NPORT-EX 2 PR22AbsoluteReturn.htm HTML

 

          Payden Absolute Return Bond Fund

 

 

Schedule of Investments - January 31, 2020 (Unaudited)

Principal

or Shares

      Security Description    Value
(000)		  

 

 

 

Asset Backed (27%)

   
  393,735      Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%), 2.63%, 7/25/27 (a)(b)    $            394  
  600,000      Allegro CLO II-S Ltd. 144A, (3 mo. LIBOR USD + 1.080%), 2.90%, 10/21/28 (a)(b)      600  
  1,600,000      ALM XVI Ltd./ALM XVI LLC 144A, (3 mo. LIBOR USD + 1.500%), 3.33%, 7/15/27 (a)(b)      1,602  
  1,600,000      Apidos CLO XXI 144A, (3 mo. LIBOR USD + 0.930%), 2.75%, 7/18/27 (a)(b)      1,603  
  650,000      Apidos CLO XXI 144A, (3 mo. LIBOR USD + 2.450%), 4.27%, 7/18/27 (a)(b)      637  
  700,000      Apres Static CLO Ltd. 144A, (3 mo. LIBOR USD + 1.750%), 3.58%, 1/15/27 (a)(b)      700  
  3,000,000      Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 3.18%, 5/15/37 (a)(b)      3,010  
  1,700,000      Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.700%), 3.38%, 5/15/37 (a)(b)      1,709  
  1,500,000      Arbor Realty Commercial Real Estate Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.750%), 3.43%, 9/15/34 (a)(b)      1,509  
  2,350,000      Avery Point VI CLO Ltd. 144A, (3 mo. LIBOR USD + 1.050%), 2.79%, 8/05/27 (a)(b)      2,353  
  1,090,626     

Barings BDC Static CLO Ltd. 2019-1 144A, (3 mo. LIBOR USD + 1.020%),

2.85%, 4/15/27 (a)(b)

      1,088  
  1,500,000     

Barings BDC Static CLO Ltd. 2019-1 144A, (3 mo. LIBOR USD + 1.650%),

3.48%, 4/15/27 (a)(b)

      1,502  
  370,000      Barings CLO Ltd. 2016-II 144A, (3 mo. LIBOR USD + 3.250%), 5.07%, 7/20/28 (a)(b)      371  
  300,000      BDS 2019-FL3 Ltd. 144A, (1 mo. LIBOR USD + 1.400%), 3.07%, 12/15/35 (a)(b)      302  
  1,450,000      BDS 2019-FL3 Ltd. 144A, (1 mo. LIBOR USD + 2.700%), 4.37%, 12/15/35 (a)(b)      1,460  
  2,200,000      BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 2.93%, 2/16/37 (a)(b)      2,208  
  2,350,000      BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.350%), 3.13%, 2/16/37 (a)(b)      2,358  
  2,100,000      BDS 2020-FL5 Ltd. 144A, (1 mo. LIBOR USD + 1.800%), 3.58%, 2/16/37 (a)(b)      2,107  
  450,000      Blackrock European CLO III DAC 144A, (3 mo. EURIBOR + 0.850%), 0.85%, 4/15/30
EUR (a)(b)(c)		      499  
  1,300,000      Blackrock European CLO V DAC, (3 mo. EURIBOR + 1.100%), 1.10%, 7/16/31
EUR (a)(c)(d)		      1,431  
  2,050,000      BlueMountain CLO 2013-1 Ltd. 144A, (3 mo. LIBOR USD + 1.230%), 3.05%, 1/20/29 (a)(b)      2,054  
  600,000      BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.98%, 9/15/35 (a)(b)      602  
  450,000      BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 3.28%, 9/15/35 (a)(b)      452  
     

Principal

or Shares

      Security Description    Value
(000)		  
     
  400,000      BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.100%), 3.78%, 9/15/35 (a)(b)    $            402  
  350,000      BSPRT 2018-FL4 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.750%), 4.43%, 9/15/35 (a)(b)      353  
  447,902      Carlyle Global Market Strategies Euro CLO 2015-2 DAC 144A, (3 mo. EURIBOR + 0.730%), 0.73%, 9/21/29 EUR (a)(b)(c)      498  
  1,760,000      CARS-DB4 LP 144A, 2.69%, 2/15/50 (b)      1,771  
  1,200,000      CARS-DB4 LP 144A, 3.19%, 2/15/50 (b)      1,211  
  2,800,000      CARS-DB4 LP 144A, 4.17%, 2/15/50 (b)      2,827  
  800,000      CARS-DB4 LP 144A, 4.52%, 2/15/50 (b)      813  
  970,000      CARS-DB4 LP 144A, 4.95%, 2/15/50 (b)      997  
  1,410,000      Cedar Funding II CLO Ltd. 144A, (3 mo. LIBOR USD + 1.230%), 3.12%, 6/09/30 (a)(b)      1,413  
  1,950,000      Cedar Funding VI CLO Ltd. 144A, (3 mo. LIBOR USD + 1.090%), 2.91%, 10/20/28 (a)(b)      1,952  
  500,000      Cedar Funding VI CLO Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 3.42%, 10/20/28 (a)(b)      501  
  1,925,000      Cent CLO 17 Ltd. 144A, (3 mo. LIBOR USD + 2.800%), 4.57%, 4/30/31 (a)(b)      1,877  
  350,000      CIFC Funding 2013-III-R Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 4.70%, 4/24/31 (a)(b)      343  
  5,660,000      CIFC Funding 2014-II-R Ltd. 144A, (3 mo. LIBOR USD + 1.050%), 2.85%, 4/24/30 (a)(b)      5,652  
  2,325,000      CIFC Funding 2015-V Ltd. 144A, (3 mo. LIBOR USD + 0.860%), 2.65%, 10/25/27 (a)(b)      2,324  
  450,000      CIFC Funding 2015-V Ltd. 144A, (3 mo. LIBOR USD + 2.950%), 4.74%, 10/25/27 (a)(b)      444  
  1,100,000     

Clarinda Park CLO DAC 144A, (3 mo. EURIBOR + 0.900%), 0.90%, 11/15/29

EUR (a)(b)(c)

      1,221  
  1,450,000     

Clarinda Park CLO DAC 144A, (3 mo. EURIBOR + 1.600%), 1.60%, 11/15/29

EUR (a)(b)(c)

      1,610  
  1,000,000     

Clarinda Park CLO DAC 144A, (3 mo. EURIBOR + 3.400%), 3.40%, 11/15/29

EUR (a)(b)(c)

      1,111  
  250,000      Columbia Cent CLO 27 Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 3.39%, 10/25/28 (a)(b)      251  
  918,262      CoreVest American Finance 2018-2 Trust 144A, 4.03%, 11/15/52 (b)      975  
  464,772      Countrywide Asset-Backed Certificates, 4.59%, 10/25/46 (e)      457  
  300,000      CVC Cordatus Loan Fund III DAV 144A, (3 mo. EURIBOR + 2.550%), 2.55%, 8/15/32
EUR (a)(b)(c)		      329  
  1,666,000      DB Master Finance LLC 144A,
3.63%, 11/20/47 (b)		      1,727  
  696,500      DB Master Finance LLC 144A, 3.79%, 5/20/49 (b)      717  
  2,688,125      Domino’s Pizza Master Issuer LLC 144A, 3.08%, 7/25/47 (b)      2,712  
  1,200,000      Drive Auto Receivables Trust 2018-1, 3.81%, 5/15/24      1,222  
  3,700,000      Drive Auto Receivables Trust 2019-2, 3.69%, 8/17/26      3,826  
     
 

 

1   Payden Mutual Funds

     
     

 

Principal

or Shares

      Security Description   

Value

(000)

  
  1,000,000      Drive Auto Receivables Trust 2019-3, 3.18%, 10/15/26    $          1,026  
  1,089,000      Driven Brands Funding LLC 144A, 4.64%, 4/20/49 (b)      1,152  
  890,475      Driven Brands Funding LLC 144A, 5.22%, 7/20/45 (b)      919  
  1,650,000      Dryden 36 Senior Loan Fund 144A, (3 mo. LIBOR USD + 1.750%), 3.58%, 4/15/29 (a)(b)      1,650  
  650,000      Dryden 39 Euro CLO 2015 BV 144A, (3 mo. EURIBOR + 0.870%), 0.87%, 10/15/31
EUR (a)(b)(c)		      724  
  945,000      First Investors Auto Owner Trust 2019-1 144A, 3.55%, 4/15/25 (b)      976  
  2,000,000      First Investors Auto Owner Trust 2019-2 144A, 2.80%, 12/15/25 (b)      2,036  
  437,625      FOCUS Brands Funding LLC 144A, 3.86%, 4/30/47 (b)      439  
  1,453,314      Galaxy XXIX CLO Ltd. 144A, (3 mo. LIBOR USD + 0.790%), 2.70%, 11/15/26 (a)(b)      1,453  
  500,000      GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.300%), 2.98%, 2/22/36 (a)(b)      503  
  600,000      GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 3.28%, 2/22/36 (a)(b)      603  
  800,000      GPMT 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.900%), 3.58%, 2/22/36 (a)(b)      805  
  1,700,000      Grand Avenue CRE 2019-FL1 144A, (1 mo. LIBOR USD + 1.500%), 3.18%, 6/15/37 (a)(b)      1,709  
  1,050,000      Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 3.23%, 9/15/28 (a)(b)      1,059  
  250,000      Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.150%), 3.83%, 9/15/28 (a)(b)      250  
  350,000      Greystone Commercial Real Estate Notes 2018-HC1 Ltd. 144A, (1 mo. LIBOR USD + 2.650%), 4.33%, 9/15/28 (a)(b)      347  
  2,100,000     

Greystone CRE Notes 2019-FL2 Ltd. 144A,

(1 mo. LIBOR USD + 1.180%),
2.86%, 9/15/37 (a)(b)

      2,110  
  2,300,000      Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.400%),
4.08%, 9/15/37 (a)(b)		      2,316  
  2,000,000      Greystone CRE Notes 2019-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.750%),
4.43%, 9/15/37 (a)(b)		      2,023  
  2,300,000      Greywolf CLO IV Ltd. 144A, (3 mo. LIBOR USD + 1.950%), 3.79%, 4/17/30 (a)(b)      2,301  
  1,000,000      Grippen Park CLO Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 3.47%, 1/20/30 (a)(b)      1,000  
  500,000      Halcyon Loan Advisors Funding 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 3.44%, 7/25/27 (a)(b)      502  
  2,300,000     

Henley CLO I DAC 144A, (3 mo. EURIBOR + 1.140%), 1.14%, 7/15/32

EUR (a)(b)(c)

      2,558  
  1,300,000     

Henley CLO I DAC 144A, (3 mo. EURIBOR + 1.800%), 1.80%, 7/15/32

EUR (a)(b)(c)

      1,445  
     

Principal

or Shares

      Security Description    Value
(000)		  
  250,000      Hunt CRE 2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 2.76%, 8/15/28 (a)(b)    $            251  
  450,000      Hunt CRE 2018-FL2 Ltd. 144A, (1 mo. LIBOR USD + 2.350%), 4.03%, 8/15/28 (a)(b)      452  
  2,400,000      ICG U.S. CLO 2015-1 LLC 144A, (3 mo. LIBOR USD + 1.370%), 3.17%, 1/16/33 (a)(b)(f)      2,400  
  250,000      ICG U.S. CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 2.69%, 1/16/28 (a)(b)      250  
  400,000      ICG U.S. CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 2.450%), 4.29%, 1/16/28 (a)(b)      390  
  400,000      ICG U.S. CLO 2017-1 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 3.45%, 4/28/29 (a)(b)      401  
  611,285      Invitation Homes 2018-SFR3 Trust 144A, (1 mo. LIBOR USD + 1.000%), 2.67%, 7/17/37 (a)(b)      612  
  232,239      JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 2.77%, 4/21/25 (a)(b)      232  
  250,000      JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 1.450%), 3.27%, 4/21/25 (a)(b)      250  
  550,000      KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.100%), 2.77%, 6/15/36 (a)(b)      552  
  300,000      KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.350%), 3.02%, 6/15/36 (a)(b)      301  
  200,000      KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.600%), 3.27%, 6/15/36 (a)(b)      201  
  200,000      KREF 2018-FL1 Ltd. 144A, (1 mo. LIBOR USD + 2.000%), 3.67%, 6/15/36 (a)(b)      201  
  1,500,000      LCM XVIII LP 144A, (3 mo. LIBOR USD + 1.240%), 3.07%, 7/15/27 (a)(b)      1,502  
  950,000      LCM XVIII LP 144A, (3 mo. LIBOR USD + 1.750%), 3.58%, 7/15/27 (a)(b)      952  
  750,000      LCM XX LP 144A, (3 mo. LIBOR USD + 1.040%), 2.86%, 10/20/27 (a)(b)      750  
  800,000      LMREC 2019-CRE3 Inc. 144A, (1 mo. LIBOR USD + 1.400%), 3.06%, 12/22/35 (a)(b)      804  
  1,200,000      LoanCore 2018-CRE1 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.130%), 2.81%, 5/15/28 (a)(b)      1,201  
  1,300,000      LoanCore 2019-CRE2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 3.18%, 5/15/36 (a)(b)      1,303  
  755,000      Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 2.77%, 4/19/30 (a)(b)      755  
  1,340,000      Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%), 4.67%, 4/19/30 (a)(b)      1,333  
  1,050,000      Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.150%), 2.83%, 6/15/28 (a)(b)      1,053  
  150,000      Marathon CRE 2018 FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.550%), 3.23%, 6/15/28 (a)(b)      150  
  720,000      Neuberger Berman CLO XVI-S Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 2.68%, 1/15/28 (a)(b)      720  
  1,000,000      NLY Commercial Mortgage Trust 144A, (1 mo. LIBOR USD + 1.600%), 3.28%, 2/15/36 (a)(b)      1,007  
  4,567,611      NP SPE II LLC 144A, 2.86%, 11/19/49 (b)      4,591  
     
 

 

2

 

          Payden Absolute Return Bond Fund continued

 

 

Principal

or Shares

      Security Description   

Value

(000)

  
  400,000      OCP CLO 2014-5 Ltd. 144A, (3 mo. LIBOR USD + 2.900%), 4.69%, 4/26/31 (a)(b)    $            385  
  350,000     

Octagon Investment Partners 25 Ltd. 144A, (3 mo. LIBOR USD + 0.800%),

2.62%, 10/20/26 (a)(b)

      350  
  735,000      Octagon Investment Partners XXIII Ltd. 144A, (3 mo. LIBOR USD + 0.850%), 2.68%, 7/15/27 (a)(b)      736  
  1,100,000      OneMain Financial Issuance Trust 2019-1 144A, 4.22%, 2/14/31 (b)      1,150  
  2,200,000      OZLM VII Ltd. 144A, (3 mo. LIBOR USD + 1.010%), 2.85%, 7/17/29 (a)(b)      2,200  
  450,000      OZLM XII Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 3.37%, 4/30/27 (a)(b)      449  
  300,000      OZLM XII Ltd. 144A, (3 mo. LIBOR USD + 3.000%), 4.77%, 4/30/27 (a)(b)      290  
  3,550,000      OZLM XIII Ltd. 144A, (3 mo. LIBOR USD + 3.000%), 4.77%, 7/30/27 (a)(b)      3,514  
  1,950,000      Palmer Square CLO 2015-1 Ltd. 144A, (3 mo. LIBOR USD + 1.650%), 3.54%, 5/21/29 (a)(b)      1,951  
  3,150,000      Palmer Square CLO 2015-1 Ltd. 144A, (3 mo. LIBOR USD + 3.150%), 5.04%, 5/21/29 (a)(b)      3,158  
  2,250,000      Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 1.350%),
3.15%, 2/20/28 (a)(b)(f)		      2,250  
  2,900,000      Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 2.500%),
4.30%, 2/20/28 (a)(b)(f)		      2,900  
  800,000      Palmer Square Loan Funding 2020-1 Ltd. 144A, (3 mo. LIBOR USD + 4.850%),
6.65%, 2/20/28 (a)(b)(f)		      800  
  750,500      Planet Fitness Master Issuer LLC 144A, 4.26%, 9/05/48 (b)      771  
  1,975,000      Planet Fitness Master Issuer LLC 144A, 4.67%, 9/05/48 (b)      2,085  
  400,000      Progress Residential 2018-SFR3 Trust 144A, 4.08%, 10/17/35 (b)      412  
  1,250,000      Progress Residential 2019-SFR2 Trust 144A, 3.79%, 5/17/36 (b)      1,289  
  2,350,000      Progress Residential 2019-SFR4 Trust 144A, 2.94%, 10/17/36 (b)      2,380  
  1,850,000      Regatta Funding LP 2013-2A 144A, (3 mo. LIBOR USD + 1.250%), 3.08%, 1/15/29 (a)(b)      1,854  
  1,500,000      Regatta Funding LP 2013-2A 144A, (3 mo. LIBOR USD + 1.850%), 3.68%, 1/15/29 (a)(b)      1,500  
  850,000      Regatta VII Funding Ltd. 144A, (3 mo. LIBOR USD + 1.060%), 2.97%, 12/20/28 (a)(b)      852  
  300,000      Regatta VII Funding Ltd. 144A, (3 mo. LIBOR USD + 2.000%), 3.91%, 12/20/28 (a)(b)      300  
  2,250,000      RR 6 Ltd. 144A, (3 mo. LIBOR USD + 1.600%), 3.43%, 4/15/30 (a)(b)      2,251  
  1,200,000      Santander Drive Auto Receivables Trust 2019-2, 3.22%, 7/15/25      1,235  
     

Principal

or Shares

      Security Description   

Value

(000)

  
  448,010      Shackleton 2015-VIII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.920%), 2.75%, 10/20/27 (a)(b)    $            448  
  559,097      Starwood Waypoint Homes 2017-1 Trust 144A, (1 mo. LIBOR USD + 0.950%),
2.63%, 1/17/35 (a)(b)		      560  
  1,700,000      STWD 2019-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.080%), 2.76%, 7/15/38 (a)(b)      1,704  
  3,308,995      Symphony CLO XIV Ltd. 144A, (3 mo. LIBOR USD + 0.950%), 2.79%, 7/14/26 (a)(b)      3,311  
  2,050,000      Symphony CLO XVII Ltd. 144A, (3 mo. LIBOR USD + 0.880%), 2.71%, 4/15/28 (a)(b)      2,051  
  500,000      Symphony CLO XVII Ltd., (3 mo. LIBOR USD + 2.650%), 4.48%, 4/15/28 (a)(d)      501  
  450,000      Symphony CLO XVII Ltd. 144A, (3 mo. LIBOR USD + 2.650%), 4.48%, 4/15/28 (a)(b)      448  
  1,386,000      Taco Bell Funding LLC 144A,
4.32%, 11/25/48 (b)		      1,435  
  317,491      Thacher Park CLO Ltd. 144A, (3 mo. LIBOR USD + 1.160%), 2.98%, 10/20/26 (a)(b)      318  
  202,505     

THL Credit Wind River 2015-2 CLO Ltd. 144A,

(3 mo. LIBOR USD + 0.870%),
2.70%, 10/15/27 (a)(b)

      202  
  1,000,000      TPG Real Estate Finance 2018-FL2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 1.130%), 2.80%, 11/15/37 (a)(b)      1,002  
  250,000      TPG Real Estate Finance 2018-FL2 Issuer Ltd. 144A, (1 mo. LIBOR USD + 2.300%), 3.97%, 11/15/37 (a)(b)      252  
  900,000      Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%), 2.72%, 4/15/29 (a)(b)      899  
  770,000      Venture XVII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.880%), 2.71%, 4/15/27 (a)(b)      770  
  2,300,000      Venture XXIV CLO Ltd. 144A, (3 mo. LIBOR USD + 1.180%), 3.00%, 10/20/28 (a)(b)      2,301  
  1,300,000      Voya CLO 2019-1 Ltd. 144A, (3 mo. LIBOR USD + 1.170%), 3.00%, 4/15/29 (a)(b)      1,301  
  2,450,000      Wendy’s Funding LLC 144A, 3.57%, 3/15/48 (b)      2,510  
  895,500      Wendy’s Funding LLC 144A, 3.78%, 6/15/49 (b)      932  
  550,000      Westlake Automobile Receivables Trust 2018-3 144A, 4.00%, 10/16/23 (b)      568  
  4,600,000      Westlake Automobile Receivables Trust 2019-1 144A, 3.67%, 3/15/24 (b)      4,723  
  3,400,000      Westlake Automobile Receivables Trust 2019-3 144A, 2.72%, 11/15/24 (b)      3,430  
  843,625      Wingstop Funding 2018-1 LLC 144A,   
   4.97%, 12/05/48 (b)      871  
     

 

 

  
 

Total Asset Backed (Cost - $187,178)

          188,206  
     

 

 

  
 

Bank Loans(g) (2%)

   
  1,700,000      1011778 BC ULC Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 3.40%, 11/19/26      1,701  
  1,722,245      American Airlines Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.000%), 3.68%, 12/14/23      1,723  
  664,787      Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD 3-Month + 1.750%), 3.69%, 6/01/24      666  
     
 

 

3   Payden Mutual Funds

     
     

 

Principal

or Shares

      Security Description   

Value

(000)

  
  1,061,563      Charter Communications Operating LLC Term Loan B2 1L, (LIBOR USD 1-Month + 1.750%), 3.55%, 2/01/27    $          1,067  
  900,000      Froneri Lux FinCo SARL Term Loan B 1L, (3 mo. EURIBOR + 2.625%), 2.63%, 1/29/27 EUR (c)      1,001  
  96,000      Hilton Worldwide Finance LLC Term Loan B2 1L, (LIBOR USD 1-Month + 1.750%), 3.41%, 6/22/26      97  
  745,515      KFC Holding Co. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 3.41%, 4/03/25      750  
  1,425,215      Live Nation Entertainment Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 3.44%, 10/16/26      1,431  
  1,624,126      Sabre GLBL Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%), 3.65%, 2/22/24      1,633  
  1,296,641      U.S. Foods Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 3.40%, 6/27/23      1,302  
  760,000      WMG Acquisition Corp. Term Loan F 1L, (LIBOR USD 1-Month + 2.125%), 3.77%, 11/01/23      764  
  1,736,809      Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%), 3.40%, 5/30/25      1,750  
     

 

 

  
 

Total Bank Loans (Cost - $13,760)

      13,885  
     

 

 

  
 

Commercial Paper (5%)

   
  2,030,000      Bell Canada, 1.91%, 4/07/20 (f)      2,023  
  5,000,000      CenterPoint Energy Inc., 1.80%, 2/11/20 (f)      4,998  
  7,000,000      General Electric Co., 1.78%, 3/03/20 (f)      6,989  
  7,000,000      Louisville Gas & Electric Co., 1.73%, 2/11/20 (f)      6,996  
  6,500,000      NetApp Inc., 1.82%, 3/03/20 (f)      6,490  
  5,000,000      Virginia Electric & Power Co.,
2.07%, 2/26/20 (f)		      4,993  
     

 

 

  
 

Total Commercial Paper (Cost - $32,489)

      32,489  
     

 

 

  
 

Common Stock (0%)

   
  300,000      T-Mobile USA Inc., Escrow (h)
(Cost - $ — )		      —  
 

Corporate Bond (26%)

   
  1,500,000      AbbVie Inc. 144A, 2.60%, 11/21/24 (b)      1,533  
  1,580,000      ADCB Finance Cayman Ltd. 144A, 4.00%, 3/29/23 (b)      1,655  
  450,000      ADCB Finance Cayman Ltd., 4.00%, 3/29/23 (d)      471  
  1,100,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 5/15/21      1,136  
  430,000      Alcoa Nederland Holding BV 144A, 6.75%, 9/30/24 (b)      453  
  1,000,000      Alexandria Real Estate Equities Inc., 4.00%, 1/15/24      1,078  
  2,300,000      Alimentation Couche-Tard Inc. 144A, 2.70%, 7/26/22 (b)      2,341  
  978,000      Allergan Sales LLC 144A, 4.88%, 2/15/21 (b)      1,001  
  1,000,000      Allergan Sales LLC 144A, 5.00%, 12/15/21 (b)      1,048  
  500,000     

Allison Transmission Inc. 144A,

5.88%, 6/01/29 (b)

      547  
  1,900,000      Anheuser-Busch InBev Worldwide Inc., 4.15%, 1/23/25      2,097  
  1,000,000      Anthem Inc., 2.95%, 12/01/22      1,029  
  900,000      Anthem Inc., 3.70%, 8/15/21      924  
     

Principal

or Shares

      Security Description   

Value

(000)

  
  1,000,000     

ANZ New Zealand Int’l Ltd. 144A,

3.40%, 3/19/24 (b)

    $          1,058  
  1,150,000      ASB Bank Ltd. 144A, 3.75%, 6/14/23 (b)      1,220  
  270,000      Ashtead Capital Inc. 144A, 4.13%, 8/15/25 (b)      278  
  1,100,000      AT&T Inc., 0.25%, 3/04/26 EUR (c)      1,216  
  270,000      Athene Global Funding 144A, 4.00%, 1/25/22 (b)      281  
  800,000      Aviation Capital Group LLC 144A, (3 mo. LIBOR USD + 0.950%), 2.86%, 6/01/21 (a)(b)      805  
  880,000      Avolon Holdings Funding Ltd. 144A, 3.63%, 5/01/22 (b)      907  
  800,000      Avolon Holdings Funding Ltd. 144A, 3.95%, 7/01/24 (b)      843  
  1,800,000      Banco Bradesco SA 144A, 2.85%, 1/27/23 (b)      1,812  
  1,600,000      Banco Bradesco SA 144A, 3.20%, 1/27/25 (b)      1,611  
  690,000     

Banco de Credito del Peru 144A,

2.70%, 1/11/25 (b)

      692  
  1,200,000      Banco de Sabadell SA, 1.75%, 5/10/24 EUR (c)(d)      1,382  
  1,060,000      Banco Internacional del Peru SAA Interbank 144A, 3.25%, 10/04/26 (b)      1,076  
  1,200,000      Banco Santander SA, 2.71%, 6/27/24      1,234  
  2,400,000      Bank of America Corp., (3 mo. LIBOR USD + 0.870%), 2.46%, 10/22/25 (a)      2,453  
  440,000      Bank of America Corp., (3 mo. LIBOR USD + 1.160%), 3.12%, 1/20/23 (a)      451  
  1,350,000      Barclays PLC, (3 mo. LIBOR USD + 1.400%), 4.61%, 2/15/23 (a)      1,415  
  1,200,000     

Bayer U.S. Finance II LLC 144A,

3.88%, 12/15/23 (b)

      1,282  
  1,300,000      Becton Dickinson Euro Finance Sarl, 0.63%, 6/04/23 EUR (c)      1,467  
  1,250,000      BPCE SA 144A, 2.38%, 1/14/25 (b)      1,261  
  185,000     

Bristol-Myers Squibb Co. 144A,

2.75%, 2/15/23 (b)

      190  
  1,400,000     

Bristol-Myers Squibb Co. 144A,

2.90%, 7/26/24 (b)

      1,463  
  1,700,000      CaixaBank SA, 1.75%, 10/24/23 EUR (c)(d)      1,986  
  240,000      CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 4.00%, 3/01/23 (b)      244  
  1,055,000      CDW LLC/CDW Finance Corp., 5.50%, 12/01/24      1,180  
  480,000      Centene Corp., 4.75%, 5/15/22      489  
  600,000      CenterPoint Energy Inc., 2.50%, 9/01/24      611  
  490,000      CenturyLink Inc., 5.63%, 4/01/20      492  
  1,500,000      CenturyLink Inc., 5.80%, 3/15/22      1,584  
  1,800,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 7/23/22      1,903  
  320,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 4.50%, 2/01/24      348  
  1,170,000      Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25      1,329  
  900,000     

Chubb INA Holdings Inc., 0.30%, 12/15/24

EUR (c)

      1,007  
  860,000      Cigna Corp., 3.40%, 9/17/21      883  
     
 

 

4

 

          Payden Absolute Return Bond Fund continued

 

 

Principal

or Shares

      Security Description   

Value

(000)

  
  1,485,000      Cigna Corp., 3.75%, 7/15/23    $          1,571  
  700,000      CIT Bank NA, (U.S. Secured Overnight Financing Rate + 1.715%), 2.97%, 9/27/25 (a)      707  
  1,800,000      Citigroup Inc., (U.S. Secured Overnight Financing Rate + 0.867%), 2.31%, 11/04/22 (a)      1,813  
  750,000      Citigroup Inc., 2.70%, 10/27/22      767  
  300,000      Citigroup Inc., 2.75%, 4/25/22      306  
  1,200,000      Citigroup Inc., 2.90%, 12/08/21      1,223  
  350,000      Comcast Corp., 3.70%, 4/15/24      377  
  800,000      Conagra Brands Inc., 3.80%, 10/22/21      828  
  210,000      Covanta Holding Corp., 5.88%, 3/01/24      214  
  695,000      Credit Suisse Group AG 144A, (U.S. Secured Overnight Financing Rate + 1.560%), 2.59%, 9/11/25 (a)(b)      707  
  1,600,000      Credit Suisse Group Funding Guernsey Ltd., 3.80%, 9/15/22      1,676  
  600,000      CSC Holdings LLC 144A, 5.38%, 7/15/23 (b)      614  
  550,000      CSC Holdings LLC, 6.75%, 11/15/21      592  
  2,390,000      CVS Health Corp., 3.70%, 3/09/23      2,509  
  750,000      Dell International LLC/EMC Corp. 144A, 4.42%, 6/15/21 (b)      773  
  750,000     

DH Europe Finance II Sarl, 0.20%, 3/18/26

EUR (c)

      832  
  370,000      DNB Bank ASA 144A, 2.38%, 6/02/21 (b)      373  
  650,000      Dollar Tree Inc., 3.70%, 5/15/23      686  
  1,350,000      Dominion Energy Inc., 2.72%, 8/15/21      1,365  
  685,000      Enbridge Inc., 2.90%, 7/15/22      702  
  706,000      Encompass Health Corp., 5.75%, 11/01/24      716  
  1,500,000      Enel Finance International NV 144A, 4.63%, 9/14/25 (b)      1,669  
  1,150,000      Energy Transfer Operating LP, 2.90%, 5/15/25      1,164  
  205,000      Energy Transfer Operating LP, 3.60%, 2/01/23      212  
  250,000      Energy Transfer Operating LP, 4.20%, 9/15/23      266  
  325,000      Energy Transfer Operating LP, 4.25%, 3/15/23      342  
  1,400,000      Energy Transfer Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22      1,486  
  1,140,000      EQM Midstream Partners LP, 4.75%, 7/15/23      1,126  
  1,600,000      Equinix Inc., 2.63%, 11/18/24      1,620  
  150,000      Equinix Inc., 2.88%, 3/15/24 EUR (c)      171  
  1,200,000      Evergy Inc., 2.45%, 9/15/24      1,222  
  500,000      Fidelity National Information Services Inc., 0.75%, 5/21/23 EUR (c)      568  
  400,000      Fidelity National Information Services Inc., 2.60%, 5/21/25 GBP (c)      562  
  1,800,000      Fiserv Inc., 2.75%, 7/01/24      1,856  
  1,600,000      Five Corners Funding Trust 144A, 4.42%, 11/15/23 (b)      1,751  
  1,350,000      Ford Motor Credit Co. LLC, 3.09%, 1/09/23      1,363  
  1,400,000      Ford Motor Credit Co. LLC, 3.34%, 3/18/21      1,416  
  700,000      Ford Motor Credit Co. LLC, 3.35%, 11/01/22      711  
  1,950,000      General Motors Financial Co. Inc., 2.90%, 2/26/25      1,973  
  1,350,000      General Motors Financial Co. Inc., 3.55%, 7/08/22      1,394  
  525,000      GLP Capital LP/GLP Financing II Inc., 4.38%, 4/15/21      537  
  700,000      Goldman Sachs Group Inc., (3 mo. LIBOR USD + 0.821%), 2.88%, 10/31/22 (a)      712  
     

Principal

or Shares

      Security Description   

Value

(000)

  
  600,000      Goldman Sachs Group Inc., 3.63%, 2/20/24    $            639  
  581,000      Goldman Sachs Group Inc., 5.75%, 1/24/22      625  
  640,000      Goodyear Tire & Rubber Co., 5.13%, 11/15/23      650  
  1,000,000      Grifols SA 144A, 1.63%, 2/15/25 EUR (b)(c)      1,124  
  450,000      HSBC Holdings PLC, (3 mo. LIBOR USD + 1.055%), 3.26%, 3/13/23 (a)      462  
  1,200,000      HSBC Holdings PLC, (3 mo. LIBOR USD + 0.987%), 3.95%, 5/18/24 (a)      1,271  
  900,000      Humana Inc., 2.90%, 12/15/22      923  
  155,000      Husky Energy Inc., 3.95%, 4/15/22      160  
  440,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.88%, 2/01/22      440  
  300,000     

IHO Verwaltungs GmbH 144A, 3.63%, 5/15/25

EUR (b)(c)

      342  
  500,000      IHO Verwaltungs GmbH 144A, 6.00%, 5/15/27 (b)      533  
  1,800,000      Indonesia Asahan Aluminium Persero PT 144A, 5.23%, 11/15/21 (b)      1,890  
  1,300,000      Indonesia Asahan Aluminium Persero PT 144A, 5.71%, 11/15/23 (b)      1,438  
  330,000      ING Groep NV, 4.10%, 10/02/23      354  
  340,000      International Lease Finance Corp., 4.63%, 4/15/21      351  
  1,205,000      Iron Mountain Inc., 5.75%, 8/15/24      1,219  
  1,500,000      Itau Unibanco Holding SA 144A, 2.90%, 1/24/23 (b)      1,505  
  1,700,000      Itau Unibanco Holding SA 144A, 3.25%, 1/24/25 (b)      1,716  
  1,435,000      JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 1.160%), 2.30%, 10/15/25 (a)      1,459  
  800,000      JPMorgan Chase & Co., (3 mo. LIBOR USD + 1.000%), 4.02%, 12/05/24 (a)      863  
  445,000      Level 3 Financing Inc., 5.13%, 5/01/23      448  
  1,400,000      Lloyds Banking Group PLC, (3 mo. LIBOR USD + 0.810%), 2.91%, 11/07/23 (a)      1,430  
  1,250,000      Macquarie Bank Ltd. 144A, 2.10%, 10/17/22 (b)      1,260  
  1,715,000      Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%), 3.19%, 11/28/23 (a)(b)      1,771  
  450,000      Meritage Homes Corp., 7.00%, 4/01/22      492  
  250,000      Midwest Connector Capital Co. LLC 144A, 3.63%, 4/01/22 (b)      258  
  1,100,000      Mitsubishi UFJ Financial Group Inc., 2.19%, 9/13/21      1,107  
  1,200,000      Mitsubishi UFJ Financial Group Inc., 2.62%, 7/18/22      1,224  
  410,000      Mitsubishi UFJ Financial Group Inc., 3.00%, 2/22/22      420  
  1,200,000     

Mizuho Financial Group Inc. 144A,

2.63%, 4/12/21 (b)

      1,214  
  700,000      Morgan Stanley, (3 mo. EURIBOR + 0.753%), 0.64%, 7/26/24 EUR (a)(c)      792  
  440,000      MPT Operating Partnership LP/MPT Finance Corp., 5.50%, 5/01/24      450  
  800,000      National Bank of Canada 144A, 2.15%, 10/07/22 (b)      807  
  1,500,000      NextEra Energy Capital Holdings Inc., 2.40%, 9/01/21      1,516  
     
 

 

5   Payden Mutual Funds

     
     

 

Principal
or Shares		      Security Description    Value
(000)		  
  1,180,000      Nissan Motor Acceptance Corp. 144A, 3.15%, 3/15/21 (b)    $       1,194  
  300,000      Nordea Bank Abp 144A, 4.88%, 5/13/21 (b)      311  
  1,100,000      Occidental Petroleum Corp., 2.60%, 8/13/21      1,112  
  1,150,000      Occidental Petroleum Corp., 2.70%, 8/15/22      1,168  
  210,000      ONEOK Inc., 4.25%, 2/01/22      218  
  1,455,000      ONEOK Partners LP, 5.00%, 9/15/23      1,595  
  900,000      Park Aerospace Holdings Ltd. 144A, 5.25%, 8/15/22 (b)      965  
  950,000      PayPal Holdings Inc., 2.20%, 9/26/22      961  
  345,000      Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.30%, 4/01/21 (b)      351  
  1,000,000      Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.45%, 7/01/24 (b)      1,056  
  575,000      Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.65%, 7/29/21 (b)      590  
  1,550,000      Petroleos Mexicanos 144A, 6.49%, 1/23/27 (b)      1,684  
  1,150,000      Reliance Standard Life Global Funding II 144A, 2.63%, 7/22/22 (b)      1,172  
  1,240,000      Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 144A, 5.13%, 7/15/23 (b)      1,268  
  1,850,000      Ryder System Inc., 2.50%, 9/01/24      1,889  
  460,000      Sabine Pass Liquefaction LLC, 5.75%, 5/15/24      518  
  1,600,000      Sabine Pass Liquefaction LLC, 6.25%, 3/15/22      1,718  
  455,000      SBA Communications Corp., 4.00%, 10/01/22      464  
  2,800,000      SBA Tower Trust 144A, 2.84%, 1/15/25 (b)      2,902  
  220,000      Service Corp. International, 5.38%, 5/15/24      226  
  1,100,000      Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23      1,132  
  800,000      Shriram Transport Finance Co. Ltd. 144A, 5.10%, 7/16/23 (b)      804  
  1,300,000      Shriram Transport Finance Co. Ltd. 144A, 5.95%, 10/24/22 (b)      1,334  
  1,230,000      Sirius XM Radio Inc. 144A, 4.63%, 5/15/23 (b)      1,243  
  200,000      SMBC Aviation Capital Finance DAC 144A, 4.13%, 7/15/23 (b)      213  
  340,000      Smithfield Foods Inc. 144A, 3.35%, 2/01/22 (b)      343  
  918,750      Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b)      927  
  850,000      Standard Industries Inc. 144A, 2.25%, 11/21/26 EUR (b)(c)      957  
  1,520,000      Sumitomo Mitsui Financial Group Inc., 2.45%, 9/27/24      1,547  
  800,000      Sumitomo Mitsui Financial Group Inc., 2.93%, 3/09/21      811  
  1,218,000      Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23      1,254  
  400,000      Takeda Pharmaceutical Co. Ltd. 144A, 0.38%, 11/21/20 EUR (b)(c)      445  
  300,000      Takeda Pharmaceutical Co. Ltd. 144A, 1.13%, 11/21/22 EUR (b)(c)      344  
  650,000      Takeda Pharmaceutical Co. Ltd., 4.00%, 11/26/21      674  
  1,470,000      Tenet Healthcare Corp., 4.63%, 7/15/24      1,510  
  100,000      Teva Pharmaceutical Finance IV LLC, 2.25%, 3/18/20      100  
     
Principal
or Shares		      Security Description   

Value

(000)

  
  800,000      Teva Pharmaceutical Finance Netherlands II BV, 3.25%, 4/15/22 EUR (c)    $ 895  
  450,000      Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21      443  
  1,000,000      Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23      932  
  1,150,000      Thermo Fisher Scientific Inc., 0.13%, 3/01/25 EUR (c)      1,276  
  300,000      T-Mobile USA Inc., 6.50%, 1/15/24      309  
  1,500,000      Truist Bank, 2.80%, 5/17/22      1,534  
  1,500,000      UBS Group AG 144A, 3.49%, 5/23/23 (b)      1,552  
  90,000      Universal Health Services Inc. 144A, 4.75%, 8/01/22 (b)      91  
  850,000      Ventas Realty LP, 3.50%, 4/15/24      901  
  1,000,000      Vistra Operations Co. LLC 144A, 3.55%, 7/15/24 (b)      1,030  
  250,000      Vodafone Group PLC, 3.75%, 1/16/24      267  
  1,250,000      Volkswagen Group of America Finance LLC 144A, 4.00%, 11/12/21 (b)      1,295  
  900,000      Volkswagen Group of America Finance LLC 144A, 4.25%, 11/13/23 (b)      972  
  1,525,000      WEA Finance LLC 144A, 3.15%, 4/05/22 (b)      1,568  
  700,000      Wells Fargo & Co., 2.50%, 3/04/21      706  
  1,500,000      Welltower Inc., 4.00%, 6/01/25      1,640  
  1,500,000      Worldline SA, 0.25%, 9/18/24 EUR (c)(d)      1,665  
  895,000      WPX Energy Inc., 4.50%, 1/15/30      902  
  1,140,000      Zimmer Biomet Holdings Inc., 2.70%, 4/01/20      1,141  
     

 

 

  
 

Total Corporate Bond (Cost - $173,995)

          178,510  
     

 

 

  
 

Foreign Government (9%)

   
  718,000      Dominican Republic International Bond 144A, 5.88%, 4/18/24 (b)      772  
  1,900,000      Dominican Republic International Bond 144A, 7.50%, 5/06/21 (b)      1,967  
  733,333      Dominican Republic International Bond, 7.50%, 5/06/21 (d)      759  
  700,000      Egypt Government International Bond 144A, 5.58%, 2/21/23 (b)      736  
  1,100,000      Egypt Government International Bond 144A, 5.75%, 4/29/20 (b)      1,109  
  450,000      Egypt Government International Bond, 5.75%, 4/29/20 (d)      454  
  1,700,000      Egypt Government International Bond 144A, 6.13%, 1/31/22 (b)      1,786  
  2,400,000      Fondo MIVIVIENDA SA, 3.50%, 1/31/23 (d)      2,473  
  1,900,000      Georgia Government International Bond 144A, 6.88%, 4/12/21 (b)      2,004  
  800,000      Georgia Government International Bond, 6.88%, 4/12/21 (d)      844  
  1,500,000      Ghana Government International Bond 144A, 7.88%, 8/07/23 (b)      1,680  
  350,000      Ghana Government International Bond, 7.88%, 8/07/23 (d)      392  
  2,141,000      Guatemala Government Bond 144A, 5.75%, 6/06/22 (b)      2,284  
  1,110,000     

Guatemala Government Bond,

5.75%, 6/06/22 (d)

      1,184  
  1,600,000      Honduras Government International Bond 144A, 7.50%, 3/15/24 (b)(i)      1,793  
     
 

 

6

 

          Payden Absolute Return Bond Fund  continued

 

 

Principal

or Shares

      Security Description    Value
(000)		  
  1,700,000      Honduras Government International Bond 144A, 8.75%, 12/16/20 (b)    $ 1,787  
  1,350,000      Honduras Government International Bond, 8.75%, 12/16/20 (d)      1,419  
  1,100,000,000      Japan Treasury Discount Bill, 0.00%, 3/09/20 JPY (c)(f)            10,153  
  1,100,000,000      Japan Treasury Discount Bill, 0.00%, 3/16/20 JPY (c)(f)      10,153  
  1,550,000      Kazakhstan Government International Bond 144A, 1.55%, 11/09/23 EUR (b)(c)      1,802  
  1,355,000      Mongolia Government International Bond 144A, 5.63%, 5/01/23 (b)      1,389  
  1,520,000      Mongolia Government International Bond 144A, 10.88%, 4/06/21 (b)      1,642  
  200,000      Mongolia Government International Bond, 10.88%, 4/06/21 (d)      216  
  870,000      Nigeria Government International Bond 144A, 6.38%, 7/12/23 (b)      947  
  2,650,000      Nigeria Government International Bond 144A, 6.75%, 1/28/21 (b)      2,748  
  620,000      Nigeria Government International Bond, 6.75%, 1/28/21 (d)      643  
  1,590,000      Republic of Belarus International Bond 144A, 6.88%, 2/28/23 (b)      1,717  
  880,000      Republic of South Africa Government International Bond, 5.50%, 3/09/20      883  
  1,375,000      Senegal Government International Bond 144A, 6.25%, 7/30/24 (b)      1,529  
  290,000      Senegal Government International Bond 144A, 8.75%, 5/13/21 (b)      313  
  250,000      Senegal Government International Bond, 8.75%, 5/13/21 (d)      270  
  600,000      Sri Lanka Government International Bond 144A, 5.88%, 7/25/22 (b)      611  
  1,400,000      Sri Lanka Government International Bond 144A, 6.25%, 10/04/20 (b)      1,419  
  1,300,000      Ukraine Government International Bond 144A, 7.75%, 9/01/22 (b)      1,420  
     

 

 

  
 

Total Foreign Government (Cost - $60,292)

      61,298  
     

 

 

  
 

Mortgage Backed (30%)

   
  539,253     

Alternative Loan Trust 2005-56, (1 mo. LIBOR USD + 0.730%),

2.39%, 11/25/35 (a)

      557  
  1,562,853      Alternative Loan Trust 2006-25CB, 6.00%, 10/25/36      1,319  
  258,064      Alternative Loan Trust 2006-2CB, 6.00%, 3/25/36      195  
  199,681      Alternative Loan Trust 2006-45T1, 6.00%, 2/25/37      143  
  387,384     

Alternative Loan Trust 2006-HY11, (1 mo. LIBOR USD + 0.120%),

1.78%, 6/25/36 (a)

      373  
  709,352      Alternative Loan Trust 2007-12T1, 6.00%, 6/25/37      549  
  834,918      Alternative Loan Trust 2007-15CB, 5.75%, 7/25/37      746  
     
Principal
or Shares		      Security Description    Value
(000)		  
  512,754      Alternative Loan Trust 2007-6, 5.75%, 4/25/47    $ 453  
  168,332      American Home Mortgage Investment Trust 2006-3, (6 mo. LIBOR USD + 1.750%), 3.66%, 12/25/36 (a)      159  
  449,283      AREIT 2018-CRE2 Trust 144A, (1 mo. LIBOR USD + 1.200%), 2.87%, 11/14/35 (a)(b)      451  
  249,602      AREIT 2018-CRE2 Trust 144A, (1 mo. LIBOR USD + 1.400%), 3.07%, 11/14/35 (a)(b)      250  
  1,900,000      BAMLL Commercial Mortgage Securities Trust 2015-200P 144A, 3.72%, 4/14/33 (b)(e)            2,002  
  120,537      Banc of America Funding 2005-H Trust, 3.93%, 11/20/35 (e)      109  
  5,022,841      BANK 2018-BNK13, 0.66%, 8/15/61 (e)      166  
  2,307,000     

BBCMS 2018-TALL Mortgage Trust 144A, (1 mo. LIBOR USD + 0.722%),

2.40%, 3/15/37 (a)(b)

      2,304  
  1,808,000     

BBCMS 2018-TALL Mortgage Trust 144A, (1 mo. LIBOR USD + 0.971%),

2.65%, 3/15/37 (a)(b)

      1,805  
  372,665      BDS 2018-FL2 144A, (1 mo. LIBOR USD + 0.950%), 2.62%, 8/15/35 (a)(b)      374  
  200,000      BDS 2018-FL2 144A, (1 mo. LIBOR USD + 1.400%), 3.07%, 8/15/35 (a)(b)      200  
  152,406      Bear Stearns ALT-A Trust 2006-6, 3.89%, 11/25/36 (e)      142  
  98,746      Bear Stearns ARM Trust 2007-3,
4.33%, 5/25/47 (e)		      97  
  9,942,899      Benchmark 2018-B4 Mortgage Trust,
0.69%, 7/15/51 (e)		      341  
  420,000      BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 1.300%),
2.98%, 11/15/35 (a)(b)		      421  
  350,000      BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 1.800%),
3.48%, 11/15/35 (a)(b)		      352  
  1,995,000      BX Commercial Mortgage Trust 2018-IND 144A, (1 mo. LIBOR USD + 2.050%),
3.73%, 11/15/35 (a)(b)		      2,006  
  1,200,000      BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 1.800%),
3.48%, 10/15/36 (a)(b)		      1,205  
  2,150,000      BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.000%),
3.68%, 10/15/36 (a)(b)		      2,162  
  2,600,000      BX Commercial Mortgage Trust 2019-XL 144A, (1 mo. LIBOR USD + 2.300%),
3.98%, 10/15/36 (a)(b)		      2,614  
  900,000      BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 1.600%),
3.35%, 12/15/29 (a)(b)		      904  
  1,200,000     

BX Commercial Mortgage Trust 2020-BXLP 144A, (1 mo. LIBOR USD + 2.000%),

3.75%, 12/15/29 (a)(b)

      1,205  
  282,128      BXMT 2017-FL1 Ltd. 144A, (1 mo. LIBOR USD + 0.870%), 2.54%, 6/15/35 (a)(b)      283  
  550,000      BXMT 2017-FL1 Ltd. 144A, (1 mo. LIBOR USD + 1.950%), 3.62%, 6/15/35 (a)(b)      550  
     
 

 

7   Payden Mutual Funds

     
     

 

Principal
or Shares		      Security Description    Value
(000)		  
  15,596,985      Cantor Commercial Real Estate Lending 2019-CF1, 1.30%, 5/15/52 (e)    $       1,295  
  1,096,252      CGDBB Commercial Mortgage Trust 2017-BIOC 144A, (1 mo. LIBOR USD + 2.150%), 3.83%, 7/15/32 (a)(b)      1,095  
  2,600,000      CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 1.500%), 3.18%, 6/15/34 (a)(b)      2,599  
  1,600,000      CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.350%), 4.03%, 6/15/34 (a)(b)      1,603  
  1,050,000      CHC Commercial Mortgage Trust 2019-CHC 144A, (1 mo. LIBOR USD + 2.608%), 4.28%, 6/15/34 (a)(b)      1,053  
  163,254      CHL Mortgage Pass-Through Trust 2004-29, 2.81%, 2/25/35 (e)      148  
  114,606      CHL Mortgage Pass-Through Trust 2006-HYB1, 3.55%, 3/20/36 (e)      112  
  172,650      CHL Mortgage Pass-Through Trust 2007-HYB2, 3.56%, 2/25/47 (e)      161  
  1,400,000      COMM 2015-3BP Mortgage Trust 144A, 3.35%, 2/10/35 (b)(e)      1,429  
  6,923,699      Connecticut Avenue Securities Trust 2019-HRP1 144A, (1 mo. LIBOR USD + 2.150%), 3.81%, 11/25/39 (a)(b)      6,989  
  100,219      Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 0.850%), 2.51%, 7/25/31 (a)(b)      100  
  700,000      Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 2.450%), 4.11%, 7/25/31 (a)(b)      710  
  600,000      Connecticut Avenue Securities Trust 2019-R01 144A, (1 mo. LIBOR USD + 4.350%), 6.01%, 7/25/31 (a)(b)      661  
  1,300,000      Connecticut Avenue Securities Trust 2019-R02 144A, (1 mo. LIBOR USD + 4.150%), 5.81%, 8/25/31 (a)(b)      1,425  
  228,738      Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 0.750%), 2.41%, 9/25/31 (a)(b)      229  
  1,300,000      Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 2.150%), 3.81%, 9/25/31 (a)(b)      1,314  
  1,050,000      Connecticut Avenue Securities Trust 2019-R03 144A, (1 mo. LIBOR USD + 4.100%), 5.76%, 9/25/31 (a)(b)      1,128  
  2,907,102      Connecticut Avenue Securities Trust 2019-R06 144A, (1 mo. LIBOR USD + 0.750%), 2.41%, 9/25/39 (a)(b)      2,910  
  2,200,000      Connecticut Avenue Securities Trust 2019-R06 144A, (1 mo. LIBOR USD + 2.100%), 3.76%, 9/25/39 (a)(b)      2,227  
  1,000,000      Connecticut Avenue Securities Trust 2019-R07 144A, (1 mo. LIBOR USD + 3.400%), 5.06%, 10/25/39 (a)(b)      1,033  
     
Principal
or Shares		      Security Description    Value
(000)		  
  1,800,000      Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 2.050%), 3.74%, 1/25/40 (a)(b)    $       1,822  
  3,550,000      Connecticut Avenue Securities Trust 2020-R01 144A, (1 mo. LIBOR USD + 3.250%), 4.94%, 1/25/40 (a)(b)      3,603  
  2,350,000      Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 0.980%), 2.66%, 5/15/36 (a)(b)      2,356  
  2,800,000      Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.150%), 3.83%, 5/15/36 (a)(b)      2,817  
  1,700,000      Credit Suisse Mortgage Capital Certificates 2019-ICE4 144A, (1 mo. LIBOR USD + 2.650%), 4.33%, 5/15/36 (a)(b)      1,711  
  1,100,000      CSMC Trust 2017-MOON 144A,
3.30%, 7/10/34 (b)(e)		      1,103  
  344,206      Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB1, 5.60%, 2/25/36 (e)      347  
  184,676      Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4, 6.00%, 10/25/36 (e)      179  
  92,446      Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4, 6.00%, 10/25/36      89  
  1,100,000      Exantas Capital Corp. 2019-RSO7 Ltd. 144A, (1 mo. LIBOR USD + 1.500%), 3.17%, 4/15/36 (a)(b)      1,103  
  2,078,037      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.600%), 2.26%, 7/25/30 (a)      2,078  
  569,384      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.650%), 2.31%, 5/25/30 (a)      569  
  53,926      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.850%), 2.51%, 11/25/29 (a)      54  
  73,119      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.150%), 2.81%, 9/25/29 (a)      73  
  110,671      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.300%), 2.96%, 4/25/29 (a)      111  
  930,684      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.300%), 2.96%, 7/25/29 (a)      931  
  1,001,099      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.000%), 3.66%, 3/25/31 (a)      1,010  
  1,300,000      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.100%), 3.76%, 3/25/31 (a)      1,316  
  3,900,000      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.150%), 3.81%, 10/25/30 (a)      3,975  
  3,174,181      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%), 3.86%, 8/25/30 (a)      3,223  
  2,310,000      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.250%), 3.91%, 7/25/30 (a)      2,356  
  821,238      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 3.000%), 4.66%, 7/25/24 (a)      868  
  2,300,000      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 3.000%), 4.66%, 10/25/29 (a)      2,416  
  211,986      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.000%), 5.66%, 5/25/25 (a)      227  
     
 

 

8

 

          Payden Absolute Return Bond Fund continued

 

 

Principal
or Shares		      Security Description    Value
(000)		  
  1,400,000      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.100%),
5.76%, 3/25/31 (a)		    $ 1,550  
  341,690      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%),
5.91%, 1/25/29 (a)		      364  
  148,604      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.550%),
6.21%, 2/25/25 (a)		      155  
  142,485      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 5.000%),
6.66%, 7/25/25 (a)		      156  
  73,722      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 5.000%),
6.66%, 7/25/25 (a)		      79  
  285,592      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 5.700%),
7.36%, 4/25/28 (a)		      318  
  318,225      Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 6.000%),
7.66%, 9/25/28 (a)		      351  
  158,955      First Horizon Alternative Mortgage Securities Trust 2006-AA5, 4.06%, 9/25/36 (e)      148  
  146,587      First Horizon Alternative Mortgage Securities Trust 2006-FA2, 6.00%, 5/25/36      111  
  428,974      Flagstar Mortgage Trust 2018-1 144A, 3.50%, 3/25/48 (b)(e)      436  
  2,023,565     

Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 0.750%),

2.41%, 9/25/49 (a)(b)

              2,024  
  4,100,000     

Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 1.850%),

3.51%, 9/25/49 (a)(b)

      4,122  
  1,900,000     

Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 3.000%),

4.66%, 9/25/49 (a)(b)

      1,979  
  800,000     

Freddie Mac STACR 2019-HQA3 144A, (1 mo. LIBOR USD + 7.500%),

9.16%, 9/25/49 (a)(b)

      866  
  650,000      Freddie Mac STACR Remic Trust 2020-DNA1 144A, (1 mo. LIBOR USD + 5.250%),
6.91%, 1/25/50 (a)(b)		      659  
  1,650,000      Freddie Mac STACR REMIC Trust 2020-HQA 144A, (1 mo. LIBOR USD + 1.900%),
3.55%, 1/25/50 (a)(b)		      1,659  
  700,000      Freddie Mac STACR REMIC Trust 2020-HQA 144A, (1 mo. LIBOR USD + 5.100%),
6.75%, 1/25/50 (a)(b)		      713  
  3,063,588      Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 0.750%),
2.41%, 10/25/48 (a)(b)		      3,066  
  4,150,000      Freddie Mac STACR Trust 2018-HQA2 144A, (1 mo. LIBOR USD + 2.300%),
3.96%, 10/25/48 (a)(b)		      4,237  
  461,269      Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 0.900%),
2.56%, 1/25/49 (a)(b)		      462  
  2,800,000      Freddie Mac STACR Trust 2019-DNA1 144A, (1 mo. LIBOR USD + 2.650%),
4.31%, 1/25/49 (a)(b)		      2,867  
  2,700,173      Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 2.450%),
4.11%, 3/25/49 (a)(b)		      2,742  
     
     
Principal
or Shares		      Security Description    Value
(000)		  
  550,000      Freddie Mac STACR Trust 2019-DNA2 144A, (1 mo. LIBOR USD + 4.350%),
6.01%, 3/25/49 (a)(b)		    $ 601  
  775,440      Freddie Mac STACR Trust 2019-DNA4 144A, (1 mo. LIBOR USD + 0.700%),
2.36%, 10/25/49 (a)(b)		      776  
  2,448,012      Freddie Mac STACR Trust 2019-FTR2 144A, (1 mo. LIBOR USD + 0.950%), 2.61%, 11/25/48 (a)(b)      2,449  
  550,000     

Freddie Mac STACR Trust 2019-FTR3 144A, (1 mo. LIBOR USD + 4.800%),

6.54%, 9/25/47 (a)(b)

      592  
  600,000      Freddie Mac STACR Trust 2019-FTR4 144A, (1 mo. LIBOR USD + 5.000%), 6.66%, 11/25/47 (a)(b)      639  
  127,922     

Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 0.900%),

2.56%, 2/25/49 (a)(b)

      128  
  600,000     

Freddie Mac STACR Trust 2019-HQA1 144A, (1 mo. LIBOR USD + 2.350%),

4.01%, 2/25/49 (a)(b)

      608  
  294,202     

Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 0.700%),

2.36%, 4/25/49 (a)(b)

      294  
  650,000     

Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 2.050%),

3.71%, 4/25/49 (a)(b)

      656  
  1,550,000     

Freddie Mac STACR Trust 2019-HQA2 144A, (1 mo. LIBOR USD + 4.100%),

5.76%, 4/25/49 (a)(b)

              1,679  
  78,997      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.700%), 2.36%, 9/25/30 (a)      79  
  895,735      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.750%), 2.41%, 3/25/30 (a)      896  
  184,459      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%), 2.86%, 7/25/29 (a)      185  
  34,232      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%), 2.86%, 8/25/29 (a)      34  
  3,110,000      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.800%), 3.46%, 7/25/30 (a)      3,134  
  3,725,000      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%), 3.96%, 9/25/30 (a)      3,793  
  2,465,893      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.350%), 4.01%, 4/25/30 (a)      2,527  
  1,561,202      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.450%), 4.11%, 12/25/42 (a)      1,579  
     
 

 

9   Payden Mutual Funds

     
     

 

Principal
or Shares		      Security Description    Value
(000)		  
  450,000      Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (b)(e)    $ 457  
  106,704      Freddie Mac Structured Agency Credit Risk Debt Notes 144A, 4.15%, 8/25/48 (b)(e)      107  
  3,350,000      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.500%), 4.16%, 3/25/30 (a)      3,474  
  1,950,000      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%), 6.26%, 12/25/42 (a)      2,113  
  1,253,587      Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%), 12.91%, 10/25/29 (a)      1,568  
  254,185      GreenPoint MTA Trust 2005-AR1, (1 mo. LIBOR USD + 0.440%), 2.10%, 6/25/45 (a)      239  
  1,557,000      GS Mortgage Securities Corp. Trust 2017-500K 144A, (1 mo. LIBOR USD + 1.500%), 3.18%, 7/15/32 (a)(b)              1,560  
  750,000      GS Mortgage Securities Corp. Trust 2017-500K 144A, (1 mo. LIBOR USD + 1.800%), 3.48%, 7/15/32 (a)(b)      752  
  1,150,000      GS Mortgage Securities Corp. Trust 2017-500K 144A, (1 mo. LIBOR USD + 2.500%), 4.18%, 7/15/32 (a)(b)      1,155  
  2,500,000      GS Mortgage Securities Corp. Trust 2019-SOHO 144A, (1 mo. LIBOR USD + 1.875%), 3.55%, 6/15/36 (a)(b)      2,498  
  156,359      GSMPS Mortgage Loan Trust 2005-RP2 144A, (1 mo. LIBOR USD + 0.350%), 2.01%, 3/25/35 (a)(b)      147  
  223,280      GSMPS Mortgage Loan Trust 2005-RP3 144A, (1 mo. LIBOR USD + 0.350%), 2.01%, 9/25/35 (a)(b)      200  
  66,887      HomeBanc Mortgage Trust 2004-1, (1 mo. LIBOR USD + 0.860%), 2.52%, 8/25/29 (a)      65  
  339,541      IndyMac INDX Mortgage Loan Trust 2006-AR29, (1 mo. LIBOR USD + 0.250%), 1.91%, 11/25/36 (a)      335  
  1,667,467      IndyMac INDX Mortgage Loan Trust 2006-AR35, (1 mo. LIBOR USD + 0.180%), 1.84%, 1/25/37 (a)      1,605  
  2,200,000      InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 0.700%), 2.38%, 1/15/33 (a)(b)      2,197  
  300,000      InTown Hotel Portfolio Trust 2018-STAY 144A, (1 mo. LIBOR USD + 3.100%), 4.78%, 1/15/33 (a)(b)      301  
  7,362,696      JP Morgan Alternative Loan Trust, 6.00%, 12/25/35      4,793  
  900,000      JP Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI 144A, 4.01%, 10/05/31 (b)(e)      912  
  2,150,000      JP Morgan Chase Commercial Mortgage Securities Trust 2018-BCON 144A, 3.76%, 1/05/31 (b)(e)      2,188  
     
Principal
or Shares		      Security Description    Value
(000)		  
  1,350,000      JP Morgan Chase Commercial Mortgage Securities Trust 2018-BCON 144A, 3.76%, 1/05/31 (b)(e)    $ 1,338  
  1,769,174      JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ 144A, (1 mo. LIBOR USD + 1.000%), 2.68%, 6/15/32 (a)(b)      1,771  
  251,962      JP Morgan Chase Commercial Mortgage Securities Trust 2018-PHH 144A, (1 mo. LIBOR USD + 0.910%), 2.59%, 6/15/35 (a)(b)      252  
  260,000      JP Morgan Chase Commercial Mortgage Securities Trust 2018-PHH 144A, (1 mo. LIBOR USD + 1.160%), 2.84%, 6/15/35 (a)(b)      260  
  121,448      JP Morgan Mortgage Trust 2006-A3, 4.05%, 5/25/36 (e)      122  
  106,748      JP Morgan Mortgage Trust 2006-A3, 4.05%, 5/25/36 (e)      107  
  56,767      JP Morgan Mortgage Trust 2014-IVR3 144A, 3.00%, 9/25/44 (b)(e)      57  
  840,515      JP Morgan Mortgage Trust 2017-5 144A, 3.15%, 10/26/48 (b)(e)      854  
  5,965,140      LCCM 2017-LC26 144A, 1.66%, 7/12/50 (b)(e)      472  
  370,000      Madison Avenue Trust 2013-650M 144A, 4.17%, 10/12/32 (b)(e)      373  
  271,649      Merrill Lynch Mortgage Backed Securities Trust Series 2007-2, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.400%), 3.97%, 8/25/36 (a)      271  
  2,381,942      Morgan Stanley Capital I Trust 2018-H3, 1.00%, 7/15/51 (e)      132  
  897,859      Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 1.700%), 3.36%, 10/15/49 (a)(b)      903  
  800,000      Multifamily Connecticut Avenue Securities Trust 2019-01 144A, (1 mo. LIBOR USD + 3.250%), 4.91%, 10/15/49 (a)(b)      843  
  4,538,134      NACC Reperforming Loan REMIC Trust 2004-R1 144A, 6.50%, 3/25/34 (b)              4,526  
  1,042,650      NACC Reperforming Loan REMIC Trust 2004-R1 144A, 7.50%, 3/25/34 (b)      1,078  
  480,889      New Residential Mortgage Loan Trust 2014-3 144A, 5.60%, 11/25/54 (b)(e)      530  
  351,942      New Residential Mortgage Loan Trust 2017-5 144A, (1 mo. LIBOR USD + 1.500%), 3.16%, 6/25/57 (a)(b)      358  
  1,000,000      PFP 2019-5 Ltd. 144A, (1 mo. LIBOR USD + 1.420%), 3.09%, 4/14/36 (a)(b)      1,005  
  496,985      RALI Series 2005-QA4 Trust,
4.50%, 4/25/35 (e)		      451  
  188,255      RALI Series 2005-QS14 Trust, 6.00%, 9/25/35      184  
  3,173,121      RALI Series 2007-QS10 Trust, 6.50%, 9/25/37      3,125  
  537,804      RALI Series 2007-QS2 Trust, 6.25%, 1/25/37      503  
  2,178,118      Residential Asset Securitization Trust 2006-A4IP, 6.63%, 5/25/36 (e)      1,425  
  466,991      Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%), 1.60%, 8/20/56 GBP (a)(b)(c)      619  
  1,959,349     

Sequoia Mortgage Trust 2007-1,

3.90%, 2/20/47 (e)

      1,857  
     
 

 

10

 

          Payden Absolute Return Bond Fund continued

 

 

Principal
or Shares		      Security Description    Value
(000)		  
  472,251     

STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 0.750%),

2.41%, 9/25/48 (a)(b)

    $ 473  
  350,000     

STACR Trust 2018-DNA3 144A, (1 mo. LIBOR USD + 2.100%),

3.76%, 9/25/48 (a)(b)

      355  
  4,900,253     

STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 1.650%),

3.31%, 4/25/43 (a)(b)

      4,923  
  2,500,000     

STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 3.750%),

5.41%, 4/25/43 (a)(b)

              2,633  
  936,209     

STACR Trust 2018-HRP1 144A, (1 mo. LIBOR USD + 11.750%),

13.41%, 4/25/43 (a)(b)

      1,231  
  26,571     

STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 0.850%),

2.51%, 2/25/47 (a)(b)

      27  
  2,760,000     

STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 1.250%),

2.91%, 2/25/47 (a)(b)

      2,767  
  3,300,000     

STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 2.400%),

4.06%, 2/25/47 (a)(b)

      3,392  
  1,900,000     

STACR Trust 2018-HRP2 144A, (1 mo. LIBOR USD + 10.500%),

12.16%, 2/25/47 (a)(b)

      2,309  
  890,701      Structured Asset Mortgage Investments II Trust 2006-AR7, (1 mo. LIBOR USD + 0.210%), 1.87%, 8/25/36 (a)      833  
  2,826,193      Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-RF4 144A, 6.00%, 10/25/36 (b)      2,337  
  380,757     

VMC Finance 2018-FL2 LLC 144A, (1 mo. LIBOR USD + 0.920%),

2.59%, 10/15/35 (a)(b)

      382  
  460,248      WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust, (1 mo. LIBOR USD + 0.610%), 2.27%, 8/25/45 (a)      413  
  390,407      WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust, (1 mo. LIBOR USD + 0.280%), 1.94%, 11/25/45 (a)      380  
  97,385      WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust, (1 mo. LIBOR USD + 0.290%), 1.95%, 12/25/45 (a)      96  
  112,147      WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust, 3.71%, 9/25/36 (e)      109  
  134,139      WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust, (Cost of Funds for the 11th District of San Francisco + 1.250%), 2.29%, 1/25/47 (a)      135  
  115,971      WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust, 3.87%, 8/25/46 (e)      113  
  517,394      WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust, 3.95%, 2/25/37 (e)      520  
  65,361      WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust, 3.59%, 6/25/37 (e)      65  
  625,422      WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust, 3.82%, 7/25/37 (e)      591  
  1,171,308      Washington Mutual Mortgage Pass-Through   
   Certificates WMALT Series 2005-5 Trust, (1 mo. LIBOR USD + 1.400%),
3.06%, 7/25/35 (a)		      1,083  
     
Principal
or Shares		      Security Description    Value
(000)		  
  230,636      Wells Fargo Alternative Loan 2007-PA2 Trust,   
   6.00%, 6/25/37    $ 237  
  450,000      Wells Fargo Commercial Mortgage Trust   
   2017-SMP 144A, (1 mo. LIBOR USD   
   + 1.650%), 3.33%, 12/15/34 (a)(b)      449  
  6,861,754      Wells Fargo Commercial Mortgage Trust   
   2018-C46, 1.11%, 8/15/51 (e)      391  
 

Total Mortgage Backed (Cost - $210,190)

      213,034  
 

U.S. Treasury (3%)

   
  20,500,000      U.S. Treasury Bill, 1.53%, 2/11/20 (f)      20,494  
  400,000      U.S. Treasury Note, 2.50%, 6/30/20      401  
  600,000      U.S. Treasury Note, 2.75%, 11/30/20      606  
 

Total U.S. Treasury (Cost - $21,490)

      21,501  
 

Investment Company (0%)

   
  1,727,917      Payden Cash Reserves Money Market Fund *   
   (Cost - $1,728)      1,728  
 

Purchase Options (0%)

   
 

Total Purchased Options (Cost - $137)

      207  
 

Purchased Swaptions (0%)

   
 

Total Purchased Swaptions (Cost - $255)

      —  
 

Total Investments, Before Options Written

   
 

(Cost - $701,514) (102%)

          710,858  
 

Written Swaptions (0%)

   
 

Total Written Swaptions (Cost - $(255))

      —  
 

Total Investments (Cost - $701,259) (102%)

      710,858  
 

Liabilities in excess of Other Assets (-2%)

      (12,883 ) 
 

Net Assets (100%)

    $ 697,975  
     

 

*

Affiliated investment

(a)

Floating rate security. The rate shown reflects the rate in effect at January 31, 2020.

(b)

Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board.

(c)

Principal in foreign currency.

(d)

Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board.

(e)

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(f)

Yield to maturity at time of purchase.

(g)

Floating rate security. The rate shown reflects the rate in effect at January 31, 2020. The stated maturity is subject to prepayments.

(h)

Non-income producing security.

(i)

All or a portion of these securities are on loan. At January 31, 2020, the total market value of the Fund’s securities on loan is $784 and the total market value of the collateral held by the Fund is $808. Amount in 000s.

 

 

11   Payden Mutual Funds

Purchased Options

 

Description    Number of
Contracts		    Notional
Amount
(000s)		    Exercise
Price		    Maturity
Date		    Value
(000s)		    Call/Put

Exchange Traded Options Purchase — 0.0%

                              

S & P 500 Index

        679      $ 2,190        2830.00        02/14/2020      $ 139        Put

S & P 500 Index

        277        894        2720.00        02/28/2020        68        Put
         

 

 

                 

 

 

       

Total Purchase Options

           $ 3,084                $ 207     
         

 

 

                 

 

 

       

Purchased Swaptions

 

Description   Counterparty   Notional
Amount
(000s)		   Expiration
date		   Value
(000s)		   Call/Put

Purchased Swaptions 0.0%

                    

2-Year Interest Rate Swap, 02/05/22, Pay Fixed 1.6375%

       BNP PARIBAS     $ 75,978       02/05/2022     $ —       Put

Semi-Annually, Receive Variable Quarterly, 3-Month USD LIBOR

                    
               

 

 

      

Written Swaptions

 

Description   Counterparty   Notional
Amount
(000s)		   Expiration
date		   Value
(000s)		   Call/Put

Written Swaptions 0.0%

                    

10-Year Interest Rate Swap, 02/05/30, Receive Fixed 1.78%

       BNP PARIBAS     $ 16,067       02/05/2030     $ —       Put

Semi-Annually, Pay Variable Quarterly, 3-Month USD LIBOR

                    
               

 

 

      

Open Forward Currency Contracts to USD

 

      Currency

      Purchased
          (000s)

    Currency
Sold
(000s)		    Counterparty    Settlement
Date		    Unrealized
Appreciation
(Depreciation)
(000s)

Assets:

                    

GBP 18

        USD  23        HSBC Bank USA, N.A.        03/23/2020      $ —

USD  28,061

        EUR  25,155        Citibank, N.A.        03/23/2020        72

USD  2,199

        EUR  1,974        Citibank, N.A.        03/23/2020        3

USD  19,430

        AUD  28,453        State Street Bank & Trust Co.        02/20/2020        376
                   

 

 

  
                      451
                   

 

 

  

Liabilities:

                    

AUD  17,245

        USD  11,829        State Street Bank & Trust Co.        02/20/2020        (281 )

AUD  11,222

        USD  7,723        State Street Bank & Trust Co.        02/20/2020        (208 )

BRL  5,890

        USD  1,390        Citibank, N.A.        04/30/2020        (21 )

EUR  237

        USD  265        Citibank, N.A.        03/23/2020        (1 )

EUR  188

        USD  209        Citibank, N.A.        03/23/2020        —

MXN  26,320

        USD  1,391        Citibank, N.A.        04/30/2020        (16 )

RUB  87,340

        USD  1,381        Citibank, N.A.        04/30/2020        (30 )

USD  10,117

        JPY  1,100,000        BNP PARIBAS        03/09/2020        (56 )

USD  10,121

        JPY  1,100,000        BNP PARIBAS        03/16/2020        (56 )

USD  1,178

        GBP  909        HSBC Bank USA, N.A.        03/23/2020        (24 )

ZAR  15,330

        USD  1,038        Citibank, N.A.        04/30/2020        (29 )
                   

 

 

  
                      (722 )
                   

 

 

  

Net Unrealized Appreciation (Depreciation)

                     $ (271 )
                   

 

 

  

 

12

 

          Payden Absolute Return Bond Fund continued

 

 

Open Futures Contracts

 

Contract Type    Number of
Contracts		    Expiration
Date		    Notional
Amount
(000s)		   Current
Value
(000s)		   Unrealized
Appreciation
(Depreciation)
(000s)

Long Contracts:

                       

AUD 3-Year Bond Future

        832        Mar-20      $ 64,595     $ 135     $ 135

Euro-Bund Future

        1        Mar-20        194       3       3

U.S. Treasury 2-Year Note Future

        195        Mar-20        42,190       144       144

U.S. Treasury 5-Year Note Future

        240        Mar-20        28,877       328       328
                      

 

 

  
                         610
                      

 

 

  

Short Contracts:

                       

Euro-Bobl Future

        143        Mar-20        (21,404 )       (133 )       (133 )
                      

 

 

  
                         (133 )
                      

 

 

  

Total Futures

                        $ 477
                      

 

 

  

Open Centrally Cleared Interest Rate Swap Contracts

 

Description    Maturity
Date		    Notional
Amount
(000s)		    Value
(000s)		   Upfront
payments/
receipts
(000s)		    Unrealized
Appreciation
(Depreciation)
(000s)

3-Year Interest Rate Swap, Receive Fixed 1.5535% Semi-Annually,

        08/30/2022      $ 10,817      $ (17 )     $ —      $ (17 )

Pay Variable 1.94625% (CDOR03 Index) Semi-Annually

3-Year Interest Rate Swap, Receive Fixed 1.558% Semi-Annually, Pay

        08/30/2022        10,817        (15 )       —        (15 )

Variable 1.94625% (CDOR03 Index) Semi-Annually

3-Year Interest Rate Swap, Receive Fixed 1.575% Semi-Annually, Pay

        08/30/2022        9,499        (17 )       —        (17 )

Variable 1.945% (CDOR03 Index) Semi-Annually

3-Year Interest Rate Swap, Receive Fixed 1.8905% Semi-Annually,

        12/02/2022        7,838        35       —        35

Pay Variable 1.97% (CDOR03 Index) Semi-Annually

                        
              

 

 

      

 

 

       

 

 

  
               $ (14 )     $ —      $ (14 )
              

 

 

      

 

 

       

 

 

  

 

13   Payden Mutual Funds