.608%), 3.16%, 6/15/34 (a)(b) | | | 319 | |
393,196 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 2.100%), 2.65%, 11/15/37 (a)(b) | | | 390 | |
196,598 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 2.766%), 3.32%, 11/15/37 (a)(b) | | | 195 | |
294,897 | | Cold Storage Trust 2020-ICE5 144A, (1 mo. LIBOR USD + 3.492%), 4.05%, 11/15/37 (a)(b) | | | 292 | |
500,000 | | Connecticut Avenue Securities Trust 2018-R07 144A, (1 mo. LIBOR USD + 4.350%), 5.02%, 4/25/31 (a)(b) | | | 507 | |
48,750 | | Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 2.450%), 3.12%, 7/25/31 (a)(b) | | | 49 | |
500,000 | | Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 4.350%), 5.02%, 7/25/31 (a)(b) | | | 507 | |
1,200,000 | | Connecticut Avenue Securities Trust 2019-R02 144A, (1 mo. LIBOR USD + 4.150%), 4.82%, 8/25/31 (a)(b) | | | 1,214 | |
Semi-Annual Report 5
Portfolio Highlights & Investments continued
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
550,000 | | Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 4.100%), 4.77%, 9/25/31 (a)(b) | | $ | 556 | |
987,389 | | Connecticut Avenue Securities Trust 2019-R05 144A, (1 mo. LIBOR USD + 4.100%), 4.77%, 7/25/39 (a)(b) | | | 989 | |
550,000 | | Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 3.400%), 4.07%, 10/25/39 (a)(b) | | | 534 | |
1,198,464 | | Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 2.82%, 11/25/39 (a)(b) | | | 1,181 | |
79,130 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 2.000%), 2.67%, 1/25/40 (a)(b) | | | 79 | |
959,822 | | Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 1/25/40 (a)(b) | | | 961 | |
600,000 | | Connecticut Avenue Securities Trust 2020-R02 144A, (1 mo. LIBOR USD + 3.000%), 3.67%, 1/25/40 (a)(b) | | | 553 | |
300,000 | | Connecticut Avenue Securities Trust 2022- R02 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 3.000%), 3.29%, 1/25/42 (a)(b) | | | 296 | |
550,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.150%), 2.70%, 5/15/36 (a)(b) | | | 540 | |
400,000 | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 3.20%, 5/15/36 (a)(b) | | | 393 | |
750,000 | | CSMC Trust 2017-MOON 144A, 3.30%, 7/10/34 (a)(h) | | | 747 | |
496,942 | | Extended Stay America Trust 2021-ESH 144A, (1 mo. LIBOR USD + 3.700%), 4.26%, 7/15/38 (a)(b) | | | 489 | |
500,000 | | Fannie Mae Connecticut Avenue Securities 2018- C06, (1 mo. LIBOR USD + 4.100%), 4.77%, 3/25/31 (b) | | | 502 | |
600,000 | | Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 3.000%), 3.67%, 9/25/49 (a)(b) | | | 581 | |
600,000 | | Freddie Mac STACR REMIC Trust 2022-DNA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.500%), 2.79%, 1/25/42 (a)(b) | | | 571 | |
94,792 | | Freddie Mac STACR REMIC Trust 2022-HQA1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.100%), 2.39%, 3/25/42 (a)(b) | | | 95 | |
300,000 | | Freddie Mac STACR REMIC Trust 2022-DNA3 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.000%), 2.25%, 4/25/42 (a)(b) | | | 300 | |
109,686 | | Freddie Mac STACR REMIC Trust 2020-HQA1 144A, (1 mo. LIBOR USD + 1.900%), 2.57%, 1/25/50 (a)(b) | | | 110 | |
110,151 | | Freddie Mac STACR REMIC Trust 2020-DNA2 144A, (1 mo. LIBOR USD + 1.850%), 2.52%, 2/25/50 (a)(b) | | | 110 | |
500,000 | | Freddie Mac STACR REMIC Trust 2020-HQA3 144A, (1 mo. LIBOR USD + 5.750%), 6.42%, 7/25/50 (a)(b) | | | 529 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
42,928 | | Freddie Mac STACR REMIC Trust 2020-HQA4 144A, (1 mo. LIBOR USD + 3.150%), 3.82%, 9/25/50 (a)(b) | | $ | 43 | |
218,621 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.800%), 3.09%, 10/25/50 (a)(b) | | | 220 | |
200,000 | | Freddie Mac STACR REMIC Trust 2020-DNA5 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 4.800%), 5.09%, 10/25/50 (a)(b) | | | 209 | |
300,000 | | Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%), 2.97%, 10/25/48 (a)(b) | | | 301 | |
456,864 | | Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%), 3.32%, 1/25/49 (a)(b) | | | 461 | |
675,000 | | Freddie Mac STACR Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.250%), 2.92%, 2/25/49 (a)(b) | | | 658 | |
361,960 | | Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 2.350%), 3.02%, 2/25/49 (a)(b) | | | 365 | |
201,909 | | Freddie Mac STACR Trust 2019-DNA3 144A, (1 mo. LIBOR USD + 2.050%), 2.72%, 7/25/49 (a)(b) | | | 202 | |
200,000 | | Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 2.700%), 3.37%, 10/25/49 (a)(b) | | | 196 | |
246,923 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQA1, (1 mo. LIBOR USD + 8.800%), 9.47%, 3/25/28 (b) | | | 254 | |
298,050 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA3, (1 mo. LIBOR USD + 9.000%), 9.67%, 3/25/29 (b) | | | 312 | |
1,056,206 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1, (1 mo. LIBOR USD + 2.300%), 2.97%, 9/25/30 (b) | | | 1,064 | |
600,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 2.300%), 2.59%, 8/25/33 (a)(b) | | | 592 | |
1,250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HRP1, (1 mo. LIBOR USD + 4.600%), 5.27%, 12/25/42 (b) | | | 1,254 | |
300,000 | | HONO Mortgage Trust 2021-LULU 144A, (1 mo. LIBOR USD + 4.400%), 4.95%, 10/15/36 (a)(b) | | | 295 | |
450,000 | | InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 3.500%), 4.06%, 1/15/33 (a)(b) | | | 447 | |
8,449 | | JP Morgan Mortgage Trust 2014-IVR3 144A, 2.34%, 9/25/44 (a)(b) | | | 9 | |
262,500 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 1.550%), 2.10%, 12/15/37 (a)(b) | | | 255 | |
300,000 | | KKR Industrial Portfolio Trust 2021-KDIP 144A, (1 mo. LIBOR USD + 2.050%), 2.60%, 12/15/37 (a)(b) | | | 290 | |
300,000 | | LAQ Mortgage Trust 2022-LAQ 144A, (1 mo. Term Secured Overnight Financing Rate + 4.872%), 5.39%, 3/15/39 (a)(b) | | | 302 | |
6 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
540,634 | | Life Mortgage Trust 2021-BMR 144A, (1 mo. LIBOR USD + 2.950%), 3.50%, 3/15/38 (a)(b) | | $ | 519 | |
300,000 | | MF1 Ltd. 2020-FL3 144A, (1 mo. Term Secured Overnight Financing Rate + 4.614%), 5.12%, 7/15/35 (a)(b) | | | 305 | |
3,709,422 | | Morgan Stanley Capital I Trust 2018-H3, 0.99%, 7/15/51 (h) | | | 132 | |
220,243 | | Motel Trust 2021-MTL6 144A, (1 mo. LIBOR USD + 2.700%), 3.25%, 9/15/38 (a)(b) | | | 215 | |
183,536 | | Motel Trust 2021-MTL6 144A, (1 mo. LIBOR USD + 4.700%), 5.25%, 9/15/38 (a)(b) | | | 179 | |
300,000 | | Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 3.250%), 3.92%, 10/15/49 (a)(b) | | | 286 | |
900,000 | | Palisades Center Trust 2016-PLSD 144A, 3.36%, 4/13/33 (a) | | | 783 | |
269,688 | | Radnor RE Ltd. 2021-1 144A, (U.S. Secured Overnight Financing Rate Index 30day Average + 1.650%), 1.94%, 12/27/33 (a)(b) | | | 268 | |
110,000 | | Sage AR Funding No 1 PLC 1A 144A, (Sterling Overnight Index Average + 3.000%), 3.16%, 11/17/30 GBP (a)(b)(c) | | | 136 | |
289,377 | | SMR Mortgage Trust 2022-IND 144A, (1 mo. Term Secured Overnight Financing Rate + 6.000%), 6.51%, 2/15/39 (a)(b) | | | 286 | |
1,400,000 | | STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%), 4.42%, 4/25/43 (a)(b) | | | 1,399 | |
1,000,000 | | STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%), 3.07%, 2/25/47 (a)(b) | | | 997 | |
450,000 | | TPGI Trust 2021-DGWD 144A, (1 mo. LIBOR USD + 2.350%), 2.90%, 6/15/26 (a)(b) | | | 435 | |
299,236 | | TTAN 2021-MHC 144A, (1 mo. LIBOR USD + 2.400%), 2.96%, 3/15/38 (a)(b) | | | 289 | |
400,000 | | Wells Fargo Commercial Mortgage Trust 2017- SMP 144A, (1 mo. LIBOR USD + 1.775%), 2.33%, 12/15/34 (a)(b) | | | 393 | |
10,258,355 | | Wells Fargo Commercial Mortgage Trust 2018- C46, 1.10%, 8/15/51 (h) | | | 367 | |
Total Mortgage Backed (Cost —$35,127) | | | 34,434 | |
Stocks (5%) | | | | |
Common Stock (5%) | | | | |
2,900 | | Apple Inc. | | | 457 | |
5,700 | | Bristol Myers Squibb Co. | | | 429 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
600 | | Broadcom Inc. | | $ | 333 | |
3,700 | | ConocoPhillips | | | 353 | |
3,100 | | Emerson Electric Co. | | | 280 | |
13,200 | | EQT Corp. | | | 525 | |
1,200 | | Home Depot Inc. | | | 360 | |
1,600 | | Microsoft Corp. | | | 444 | |
4,100 | | NextEra Energy Inc. | | | 291 | |
2,500 | | Simon Property Group Inc. | | | 295 | |
1,300 | | Target Corp. | | | 297 | |
1,800 | | Union Pacific Corp. | | | 422 | |
2,900 | | Waste Management Inc. | | | 477 | |
Total Stocks (Cost —$4,078) | | | 4,963 | |
Investment Company (6%) | | | | |
5,431,760 | | Payden Cash Reserves Money Market Fund* | | | 5,432 | |
30,800 | | SPDR S&P Bank ETF | | | 1,449 | |
Total Investment Company (Cost - $7,100) | | | 6,881 | |
| |
Purchase Options (0%) | | | | |
Total Purchase Options (Cost—$60) | | | 99 | |
Total Investments (Cost—$109,755) (99%) | | | 106,281 | |
Other Assets, net of Liabilities (1%) | | | 766 | |
| |
Net Assets (100%) | | $ | 107,047 | |
| (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, 2022. |
| (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, 2022. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (f) | All or a portion of these securities are on loan. At April 30, 2022, the total market value of the Fund’s securities on loan is $156 and the total market value of the collateral held by the Fund is $163. Amounts in 000s. |
| (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. |
Purchase Options
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Notional
Amount
(000s) | | | Exercise
Price | | | Maturity Date | | | Value
(000s) | | | Call/Put | |
Exchange Traded Options Purchase—0.1% | | | | | | | | | | | | | | | | | | | | | | | | |
S & P 500 Index | | | 4 | | | $ | 1,653 | | | $ | 3600 | | | | 09/30/2022 | | | $ | 47 | | | | Put | |
S & P 500 Index | | | 5 | | | | 2,066 | | | | 3600 | | | | 04/29/2022 | | | | — | | | | Put | |
S & P 500 Index | | | 6 | | | | 2,479 | | | | 3850 | | | | 06/30/2022 | | | | 52 | | | | Put | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchase Options | | | | | | | | | | | | | | | | | | $ | 99 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 7
Portfolio Highlights & Investments continued
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000s) | | | | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | | | |
COP 970,000 | | | USD 241 | | | | | | | | BNP PARIBAS | | | | 07/29/2022 | | | $ | — | |
USD 313 | | | ZAR 4,610 | | | | | | | | Citibank, N.A. | | | | 07/19/2022 | | | | 24 | |
USD 9,769 | | | EUR 8,828 | | | | | | | | Citibank, N.A. | | | | 09/15/2022 | | | | 380 | |
USD 523 | | | CAD 670 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | 2 | |
USD 1,017 | | | GBP 779 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | 37 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 443 | |
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | |
BRL 814 | | | USD 161 | | | | | | | | Citibank, N.A. | | | | 07/29/2022 | | | | (1) | |
CLP 208,600 | | | USD 241 | | | | | | | | BNP PARIBAS | | | | 07/29/2022 | | | | (1) | |
EUR 1,423 | | | USD 1,584 | | | | | | | | Citibank, N.A. | | | | 09/15/2022 | | | | (71) | |
GBP 323 | | | USD 409 | | | | | | | | HSBC Bank USA, N.A. | | | | 09/15/2022 | | | | (2) | |
MYR 3,535 | | | USD 814 | | | | | | | | Barclays Bank PLC | | | | 07/29/2022 | | | | (3) | |
ZAR 2,510 | | | USD 158 | | | | | | | | Citibank, N.A. | | | | 07/29/2022 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (78) | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | $ | 365 | |
| | | | | | | | | | | | | | | | | | | | |
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-22 | | | $ | 281 | | | $ | (3 | ) | | $ | (3 | ) |
U.S. Treasury 2-Year Note Future | | | 16 | | | | | | Jun-22 | | | | 3,373 | | | | (4 | ) | | | (4 | ) |
U.S. Ultra Bond Future | | | 3 | | | | | | Jun-22 | | | | 481 | | | | (48 | ) | | | (48 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (55 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | | 13 | | | | | | Jun-22 | | | | (1,744 | ) | | | 73 | | | | 73 | |
Euro-Bund Future | | | 6 | | | | | | Jun-22 | | | | (972 | ) | | | 77 | | | | 77 | |
U.S. 10-Year Ultra Future | | | 30 | | | | | | Jun-22 | | | | (3,870 | ) | | | 71 | | | | 71 | |
U.S. Treasury 10-Year Note Future | | | 26 | | | | | | Jun-22 | | | | (3,098 | ) | | | 48 | | | | 48 | |
U.S. Treasury 5-Year Note Future | | | 94 | | | | | | Jun-22 | | | | (10,591 | ) | | | 356 | | | | 356 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 625 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | $ | 570 | |
| | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Credit Default Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Upfront | | | | |
| | | | | | Notional | | | | | | payments/ | | | Unrealized | |
| | | Maturity | | | Amount | | | Value | | | receipts | | | Appreciation | |
| Description | | Date | | | (000s) | | | (000s) | | | (000s) | | | (000s) | |
| Protection Bought (Relevant Credit: Markit CDX, North America High Yield Series 38 Index), Pay 5% Quarterly, Receive upon credit default | | | 06/21/2027 | | | | USD 4,520 | | | $ | (94 | ) | | $ | (252 | ) | | $ | 158 | |
| Protection Bought (Relevant Credit: Markit iTraxx Crossover), Pay 5% Quarterly, Receive upon credit default | | | 06/21/2027 | | | | EUR 3,800 | | | | (147 | ) | | | (231 | ) | | | 84 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | (241 | ) | | $ | (483 | ) | | $ | 242 | |
| | | | | | | | | | | | | | | | | | | | |
8 Payden Mutual Funds
Open Centrally Cleared Interest Rate Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Upfront | | | | |
| | | | | | Notional | | | | | | payments/ | | | Unrealized | |
| | | Maturity | | | Amount | | | Value | | | receipts | | | Depreciation | |
| Description | | Date | | | (000s) | | | (000s) | | | (000s) | | | (000s) | |
| 10-Year SOFR Swap, Receive Fixed 1.517% Annually, Pay Variable 0.23021% (SOFRRATE) Annually | | | 03/03/2032 | | | | USD 2,413 | | | $ | (240 | ) | | $ | — | | | $ | (240 | ) |
| 10-Year SOFR Swap, Receive Fixed 1.615% Annually, Pay Variable 0.23332% (SOFRRATE) Annually | | | 03/04/2032 | | | | USD 1,207 | | | | (110 | ) | | | — | | | | (110 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | (350 | ) | | $ | — | | | $ | (350 | ) |
| | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Zero-Coupon Inflation Swap Contracts
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Upfront | | | | |
| | | | | | Notional | | | | | | payments/ | | | Unrealized | |
| | | Maturity | | | Amount | | | Value | | | receipts | | | Depreciation | |
| Description | | Date | | | (000s) | | | (000s) | | | (000s) | | | (000s) | |
| 10 Year Zero-Coupon Inflation Swap Receive Fixed 2.35595% at Maturity, Pay Variable (Change in CPI) at Maturity | | | 06/22/2031 | | | USD | 1,864 | | | $ | (236 | ) | | $ | — | | | $ | (236 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | $ | 156 | |
Non-cash Collateral2 | | | (156 | ) |
| | | | |
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, 2022, 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 9
| | |
Statement of Assets & Liabilities | | |
April 30, 2022 (Unaudited)
Numbers in 000s
| | | | | | | | |
ASSETS: | | | | | | | | |
Investments, at value* | | | | $ | 100,849 | | | |
Affiliated investments, at value** | | | | | 5,432 | | | |
Foreign cash*** | | | | | 187 | | | |
Cash | | | | | 25 | | | |
Cash pledged for financial futures contracts | | | | | 400 | | | |
Cash pledged for centrally cleared swaps | | | | | 759 | | | |
Receivable for: | | | | | | | | |
Interest and dividends | | | | | 457 | | | |
Investments sold | | | | | 1,207 | | | |
Fund shares sold | | | | | 21 | | | |
Futures | | | | | 33 | | | |
Forward currency contracts | | | | | 443 | | | |
Variation margin on centrally cleared swaps | | | | | 48 | | | |
Other assets | | | | | 10 | | | |
Total Assets | | | | | 109,871 | | | |
LIABILITIES: | | | | | | | | |
Payable for: | | | | | | | | |
Forward currency contracts | | | | | 78 | | | |
Investments purchased | | | | | 2,396 | | | |
Fund shares redeemed | | | | | 1 | | | |
Futures | | | | | 7 | | | |
Liability for securities on loan (Note 2) | | | | | 163 | | | |
Accrued expenses: | | | | | | | | |
Investment advisory fees (Note 3) | | | | | 43 | | | |
Administration fees (Note 3) | | | | | 13 | | | |
Distribution fees (Notes 3) | | | | | 24 | | | |
Trustee fees and expenses | | | | | 1 | | | |
Other liabilities | | | | | 98 | | | |
Total Liabilities | | | | | 2,824 | | | |
NET ASSETS | | | | $ | 107,047 | | | |
NET ASSETS: | | | | | | | | |
Paid in capital | | | | $ | 115,689 | | | |
Distributable earnings (loss) | | | | | (8,642 | ) | | |
NET ASSETS | | | | $ | 107,047 | | | |
NET ASSET VALUE — offering and redemption price per share in whole dollars | | | | | | | | |
Institutional Class | | | | | | | | |
Net Assets | | | | $ | 1,057 | | | |
Shares Outstanding | | | | | 103 | | | |
Net Asset Value Per Share | | | | $ | 10.30 | | | |
SI Class | | | | | | | | |
Net Assets | | | | $ | 70,154 | | | |
Shares Outstanding | | | | | 6,912 | | | |
Net Asset Value Per Share | | | | $ | 10.15 | | | |
Adviser Class | | | | | | | | |
Net Assets | | | | $ | 14,366 | | | |
Shares Outstanding | | | | | 1,459 | | | |
Net Asset Value Per Share | | | | $ | 9.85 | | | |
Retirement Class | | | | | | | | |
Net Assets | | | | $ | 21,470 | | | |
Shares Outstanding | | | | | 2,314 | | | |
Net Asset Value Per Share | | | | $ | 9.28 | | | |
| | | | | | | | |
* Investments, at cost | | | | $ | 104,323 | | | |
** Affiliated investments, at cost | | | | | 5,432 | | | |
*** Foreign cash, at cost | | | | | 188 | | | |
See notes to financial statements.
Semi-Annual Report 10
Period ended April 30, 2022 (Unaudited)
Numbers in 000s
| | | | | | | | |
INVESTMENT INCOME: | | | | | | | | |
Interest income (Note 2) | | | | $ | 1,792 | | | |
Dividend income | | | | | 89 | | | |
Income from securities lending | | | | | 1 | | | |
Investment Income | | | | | 1,882 | | | |
EXPENSES: | | | | | | | | |
Investment advisory fees (Note 3) | | | | | 624 | | | |
Administration fees (Note 3) | | | | | 85 | | | |
Shareholder servicing fees | | | | | 2 | | | |
Distribution fees (Note 3) | | | | | 76 | | | |
Custodian fees | | | | | 39 | | | |
Transfer agent fees | | | | | 22 | | | |
Registration and filing fees | | | | | 26 | | | |
Trustee fees and expenses | | | | | 4 | | | |
Printing and mailing costs | | | | | 10 | | | |
Loan commitment fees | | | | | 1 | | | |
Legal fees | | | | | 2 | | | |
Publication expense | | | | | 3 | | | |
Pricing fees | | | | | 30 | | | |
Fund accounting fees | | | | | 53 | | | |
Insurance | | | | | 2 | | | |
Audit fees | | | | | 25 | | | |
Gross Expenses | | | | | 1,004 | | | |
Expense subsidy (Note 3) | | | | | (220 | ) | | |
Net Expenses | | | | | 784 | | | |
Net Investment Income | | | | | 1,098 | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | |
Investments | | | | | (938 | ) | | |
Foreign currency transactions | | | | | 31 | | | |
Forward foreign exchange contracts | | | | | 858 | | | |
Futures contracts | | | | | 996 | | | |
Written option contracts | | | | | 59 | | | |
Swap contracts | | | | | (1,508 | ) | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | |
Investments | | | | | (4,721 | ) | | |
Translation of assets and liabilities in foreign currencies | | | | | (2 | ) | | |
Forward foreign exchange contracts | | | | | 119 | | | |
Futures contracts | | | | | 386 | | | |
Written option contracts | | | | | 24 | | | |
Swap contracts | | | | | 10 | | | |
Net Realized and Unrealized Losses | | | | | (4,686 | ) | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | | $ | (3,588 | ) | | |
| | | | | | | | |
See notes to financial statements.
11 Payden Mutual Funds
| | |
Statements of Changes in Net Assets | | |
For the period ended April 30, 2022 (Unaudited) and the year ended October 31, 2021
Numbers in 000s
| | | | | | | | | | | | | | |
| | | | | |
| | | | | 2022 | | | | | 2021 | | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | |
Net investment income | | | | $ | 1,098 | | | | | $ | 2,526 | | | |
Net realized gains (losses) | | | | | (502 | ) | | | | | 4,247 | | | |
Change in net unrealized appreciation/(depreciation) | | | | | (4,184 | ) | | | | | 2,403 | | | |
Change in Net Assets Resulting from Operations | | | | | (3,588 | ) | | | | | 9,176 | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | |
Net investment income and net realized gains from investments: | | | | | | | | | | | | | | |
Institutional Class | | | | | (24 | ) | | | | | (19 | ) | | |
SI Class | | | | | (1,682 | ) | | | | | (3,253 | ) | | |
Adviser Class | | | | | (314 | ) | | | | | (466 | ) | | |
Retirement Class | | | | | (540 | ) | | | | | (1,341 | ) | | |
Change in Net Assets from Distributions to Shareholders | | | | | (2,560 | ) | | | | | (5,079 | ) | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | |
Institutional Class | | | | | — | | | | | | 531 | | | |
SI Class | | | | | 5,199 | | | | | | 15,975 | | | |
Adviser Class | | | | | 387 | | | | | | 4,869 | | | |
Retirement Class | | | | | 469 | | | | | | 2,377 | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | |
Institutional Class | | | | | 24 | | | | | | 19 | | | |
SI Class | | | | | 1,682 | | | | | | 3,253 | | | |
Adviser Class | | | | | 310 | | | | | | 462 | | | |
Retirement Class | | | | | 540 | | | | | | 1,341 | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | |
Institutional Class | | | | | (6 | ) | | | | | (7 | ) | | |
SI Class | | | | | (14,747 | ) | | | | | (38,985 | ) | | |
Adviser Class | | | | | (1,112 | ) | | | | | (5,790 | ) | | |
Retirement Class | | | | | (5,085 | ) | | | | | (14,005 | ) | | |
Change in Net Assets from Capital Transactions | | | | | (12,339 | ) | | | | | (29,960 | ) | | |
Total Change in Net Assets | | | | | (18,487 | ) | | | | | (25,863 | ) | | |
NET ASSETS: | | | | | | | | | | | | | | |
Beginning of period | | | | | 125,534 | | | | | | 151,397 | | | |
End of period | | | | $ | 107,047 | | | | | $ | 125,534 | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | |
Institutional Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 101 | | | | | | 50 | | | |
Shares sold | | | | | — | | | | | | 50 | | | |
Shares issued in reinvestment of distributions | | | | | 3 | | | | | | 2 | | | |
Shares redeemed | | | | | (1 | ) | | | | | (1 | ) | | |
Change in shares outstanding | | | | | 2 | | | | | | 51 | | | |
Outstanding shares at end of period | | | | | 103 | | | | | | 101 | | | |
SI Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 7,665 | | | | | | 9,523 | | | |
Shares sold | | | | | 505 | | | | | | 1,511 | | | |
Shares issued in reinvestment of distributions | | | | | 160 | | | | | | 316 | | | |
Shares redeemed | | | | | (1,418 | ) | | | | | (3,685 | ) | | |
Change in shares outstanding | | | | | (753 | ) | | | | | (1,858 | ) | | |
Outstanding shares at end of period | | | | | 6,912 | | | | | | 7,665 | | | |
Adviser Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 1,497 | | | | | | 1,534 | | | |
Shares sold | | | | | 39 | | | | | | 476 | | | |
Shares issued in reinvestment of distributions | | | | | 31 | | | | | | 46 | | | |
Shares redeemed | | | | | (108 | ) | | | | | (559 | ) | | |
Change in shares outstanding | | | | | (38 | ) | | | | | (37 | ) | | |
Outstanding shares at end of period | | | | | 1,459 | | | | | | 1,497 | | | |
Retirement Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | 2,735 | | | | | | 3,791 | | | |
Shares sold | | | | | 50 | | | | | | 245 | | | |
Shares issued in reinvestment of distributions | | | | | 56 | | | | | | 141 | | | |
Shares redeemed | | | | | (527 | ) | | | | | (1,442 | ) | | |
Change in shares outstanding | | | | | (421 | ) | | | | | (1,056 | ) | | |
Outstanding shares at end of period | | | | | 2,314 | | | | | | 2,735 | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | | | 61,873 | | | | | | 210,692 | | | |
Sale of investments (excluding government) | | | | | 80,027 | | | | | | 235,943 | | | |
Purchase of government securities | | | | | 4,423 | | | | | | 2,148 | | | |
Sale of government securities | | | | | 5,384 | | | | | | 12,065 | | | |
See notes to financial statements.
Semi-Annual Report 12
| | |
Notes to Financial Statements | | |
April 30, 2022 (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.
Semi-Annual Report 13
| | |
Notes to Financial Statements continued | | |
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 Payden Cash Reserves Money Market Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Payden Cash Reserves Money Market 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.
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.
14 Payden Mutual Funds
The purchase or sale of futures contracts and options on futures contracts provides for the future sale by one party and purchase by another party of a specified quantity of a financial instrument or foreign currency at a fixed price on a future date. Upon entering into such a contract, the Fund is required to deposit and maintain initial margin deposit of cash or securities as required by the exchange on which the contract is traded.
Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margin and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of the underlying securities may not correlate to the change in value of the contracts.
Stock index futures contracts are an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Variation margin accounting procedures apply to these index futures contracts. The Fund invests in these futures contracts to permit the Fund to meet its objectives at a lower cost than investing directly in equity securities, while permitting the equivalent of an investment in a portfolio of equity securities. The potential risk to a Fund is that the change in value of the underlying index may not correlate to the change in value of the contracts.
Swap Contracts
The Fund may enter into swap agreements, in which a Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation) and realized gain (loss) is recorded at termination of the contract.
Upon entering into a centrally cleared swap, the Fund is required to deposit and maintain initial margin deposit of cash or securities as required by the exchange on which the contract is traded. Pursuant to a centrally cleared swap, the Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract.
Such receipts or payments are known as variation margin and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of the underlying securities may not correlate to the change in value of the contracts.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, credit spreads and/or market values associated with these transactions.
The Fund may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
Semi-Annual Report 15
| | |
Notes to Financial Statements continued | | |
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.
Statements of Assets and Liabilities
Fair Values of Derivative Instruments as of April 30, 2022 (000s)
| | | | | | | | | | |
Underlying Risk | | Derivative
Assets ($) | | Derivative
Liabilities ($) |
Credit1 | | | | 242 | | | | | — | |
Equity2 | | | | 99 | | | | | — | |
Interest rate1 | | | | 625 | | | | | (641 | ) |
Foreign currency3,4 | | | | 443 | | | | | (78 | ) |
| | | | | | | | | | |
Total | | | | 1,409 | | | | | (719 | ) |
| | | | | | | | | | |
| 1 | Includes cumulative appreciation/depreciation of futures contracts and centrally cleared swaps as reported in Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities as Receivable/Payable for futures and variation margin on centrally cleared swaps. |
| 2 | Includes options purchased at fair value as reported in the Schedule of Investments. |
| 3 | Receivable for forward currency contracts. |
| 4 | Payable for forward currency contracts. |
16 Payden Mutual Funds
The Effect of Derivative Instruments on the Statement of Operations for the Period Ended April 30, 2022
| | | | | | | | | | | | | | | | | | | | |
Amount of Net Realized Gain or (Loss) on Derivatives Recognized in
Income (000s) | |
Underlying risk | | Futures1 | | | Forward
Currency
Contracts2 | | | Options3 | | | Swaps4 | | | Total | |
Credit | | | — | | | | — | | | | — | | | $ | 143 | | | $ | 143 | |
Equity | | | — | | | | — | | | $ | (17 | ) | | | — | | | | (17 | ) |
Interest rate | | $ | 996 | | | | — | | | | — | | | | (1,651 | ) | | | (655 | ) |
Foreign exchange | | | — | | | $ | 858 | | | | — | | | | — | | | | 858 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 996 | | | $ | 858 | | | $ | (17 | ) | | $ | (1,508 | ) | | $ | 329 | |
| | | | | | | | | | | | | | | | | | | | |
| 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, 2022
| | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation or (Depreciation) on Derivatives
Recognized in Income (000s) | |
Underlying risk | | Futures5 | | | Forward
Currency
Contracts6 | | | Options7 | | | Swaps8 | | | Total | |
Credit | | | — | | | | — | | | | — | | | $ | 242 | | | $ | 242 | |
Equity | | | — | | | | — | | | $ | 69 | | | | — | | | | 69 | |
Interest rate | | $ | 386 | | | | — | | | | 24 | | | | (232 | ) | | | 178 | |
Foreign exchange | | | — | | | $ | 119 | | | | — | | | | — | | | | 119 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 386 | | | $ | 119 | | | $ | 93 | | | $ | 10 | | | $ | 608 | |
| | | | | | | | | | | | | | | | | | | | |
| 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, 2022 the average notional amount of derivatives as a percent of average net assets were as follows:
| | | | | | |
Foreign currency | | Credit | | Interest rate | | Equity |
14% | | 4% | | 45% | | 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,
Semi-Annual Report 17
| | |
Notes to Financial Statements continued | | |
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 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
18 Payden Mutual Funds
Sub-chapter M of the Internal Revenue Code (the ‘Code”), and to make distributions of net investment income and net realized gains sufficient to relieve it from all Federal income or excise taxes. As of and during the period ended April 30, 2022, 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, 2022, 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, 2022 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Affiliated Investments
The Fund invests in the Payden Cash Reserves Money Market Fund, an affiliated Fund. Income earned, if any by the Fund from affiliated funds for the period is disclosed in the Statement of Operations.
| | | | | | | | |
Value October 31, 2021 | | Purchases | | Sales | | Dividends | | Value April 30, 2022 |
| $1,028,690 | | $39,123,761 | | $34,720,691 | | $145 | | $5,431,760 |
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 any fund during the period ended April 30, 2022.
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. 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, 2023 (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).
Semi-Annual Report 19
| | |
Notes to Financial Statements continued | | |
The deferred expense subsidies represent the cumulative amount of expenses subsidized for the Fund through the end of the year. The amount of $1,091,874 ($468,884 for 2020, $402,793 for 2021 and $220,197 for 2022) 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
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
Asset Backed | | | — | | | | — | | | $ | 24,399 | | | | — | | | | — | | | | — | | | $ | 24,399 | |
Bank Loans | | | — | | | | — | | | | 5,346 | | | | — | | | | — | | | | — | | | | 5,346 | |
Corporate Bond | | | — | | | | — | | | | 24,084 | | | | — | | | | — | | | | — | | | | 24,084 | |
Foreign Government | | | — | | | | — | | | | 6,075 | | | | — | | | | — | | | | — | | | | 6,075 | |
Mortgage Backed | | | — | | | | — | | | | 34,434 | | | | — | | | | — | | | | — | | | | 34,434 | |
Options Purchased | | $ | 99 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 99 | |
Common Stock | | | 4,963 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,963 | |
Investment Company | | | 6,881 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,881 | |
20 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | 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 | | | — | | | | — | | | | $443 | | | | $(78) | | | | — | | | | — | | | | $365 | |
Futures | | | $625 | | | | $(55) | | | | — | | | | — | | | | — | | | | — | | | | 570 | |
Swaps | | | — | | | | — | | | | 242 | | | | (586 | ) | | | — | | | | — | | | | (344 | ) |
| 1 | Other financial instruments are swaps, futures contracts, forward currency contracts and options written. Swaps, futures contracts and forward currency contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
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 the year ended April 30, 2022, there were no permanent differences.
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. For the year ended October 31, 2021, the Fund utilized $3,719 in capital loss carryforwards.
At April 30, 2022, 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 |
$109,290 | | $2,507 | | $(5,415) | | $(2,908) |
6. Subsequent Events
The Fund has 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 21
For the share outstanding for each of the period ended April 30, 2022 and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Institutional Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.85 | | | $ | 10.51 | | | $ | 10.87 | | | $ | 10.64 | | | $ | 10.69 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.12 | (1) | | | 0.24 | (1) | | | 0.34 | (1) | | | 0.36 | (1) | | | 0.30 | (1) |
Net realized and unrealized gains (losses) | | | (0.44 | ) | | | 0.47 | | | | (0.35 | ) | | | 0.21 | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.32 | ) | | | 0.71 | | | | (0.01 | ) | | | 0.57 | | | | 0.22 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.37 | ) | | | (0.35 | ) | | | (0.34 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.30 | | | $ | 10.85 | | | $ | 10.51 | | | $ | 10.87 | | | $ | 10.64 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (2.98 | )%(2) | | | 6.94 | % | | | (0.08 | )% | | | 5.53 | % | | | 2.06 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 1,057 | | | $ | 1,095 | | | $ | 530 | | | $ | 6,833 | | | $ | 6,930 | |
Ratio of gross expense to average net assets | | | 1.64 | %(3) | | | 1.54 | % | | | 1.52 | % | | | 1.44 | % | | | 1.42 | % |
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 | | | 1.68 | %(3) | | | 1.63 | % | | | 2.69 | % | | | 2.88 | % | | | 2.37 | % |
Ratio of net investment income to average net assets | | | 2.37 | %(3) | | | 2.23 | % | | | 3.25 | % | | | 3.36 | % | | | 2.84 | % |
Portfolio turnover rate | | | 60 | %(2) | | | 155 | % | | | 71 | % | | | 84 | % | | | 130 | % |
The Class commenced operations on June 1, 2016. | | | | | | | | | | | | | | | | | | | | |
| | | SI Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.70 | | | $ | 10.39 | | | $ | 10.78 | | | $ | 10.58 | | | $ | 10.65 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | (1) | | | 0.21 | (1) | | | 0.30 | (1) | | | 0.32 | (1) | | | 0.27 | (1) |
Net realized and unrealized gains (losses) | | | (0.43 | ) | | | 0.47 | | | | (0.34 | ) | | | 0.21 | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.32 | ) | | | 0.68 | | | | (0.04 | ) | | | 0.53 | | | | 0.19 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.37 | ) | | | (0.35 | ) | | | (0.33 | ) | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.15 | | | $ | 10.70 | | | $ | 10.39 | | | $ | 10.78 | | | $ | 10.58 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (3.07 | )%(2) | | | 6.66 | % | | | (0.42 | )% | | | 5.22 | % | | | 1.82 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 70,154 | | | $ | 82,019 | | | $ | 98,931 | | | $ | 130,036 | | | $ | 122,782 | |
Ratio of gross expense to average net assets | | | 1.64 | %(3) | | | 1.54 | % | | | 1.51 | % | | | 1.44 | % | | | 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 | | | 1.68 | %(3) | | | 1.66 | % | | | 2.63 | % | | | 2.87 | % | | | 2.41 | % |
Ratio of net investment income to average net assets | | | 2.07 | %(3) | | | 1.95 | % | | | 2.90 | % | | | 3.06 | % | | | 2.58 | % |
Portfolio turnover rate | | | 60 | %(2) | | | 155 | % | | | 71 | % | | | 84 | % | | | 130 | % |
The Fund commenced operations on September 22, 2008.
(1) Based on average shares outstanding.
See notes to financial statements.
22 Payden Mutual Funds
For the share outstanding for each of the period ended April 30, 2022 and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Adviser Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 10.40 | | | $ | 10.13 | | | $ | 10.53 | | | $ | 10.36 | | | $ | 10.46 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.09 | (1) | | | 0.17 | (1) | | | 0.26 | (1) | | | 0.29 | (1) | | | 0.24 | (1) |
Net realized and unrealized gains (losses) | | | (0.42 | ) | | | 0.46 | | | | (0.32 | ) | | | 0.20 | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.33 | ) | | | 0.63 | | | | (0.06 | ) | | | 0.49 | | | | 0.16 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.36 | ) | | | (0.34 | ) | | | (0.32 | ) | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.85 | | | $ | 10.40 | | | $ | 10.13 | | | $ | 10.53 | | | $ | 10.36 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (3.20 | )%(2) | | | 6.37 | % | | | (0.61 | )% | | | 4.94 | % | | | 1.53 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 14,366 | | | $ | 15,565 | | | $ | 15,534 | | | $ | 22,587 | | | $ | 33,571 | |
Ratio of gross expense to average net assets | | | 1.89 | %(3) | | | 1.79 | % | | | 1.76 | % | | | 1.69 | % | | | 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 | | | 1.43 | %(3) | | | 1.40 | % | | | 2.37 | % | | | 2.63 | % | | | 2.13 | % |
Ratio of net investment income to average net assets | | | 1.82 | %(3) | | | 1.69 | % | | | 2.64 | % | | | 2.81 | % | | | 2.30 | % |
Portfolio turnover rate | | | 60 | %(2) | | | 155 | % | | | 71 | % | | | 84 | % | | | 130 | % |
The Fund commenced operations on September 22, 2008.
| | | | | | | | | | | | | | | | | | | | |
| | | Retirement Class | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net asset value — beginning of period | | $ | 9.82 | | | $ | 9.60 | | | $ | 10.03 | | | $ | 9.91 | | | $ | 10.04 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.07 | (1) | | | 0.14 | (1) | | | 0.22 | (1) | | | 0.25 | (1) | | | 0.21 | (1) |
Net realized and unrealized gains (losses) | | | (0.39 | ) | | | 0.44 | | | | (0.31 | ) | | | 0.20 | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.32 | ) | | | 0.58 | | | | (0.09 | ) | | | 0.45 | | | | 0.12 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.36 | ) | | | (0.34 | ) | | | (0.33 | ) | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.28 | | | $ | 9.82 | | | $ | 9.60 | | | $ | 10.03 | | | $ | 9.91 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (3.32 | )%(2) | | | 6.19 | % | | | (0.93 | )% | | | 4.68 | % | | | 1.24 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 21,470 | | | $ | 26,855 | | | $ | 36,402 | | | $ | 35,677 | | | $ | 39,338 | |
Ratio of gross expense to average net assets | | | 2.13 | %(3) | | | 2.04 | % | | | 2.02 | % | | | 1.94 | % | | | 1.92 | % |
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 | | | 1.18 | %(3) | | | 1.17 | % | | | 2.07 | % | | | 2.38 | % | | | 1.91 | % |
Ratio of net investment income to average net assets | | | 1.56 | %(3) | | | 1.46 | % | | | 2.34 | % | | | 2.57 | % | | | 2.08 | % |
Portfolio turnover rate | | | 60 | %(2) | | | 155 | % | | | 71 | % | | | 84 | % | | | 130 | % |
The Class commenced operations on April 6, 2009.
| (1) | Based on average shares outstanding. |
See notes to financial statements.
Semi-Annual Report 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 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, 2022. It uses each Fund’s actual return and expense ratio for the period (181/365 days) to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000. To estimate the actual expense that you paid over the period, divide your beginning account value by 1,000 and multiply the quotient by the number in the Expenses Paid During the Period column.
| | | | | | | | | | | | | | | | | | | | |
| | | Value
November 1, 2021 | | | Value
April 30, 2022 | | | 6-Month
Return | | | Expense
Ratio | | | Expenses
Paid | |
Institutional Class | | $ | 1,000.00 | | | $ | 970.20 | | | | (2.98 | )% | | | 0.95 | % | | $ | 4.64 | |
SI Class | | | 1,000.00 | | | | 969.30 | | | | (3.07 | )% | | | 1.25 | % | | | 6.10 | |
Adviser Class | | | 1,000.00 | | | | 968.00 | | | | (3.20 | )% | | | 1.50 | % | | | 7.32 | |
Retirement Class | | | 1,000.00 | | | | 966.80 | | | | (3.32 | )% | | | 1.75 | % | | | 8.53 | |
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, 2022 to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000.
| | | | | | | | | | | | | | | | | | | | |
| | | Value
November 1, 2021 | | | Value
April 30, 2022 | | | 6-Month
Return | | | Expense
Ratio | | | Expenses
Paid | |
Institutional Class | | $ | 1,000.00 | | | $ | 1,020.08 | | | | 2.01 | % | | | 0.95 | % | | $ | 4.76 | |
SI Class | | | 1,000.00 | | | | 1,018.60 | | | | 1.86 | % | | | 1.25 | % | | | 6.26 | |
Adviser Class | | | 1,000.00 | | | | 1,017.36 | | | | 1.74 | % | | | 1.50 | % | | | 7.50 | |
Retirement Class | | | 1,000.00 | | | | 1,016.12 | | | | 1.61 | % | | | 1.75 | % | | | 8.75 | |
24 Payden Mutual Funds
| | |
Trustees and Officers (Unaudited) | | |
| | | | | | | | | | | | |
| Name & Address | | Age | | Position with Fund | | Year Elected | | Number of
Portfolios | | Principal Occupations(s) | | Other
Directorships
Held |
333 S. Grand Avenue Los Angeles, CA 90071 | | | | | | | | | | | | |
Trustees (1) | | | | | | | | | | | | |
Stephanie Bell-Rose | | 64 | | Independent Trustee | | 2020 | | 19 | | Retired, Senior Managing Director, TIAA | | |
W. D. Hilton, Jr. | | 75 | | Chairman, Independent Trustee | | 1993 | | 19 | | Trustee/Administrator, Asbestos Bankruptcy Trusts; General Partner, Mendenhall Partners Ltd.; Private Investor | | |
Thomas V. McKernan, Jr. | | 77 | | Independent Trustee | | 1993 | | 19 | | Vice Chair, Automobile Club of Southern California; Director, Forest Lawn Memorial Parks; Director, First American Financial | | |
Rosemarie T. Nassif | | 80 | | Independent Trustee | | 2008 | | 19 | | Executive Director, Center for Catholic Education, Loyola Marymount University, President Emerita, Holy Names University | | |
Andrew J. Policano | | 72 | | Independent Trustee | | 2008 | | 19 | | Former Dean, The Paul Merage School of Business, University of California, Irvine | | |
Dennis C. Poulsen | | 79 | | Independent Trustee | | 1992 | | 19 | | Chairman, Clean Energy Enterprises; Private Investor | | |
Stender E. Sweeney | | 83 | | Independent Trustee | | 1992 | | 19 | | Private Investor | | |
Asha B. Josh | | 64 | | Interested Trustee | | 2021 | | 19 | | Managing Director, Payden & Rygel | | |
Jordan H. Lopez | | 41 | | Interested Trustee | | 2020 | | 19 | | Director, Payden & Rygel | | |
| | | | | | |
Officers (2) | | | | | | | | | | | | |
Mary Beth Syal | | | | Chief Operating Officer | | 2021 | | | | Managing Director, Payden & Rygel | | |
Brian W. Matthews | | | | Chief Financial Officer | | 2003 | | | | Managing Director and CFO, 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 | | | | Senior Vice President and Compliance Officer, Payden & Rygel | | |
Alejandra Murphy | | | | Vice President | | 2021 | | | | Director Payden & Rygel | | |
Reza Pishva | | | | Assistant Secretary | | 2021 | | | | Senior Vice President, 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/KRAVITZ CASH BALANCE FUND Payden/Kravitz Cash Balance Plan Fund – Adviser Share Class (PKCBX) Payden/Kravitz Cash Balance Plan Fund – Institutional Share Class (PKCIX) Payden/Kravitz Cash Balance Plan Fund – Retirement Share Class (PKCRX) Payden/Kravitz Cash Balance Plan Fund – SI Share Class (PKBIX) Payden Mutual Funds 333 South Grand Avenue, Los Angeles, California 90071 800 572-9336 payden.com payden@UMB.com
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.
| | |
(Registrant) | | The Payden & Rygel Investment Group |
| | |
| |
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.
| | |
| |
By (Signature and Title)* | | /s/ Mary Beth Syal |
| | Mary Beth Syal, Vice President and Chief Operating Officer |
| | (principal executive officer) |
| | |
| |
By (Signature and Title)* | | /s/ Brian W. Matthews |
| | Brian W. Matthews, Vice President and Chief Financial Officer |
| | (principal financial officer) |
* Print the name and title of each signing officer under his or her signature.
