payden global funds public limited company (an … · 2020. 8. 27. · payden & rygel brown...

PAYDEN GLOBAL FUNDS PUBLIC LIMITED COMPANY (an umbrella fund with segregated liability between sub-funds)

INTERIM REPORT AND UNAUDITED CONDENSED FINANCIAL STATEMENTS

FOR THE HALF YEAR PERIOD ENDED 30 JUNE 2020

PAYDEN GLOBAL FUNDS PUBLIC LIMITED COMPANY

1

TABLE OF CONTENTS PAGE

Directors and Other Information 2

Half – Yearly Management Report 4

Investment Manager’s Report 5

Schedule of Investments 21

Condensed Profit and Loss Account 103

Condensed Balance Sheet 109

Condensed Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 115

Notes to the Condensed Financial Statements 121

Schedule of Significant Portfolio Movements 148


2

DIRECTORS AND OTHER INFORMATION

Registered Office Directors 33 Sir John Rogerson’s Quay Joan A. Payden (American)Dublin 2 Peter Blessing (Irish)*Ireland Dermot S. L. Butler (Canadian)*Company Registration Number Robin Creswell (British)309059 Mike Kirby (Irish)*

Mark Morris (British) resigned on 20 February 2020Mary Beth Syal (American)Erinn King (Canadian)Nigel Jenkins (British) appointed on 28 May 2020*Independent directors

Sponsoring Broker Secretary Dillon Eustace Tudor Trust Limited33 Sir John Rogerson’s Quay 33 Sir John Rogerson’s QuayDublin 2 Dublin 2Ireland Ireland

Administrator and Registrar Assistant Secretary Brown Brothers Harriman Edward GarlockFund Administration Services (Ireland) Limited 333 South Grand Avenue 30 Herbert Street Los AngelesD02 W329 California 90071Ireland USA

Independent Auditors Investment Manager, Distributor and UK Facilities AgentDeloitte Ireland LLP Payden & Rygel Global LimitedChartered Accountants and Statutory Audit Firm 1 Bartholomew Lane Deloitte & Touche House London EC2N 2AXEarlsfort Terrace EnglandDublin 2 Ireland

Promoter and Sub-Investment Manager for all Funds DepositaryPayden & Rygel Brown Brothers Harriman333 South Grand Avenue Trustee Services (Ireland) LimitedLos Angeles 30 Herbert StreetCalifornia 90071 D02 W329USA Ireland

Legal Advisors - Ireland Legal Advisors - United States of AmericaDillon Eustace K&L Gates LLP 33 Sir John Rogerson’s Quay 1800 Massachusetts Avenue N.W.Dublin 2 Washington D.C. 20036-1800Ireland USA


3

DIRECTORS AND OTHER INFORMATION (continued)

Paying Agent in Luxembourg Paying Agent and Information Agent in Germany*The Bank of New York (Luxemburg) S.A. B. Metzler seel. Sohn & CoVertigo Building-Polaris KGaA, Große Gallusstraße 182-4 rue Eugene Ruppert 60311 Frankfurt am MainL-2453, Luxembourg Germany

Paying and Information Agent and Tax Paying Agent in SwedenRepresentative in Austria Skandinaviska Enskilda Banken AB (publ)Erste Bank der oesterreichischen Sparkassen AG Kungsträdgårdsgatan 8Am Belvedere 1 SE-106 40 Stockholm1100 Wien SwedenAustria

Representative in Switzerland Paying Agent in SwitzerlandCarnegie Fund Services S.A. Banque Cantonale de Genève11, rue du Général-Dufour 17, quai de l’IleCH-1204 Geneva CH-1204 GenevaSwitzerland Switzerland

Centralising Correspondent in France Representative in Spain CACEIS Bank France ALLFUNDS BANK, S.A.1-3 Place Valhubert Estafeta 6, La Moraleja75013 Paris Complejo Plaza de la FuenteFrance Madrid

Spain

* The prospectus, the KIID, the memorandum and articles of association, the annual and semi-annual reports, a list of changes in the composition of the portfolios as well as the issue and redemption prices are available free of charge pursuant to Sec. 297(1) of the German Capital Investment Code from the office of the German information agent as set out above.

For investors in Germany: No notification pursuant to Section 310 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for the following Funds and the shares in these Funds may not be marketed to investors in the Federal Republic of Germany:

Payden Global Corporate Bond FundPayden Sterling Corporate Bond Fund - Investment Grade(1)

Payden Sterling Reserve Fund Payden US Core Bond Fund Payden US Equity Income Fund

Additional Information for Switzerland The prospectus and the KIID for Switzerland, the memorandum and articles of association, the annual and semi-annual report, in French, the list of the purchases and sales and further information can be obtained free of charge from the representative in Switzerland: Carnegie Fund Services S.A., 11, rue du Général-Dufour, CH-1204 Geneva, Switzerland, web: www.carnegie-fund-services.ch. The Swiss paying agent is: Banque Cantonale de Genève, 17, quai de l’Ile, CH-1204 Geneva. The last share prices can be found on www.fundinfo.com. For the shares of the Fund distributed to non-qualified investors in and from Switzerland, and for the shares of the Fund distributed to qualified investors in Switzerland, the place of jurisdiction is Geneva.

Each time performance data is published, it should be noted that the past performance is no indication of current or future performance, and that it does not take account of the commissions and costs incurred on the issue and redemption of shares.

(1) All shareholders of the Payden Sterling Corporate Bond Fund - Investment Grade have fully redeemed and this Fund is no longer being offered to investors.


HALF – YEARLY MANAGEMENT REPORT FOR THE PERIOD ENDED 30 JUNE 2020

4

Business review

The results of the operations are set out on the Condensed Profit and Loss Account. Further information on risk management objectives and policies are detailed below.

As at 30 June 2020, 31 December 2019 and 30 June 2019 the assets under management for Payden Global Funds public limited company’s (the “Company”) sub-funds (individually referred as the “Fund” and collectively as the “Funds”):

Currency 30 June 2020 31 December 2019 30 June 2019

Payden Absolute Return Bond Fund USD 2,824,456,086 3,322,766,729 2,641,154,137

Payden Euro Liquidity Fund EUR 67,148,178 69,613,278 39,666,331

Payden Global Bond Fund USD 419,558,847 439,739,709 383,037,682

Payden Global Emerging Markets Bond Fund USD 199,197,420 211,405,858 212,968,463

Payden Global Emerging Markets Corporate Bond Fund USD 47,989,720 49,745,461 49,295,156

Payden Global Equity Income Fund USD 53,353,457 56,724,255 58,447,757

Payden Global Government Bond Index Fund USD 106,204,096 121,680,562 118,844,647

Payden Global High Yield Bond Fund USD 11,846,189 12,548,707 14,562,078

Payden Global Inflation - Linked Bond Fund USD 107,149,060 108,733,915 100,658,963

Payden Global Short Bond Fund USD 423,287,040 445,237,175 391,344,656

Payden Sterling Corporate Bond Fund - Investment Grade(1) GBP – 20,231,447 19,907,698

Payden Sterling Reserve Fund GBP 257,806,812 256,156,957 283,560,659

Payden US Core Bond Fund USD 54,223,592 54,740,339 55,263,886

Payden US Dollar Liquidity Fund USD 244,347,734 237,773,691 115,349,870

Payden USD Low Duration Credit Fund USD 101,730,115 111,630,875 96,550,645

Cross Investments Adjustment USD (41,493,374) (37,917,700) (37,101,582)

Total Company USD 4,945,813,546* 5,579,096,005* 4,631,772,544*

* Total Company balances have been adjusted for any cross investments between Funds. Please refer to Note 10 for more details.


Dividends

The distributions for the period are set out in Note 8 to the financial statements.

Significant events during the period

Significant events during the period are set out in Note 13 to the financial statements.

Subsequent events

Subsequent events are set out in Note 14 to the financial statements.

Risk management objectives and policies

The Company’s investment activities expose it to the various types of risk, which are associated with the financial instruments and markets in which it invests. Details of the risks inherent in investing in the Company are available in the Company Prospectus.

Related parties

Related parties of the Company are set out in Note 10 to the financial statements.

Responsibility statement

The Board of Directors confirm that the condensed financial statements have been prepared in accordance with the Financial Reporting Council guidance on “Half – Yearly Financial Reports” and the interim management report includes a fair review of the information required by the Transparency Directive (Directive 2004/109/EC) Regulations 2007 (the “Transparency Directive”).


INVESTMENT MANAGER’S REPORT FOR THE PERIOD ENDED 30 JUNE 2020

5

Manager comment

UCITS Investment Manager’s Report, H1 2020

The first half of 2020 was dominated by the emergence and development of the COVID-19 pandemic. The implications were fundamental for the conduct of people’s everyday lives, let alone for the global economy and financial markets. The year started with a comparatively optimistic outlook and strong technical backdrop following a buoyant end to 2019. This positive sentiment, however, was overwhelmed in February and March in particular by the realisation that COVID-19 was spreading quickly, and that governments around the world would choose to more or less shut down their economies in an effort to slow its spread. Naturally, this led to a sharp decline in investor sentiment and in late March to a very significant deterioration in liquidity conditions. Financial markets saw volatility which on many measures exceeded that seen in the Global Financial Crisis. The S&P 500 index, for example, fell by 35% in a 5-week period to late March, whilst global government bond yields fell sharply, and yield premia on non-government bonds widened dramatically. Lower quality corporate and emerging market bonds, together with many segments of the global securitised bond market were particularly hard hit. The charge to lower yields was led by the traditional safe-haven US Treasury market, yields on the 10-year maturity falling by over 160 basis points (1.6%) peak to trough, to a record low of 0.3%. Global investment grade corporate yield spreads (versus underlying government bonds) more than trebled to a peak of 3.25%, whilst high yield corporate bond spreads peaked at more than 10%, having been at just 3.75% at the start of the year.

Such unprecedented circumstances triggered emergency rate cuts by key central banks, including a 1.5% rate cut by the US Federal Reserve (the “Fed”). This was followed by one of the largest and certainly the swiftest packages of monetary stimulation in the history of the Fed. Announcements included a virtually unlimited balance sheet expansion including the purchase of high grade, short maturity corporate debt and exchange traded funds (ETF’s), followed by an extension of purchases to “fallen angels” (securities newly downgraded from investment grade to high yield) and support for securitised products. The US government also provided economic aid with a $3 Trillion support package.

This monetary largesse was replicated around the world. The European Central Bank (ECB) massively expanded its own quantitative easing (QE) programmes, announcing a new Pandemic Emergency Purchase Programme (PEPP), along with increasing the amount of net purchases under its Asset Purchase Programme. Overall, the ECB initially projected to buy an extra €870 Billion of assets, later superseded by its endorsement of a €600 Billion increase in PEPP, with an extension to June 2021. On the fiscal front, European countries also announced large stimulus packages, including a €130 Billion fiscal package by Angela Merkel’s coalition to support the German economy, with measures including VAT cuts and spending on infrastructure.

Elsewhere, the Bank of England announced a 0.75% rate cut along with a £100 Billion increase to their own QE programme; together with multiple fiscal support packages, including a furlough scheme which essentially paid large swathes of the workforce to stay at home, the United Kingdom joined much of the rest of the world in providing policy support of quite breathtaking scale and rapidity.

The forcefulness of these policy actions caused a sharp rebound in investor risk appetite over the remainder of the first half of the year. Along with the scale of the announced interventions, investors were heartened by their speed as well as their intent - almost as though there was a potentially unlimited supply of additional measures that would be taken if economic and financial market conditions deteriorated by more than anticipated. Many of the dramatic negative moves in financial markets accordingly reversed quite dramatically over the balance of the first half of the year. For example, by the end of June, the S&P 500 had recouped 75% of its losses. By contrast, global developed government bond yields stayed very close to their lows, as investors concluded that lower short-term interest rates and quantitative easing programmes were here to stay.

It was not solely the monetary and fiscal policy actions that contributed to the bounce in investor sentiment, but also some signs that economic “lockdowns” had indeed suppressed the virus to levels that would permit the cautious reopening of economies in certain regions and sectors. However, it remains to be seen whether this cautious reopening leads to second waves of COVID-19 cases, and the extent to which the interactions which are so important to economic activity have been disrupted for the longer term, possibly even permanently. So, at the end of the first half, we can say that financial markets were breathing a sigh of relief that a worst-case scenario had been avoided, but that nervousness remained about what the second half of the year and beyond would bring.


INVESTMENT MANAGER’S REPORT FOR THE PERIOD ENDED 30 JUNE 2020 (continued)

6

Payden Absolute Return Bond Fund

Share Class* Fund (net) Benchmark**

Australian Dollar Class (Accumulating) (1.52)% 0.32%

Canadian Dollar Class (Accumulating) (0.95)% 0.73%

Euro Class (Accumulating) (1.70)% 0.23%

Japanese Yen Class (Accumulating) (1.77)% 0.05%

Norwegian Krone Class (Accumulating) (1.77)% 0.55%

Sterling Class (Accumulating) (1.59)% 0.23%

Sterling Class (Distributing) (1.69)% 0.23%

Swiss Franc Class (Accumulating)*** 9.26% (0.22)%

Swiss Franc Class (Distributing)**** 6.91% (0.18)%

US Dollar Class (Accumulating) (0.49)% 0.58%

* All share classes currency hedged. ** ICE BofA 1-Month Deposit Offered Rate Constant Maturity Index. *** Launched 8 April 2020. **** Launched 22 April 2020.

The Fund remained invested in a broadly diversified range of credit sectors, both investment grade and sub-investment grade. The allocation to government bonds and cash was higher than average at the start of the year.

The first two months of 2020 featured a modest rally in credit spreads and robust new issuance across asset classes. But as the pandemic began to spread around the globe, we decreased exposure to assets that could be meaningfully affected by an economic disruption due to the virus (i.e. hotel/leisure, global supply chain, retail). Most fixed income asset classes, except for government bonds, declined in value as the global economy began to shut down. We rotated out of the most defensive assets and added exposure both to stable assets (such as investment grade corporates and AAA-rated collateralised loan obligations) and to opportunistic assets (such as credit risk transfer and BBB-rated single asset single borrower commercial mortgage deals). The active rotation contributed to performance as most fixed income sectors recovered through the end of June. Top contributors to Fund performance included investment grade corporate bond, government bonds, collateralised loan obligations and asset backed securities. The biggest detractors to Fund performance included commercial mortgage backed securities, credit risk transfer and emerging market debt. Tactical credit and rates positions were also positive contributors to performance.

The Fund’s gross yield to maturity (US Dollar hedged share class) rose during the period from just below to just above 3%. Average credit quality remained investment grade.

Portfolio Characteristics

As of 30 June 2020

Duration Allocation Credit Allocation Sector Allocation

0 - 1 years 38% AAA 19% Asset-backed and Mortgage-backed 53%

1 - 5 years 58% AA 3% Corporates 35%

5+ years 4% A 10% Government/Gov't Related 9%

BBB 24% Bank Loans 2%

BB and Below 31% Payden USD Low Duration Credit Fund 1%

Not Rated 13% Payden Global High Yield Bond Fund 0%(1)

(1) A zero balance may reflect actual rounding to less than 0.5.



7

Payden Euro Liquidity Fund

Share Class Fund (net) Benchmark*

Euro Class (Accumulating) (0.66)% (0.23)%

Euro Class (Distributing) (0.67)% (0.23)%

* ICE BofA Euro 1-Month Deposit Offered Rate Constant Maturity Index.

Given our view that interest rates would remain very low in the Eurozone for the foreseeable future, a view emboldened by the economic and market turmoil of the first quarter, interest rate duration was held close to one year throughout the period, enabling advantage to be taken of a broader range of short dated non-government bonds, including some fixed rate securities. The Fund consequently benefitted from the further, albeit modest, decline in government bond yields.

However, the main determinant of performance in the first half was the significant exposure to investment grade non-government bonds, mostly corporate securities, but also a 15% exposure to high quality securitised bonds. Both detracted from performance, contributing to a peak to trough decline of 2.75% between late February and early April. The decision to retain this exposure was rewarded as more than 70% of this price decline was recovered over the balance of the first half of the year.

The Fund’s gross yield to maturity at the period end was 0.38%, an increase of 0.38% over the first half. Average credit quality remained constant at mid-single A.


As of 30 June 2020

Duration Allocation Credit Allocation Country Allocation

0 - 1 years 61% AAA 22% Euroland 49%

1 - 5 years 39% AA 3% United States 22%

5+ years – A 33% United Kingdom 13%

BBB and Below 42% Scandinavia 5%

Japan 4%

Switzerland 3%

China 2%

Jersey 1%

New Zealand 1%



8

Payden Global Bond Fund


Euro Class 2.68% 4.29%

Euro Class (Distributing) 2.68% 4.29%

Norwegian Krone Class 3.20% 5.10%

US Dollar Class 3.78% 5.08%

US Dollar Class (Accumulating) Unhedged 2.62% 4.08%

* All share classes currency hedged (unless otherwise stated). ** FTSE World Government Bond Index (Currency Hedged).

Fund duration was held near 8.5 years, close to that of the benchmark, and benefitted materially in absolute terms as yields declined. Currency positions also remained light relative to benchmark, with no persistent trends and bouts of extreme volatility.

Allocation to investment grade non-government bonds remained a major feature throughout, varying between a 35% and 40% allocation in total, split between corporate and securitised bonds. These non-government allocations were the main determinant of Fund performance relative to benchmark over the first half. Active security selection, especially in investment grade corporates added to returns. Participation in new corporate bond issues increased beginning in April as markets reopened.

The Fund’s gross yield to maturity (US Dollar-hedged share class) ended the first half at 1.5%, a decline of 1.0% over the period. Average credit quality remained a constant high-single A.


As of 30 June 2020

Duration Allocation Credit Allocation Currency of Holding

0 - 1 years 11% AAA 20% Euro 45%

1 - 5 years 30% AA 18% US Dollar 27%

5+ years 59% A 31% Japanese Yen 18%

BBB 29% Sterling Pound 6%

Not Rated 2% Australian Dollar 2%

Canadian Dollar 1%

Mexican Peso 1%



9

Payden Global Emerging Markets Bond Fund


Euro Class (7.38)% (4.89)%

Sterling Class (Accumulating) (7.55)% (4.77)%

Swiss Franc Class (Accumulating) (7.54)% (5.31)%

US Dollar Class (5.60)% (3.98)%

US Dollar Class (Distributing) (5.60)% (3.98)%

* All share classes currency hedged (100% versus US Dollar, with the exception of the Swiss Franc Share Class, which hedges only the benchmark hard currency 70%). ** 70% JPMorgan EMBI Global Diversified Bond Index / 30% JPMorgan GBI-EM Global Diversified (USD unhedged).

The Fund maintained diversified exposures to hard-currency sovereigns and quasi-sovereigns, corporate bonds, and local currency markets. The Fund was positioned with a modest duration overweight for most of the period. As market volatility increased due to the COVID-19 shock and subsequent implications on global growth, positions were reduced or sold in countries with elevated risks, currency exposures neutralised, and portfolio hedges utilised. As markets rebounded and governments injected stimulus into the global economy, positions were increased across markets offering more attractive investment opportunities to capitalise on the improvement in risk sentiment.

Country selection across sovereigns, quasi-sovereigns, and local markets was the primary detractor during the period. Additionally, local currency positioning and investments in emerging market corporate credits detracted. Portfolio hedges via sovereign CDS and U.S. high yield CDX benefitted relative performance.

The Fund’s gross yield to maturity ended the first half at 5.75%, a decline of just 0.4% over the period. Average credit quality remained constant at high-double B, the highest strata of sub-investment grade.


As of 30 June 2020


0 - 1 years 7% A and Above 13% Indonesia 10%

1 - 5 years 26% BBB 34% Mexico 6%

5+ years 67% BB 21% Brazil 5%

B 25% Malaysia 5%

CCC 1% Russia 5%

CC and Below 3% Colombia 4%

Not Rated 3% South Africa 4%

Ukraine 4%

Dominican Republic 3%

Peru 3%

Other 51%



10

Payden Global Emerging Markets Corporate Bond Fund


US Dollar Class (Distributing) (1.60)% (0.16)%

* JPMorgan CEMBI Broad Diversified Bond Index.

The Fund maintained diversified exposures in emerging and developed market corporate credits, hard currency sovereigns and quasi-sovereigns, and local currency markets. The Fund was positioned with a modest duration overweight for most of the period, with a focus on security selection in countries and sectors with a favourable outlook. As market volatility increased due to the COVID-19 shock and subsequent implications on global growth, positions were reduced or sold in countries with elevated risks, currency exposures neutralised, and portfolio hedges utilised. As markets rebounded and governments injected stimulus into the global economy, positions were increased across markets offering more attractive investment opportunities to capitalise on the improvement in risk sentiment.

Country selection and corporate security selection both detracted from returns during the period. Country positioning in South Africa, Indonesia, and Saudi Arabia added, while positions with exposure to South Korea, Hong Kong, and Russia detracted. Additionally, gains from security selection in utilities, oil and gas, and metals and mining were more than offset by negative performance in consumer goods, transports, and industrials.

The Fund’s gross yield to maturity ended the first half at 5.35%, an increase of almost 0.4% over the period. Average credit quality declined modestly from low-triple B to high-double B, the highest strata of sub-investment grade.


As of 30 June 2020


0 - 1 years 9% A and Above 9% Brazil 8%

1 - 5 years 40% BBB 34% China 8%

5+ years 51% BB 35% India 8%

B 17% Mexico 8%

CCC 3% United States 8%

CC and Below 1% Peru 6%

Not Rated 1% Colombia 5%

Saudi Arabia 5%

Chile 4%

Indonesia 4%

Other 36%



11

Payden Global Equity Income Fund


Sterling Class (Distributing) (8.82)% (11.84)%

US Dollar Class (Accumulating) (14.94)% (17.78)%

* MSCI World Value Index.

The Fund continued to focus on above-average dividend yields, earnings and dividend growth rates, and diversification to reduce the overall portfolio risk profile during the recessionary environment. Early in the period, the Fund targeted sector exposures that were largely insulated from the global health pandemic and low oil prices, such as technology and consumer staples. As the equity market sharply rebounded due to aggressive stimulus measures from policymakers and optimism surrounding economies reopening, the Fund added to cyclical sectors such as industrials and financials and took profits in health care and utility sectors.

The Fund’s performance was boosted by strong security selection in the information technology and REIT sectors. Sector allocation decisions modestly detracted from performance due to allocations in master limited partnerships and REITs, which were largely offset by an allocation in preference shares.


As of 30 June 2020

Sector Allocation Top 10 Holdings Currency of Holdings

Technology 18% Microsoft Corp 3% US Dollar 74%

Financials 15% ABB Ltd 2% Euro 11%

Health Care 14% Apple Inc 2% Sterling Pound 6%

Industrials 11% Cisco Systems Inc 2% Swiss Franc 5%

Consumer Staples 10% GlaxoSmithKline PLC 2% Japanese Yen 2%

Real Estate 8% JPMorgan Chase & Co 2% Canadian Dollar 1%

Communication Services 7% Lockheed Martin Corp 2% Hong Kong Dollar 1%

Utilities 6% McDonald's Corp 2%

Energy 5% Siemens AG 2%

Consumer Discretionary 4% Verizon Communications Inc 2%

Materials 1%

Money Markets 1%



12

Payden Global Government Bond Index Fund


Euro Class (Accumulating) 4.18% 4.29%

Norwegian Krone Class (Accumulating) 5.08% 5.10%

Singapore Dollar Class (Distributing) 5.00% 5.01%

Sterling Class (Accumulating) 4.68% 4.76%

Sterling Class (Distributing) 4.68% 4.76%

US Dollar Class (Accumulating) 5.18% 5.08%

* All share classes currency hedged. ** FTSE World Government Bond Index (Currency Hedged).

The Fund’s performance (net of fees) closely tracked the FTSE World Government Bond Index.

Duration ranged between 8.23 and 8.76 years during the first half of the year. The gross yield to maturity at the period end was 0.7% (hedged to US Dollars), a decline of 1.4% in the period.


As of 30 June 2020

Duration Allocation Credit Allocation Currency of Holdings

0 - 1 years 8% AAA 48% Euro 35%


5+ years 56% A 24% Japanese Yen 18%

BBB 9% Sterling Pound 6%

Australian Dollar 2%

Canadian Dollar 1%

Danish Krone 1%

Malaysian Ringgit 1%

Mexican Peso 1%

Singapore Dollar 1%

Swedish Krona 1%



13

Payden Global High Yield Bond Fund


Sterling Class (Acumlating) (6.68)% (3.94)%

US Dollar Class (5.59)% (3.17)%

* All share classes currency hedged. ** ICE BofA BB/B Global High Yield Constrained Index (Currency Hedged).

The Fund began the year with an overweight allocation to US and European issues, funded with an underweight position in emerging markets. As the year progressed, the Fund’s top down geographic allocation stayed relatively consistent but the overweight to European issues was gradually increased along with the allocation to US investment grade. The Fund also continued to hold out-of-index positions in securitised products.

The Fund’s performance was driven by the underweight to emerging markets and specifically the Fund’s underweight to better performing higher quality emerging markets corporates. The allocation to securitised products also negatively impacted performance. The main positive contributor to performance was the underweight to US Industrials and specifically to basic industry and capital goods subsectors that were hurt due to the economic slowdown resulting from Covid-19.

The Fund’s gross yield to maturity ended the first half at 6.1%, an increase of 0.9% over the period. Average credit quality fell modestly from low-double B to high-single B.


As of 30 June 2020


0 - 1 years 9% BBB and Above 8% United States 61%

1 - 5 years 54% BB 44% France 4%

5+ years 37% B 45% Netherlands 4%

CCC 3% United Kingdom 4%

Not Rated 0%(1) Chile 3%

Ireland 3%

Israel 3%

Spain 3%

Cayman Islands 2%

Egypt 2%

Other 11%

(1) A zero balance may reflect actual rounding to less than 0.5.



14

Payden Global Inflation - Linked Bond Fund





Sterling Class Unhedged (Distributing) 11.41% 11.71%


* All share classes currency hedged (unless otherwise stated). ** Hedged Classes: Bloomberg Barclays World Government Inflation-Linked G7 Bond Index (Hedged) / Unhedged Classes: Bloomberg Barclays World Government Inflation-Linked G7 Bond Index (Unhedged-GBP).

Interest rate duration of the Fund was held between 11.5 years and 12.5 years and contributed positively to the Fund’s absolute performance as real yields declined.

The allocations to US Dollar and sterling denominated inflation-linked government bonds were the main contributors to total return as real yields in these markets declined by 89 and 51 basis points respectively. Relative to the index, the Fund held an underweight position to Japanese inflation-linked government bonds which benefitted relative performance. The Fund held various active positions relative to the index over the first half of the year which overall had a modest negative impact on relative performance. Examples of such positions including an overweight to US Treasury Inflation Protected Securities vs. underweight US Treasury Futures, and an underweight to UK Gilt inflation-linked bonds vs. overweight French inflation-linked government bonds.

The Fund’s gross real yield (US Dollar-hedged share class) ended the first half of the year at -1.1%, declining by 0.5% over the period. The average credit quality of the Fund remained unchanged at AA+.


As of 30 June 2020


0 - 1 years 5% AAA 60% US Dollar 53%

1 - 5 years 32% AA 34% Sterling Pound 30%

5+ years 63% BBB 6% Euro 15%

Canadian Dollar 2%



15

Payden Global Short Bond Fund


Euro Class (Accumulating) (0.53)% 1.19%

Norwegian Krone Class (Accumulating) 0.08% 2.04%

Sterling Class (Accumulating) (0.08)% 1.74%

Swedish Krona Class (Accumulating) (0.34)% 1.31%


* All share classes currency hedged. ** FTSE World Government Bond Index 1-3 year (Currency Hedged).

Fund duration was held between 1.5 and 2 years, close to that of the benchmark. This provided some benefit to absolute returns as yields declined. Currency positions were modest relative to benchmark, with no persistent trends and bouts of extreme volatility.

The allocation to non-government bonds remained a major feature throughout, averaging around 70% over the period. The majority of this non-government bond allocation was to corporates, with the balance being exposed to selected components of the securitised bond market. These non-government allocations were the main determinant of Fund performance relative to benchmark over the first half of the year. Active security selection, especially in investment grade corporates added to returns. Participation in new corporate bond issue increased beginning in April as markets reopened.

The Fund’s gross yield to maturity (US Dollar-hedged share class) ended the first half at 1.5%, a decline of 0.75% over the period. Average credit quality remained a constant mid-single A.


As of 30 June 2020


0 - 1 years 35% AAA 20% Euro 43%


5+ years – A 27% Sterling Pound 9%

BBB 34% Japanese Yen 8%

Not Rated 8% Mexican Peso 1%



16

Payden Sterling Corporate Bond Fund

Due to a withdrawal from the fund, from the final investor, the Sterling Corporate Bond fund was closed 14 February 2020.

The Fund held on average just under 15% allocated to out-of-index financials. The allocation contributed positively to relative returns. However, the Fund’s lower beta stance, as well as, the underweight to both industrials and utilities meant overall performance lagged that of the benchmark.



17

Payden Sterling Reserve Fund




* ICE BofA British Pound 1-Month Deposit Bid Rate Constant Maturity Index.

Interest rate duration was managed in a tight range between 0.5 years and 0.75 years in the first half. Following the sharp rise in volatility in March and subsequent reactions from the Bank of England, government bond yields in the UK declined significantly. With the yield on 2-year Gilts dropping by more than 60 basis points during the first 6 months of the year, reaching an all-time low of (0.07)%, this modest but positive duration exposure added to Fund returns.

The Fund remained invested in a combination of very high quality, sterling-denominated bonds, including covered bonds, corporates, other securitised bonds as well as governments and agency bonds. The Fund holds both fixed and floating-rate bonds but throughout the first half had a bias toward holding floating-rate securities. The Fund significantly outperformed Sterling deposits over the entirety of the first half, demonstrating again the attractive characteristics of short-dated high-quality bonds.

The Fund’s gross yield to maturity ended the first half year at 0.6%, a decline of 0.6% over the period. The Fund rating was maintained at AAAf with Fitch.


As of 30 June 2020


0 - 1 years 81% AAA 68% United Kingdom 46%

1 - 5 years 19% AA+ 1% Euroland 10%

5+ years – AA 3% Scandinavia 9%

AA- 15% Canada 8%

A+ 10% United States 8%

A 1% Australia 5%

BBB+ 2% Supranational 5%

New Zealand 3%

Japan 2%

Singapore 2%

Other 2%



18

Payden US Core Bond Fund



* Bloomberg Barclays US Aggregate Bond Index.

The Core Bond Strategy entered the year with a neutral duration position versus the benchmark and an overweight to credit sectors. This overweight was split between Investment Grade Corporates, Securitized Products, Emerging Markets and High Yield. The Fund increased exposure to Agency MBS and maintained this positioning entering the Covid-19 induced March selloff. In April the Fund increased the allocation to IG Corporates and funded those purchases by selling the Agency MBS.

The Fund’s overweight to credit was the main contributor to negative relative performance during the first half of 2020. The Fund did maintain its exposure to spread product and therefore recovered during the second quarter but still had negative YTD alpha at the end of the period since spread markets had not fully recovered from the selloff.

The Fund’s gross yield to maturity ended the first half year at 1.8%, a decrease of 0.7% over the period. Average credit quality for the Fund stayed the same at AA3.


As of 30 June 2020

Duration Allocation Credit Allocation Sector Allocation

0 - 1 years 12% AAA 54% Corporates 38%

1 - 5 years 45% AA 5% Government/Gov't Related 30%

5+ years 43% A 13% Mortgage Related 23%

BBB 22% Asset-backed and Mortgage-backed 9%

BB and Below 5%

Not Rated 1%



19

Payden US Dollar Liquidity Fund



* ICE BofA US 3-month Treasury Bill Index.

The Fund’s duration at the end of June 2020 was 0.53 years, a decrease of almost 0.2 years relative to the start of the year.

The Fund’s performance was supported by allocations to investment grade and high yield corporate bonds in the financial and industrial sectors, respectively. Securitised products also contributed meaningfully to returns whilst also offering diversification benefits.

The Fund’s yield to maturity ended the first half at 0.8%. Average credit quality was held at low-double A throughout.


As of 30 June 2020


0 - 1 years 80% AAA 40% United States 74%

1 - 5 years 20% AA 14% Australia 4%

5+ years – A 27% Canada 4%

BBB 16% Euroland 4%

BB and Below 3% Switzerland 3%

United Kingdom 3%

Japan 2%

Supranational 2%

Cayman Islands 1%

Singapore 1%

Other 2%



20

Payden USD Low Duration Credit Fund





US Dollar Class (Distributing) 1.92% 3.28%

* All share classes currency hedged. ** Bloomberg Barclays US Corporate Bond Index 1-5 year.

The Fund was neutral to modestly overweight duration during the first half of the year, which was additive to performance, and is now at a duration of 2.84 years, flat to the index.

Heading into the year we were constructive on the global macroeconomic outlook and held a favourable view on the energy sector. As such, the Fund was overweight to energy which was a key detractor from performance as oil prices plunged due to an OPEC price war and the Covid-19 pandemic. The Fund’s underweight to the basic industry sector benefitted performance as the global economy entered a synchronised downturn.

The Fund has been actively participating in the new issues market with a focus on adding to sectors with defensive characteristics such as consumer goods, healthcare, technology and top tier global banks. We reduced exposure to the energy sector given a more cautious outlook on energy prices, but we still see value in the areas of global integrated oil producers and high-quality BBB-rated pipelines.

The Fund’s gross yield to maturity ended the first half at 1.65%, a decline of 0.8% over the period. Average credit quality remained constant at low-single A.


As of 30 June 2020


0 - 1 years 3% AAA 1% United States 79%

1 - 5 years 96% AA 5% Euroland 5%

5+ years 1% A 34% United Kingdom 4%

BBB 54% Canada 3%

BB and Below 5% Japan 2%

Not Rated 1% Scandinavia 2%

Bermuda 1%

Cayman Islands 1%

New Zealand 1%

Switzerland 1%

Other 1%


SCHEDULE OF INVESTMENTS

21


As at 30 June 2020

Holding Name of securities Fair value % of net

USD assets

Asset-backed and Mortgage-backed securities 1,463,456,863 51.82

11,419,899 Allegro CLO III Ltd floating rate 25-Jul-2027 11,323,588 0.40

6,697,000 Allegro CLO V Ltd floating rate 16-Oct-2030 6,550,265 0.23

2,454,266 Alternative Loan Trust 2005-21CB 5.250% 25-Jun-2035 2,291,669 0.08

486,020 Alternative Loan Trust 2005-46CB 5.500% 25-Oct-2035 419,685 0.01

3,894,105 Alternative Loan Trust 2005-46CB A2 5.500% 25-Oct-2035 3,362,610 0.12


291,724 Alternative Loan Trust 2005-54CB 5.125% 25-Nov-2035 226,958 0.01

1,251,535 Alternative Loan Trust 2005-56 floating rate 25-Nov-2035 1,208,129 0.04

2,809,998 Alternative Loan Trust 2005-74T1 6.000% 25-Jan-2036 2,241,694 0.08

3,657,311 Alternative Loan Trust 2006-25CB 6.000% 25-Oct-2036 2,895,342 0.10


7,055,076 Alternative Loan Trust 2006-2CB 6.000% 25-Mar-2036 5,094,789 0.18

266,448 Alternative Loan Trust 2006-34 6.250% 25-Nov-2046 204,725 0.01

701,631 Alternative Loan Trust 2006-36T2 6.250% 25-Dec-2036 459,750 0.02

249,370 Alternative Loan Trust 2006-J5 6.500% 25-Sep-2036 198,498 0.01

5,354,724 Alternative Loan Trust 2007-12T1 6.000% 25-Jun-2037 3,909,969 0.14

4,184,360 Alternative Loan Trust 2007-12T1 A6 6.000% 25-Jun-2037 3,055,380 0.11

5,033,181 Alternative Loan Trust 2007-23CB 6.000% 25-Sep-2037 3,766,095 0.13

6,068,229 Alternative Loan Trust 2007-5CB 6.000% 25-Apr-2037 4,819,102 0.17

3,235,566 Alternative Loan Trust 2007-5CB 1A4 6.000% 25-Apr-2037 2,567,984 0.09

5,128,388 Alternative Loan Trust 2007-5CB 1A11 6.000% 25-Apr-2037 4,070,993 0.14

1,359,435 Alternative Loan Trust 2007-9T1 6.000% 25-May-2037 764,370 0.03

471,300 Alternative Loan Trust 2007-9T1 2A3 6.000% 25-May-2037 267,779 0.01

11,428,813 American Home Mortgage Assets Trust 2007-2 floating rate 25-Mar-2047 8,795,377 0.31

9,950,000 Apidos CLO XXVII floating rate 17-Jul-2030 9,647,308 0.34

5,000,000 Apidos CLO XXVII 144A floating rate 17-Jul-2030 4,847,893 0.17

3,113,000Arbor Realty Collateralized Loan Obligation 2017-FL3 Ltd floating rate 15-Dec-2027 3,057,589 0.11

4,700,000Arbor Realty Commercial Real Estate Notes 2018-FL1 Ltd C floating rate 15-Jun-2028 4,334,140 0.15

5,000,000Arbor Realty Commercial Real Estate Notes 2018-FL1 Ltd D floating rate 15-Jun-2028 4,516,684 0.16

6,000,000Arbor Realty Commercial Real Estate Notes 2019-FL2 Ltd floating rate 15-Sep-2034 5,376,187 0.19

5,041,955 AREIT 2018-CRE2 Trust AS floating rate 14-Nov-2035 4,861,154 0.17

3,219,862 AREIT 2018-CRE2 Trust B floating rate 14-Nov-2035 3,059,658 0.11

1,800,000 Bain Capital Euro CLO 2017-1 DAC floating rate 17-Oct-2030 1,998,694 0.07

7,050,000 Bain Capital Euro CLO 2018-1 DAC floating rate 20-Apr-2032 7,786,513 0.28

902,762 Banc of America Funding 2005-H Trust floating rate 20-Nov-2035 775,786 0.03

8,362,991 Banc of America Funding 2007-3 Trust floating rate 25-Apr-2037 7,345,387 0.26

4,500,000 Barings CLO Ltd 2016-II floating rate 20-Jul-2028 4,288,185 0.15

665,983 BCAP LLC Trust 2007-AA2 6.000% 25-Apr-2037 515,080 0.02

4,073,035 BDS 2018-FL2 A floating rate 15-Aug-2035 4,012,774 0.14

1,500,000 BDS 2018-FL2 B floating rate 15-Aug-2035 1,458,022 0.05

2,750,000 BDS 2018-FL2 C floating rate 15-Aug-2035 2,590,376 0.09

10,810,000 BDS 2020-FL5 Ltd A floating rate 16-Feb-2037 10,552,046 0.37

4,200,000 BDS 2020-FL5 Ltd C floating rate 16-Feb-2037 3,934,254 0.14

4,350,000 BDS 2020-FL5 Ltd D floating rate 16-Feb-2037 3,832,309 0.14

2,511,769 Bear Stearns ARM Trust 2007-4 floating rate 25-Jun-2047 2,289,948 0.08

5,550,000 Blackrock European Clo III Designated Activity Co floating rate 15-Apr-2030 6,205,674 0.22

5,300,000 Blackrock European CLO IV DAC A floating rate 15-Jul-2030 5,904,572 0.21

1,200,000 Blackrock European CLO IV DAC B1 floating rate 15-Jul-2030 1,313,366 0.05


SCHEDULE OF INVESTMENTS (continued)

22

Payden Absolute Return Bond Fund (continued)

As at 30 June 2020


USD assets

Asset-backed and Mortgage-backed securities (continued)

1,950,000 Blackrock European CLO IV DAC D floating rate 15-Jul-2030 2,049,211 0.07

6,400,000 Blackrock European CLO VII DAC floating rate 15-Oct-2031 7,037,063 0.25

9,450,000 BSPRT 2018-FL4 Issuer Ltd AS floating rate 15-Sep-2035 9,026,184 0.32

9,450,000 BSPRT 2018-FL4 Issuer Ltd B floating rate 15-Sep-2035 8,861,337 0.31

7,950,000 BSPRT 2018-FL4 Issuer Ltd C floating rate 15-Sep-2035 6,812,781 0.24

7,200,000 BSPRT 2018-FL4 Issuer Ltd D floating rate 15-Sep-2035 5,745,226 0.20

7,560,000 BX Commercial Mortgage Trust 2018-IND B floating rate 15-Nov-2035 7,481,393 0.26

8,960,000 BX Commercial Mortgage Trust 2018-IND D floating rate 15-Nov-2035 8,857,968 0.31

6,860,000 BX Commercial Mortgage Trust 2018-IND E floating rate 15-Nov-2035 6,775,405 0.24

8,800,000 BXMT 2020-FL2 Ltd AS floating rate 16-Feb-2037 8,457,592 0.30

7,700,000 BXMT 2020-FL2 Ltd D floating rate 16-Feb-2037 7,094,241 0.25

1,600,000 Cairn CLO III BV floating rate 20-Oct-2028 1,688,359 0.06

4,911,554Carlyle Global Market Strategies Euro CLO 2015-2 DAC AA1R floating rate21-Sep-2029 5,476,338 0.19

2,700,000Carlyle Global Market Strategies Euro CLO 2015-2 DAC CR floating rate 21-Sep-2029 2,862,554 0.10

1,149,911 Charter Mortgage Funding 2017-1 PLC floating rate 12-Jun-2054 1,403,441 0.05

7,158,820 CHL Mortgage Pass-Through Trust 2005-3 floating rate 25-Apr-2035 6,351,435 0.22

995,712 CHL Mortgage Pass-Through Trust 2005-HYB7 floating rate 20-Nov-2035 833,148 0.03

1,046,193 CHL Mortgage Pass-Through Trust 2006-HYB1 floating rate 20-Mar-2036 981,714 0.03

4,252,859 CHL Mortgage Pass-Through Trust 2007-10 6.000% 25-Jul-2037 3,217,704 0.11

6,123,023 CHL Mortgage Pass-Through Trust 2007-21 6.250% 25-Feb-2038 4,648,310 0.16

5,031,639 CHL Mortgage Pass-Through Trust 2007-8 6.000% 25-Jan-2038 3,686,164 0.13

1,223,916 CHL Mortgage Pass-Through Trust 2007-HYB2 floating rate 25-Feb-2047 1,085,340 0.04

3,600,000 CIFC Funding 2017-II Ltd floating rate 20-Apr-2030 3,530,885 0.13

5,640,000 CIFC Funding 2017-III Ltd A1 floating rate 20-Jul-2030 5,559,166 0.20

400,000 CIFC Funding 2017-III Ltd A2 floating rate 20-Jul-2030 391,789 0.01

3,800,000 CIFC Funding 2019-I Ltd floating rate 20-Apr-2032 3,740,549 0.13

232,448 Citigroup Mortgage Loan Trust 2006-4 6.000% 25-Dec-2035 232,778 0.01

1,809,853 Citigroup Mortgage Loan Trust 2006-AR3 floating rate 25-Jun-2036 1,651,591 0.06

3,241,968 Citigroup Mortgage Loan Trust 2007-10 floating rate 25-Sep-2037 3,015,618 0.11

7,721,946CitiMortgage Alternative Loan Trust Series 2007-A6 1A7 6.000% 25-Jun-2037 7,572,307 0.27

4,011,622CitiMortgage Alternative Loan Trust Series 2007-A6 1A10 6.000% 25-Jun-2037 3,933,896 0.14

6,050,000 Clarinda Park CLO DAC A1 floating rate 15-Nov-2029 6,744,367 0.24

7,900,000 Clarinda Park CLO DAC A2 floating rate 15-Nov-2029 8,718,537 0.31

9,150,000 CLNC 2019-FL1 Ltd floating rate 20-Aug-2035 8,932,687 0.32

7,600,000 COMM 2019-WCM Mortgage Trust A floating rate 15-Oct-2036 7,446,467 0.26

6,100,000 COMM 2019-WCM Mortgage Trust D floating rate 15-Oct-2036 5,836,739 0.21

5,650,000 COMM 2019-WCM Mortgage Trust F floating rate 15-Oct-2036 4,751,377 0.17

10,342,076 Connecticut Avenue Securities Trust 2018-R07 floating rate 25-Apr-2031 10,312,979 0.37

8,200,000Connecticut Avenue Securities Trust 2019-HRP1 B1 floating rate 25-Nov-2039 6,535,970 0.23

29,918,636Connecticut Avenue Securities Trust 2019-HRP1 M2 floating rate 25-Nov-2039 27,601,895 0.98

5,550,106 Connecticut Avenue Securities Trust 2019-R01 floating rate 25-Jul-2031 5,463,925 0.19

8,000,000 Connecticut Avenue Securities Trust 2019-R01 2B1 floating rate 25-Jul-2031 7,738,658 0.27

4,456,756 Connecticut Avenue Securities Trust 2019-R04 floating rate 25-Jun-2039 4,365,157 0.15

4,000,000 Connecticut Avenue Securities Trust 2019-R04 2B1 floating rate 25-Jun-2039 3,716,890 0.13

1,756,711 Connecticut Avenue Securities Trust 2019-R06 floating rate 25-Sep-2039 1,754,955 0.06



23


As at 30 June 2020


USD assets


9,600,000Connecticut Avenue Securities Trust 2019-R06 2M2 floating rate 25-Sep-2039 9,402,186 0.33

6,250,000 Connecticut Avenue Securities Trust 2019-R07 floating rate 25-Oct-2039 5,223,665 0.18

6,722,423 Connecticut Avenue Securities Trust 2020-R01 floating rate 25-Jan-2040 6,711,460 0.24

2,500,000 Connecticut Avenue Securities Trust 2020-R01 1M2 floating rate 25-Jan-2040 2,405,412 0.09

2,750,000 Connecticut Avenue Securities Trust 2020-R02 floating rate 25-Jan-2040 2,638,186 0.09



6,250,000 Contego Clo V DAC floating rate 15-Jan-2031 6,944,763 0.25

3,366,585 CoreVest American Finance 2018-1 Trust 3.804% 15-Jun-2051 3,476,773 0.12

8,162,993 CoreVest American Finance 2018-2 Trust 4.026% 15-Nov-2052 8,558,965 0.30

4,598,079 Countrywide Asset-Backed Certificates floating rate 25-Mar-2037 4,405,285 0.16

2,311,712 Countrywide Asset-Backed Certificates floating rate 25-Oct-2046 2,286,357 0.08

199,402 CSMC Mortgage-Backed Trust 2006-7 6.000% 25-Aug-2036 136,319 0.00

7,450,000 CVC Cordatus Loan Fund III DAV A1RR floating rate 15-Aug-2032 8,237,796 0.29

6,350,000 CVC Cordatus Loan Fund III DAV DRR floating rate 15-Aug-2032 6,532,714 0.23

5,550,000 CVC Cordatus Loan Fund VI DAC floating rate 15-Apr-2032 6,142,490 0.22

6,300,000 Deer Creek Clo Ltd 2017-1 floating rate 20-Oct-2030 6,173,185 0.22

9,091,589

Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6 floating

rate 25-Feb-2037 7,932,259 0.28

7,150,000 Dryden 39 Euro CLO 2015 BV floating rate 15-Oct-2031 7,947,932 0.28

2,155,599 Fannie Mae Connecticut Avenue Securities 1M2 floating rate 25-Jan-2030 2,129,584 0.08

10,487,579 Fannie Mae Connecticut Avenue Securities 1M2 floating rate 25-Jul-2030 10,328,753 0.37

19,696,056 Fannie Mae Connecticut Avenue Securities 1M2 floating rate 25-Oct-2030 19,531,186 0.69

4,673,802 Fannie Mae Connecticut Avenue Securities 1M2 floating rate 25-Jan-2031 4,612,583 0.16

2,568,036 Fannie Mae Connecticut Avenue Securities 1M2 floating rate 25-Mar-2031 2,486,218 0.09

5,806,340 Fannie Mae Connecticut Avenue Securities 2M2 floating rate 25-May-2029 6,057,304 0.21

4,520,052 Fannie Mae Connecticut Avenue Securities 2M2 floating rate 25-Feb-2030 4,482,459 0.16

3,898,326 Fannie Mae Connecticut Avenue Securities 2M2 floating rate 25-May-2030 3,869,920 0.14

4,867,513 Fannie Mae Connecticut Avenue Securities 2M2 floating rate 25-Aug-2030 4,803,127 0.17

6,097,934 Fannie Mae Connecticut Avenue Securities 2M2 floating rate 25-Dec-2030 6,058,395 0.21

7,025,871 Fannie Mae Connecticut Avenue Securities 2M2 floating rate 25-Mar-2031 6,924,140 0.25

1,144,864

First Horizon Alternative Mortgage Securities Trust 2006-AA5 floating rate

25-Sep-2036 1,027,630 0.04

255,184

First Horizon Alternative Mortgage Securities Trust 2006-FA2 6.000%

25-May-2036 179,969 0.01

6,823,678

First Horizon Alternative Mortgage Securities Trust 2007-FA4 6.250%

25-Aug-2037 4,705,593 0.17

9,700,000 Flatiron CLO 17 Ltd floating rate 15-May-2030 9,617,690 0.34

4,399,787 Flatiron CLO 2015-1 Ltd floating rate 15-Apr-2027 4,358,539 0.15

8,400,000 Freddie Mac STACR 2019-HQA3 B1 floating rate 25-Sep-2049 7,836,041 0.28

3,250,000 Freddie Mac STACR 2019-HQA3 B2 floating rate 25-Sep-2049 2,631,649 0.09

14,728,038 Freddie Mac STACR 2019-HQA3 M2 floating rate 25-Sep-2049 14,335,812 0.51

1,050,095 Freddie Mac STACR Remic Trust 2019-HQA4 M1 floating rate 25-Nov-2049 1,045,810 0.04

9,050,000 Freddie Mac STACR Remic Trust 2019-HQA4 M2 floating rate 25-Nov-2049 8,866,847 0.31

7,750,000 Freddie Mac STACR Remic Trust 2020-DNA2 B1 floating rate 25-Feb-2050 6,421,912 0.23

3,200,000 Freddie Mac STACR Remic Trust 2020-DNA2 B2 floating rate 25-Feb-2050 1,926,586 0.07

5,412,191 Freddie Mac STACR Remic Trust 2020-DNA2 M1 floating rate 25-Feb-2050 5,382,670 0.19

4,100,000 Freddie Mac STACR Remic Trust 2020-DNA2 M2 floating rate 25-Feb-2050 3,940,270 0.14

3,250,000 Freddie Mac STACR Remic Trust 2020-HQA1 B2 floating rate 25-Jan-2050 1,904,094 0.07

7,300,000 Freddie Mac STACR Remic Trust 2020-HQA1 M2 floating rate 25-Jan-2050 7,004,496 0.25

5,200,000 Freddie Mac STACR Remic Trust 2020-HQA2 B2 floating rate 25-Mar-2050 3,705,251 0.13



24


As at 30 June 2020


USD assets


6,212,794 Freddie Mac STACR Remic Trust 2020-HQA2 M1 floating rate 25-Mar-2050 6,206,443 0.22

495,818 Freddie Mac STACR Trust 2018-HQA2 floating rate 25-Oct-2048 495,250 0.02

21,700,000 Freddie Mac STACR Trust 2018-HQA2 M2 floating rate 25-Oct-2048 21,092,821 0.75

8,050,000 Freddie Mac STACR Trust 2019-DNA1 B1 floating rate 25-Jan-2049 8,254,491 0.29

5,320,164 Freddie Mac STACR Trust 2019-DNA1 M2 floating rate 25-Jan-2049 5,289,271 0.19

7,834,481 Freddie Mac STACR Trust 2019-DNA2 floating rate 25-Mar-2049 7,788,723 0.28

3,144,074 Freddie Mac STACR Trust 2019-DNA3 floating rate 25-Jul-2049 3,100,433 0.11

4,597,484 Freddie Mac STACR Trust 2019-DNA4 floating rate 25-Oct-2049 4,548,198 0.16

2,400,000 Freddie Mac STACR Trust 2019-FTR3 floating rate 25-Sep-2047 1,841,886 0.07

2,650,000 Freddie Mac STACR Trust 2019-FTR4 floating rate 25-Nov-2047 2,023,431 0.07

4,560,696 Freddie Mac STACR Trust 2019-HQA1 floating rate 25-Feb-2049 4,497,195 0.16

10,245,637 Freddie Mac STACR Trust 2019-HQA2 floating rate 25-Apr-2049 10,111,303 0.36

4,650,000 Freddie Mac STACR Trust 2019-HRP1 floating rate 25-Feb-2049 4,458,758 0.16

2,432,966Freddie Mac Structured Agency Credit Risk Debt Notes M1 floating rate 25-Mar-2030 2,435,087 0.09



3,484,432Freddie Mac Structured Agency Credit Risk Debt Notes M2 floating rate 25-Apr-2030 3,503,633 0.12

6,300,244Freddie Mac Structured Agency Credit Risk Debt Notes M2 floating rate 25-Jul-2030 6,217,736 0.22

15,028,142Freddie Mac Structured Agency Credit Risk Debt Notes M2 floating rate 25-Sep-2030 14,945,528 0.53

11,066,183Freddie Mac Structured Agency Credit Risk Debt Notes M2 floating rate 25-Aug-2048 10,912,041 0.39


900,000Freddie Mac Structured Agency Credit Risk Debt Notes M3 floating rate 25-Mar-2029 933,491 0.03

2,500,000 Galaxy XXII CLO Ltd floating rate 16-Jul-2028 2,463,779 0.09

5,300,000 GPMT 2019-FL2 Ltd A floating rate 22-Feb-2036 5,221,521 0.18

8,700,000 GPMT 2019-FL2 Ltd B floating rate 22-Feb-2036 8,448,339 0.30

443,252 GreenPoint MTA Trust 2005-AR1 floating rate 25-Jun-2045 383,283 0.01

11,000,000Greystone Commercial Real Estate Notes 2018-HC1 Ltd A floating rate 15-Sep-2028 10,824,874 0.38

5,050,000Greystone Commercial Real Estate Notes 2018-HC1 Ltd AS floating rate 15-Sep-2028 4,861,013 0.17

6,900,000Greystone Commercial Real Estate Notes 2018-HC1 Ltd B floating rate 15-Sep-2028 6,520,167 0.23

8,320,000 Greystone CRE Notes 2019-FL2 Ltd A floating rate 15-Sep-2037 8,091,200 0.29

6,800,000 Greystone CRE Notes 2019-FL2 Ltd C floating rate 15-Sep-2037 6,358,341 0.23

5,652,000 Greystone CRE Notes 2019-FL2 Ltd D floating rate 15-Sep-2037 5,115,405 0.18

4,964,154 GSMPS Mortgage Loan Trust 2005-RP2 floating rate 25-Mar-2035 4,458,685 0.16

877,442 GSR Mortgage Loan Trust 2007-AR2 floating rate 25-May-2037 683,985 0.02

6,000,000 Harvest Clo XII DAC AR floating rate 18-Nov-2030 6,677,073 0.24

3,000,000 Harvest Clo XII DAC B1R floating rate 18-Nov-2030 3,259,869 0.12

1,500,000 Harvest Clo XII DAC DR floating rate 18-Nov-2030 1,587,752 0.06

10,350,000 Henley CLO I DAC A floating rate 15-Jul-2032 11,541,893 0.41

5,850,000 Henley CLO I DAC B1 floating rate 15-Jul-2032 6,464,153 0.23

4,250,000 Henley CLO I DAC D floating rate 15-Jul-2032 4,562,993 0.16



25


As at 30 June 2020


USD assets


3,829,864 Hunt CRE 2017-FL1 Ltd floating rate 15-Aug-2034 3,775,504 0.13

11,550,000 Hunt CRE 2018-FL2 Ltd floating rate 15-Aug-2028 11,322,472 0.40

7,593,000 ICG US CLO 2017-2 Ltd floating rate 23-Oct-2029 7,471,145 0.26

8,550,000 ICG US CLO Ltd A1R floating rate 19-Oct-2028 8,391,541 0.30

9,850,000 ICG US CLO Ltd CR floating rate 19-Oct-2028 8,944,393 0.32

758,625 IndyMac INDX Mortgage Loan Trust 2005-AR13 floating rate 25-Aug-2035 675,737 0.02

7,464,495 IndyMac INDX Mortgage Loan Trust 2006-AR29 floating rate 25-Nov-2036 6,777,099 0.24

15,545,879 IndyMac INDX Mortgage Loan Trust 2006-AR35 floating rate 25-Jan-2037 13,980,069 0.50

4,404,780 IndyMac INDX Mortgage Loan Trust 2007-AR5 floating rate 25-May-2037 3,954,757 0.14

4,887,731 Invitation Homes 2018-SFR2 Trust floating rate 17-Jun-2037 4,841,640 0.17

11,654,645 Invitation Homes 2018-SFR3 Trust floating rate 17-Jul-2037 11,605,894 0.41

322,161 JP Morgan Mortgage Trust 2007-S2 6.000% 25-Jun-2037 212,926 0.01

3,260,530 JP Morgan Mortgage Trust 2007-S3 6.000% 25-Aug-2037 2,436,441 0.09

3,536,591 JP Morgan Mortgage Trust 2007-S3 1A35 6.000% 25-Aug-2037 2,645,997 0.09

6,648,250 JP Morgan Mortgage Trust 2007-S3 1A97 6.000% 25-Aug-2037 4,969,542 0.18

11,300,000 KREF 2018-FL1 Ltd A floating rate 15-Jun-2036 11,188,215 0.40

5,750,000 KREF 2018-FL1 Ltd AS floating rate 15-Jun-2036 5,635,647 0.20

3,500,000 KREF 2018-FL1 Ltd B floating rate 15-Jun-2036 3,362,335 0.12

3,500,000 KREF 2018-FL1 Ltd C floating rate 15-Jun-2036 3,377,500 0.12

5,000,000 LoanCore 2018-CRE1 Issuer Ltd floating rate 15-May-2028 4,626,736 0.16

3,800,000 Madison Park Euro Funding V BV floating rate 15-May-2031 4,219,742 0.15

6,705,000 Madison Park Euro Funding XI DAC floating rate 15-Feb-2031 7,526,398 0.27

12,100,000 Man GLG Euro Clo III DAC floating rate 15-Oct-2030 13,351,388 0.47

1,743,680

Merrill Lynch Mortgage Backed Securities Trust Series 2007-2 floating rate

25-Aug-2036 1,626,661 0.06

664,207 Morgan Stanley Mortgage Loan Trust 2004-7AR floating rate 25-Sep-2034 643,972 0.02

5,515,419 Oat Hill No 1 PLC floating rate 25-Feb-2046 6,887,722 0.24

3,788,507 OCP CLO 2015-10 Ltd A1R floating rate 26-Oct-2027 3,751,257 0.13

3,250,000 OCP CLO 2015-10 Ltd CR floating rate 26-Oct-2027 3,154,656 0.11

1,972,871 OCP CLO 2015-9 Ltd floating rate 15-Jul-2027 1,960,003 0.07

5,200,000 OCP CLO 2016-11 Ltd floating rate 26-Oct-2030 5,156,948 0.18

8,500,000 OZLME V DAC floating rate 14-Jan-2032 9,450,896 0.33

8,550,000 PFP 2019-6 Ltd A floating rate 14-Apr-2037 8,288,370 0.29

6,759,000 PFP 2019-6 Ltd AS floating rate 14-Apr-2037 6,572,539 0.23

5,600,000 PFP 2019-6 Ltd D floating rate 14-Apr-2037 5,103,112 0.18

2,300,000 Pikes Peak CLO 6 A floating rate 18-Aug-2030 2,305,021 0.08

5,850,000 Pikes Peak CLO 6 B1 floating rate 18-Aug-2030 5,867,447 0.21

2,290,352 Progress Residential 2017-SFR1 Trust 2.768% 17-Aug-2034 2,329,341 0.08

8,444,691 Progress Residential 2018-SFR3 Trust 3.880% 17-Oct-2035 8,735,962 0.31

7,900,000 Progress Residential 2018-SFR3 Trust 4.079% 17-Oct-2035 8,148,504 0.29

7,200,000 Providus CLO IV DAC floating rate 20-Jul-2031 8,075,888 0.29

3,749,935 RALI Series 2005-QA13 Trust floating rate 25-Dec-2035 3,282,254 0.12

3,380,430 RALI Series 2005-QA4 Trust floating rate 25-Apr-2035 2,889,589 0.10

2,545,998 RALI Series 2005-QS14 Trust 6.000% 25-Sep-2035 2,444,616 0.09

7,883,862 RALI Series 2006-QS14 Trust 6.500% 25-Nov-2036 7,118,162 0.25

8,170,426 RALI Series 2006-QS15 Trust 6.500% 25-Oct-2036 7,765,566 0.27

2,841,066 RALI Series 2006-QS4 Trust 6.000% 25-Apr-2036 2,713,172 0.10

1,202,520 RALI Series 2007-QS1 Trust 6.000% 25-Jan-2037 1,083,388 0.04

8,154,384 RALI Series 2007-QS2 Trust 6.250% 25-Jan-2037 7,186,008 0.25

9,800,000 Regatta VI Funding Ltd floating rate 20-Jul-2028 9,636,961 0.34

7,950,000 Regatta VII Funding Ltd floating rate 20-Dec-2028 7,792,844 0.28

24,879,345 Residential Asset Securitization Trust 2006-A4IP floating rate 25-May-2036 15,068,693 0.53



26


As at 30 June 2020


USD assets


2,754,056 RESIMAC Premier Series 2018-1 floating rate 10-Nov-2049 2,740,878 0.10

951,768 RFMSI Series 2007-S5 Trust 6.000% 25-May-2037 959,975 0.03

11,101,144 Ripon Mortgages PLC floating rate 20-Aug-2056 13,683,373 0.48

9,750,000 Santander Drive Auto Receivables Trust 2018-4 3.980% 15-Dec-2025 10,016,064 0.35

10,700,000 St Paul's CLO IX DAC floating rate 15-Nov-2030 11,855,372 0.42

1,188,667 STACR Trust 2018-DNA2 floating rate 25-Dec-2030 1,186,396 0.04

20,077 STACR Trust 2018-DNA3 M1 floating rate 25-Sep-2048 20,062 0.00

13,000,000 STACR Trust 2018-DNA3 M2 floating rate 25-Sep-2048 12,627,551 0.45

16,700,000 STACR Trust 2018-HRP1 B1 floating rate 25-Apr-2043 15,219,941 0.54

9,441,555 STACR Trust 2018-HRP1 B2 floating rate 25-Apr-2043 9,040,063 0.32

15,396,812 STACR Trust 2018-HRP1 M2 floating rate 25-Apr-2043 15,261,545 0.54

25,500,000 STACR Trust 2018-HRP2 floating rate 25-Feb-2047 23,884,256 0.85

9,500,000 STACR Trust 2018-HRP2 B2 floating rate 25-Feb-2047 9,366,884 0.33

5,883,597 STACR Trust 2018-HRP2 M2 floating rate 25-Feb-2047 5,806,431 0.21

8,244,927 Starwood Waypoint Homes 2017-1 Trust floating rate 17-Jan-2035 8,222,307 0.29

1,867,708Structured Asset Mortgage Investments II Trust 2006-AR7 floating rate 25-Aug-2036 1,639,686 0.06

3,500,000 TPG Real Estate Finance 2018-FL2 Issuer Ltd floating rate 15-Nov-2037 3,320,800 0.12

12,200,000 TRTX 2019-FL3 Issuer Ltd floating rate 15-Sep-2034 11,804,099 0.42

10,400,000 Vibrant Clo VII Ltd floating rate 15-Sep-2030 10,164,858 0.36

6,929,190 VMC Finance 2018-FL2 LLC A floating rate 15-Oct-2035 6,738,637 0.24

4,300,000 VMC Finance 2018-FL2 LLC AS floating rate 15-Oct-2035 3,940,595 0.14

6,500,000 Voya Euro CLO I DAC floating rate 15-Oct-2030 7,203,409 0.26

2,367,339

WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust floating

rate 25-Aug-2045 2,380,752 0.08

873,846


rate 25-Sep-2036 806,611 0.03

21,613,073


rate 25-Jan-2037 19,568,375 0.69

1,010,275


rate 25-Jan-2047 936,666 0.03

293,232


rate 25-Aug-2046 270,869 0.01

900,608

WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust 2A3

floating rate 25-Feb-2037 842,812 0.03

561,578


floating rate 25-Feb-2037 499,874 0.02

5,231,507


floating rate 25-Feb-2037 4,933,869 0.17

19,398,525

WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust floating

rate 25-Dec-2036 18,779,464 0.66

1,670,910


rate 25-Jun-2037 1,409,814 0.05

3,461,210


rate 25-Jul-2037 3,087,757 0.11

1,102,099


floating rate 25-Jul-2037 947,843 0.03

2,071,432


floating rate 25-Jul-2037 1,846,973 0.07

751,099 Wells Fargo Alternative Loan 2007-PA2 Trust 6.000% 25-Jun-2037 765,162 0.03

5,310,000 Westlake Automobile Receivables Trust 2018-1 3.410% 15-May-2023 5,380,065 0.19



27


As at 30 June 2020


USD assets

Corporate bonds 949,640,711 33.62

8,150,000 AbbVie Inc 2.600% 21-Nov-2024 8,657,436 0.31

11,000,000 ADCB Finance Cayman Ltd 4.000% 29-Mar-2023 11,585,927 0.41

5,227,000AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.950% 01-Feb-2022 5,230,978 0.19

2,300,000 ams AG 6.000% 31-Jul-2025 2,557,413 0.09

11,548,000 Anglo American Capital PLC 4.125% 15-Apr-2021 11,744,987 0.42

1,495,000 Anheuser-Busch InBev Finance Inc 3.300% 01-Feb-2023 1,584,018 0.06

5,150,000 Anheuser-Busch InBev Worldwide Inc 4.150% 23-Jan-2025 5,847,598 0.21

802,000 Apple Inc 2.850% 11-May-2024 864,148 0.03

1,310,000 Apple Inc 3.000% 09-Feb-2024 1,418,198 0.05

2,643,000 Apple Inc 3.450% 06-May-2024 2,917,846 0.10

6,650,000 Ares Capital Corp 3.500% 10-Feb-2023 6,689,606 0.24

4,750,000 AT&T Inc 0.250% 04-Mar-2026 5,147,897 0.18

5,800,000 AT&T Inc 2.300% 01-Jun-2027 6,013,949 0.21

9,000,000 AT&T Inc 3.400% 15-May-2025 9,897,021 0.35

7,450,000 Athene Global Funding 1.875% 23-Jun-2023 8,446,701 0.30

2,650,000 Avolon Holdings Funding Ltd 3.625% 01-May-2022 2,499,086 0.09

8,400,000 Banco Bradesco SA 2.850% 27-Jan-2023 8,297,604 0.29

7,300,000 Banco Bradesco SA 3.200% 27-Jan-2025 7,195,610 0.25

3,250,000 Banco de Credito del Peru 2.700% 11-Jan-2025 3,261,586 0.12

5,400,000 Banco de Sabadell SA 1.750% 10-May-2024 5,739,713 0.20

4,662,000 Banco Internacional del Peru SAA Interbank 3.250% 04-Oct-2026 4,713,748 0.17

5,000,000 Banco Santander SA 2.706% 27-Jun-2024 5,258,313 0.19

367,000 Bank of America Corp 3.300% 11-Jan-2023 391,834 0.01

9,812,000 Bank of America Corp floating rate 20-Jan-2023 10,165,234 0.36

7,765,000 Bank of America Corp floating rate 20-Dec-2023 8,160,329 0.29

5,300,000 Bank of America Corp floating rate 19-May-2024 5,388,248 0.19

5,500,000 Barclays PLC floating rate 15-Feb-2023 5,792,370 0.20

3,300,000 Bausch Health Cos Inc 5.500% 01-Nov-2025 3,385,800 0.12

4,765,000 Becton Dickinson and Co floating rate 29-Dec-2020 4,765,393 0.17

7,100,000 Becton Dickinson Euro Finance Sarl 0.632% 04-Jun-2023 7,927,933 0.28

5,800,000 BPCE SA 2.375% 14-Jan-2025 6,004,048 0.21

3,550,000 British Telecommunications PLC 0.500% 12-Sep-2025 3,960,350 0.14

6,500,000 CaixaBank SA 1.750% 24-Oct-2023 7,436,796 0.26

5,000,000 CDW LLC/CDW Finance Corp 5.500% 01-Dec-2024 5,449,475 0.19

1,645,000 Centene Corp 4.750% 15-May-2022 1,667,166 0.06

4,850,000 Centene Corp 4.750% 15-Jan-2025 4,971,541 0.18

9,000,000 CenterPoint Energy Inc 2.500% 01-Sep-2024 9,513,800 0.34

5,250,000

Charter Communications Operating LLC/Charter Communications Operating

Capital 4.500% 01-Feb-2024 5,812,459 0.21

4,300,000 Chubb INA Holdings Inc 0.300% 15-Dec-2024 4,791,334 0.17

5,540,000 Cigna Corp 3.400% 17-Sep-2021 5,725,380 0.20

5,716,000 Cigna Corp 3.750% 15-Jul-2023 6,208,135 0.22

6,100,000 Citigroup Inc 2.700% 27-Oct-2022 6,371,622 0.23

1,430,000 Citigroup Inc floating rate 04-Nov-2022 1,458,582 0.05

2,160,000 Citigroup Inc floating rate 24-Jan-2023 2,234,625 0.08

12,670,000 Citigroup Inc floating rate 24-Jul-2023 13,191,404 0.47

8,000,000 Citigroup Inc floating rate 15-May-2024 8,165,093 0.29

5,900,000 Coca-Cola Co 0.750% 09-Mar-2023 6,738,389 0.24

3,500,000 Covanta Holding Corp 5.875% 01-Mar-2024 3,543,382 0.13

1,760,000 Credit Suisse Group AG floating rate 11-Sep-2025 1,821,238 0.06

9,300,000 Credit Suisse Group Funding Guernsey Ltd 3.800% 15-Sep-2022 9,885,149 0.35



28


As at 30 June 2020


USD assets

Corporate bonds (continued)

2,115,000 CVS Health Corp 3.700% 09-Mar-2023 2,272,223 0.08

7,250,000 Danaher Corp 1.700% 30-Mar-2024 8,532,590 0.30

7,000,000 Dell International LLC/EMC Corp 5.450% 15-Jun-2023 7,659,678 0.27

4,850,000 Digital Dutch Finco BV 0.625% 15-Jul-2025 5,386,885 0.19

12,350,000 Dollar Tree Inc 3.700% 15-May-2023 13,241,086 0.47

7,100,000 Dominion Energy Gas Holdings LLC 2.500% 15-Nov-2024 7,508,302 0.27

3,355,000 Dominion Energy Inc 4.104% 01-Apr-2021 3,431,088 0.12

9,000,000 DTE Energy Co 2.529% 01-Oct-2024 9,428,770 0.33

6,250,000 Elanco Animal Health Inc 5.022% 28-Aug-2023 6,589,844 0.23

3,500,000 Encompass Health Corp 5.125% 15-Mar-2023 3,530,257 0.12

7,300,000 Enel Finance International NV 4.625% 14-Sep-2025 8,319,297 0.29

6,150,000 Energy Transfer Operating LP 4.250% 15-Mar-2023 6,504,378 0.23

8,752,000Energy Transfer Partners LP/Regency Energy Finance Corp 5.000% 01-Oct-2022 9,323,465 0.33

9,095,000 EQM Midstream Partners LP 4.750% 15-Jul-2023 9,172,126 0.32

1,700,000 Equinix Inc 1.250% 15-Jul-2025 1,708,075 0.06

1,500,000 Equinix Inc 1.800% 15-Jul-2027 1,506,705 0.05

6,600,000 Equinix Inc 2.625% 18-Nov-2024 7,039,560 0.25

2,750,000 Equinix Inc 2.875% 15-Mar-2024 3,156,273 0.11

5,650,000 Fiat Chrysler Automobiles NV 3.375% 07-Jul-2023 6,345,797 0.22

3,150,000 Fiat Chrysler Automobiles NV 4.500% 07-Jul-2028 3,537,922 0.13

1,200,000 Fidelity National Information Services Inc 0.750% 21-May-2023 1,358,047 0.05

8,200,000 Fiserv Inc 2.750% 01-Jul-2024 8,748,670 0.31

6,579,000 Five Corners Funding Trust 4.419% 15-Nov-2023 7,333,444 0.26

6,400,000 Ford Motor Credit Co LLC 3.087% 09-Jan-2023 6,110,016 0.22


4,350,000 Ford Motor Credit Co LLC 3.350% 01-Nov-2022 4,182,655 0.15


1,500,000 Ford Motor Credit Co LLC 5.125% 16-Jun-2025 1,504,350 0.05

7,750,000 FS KKR Capital Corp II 4.250% 14-Feb-2025 6,930,244 0.25

3,300,000 General Motors Co 5.400% 02-Oct-2023 3,570,809 0.13

4,000,000 General Motors Co 6.125% 01-Oct-2025 4,499,765 0.16

4,350,000 General Motors Financial Co Inc 2.900% 26-Feb-2025 4,337,336 0.15

7,300,000 General Motors Financial Co Inc 3.550% 08-Jul-2022 7,487,334 0.27

5,250,000 Goldman Sachs Group Inc 3.625% 20-Feb-2024 5,715,316 0.20

12,070,000 Goldman Sachs Group Inc 5.750% 24-Jan-2022 13,024,554 0.46

4,810,000 Grifols SA 1.625% 15-Feb-2025 5,288,470 0.19

7,000,000 HCA Inc 5.000% 15-Mar-2024 7,784,493 0.28

3,500,000 HCA Inc 5.375% 01-Sep-2026 3,819,200 0.14

4,000,000 HSBC Holdings PLC floating rate 13-Mar-2023 4,144,864 0.15

2,000,000 Humana Inc 2.900% 15-Dec-2022 2,089,225 0.07

6,400,000 Indonesia Asahan Aluminium Persero PT 4.750% 15-May-2025 6,855,273 0.24

3,900,000 Indonesia Asahan Aluminium Persero PT 5.710% 15-Nov-2023 4,241,092 0.15

3,500,000 Indonesia Asahan Aluminium Persero PT 144A 5.710% 15-Nov-2023 3,806,109 0.13

6,410,000 ING Groep NV 4.100% 02-Oct-2023 7,027,737 0.25

4,500,000 International Lease Finance Corp 4.625% 15-Apr-2021 4,548,587 0.16

5,000,000 Iron Mountain Inc 5.750% 15-Aug-2024 5,063,575 0.18

4,600,000 ISS Finance BV 1.250% 07-Jul-2025 5,169,331 0.18

7,500,000 Itau Unibanco Holding SA 2.900% 24-Jan-2023 7,427,887 0.26

8,000,000 Itau Unibanco Holding SA 3.250% 24-Jan-2025 7,903,600 0.28

960,000 JPMorgan Chase & Co 3.250% 23-Sep-2022 1,014,155 0.04

1,131,000 JPMorgan Chase & Co floating rate 23-Apr-2024 1,211,237 0.04



29


As at 30 June 2020


USD assets


5,590,000 JPMorgan Chase & Co floating rate 01-Jun-2024 5,685,727 0.20

9,800,000 JPMorgan Chase & Co floating rate 05-Dec-2024 10,803,786 0.38

7,800,000 JPMorgan Chase & Co floating rate 22-Apr-2026 8,110,496 0.29

4,150,000 Jyske Bank A/S floating rate 20-Jun-2024 4,608,770 0.16

3,100,000 KBC Group NV floating rate 03-Dec-2029 3,370,183 0.12

3,335,000 Kinder Morgan Inc floating rate 15-Jan-2023 3,335,507 0.12

5,300,000 Koninklijke Philips NV 1.375% 30-Mar-2025 6,230,732 0.22

4,400,000 Kraft Heinz Foods Co 3.875% 15-May-2027 4,604,656 0.16

3,300,000 Level 3 Financing Inc 5.125% 01-May-2023 3,308,597 0.12

4,000,000 Logicor Financing Sarl 0.750% 15-Jul-2024 4,428,150 0.16

4,650,000 Logicor Financing Sarl 1.625% 15-Jul-2027 5,267,039 0.19

4,400,000 Lowe's Cos Inc 4.000% 15-Apr-2025 5,019,607 0.18

11,515,000 Macquarie Group Ltd floating rate 28-Nov-2023 11,980,807 0.42

3,300,000 Microchip Technology Inc 2.670% 01-Sep-2023 3,399,205 0.12

4,350,000 Mitsubishi UFJ Financial Group Inc 2.623% 18-Jul-2022 4,521,865 0.16

8,000,000 Mitsubishi UFJ Financial Group Inc 2.665% 25-Jul-2022 8,322,229 0.29

5,750,000 Mizuho Financial Group Inc floating rate 16-Jul-2023 5,945,903 0.21

10,000,000 Morgan Stanley 2.750% 19-May-2022 10,399,327 0.37

3,905,000 Morgan Stanley floating rate 24-Apr-2024 4,205,879 0.15

3,600,000 Morgan Stanley floating rate 26-Jul-2024 4,049,951 0.14

2,900,000 National Bank of Canada 2.150% 07-Oct-2022 2,982,885 0.11

2,000,000 National Fuel Gas Co 4.900% 01-Dec-2021 2,069,080 0.07

3,405,000 ONEOK Inc 4.250% 01-Feb-2022 3,522,291 0.12

5,500,000 Otis Worldwide Corp 2.056% 05-Apr-2025 5,776,446 0.20

7,600,000 PayPal Holdings Inc 1.650% 01-Jun-2025 7,865,602 0.28

7,500,000 Penske Truck Leasing Co LP/PTL Finance Corp 2.700% 01-Nov-2024 7,725,441 0.27

2,053,000 Petrobras Global Finance BV 5.299% 27-Jan-2025 2,136,680 0.08

4,500,000 Petrobras Global Finance BV 8.375% 23-May-2021 4,734,563 0.17

3,600,000 Petroleos Mexicanos 3.500% 30-Jan-2023 3,436,722 0.12

2,765,000 Petroleos Mexicanos 3.750% 21-Feb-2024 2,857,970 0.10

7,495,000 Petroleos Mexicanos 6.490% 23-Jan-2027 6,849,606 0.24

1,303,000 Plains All American Pipeline LP/PAA Finance Corp 3.650% 01-Jun-2022 1,332,466 0.05

7,300,000 Plains All American Pipeline LP/PAA Finance Corp 5.000% 01-Feb-2021 7,367,434 0.26

4,550,000 Reliance Standard Life Global Funding II 2.625% 22-Jul-2022 4,677,380 0.17

6,920,000

Reynolds Group Issuer Inc/Reynolds Group Issuer LLC/Reynolds Group

Issuer Lu 5.125% 15-Jul-2023 6,982,384 0.25

7,500,000 Ryder System Inc 2.500% 01-Sep-2024 7,744,714 0.27

9,450,000 Sabine Pass Liquefaction LLC 5.750% 15-May-2024 10,647,392 0.38

5,000,000 SBA Communications Corp 4.000% 01-Oct-2022 5,061,325 0.18

5,325,000 Sirius XM Radio Inc 3.875% 01-Aug-2022 5,371,194 0.19

3,950,000 Skandinaviska Enskilda Banken AB 0.250% 19-May-2023 4,467,592 0.16

3,200,000 SMBC Aviation Capital Finance DAC 3.000% 15-Jul-2022 3,217,493 0.11

4,000,000 SMBC Aviation Capital Finance DAC 4.125% 15-Jul-2023 4,156,042 0.15

3,800,000 Standard Industries Inc 2.250% 21-Nov-2026 4,011,422 0.14

2,800,000 Sumitomo Mitsui Financial Group Inc 2.348% 15-Jan-2025 2,928,202 0.10

6,675,000 Sumitomo Mitsui Financial Group Inc 2.448% 27-Sep-2024 7,010,075 0.25

3,660,000 Suncorp-Metway Ltd 2.800% 04-May-2022 3,771,768 0.13

405,000 Sunoco LP/Sunoco Finance Corp 4.875% 15-Jan-2023 400,401 0.01

3,000,000 Sysco Corp 5.650% 01-Apr-2025 3,505,455 0.12

5,400,000 Takeda Pharmaceutical Co Ltd 1.125% 21-Nov-2022 6,175,191 0.22

4,950,000 Takeda Pharmaceutical Co Ltd 2.000% 09-Jul-2040 5,567,876 0.20

4,650,000 Takeda Pharmaceutical Co Ltd 4.000% 26-Nov-2021 4,855,612 0.17



30


As at 30 June 2020


USD assets


4,600,000 Telefonica Emisiones SA 1.201% 21-Aug-2027 5,340,890 0.19

5,955,000 Tesco Corporate Treasury Services PLC 2.500% 02-May-2025 7,788,898 0.28

8,650,000 Teva Pharmaceutical Finance Netherlands II BV 3.250% 15-Apr-2022 9,699,421 0.34

9,990,000 Teva Pharmaceutical Finance Netherlands III BV 2.200% 21-Jul-2021 9,809,331 0.35

5,900,000 T-Mobile USA Inc 3.500% 15-Apr-2025 6,432,564 0.23

5,520,000 T-Mobile USA Inc 6.500% 15-Jan-2024 5,656,979 0.20

1,270,000 UnitedHealth Group Inc 2.375% 15-Oct-2022 1,329,249 0.05

3,220,000 UnitedHealth Group Inc 3.350% 15-Jul-2022 3,418,988 0.12

1,545,000 Universal Health Services Inc 4.750% 01-Aug-2022 1,549,813 0.05

4,200,000 Upjohn Finance BV 0.816% 23-Jun-2022 4,746,866 0.17



9,250,000 Ventas Realty LP 3.500% 15-Apr-2024 9,635,824 0.34

2,000,000 VEREIT Operating Partnership LP 3.400% 15-Jan-2028 2,018,703 0.07

641,000 Verizon Communications Inc 5.150% 15-Sep-2023 730,360 0.03

5,350,000 Vodafone Group PLC 3.750% 16-Jan-2024 5,846,716 0.21

9,000,000 Volkswagen Group of America Finance LLC 3.125% 12-May-2023 9,472,131 0.34

7,000,000 Walt Disney Co 1.750% 13-Jan-2026 7,211,423 0.26

3,120,000 Welltower Inc 3.625% 15-Mar-2024 3,335,405 0.12

6,600,000 Worldline SA 0.250% 18-Sep-2024 7,299,652 0.26

Government/Agency/Government-related bonds 209,312,245 7.41

3,150,000 Dominican Republic International Bond 5.875% 18-Apr-2024 3,240,232 0.11

7,435,333 Dominican Republic International Bond 7.500% 06-May-2021 7,686,350 0.27

12,100,000 Egypt Government International Bond 6.125% 31-Jan-2022 12,435,230 0.44

11,495,000 Fondo MIVIVIENDA SA 3.500% 31-Jan-2023 11,838,758 0.42

13,394,000 Georgia Government International Bond 6.875% 12-Apr-2021 13,702,303 0.49

14,845,000 Guatemala Government Bond 5.750% 06-Jun-2022 15,609,666 0.55

6,856,000 Honduras Government International Bond 7.500% 15-Mar-2024 7,432,967 0.26

14,100,000 Honduras Government International Bond 8.750% 16-Dec-2020 14,390,813 0.51

8,650,000 Kazakhstan Government International Bond 1.550% 09-Nov-2023 9,831,150 0.35

9,755,000 Mongolia Government International Bond 5.625% 01-May-2023 9,791,585 0.35

8,765,000 Mongolia Government International Bond 10.875% 06-Apr-2021 9,137,512 0.32

5,469,000 Nigeria Government International Bond 6.375% 12-Jul-2023 5,586,310 0.20

11,200,000 Nigeria Government International Bond 6.750% 28-Jan-2021 11,378,528 0.40

2,700,000 Perusahaan Penerbit SBSN Indonesia III 3.400% 29-Mar-2022 2,785,009 0.10

2,400,000 Republic of Belarus International Bond 6.875% 28-Feb-2023 2,411,808 0.09

5,250,000 Republic of Belarus International Bond 144A 6.875% 28-Feb-2023 5,275,830 0.19

6,800,000 Republic of Belarus Ministry of Finance 5.875% 24-Feb-2026 6,607,220 0.23

6,800,000 Republic of Belarus Ministry of Finance 6.378% 24-Feb-2031 6,580,972 0.23

7,550,000 Senegal Government International Bond 6.250% 30-Jul-2024 7,952,083 0.28

5,865,000 Senegal Government International Bond 8.750% 13-May-2021 6,077,489 0.22

6,900,000 Serbia International Bond 3.125% 15-May-2027 8,136,757 0.29

3,000,000 Sri Lanka Government International Bond 5.875% 25-Jul-2022 2,340,000 0.08

6,000,000 Sri Lanka Government International Bond 6.250% 04-Oct-2020 5,737,500 0.20

9,515,000 Sri Lanka Government International Bond REGs 6.250% 04-Oct-2020 9,098,719 0.32

7,500,000 Ukraine Government International Bond 7.750% 01-Sep-2022 7,833,780 0.28

6,100,000 Ukraine Government International Bond 7.750% 01-Sep-2023 6,413,674 0.23



31


As at 30 June 2020


USD assets

Investment Funds - UCITS 16,862,308 0.60

104,393Payden Global Funds PLC - Payden Global High Yield Bond Fund, US Dollar Class (Accumulating)(1) 2,843,838 0.10

1,153,594Payden Global Funds PLC - Payden USD Low Duration Credit Fund, US Dollar Class (Accumulating)(1) 14,018,470 0.50

Leveraged Loans 51,108,134 1.81

8,250,068 1011778 B.C. Unlimited Liability Co 1.928% 19-Nov-2026 7,838,595 0.28

8,154,181 Axalta Coating Systems Dutch Holding B BV 2.058% 01-Jun-2024 7,839,512 0.28

5,850,000 Caesars Resort Collection LLC 2.928% 23-Dec-2024 5,223,874 0.18

3,217,500 Charter Communications Operating LLC 1.930% 30-Apr-2025 3,112,256 0.11

4,450,000 Froneri International Ltd 2.625% 29-Jan-2027 4,828,710 0.17

1,732,624 Reynolds Group Holdings Inc 2.928% 05-Feb-2023 1,659,732 0.06

5,900,000 T-Mobile USA Inc 3.178% 01-Apr-2027 5,897,315 0.21

6,325,581 US Foods Inc 1.928% 27-Jun-2023 5,972,045 0.21

8,955,000 WMG Acquisition Corp 2.303% 01-Nov-2023 8,736,095 0.31

Short Term Investments 49,988,500 1.77

Government/Agency/Government-related bonds 49,988,500 1.77

50,000,000 United States Cash Management Bill 0.000% 08-Sep-2020 49,988,500 1.77

Total value of investment in securities

(2019: 94.90%, USD 3,153,146,326) 2,740,368,761 97.03

Options

(2019: 0.01%, USD 423,294) Expiration date Broker 116,640 0.00

972

Put Option: CBOE S&P 500 Index

(Strike Price: 2200) 17-Jul-2020 Morgan Stanley 116,640 0.00

Swaps

(2019: 0.00%, USD Nil)

Centrally cleared interest rate swaps Expiration date Broker 3,429,883 0.12

47,760,000

Rec Fixed 1.554%/ Pay Floating 3

Month CAD LIBOR 30-Aug-2022 Goldman Sachs 751,049 0.03

47,760,000



41,940,000



53,749,000


Month CAD LIBOR 02-Dec-2022 Goldman Sachs 1,250,520 0.04

Futures contracts

(2019: 0.01%, USD 418,647) Notional (USD) Broker 368,199 0.01

821

US Treasury Note 2 Year (CBT)

Future Exp 30-Sep-2020 181,248,558 Goldman Sachs 51,334 0.00

845

US Treasury Note 5 Year (CBT)

Future Exp 30-Sep-2020 105,935,284 Goldman Sachs 316,865 0.01

Unrealised gain on forward foreign currency contracts (Appendix)

(2019: 1.84%, USD 60,958,414) 5,656,051 0.20

Financial assets at fair value through profit or loss 2,749,939,534 97.36



32


As at 30 June 2020


USD assets

Futures contracts

(2019: (0.08%), USD (2,647,780)) Notional (USD) Broker (622,902) (0.02)

3,646

Australia Bond 3 Year (SFE)

Future Exp 15-Sep-2020 293,934,252 Goldman Sachs (82,424) 0.00

(765)

Euro-Bobl (EUREX)

Future Exp 08-Sep-2020 (115,520,749) Goldman Sachs (455,381) (0.02)

(57)

Euro-Bund (EUREX)

Future Exp 08-Sep-2020 (11,217,140) Goldman Sachs (83,590) 0.00

(22)

Euro-Buxl 30 Year Bond (EUREX)

Future Exp 08-Sep-2020 (5,433,550) Goldman Sachs (1,507) 0.00

Unrealised loss on forward foreign currency contracts (Appendix)

(2019: (0.31%), USD (10,390,687)) (2,733,246) (0.10)

Financial liabilities at fair value through profit or loss (3,356,148) (0.12)

Net current assets 77,872,700 2.76

Total net assets 2,824,456,086 100.00

(1) Please refer to Note 10 for details for any cross investments between Funds.

Appendix: forward foreign currency contracts

Unrealised gain on forward foreign currency contracts

Unrealised

Currency Purchased Currency Sold Maturity Gain/Loss

Counter Party Purchased Amount Sold Amount date USD


Citibank USD 362,267,228 EUR (321,022,000) 23-Sep-2020 1,032,994

HSBC Securities USD 43,214,862 GBP (34,309,000) 23-Sep-2020 802,150

Australian Dollar Class (Accumulating)

Citibank AUD 1,557,000 USD (1,033,560) 06-Jul-2020 38,465

Citibank AUD 1,605,000 USD (1,105,219) 05-Aug-2020 24

Canadian Dollar Class (Accumulating)

Citibank CAD 27,950,000 USD (20,221,810) 06-Jul-2020 299,647

Citibank CAD 28,816,000 USD (21,158,908) 05-Aug-2020 109

Euro Class (Accumulating)

Citibank EUR 2,452,000 USD (2,752,994) 06-Jul-2020 1,187

Citibank EUR 284,376,000 USD (316,538,641) 06-Jul-2020 2,883,385

Citibank USD 33,830,035 EUR (30,067,000) 06-Jul-2020 57,628

Citibank USD 39,728 EUR (35,000) 06-Jul-2020 415

Citibank USD 200,145 EUR (177,000) 06-Jul-2020 1,331



Citibank USD 1,571,625 EUR (1,398,000) 06-Jul-2020 1,337

Citibank EUR 262,727,000 USD (295,276,773) 05-Aug-2020 35,582



33


As at 30 June 2020

Appendix: forward foreign currency contracts (continued)

Unrealised gain on forward foreign currency contracts (continued)

Unrealised



Japanese Yen Class (Accumulating)

Citibank JPY 8,600,000 USD (79,072) 06-Jul-2020 646



Citibank JPY 1,001,600,000 USD (9,287,403) 05-Aug-2020 658

Norwegian Krone Class (Accumulating)

State Street NOK 165,144,000 USD (16,995,182) 06-Jul-2020 123,740

State Street USD 12,494 NOK (119,000) 06-Jul-2020 158

State Street USD 17,698,722 NOK (170,737,000) 06-Jul-2020 26

Sterling Class (Accumulating)

HSBC Securities USD 361,707 GBP (288,000) 06-Jul-2020 5,847

HSBC Securities USD 3,217,344 GBP (2,602,000) 06-Jul-2020 2,248

HSBC Securities USD 75,751 GBP (61,000) 06-Jul-2020 378











HSBC Securities USD 1,965,413 GBP (1,560,000) 06-Jul-2020 37,838


State Street GBP 500,000,000 USD (617,931,000) 05-Aug-2020 11,326

HSBC Securities GBP 650,933,000 USD (804,471,170) 05-Aug-2020 6,934

Sterling Class (Distributing)

HSBC Securities GBP 300,871,000 USD (371,838,646) 05-Aug-2020 3,205

Swiss Franc Class (Accumulating)

HSBC Securities CHF 11,256,000 USD (11,728,103) 06-Jul-2020 152,245

HSBC Securities CHF 98,000 USD (101,967) 06-Jul-2020 1,469

HSBC Securities CHF 50,000 USD (52,293) 06-Jul-2020 481



HSBC Securities CHF 11,384,000 USD (12,025,234) 05-Aug-2020 1,537

Swiss Franc Class (Distributing)

HSBC Securities CHF 6,077,000 USD (6,331,884) 06-Jul-2020 82,195





HSBC Securities CHF 6,290,000 USD (6,644,301) 05-Aug-2020 849

5,656,051



34


As at 30 June 2020


Unrealised loss on forward foreign currency contracts

Unrealised




Citibank USD 24,546,926 EUR (21,891,000) 23-Sep-2020 (86,210)

Australian Dollar Class (Accumulating)

Citibank AUD 13,000 USD (8,972) 06-Jul-2020 (22)




Citibank USD 1,102,977 AUD (1,602,000) 06-Jul-2020 (32)

Canadian Dollar Class (Accumulating)

Citibank CAD 238,000 USD (176,454) 06-Jul-2020 (1,709)

Citibank CAD 123,000 USD (91,209) 06-Jul-2020 (899)

Citibank CAD 211,000 USD (157,608) 06-Jul-2020 (2,688)

Citibank CAD 233,000 USD (171,990) 06-Jul-2020 (917)

Citibank USD 21,112,335 CAD (28,755,000) 06-Jul-2020 (171)


Citibank EUR 1,234,000 USD (1,400,749) 06-Jul-2020 (14,673)




Citibank USD 434,450 EUR (387,000) 06-Jul-2020 (243)

Citibank USD 1,650,031 EUR (1,475,000) 06-Jul-2020 (6,746)





Citibank USD 294,451,743 EUR (262,166,000) 06-Jul-2020 (23,160)

Japanese Yen Class (Accumulating)

Citibank JPY 971,900,000 USD (9,025,692) 06-Jul-2020 (16,650)

Citibank JPY 7,900,000 USD (74,108) 06-Jul-2020 (879)

Citibank USD 9,269,129 JPY(1,000,000,000) 06-Jul-2020 (385)

Norwegian Krone Class (Accumulating)

State Street NOK 1,394,000 USD (147,132) 06-Jul-2020 (2,629)

State Street NOK 713,000 USD (76,525) 06-Jul-2020 (2,615)

State Street NOK 86,000 USD (8,959) 06-Jul-2020 (44)


State Street NOK 15,000 USD (1,619) 06-Jul-2020 (64)


State Street NOK 904,000 USD (95,512) 06-Jul-2020 (1,803)

State Street NOK 171,083,000 USD (17,737,328) 05-Aug-2020 (601)

State Street USD 2,695 NOK (26,000) 05-Aug-2020 0



35


As at 30 June 2020


Unrealised loss on forward foreign currency contracts (continued)

Unrealised




HSBC Securities GBP 9,298,000 USD (11,757,395) 06-Jul-2020 (268,554)

HSBC Securities GBP 20,000 USD (25,219) 06-Jul-2020 (507)








State Street GBP 500,000,000 USD (618,261,500) 06-Jul-2020 (448,976)

HSBC Securities USD 1,957,300 GBP (1,589,000) 06-Jul-2020 (6,108)

HSBC Securities USD 73,610 GBP (60,000) 06-Jul-2020 (528)


State Street USD 617,800,000 GBP (500,000,000) 06-Jul-2020 (12,524)

HSBC Securities USD 479,520 GBP (388,000) 05-Aug-2020 (4)









Swiss Franc Class (Accumulating)

HSBC Securities CHF 92,000 USD (98,027) 06-Jul-2020 (924)

HSBC Securities USD 286,093 CHF (272,000) 06-Jul-2020 (994)

HSBC Securities USD 11,997,433 CHF (11,368,000) 06-Jul-2020 (1,127)

Swiss Franc Class (Distributing)



HSBC Securities USD 6,642,492 CHF (6,294,000) 06-Jul-2020 (624)

(2,733,246)

Portfolio Analysis % of total

assets

Transferable securities and money market instruments admitted to an official stock exchange 37.40

Transferable securities and money market instruments traded on another regulated market 55.85

Financial derivative instruments dealt in on a regulated market 0.12

OTC financial derivative instruments 0.10

Other transferable securities 2.46

95.93



36

Payden Euro Liquidity Fund As at 30 June 2020

Holding Name of securities Fair value % of netEUR assets

Asset-backed and Mortgage-backed securities 11,801,369 17.58500,000 Bain Capital Euro CLO 2018-1 DAC floating rate 20-Apr-2032 491,684 0.73

500,000Blackrock European CLO III Designated Activity Co floating rate 15-Apr-2030 497,770 0.74

386,125 Bumper 10 FCT floating rate 27-Feb-2028 385,702 0.57400,000 Cairn CLO VII BV floating rate 31-Jan-2030 393,124 0.59

1,126,041 Compartment VCL 29 floating rate 21-Jun-2025 1,133,426 1.691,000,000 CVC Cordatus Loan Fund III DAV floating rate 15-Aug-2032 984,503 1.471,286,613 Dutch Property Finance 2018-1 BV floating rate 28-Apr-2051 1,265,467 1.88

454,850 FACT SA Compartment 2018-1 floating rate 20-Nov-2025 455,673 0.68466,340 Globaldrive Auto Receivables 2018-A BV floating rate 20-Sep-2026 468,050 0.70700,000 Harvest CLO XIX DAC floating rate 14-Apr-2031 689,174 1.03700,000 Madison Park Euro Funding VI BV floating rate 15-Oct-2030 699,004 1.04

1,400,000 Permanent Master Issuer PLC floating rate 15-Jul-2042 1,399,724 2.08200,000 Providus CLO IV DAC floating rate 20-Jul-2031 199,733 0.30

1,500,000 SC Germany Auto 2019-1 UG floating rate 13-Oct-2032 1,515,951 2.26131,098 SCF Rahoituspalvelut Kimi VI DAC floating rate 25-Nov-2026 131,465 0.2095,423 Silver Arrow SA Compartment 8 floating rate 17-Mar-2025 95,551 0.14

1,002,000 Silverstone Master Issuer PLC floating rate 21-Jan-2070 995,368 1.48

Corporate bonds 47,837,672 71.24500,000 ALD SA floating rate 27-Nov-2020 498,790 0.74800,000 Anglo American Capital PLC 3.500% 28-Mar-2022 835,237 1.24900,000 AT&T Inc floating rate 05-Sep-2023 892,858 1.33850,000 Athene Global Funding 1.875% 23-Jun-2023 858,049 1.28900,000 Atos SE 0.750% 07-May-2022 908,732 1.35900,000 Banco Bilbao Vizcaya Argentaria SA floating rate 09-Mar-2023 886,415 1.32900,000 Banco Santander SA floating rate 28-Mar-2023 896,697 1.34900,000 Bank of America Corp floating rate 07-Feb-2022 901,831 1.34700,000 Bank of China Ltd 0.750% 12-Jul-2021 700,312 1.04500,000 Bayer Capital Corp BV floating rate 26-Jun-2022 497,300 0.74800,000 BMW Finance NV 1.000% 15-Feb-2022 810,761 1.21900,000 BNZ International Funding Ltd 0.500% 13-May-2023 906,553 1.35800,000 BP Capital Markets PLC 1.526% 26-Sep-2022 823,593 1.23600,000 British Telecommunications PLC 0.625% 10-Mar-2021 601,392 0.90500,000 CaixaBank SA 1.750% 24-Oct-2023 509,336 0.76500,000 Capgemini SE 1.250% 15-Apr-2022 506,676 0.75450,000 Chubb INA Holdings Inc 0.300% 15-Dec-2024 446,440 0.67700,000 Citigroup Inc 0.500% 29-Jan-2022 703,536 1.05800,000 Coca-Cola Co 0.125% 22-Sep-2022 800,638 1.19500,000 Coca-Cola European Partners PLC floating rate 16-Nov-2021 498,868 0.74

1,050,000 Credit Suisse AG floating rate 18-May-2022 1,060,889 1.58900,000 Daimler International Finance BV 0.250% 06-Nov-2023 877,696 1.31550,000 Danaher Corp 1.700% 30-Mar-2024 576,325 0.86500,000 Deutsche Bank AG floating rate 07-Dec-2020 498,592 0.74700,000 Deutsche Telekom International Finance BV 0.625% 03-Apr-2023 709,067 1.06800,000 Diageo Finance PLC 0.250% 22-Oct-2021 801,161 1.19500,000 Digital Dutch Finco BV 0.125% 15-Oct-2022 494,140 0.74700,000 E.ON SE 0.000% 24-Oct-2022 697,425 1.04850,000 Euroclear Bank SA floating rate 08-Mar-2021 850,905 1.27500,000 FCA Bank SpA 0.250% 12-Oct-2020 498,683 0.74650,000 Fidelity National Information Services Inc floating rate 21-May-2021 647,894 0.97800,000 Fiserv Inc 0.375% 01-Jul-2023 796,927 1.19700,000 Ford Motor Credit Co LLC floating rate 01-Dec-2021 656,414 0.98600,000 Fortum OYJ 0.875% 27-Feb-2023 606,477 0.90600,000 General Mills Inc 1.000% 27-Apr-2023 608,002 0.91700,000 General Motors Financial Co Inc floating rate 10-May-2021 689,276 1.03600,000 GlaxoSmithKline Capital PLC 0.125% 12-May-2023 600,603 0.89700,000 Glencore Finance Europe Ltd 3.375% 30-Sep-2020 703,892 1.05900,000 Goldman Sachs Group Inc floating rate 26-Sep-2023 886,653 1.32700,000 HSBC Holdings PLC floating rate 04-Dec-2021 701,372 1.04700,000 International Flavors & Fragrances Inc 0.500% 25-Sep-2021 698,575 1.04600,000 Jyske Bank A/S 0.875% 03-Dec-2021 603,358 0.90



37

Payden Euro Liquidity Fund (continued) As at 30 June 2020

Holding Name of securities Fair value % of netEUR assets

Corporate bonds (continued) 900,000 KBC Group NV floating rate 24-Nov-2022 896,251 1.33600,000 Kinder Morgan Inc 1.500% 16-Mar-2022 605,736 0.90700,000 LeasePlan Corp NV floating rate 25-Jan-2021 696,357 1.04700,000 Logicor Financing Sarl 0.500% 30-Apr-2021 696,437 1.04600,000 LVMH Moet Hennessy Louis Vuitton SE floating rate 11-Feb-2022 598,842 0.89650,000 Metropolitan Life Global Funding I 0.000% 23-Sep-2022 649,357 0.97900,000 Mitsubishi UFJ Financial Group Inc floating rate 30-May-2023 892,166 1.33900,000 Morgan Stanley floating rate 27-Jan-2022 901,013 1.34800,000 Nationale-Nederlanden Bank NV 0.375% 31-May-2023 795,397 1.18900,000 NatWest Markets PLC floating rate 18-Jun-2021 902,408 1.34800,000 NIBC Bank NV 1.500% 31-Jan-2022 807,185 1.20700,000 Nykredit Realkredit A/S floating rate 02-Jun-2022 696,227 1.04500,000 OP Corporate Bank PLC floating rate 22-May-2021 501,373 0.75700,000 Orange SA 0.500% 15-Jan-2022 704,711 1.05700,000 PepsiCo Inc 0.250% 06-May-2024 704,908 1.05600,000 RELX Finance BV 0.000% 18-Mar-2024 592,389 0.88900,000 Siemens Financieringsmaatschappij NV 0.125% 05-Jun-2022 902,322 1.34500,000 Sumitomo Mitsui Trust Bank Ltd floating rate 25-Sep-2020 499,995 0.74240,000 Takeda Pharmaceutical Co Ltd 1.125% 21-Nov-2022 244,360 0.36900,000 Takeda Pharmaceutical Co Ltd floating rate 21-Nov-2022 906,147 1.35600,000 Telenor ASA 0.000% 25-Sep-2023 599,357 0.89900,000 UBS Group AG floating rate 20-Sep-2022 900,418 1.34600,000 Upjohn Finance BV 0.816% 23-Jun-2022 603,770 0.90900,000 Volkswagen Bank GmbH floating rate 15-Jun-2021 893,520 1.33900,000 Wells Fargo & Co floating rate 31-Jan-2022 898,686 1.34

Government/Agency/Government-related bonds 501,851 0.74500,000 China Development Bank 0.500% 01-Jun-2021 501,851 0.74

Short Term Investments 6,732,085 10.03Government/Agency/Government-related bonds 6,732,085 10.03

2,980,000 France Treasury Bill BTF 0.000% 01-Jul-2020 2,980,000 4.442,000,000 Italy Buoni Ordinari del Tesoro BOT 0.000% 14-Aug-2020 2,000,777 2.981,750,000 Italy Buoni Ordinari del Tesoro BOT 0.000% 30-Sep-2020 1,751,308 2.61

Total value of investment in securities (2019: 98.32%, EUR 68,442,210) 66,872,977 99.59

Financial assets at fair value through profit or loss 66,872,977 99.59

Net current assets 275,201 0.41

Total net assets 67,148,178 100.00


assets


Other transferable securities 4.32

99.12



38

Payden Global Bond Fund As at 30 June 2020

Holding Name of securities Fair value % of netUSD assets

Asset-backed and Mortgage-backed securities 50,392,979 12.011,300,000 Allegro CLO II-S Ltd floating rate 21-Oct-2028 1,277,425 0.301,200,000 Apidos CLO XXI floating rate 18-Jul-2027 1,164,229 0.28

750,000 BDS 2020-FL5 Ltd floating rate 16-Feb-2037 729,083 0.171,400,000 Blackrock European CLO VII DAC floating rate 15-Oct-2031 1,539,357 0.37

400,000 Bluemountain Fuji EUR CLO V DAC floating rate 15-Jan-2033 436,506 0.101,750,000 Bluemountain Fuji US CLO I Ltd floating rate 20-Jul-2029 1,629,379 0.39

595,000 BX Commercial Mortgage Trust 2018-IND E floating rate 15-Nov-2035 587,663 0.14700,000 BX Commercial Mortgage Trust 2018-IND F floating rate 15-Nov-2035 684,608 0.16

1,400,000 BXMT 2020-FL2 Ltd AS floating rate 16-Feb-2037 1,345,526 0.321,500,000 BXMT 2020-FL2 Ltd C floating rate 16-Feb-2037 1,404,300 0.33

500,000 BXMT 2020-FL2 Ltd D floating rate 16-Feb-2037 460,665 0.111,500,000 Cairn CLO VII BV floating rate 31-Jan-2030 1,655,762 0.391,150,000 Carlyle US CLO 2017-2 Ltd floating rate 20-Jul-2031 1,083,982 0.261,300,000 Cedar Funding II CLO Ltd floating rate 09-Jun-2030 1,255,803 0.301,550,000 CIFC European Funding CLO II DAC floating rate 15-Apr-2033 1,708,417 0.41

620,000 CIFC Funding 2013-IV Ltd floating rate 27-Apr-2031 573,079 0.141,100,000 CLNC 2019-FL1 Ltd floating rate 20-Aug-2035 1,073,875 0.26

681,985 Connecticut Avenue Securities Trust 2020-R01 floating rate 25-Jan-2040 680,873 0.16581,265 Connecticut Avenue Securities Trust 2020-R02 floating rate 25-Jan-2040 577,557 0.14

2,000,000 Dryden 39 Euro CLO 2015 BV floating rate 15-Oct-2031 2,223,198 0.5392,424 Fannie Mae Connecticut Avenue Securities 1M1 floating rate 25-Oct-2029 92,409 0.02

570,000 Flatiron CLO 17 Ltd floating rate 15-May-2030 550,287 0.13

1,500,000Freddie Mac Multifamily Structured Pass Through Certificates 2.875% 25-Apr-2026 1,659,368 0.40

504,650 Freddie Mac STACR Remic Trust 2020-DNA2 floating rate 25-Feb-2050 501,898 0.121,250,000 Freddie Mac STACR Remic Trust 2020-DNA3 floating rate 25-Jun-2050 1,250,000 0.301,000,000 Freddie Mac STACR Trust 2019-HRP1 floating rate 25-Feb-2049 958,873 0.23

228,978Freddie Mac Structured Agency Credit Risk Debt Notes M1 floating rate 25-Oct-2029 229,548 0.05

152,941Freddie Mac Structured Agency Credit Risk Debt Notes M2 floating rate 25-Apr-2029 152,843 0.04

1,000,000 GPMT 2019-FL2 Ltd floating rate 22-Feb-2036 985,193 0.24

1,300,000Greystone Commercial Real Estate Notes 2018-HC1 Ltd floating rate 15-Sep-2028 1,279,303 0.31

1,350,000 Grippen Park CLO Ltd floating rate 20-Jan-2030 1,294,337 0.311,500,000 Henley CLO I DAC floating rate 15-Jul-2032 1,672,738 0.401,200,000 KREF 2018-FL1 Ltd A floating rate 15-Jun-2036 1,188,129 0.28

700,000 KREF 2018-FL1 Ltd AS floating rate 15-Jun-2036 686,079 0.161,100,000 Man GLG Euro CLO VI DAC floating rate 15-Oct-2032 1,222,461 0.291,300,000 OZLM XII Ltd floating rate 30-Apr-2027 1,264,444 0.301,600,000 OZLME V DAC floating rate 14-Jan-2032 1,778,992 0.42

950,000 Providus CLO IV DAC floating rate 20-Jul-2031 1,065,569 0.251,000,000 Sound Point Euro CLO III Funding DAC floating rate 15-Apr-2033 1,103,046 0.261,700,000 St Paul's CLO XII DAC floating rate 15-Apr-2033 1,826,775 0.44

737,193 STACR Trust 2018-HRP1 M2 floating rate 25-Apr-2043 730,717 0.17955,129 STACR Trust 2018-HRP2 M2 floating rate 25-Feb-2047 942,603 0.22

1,500,000 STACR Trust 2018-HRP2 M3 floating rate 25-Feb-2047 1,404,956 0.34750,000 STWD 2019-FL1 Ltd floating rate 15-Jul-2038 735,510 0.18664,875 Taco Bell Funding LLC 4.318% 25-Nov-2048 679,855 0.16895,000 Voya CLO 2015-1 Ltd floating rate 18-Jan-2029 783,725 0.19850,000 Voya Euro CLO III DAC floating rate 15-Apr-2033 934,355 0.22

1,272,150 Wingstop Funding 2018-1 LLC 4.970% 05-Dec-2048 1,327,679 0.32

Corporate bonds 84,966,287 20.25550,000 AbbVie Inc 1.250% 01-Jun-2024 631,767 0.15

600,000AerCap Ireland Capital DAC/AerCap Global Aviation Trust 5.000% 01-Oct-2021 607,026 0.14

1,100,000 Air Products & Chemicals Inc 2.050% 15-May-2030 1,156,077 0.281,100,000 American Water Capital Corp 2.800% 01-May-2030 1,202,876 0.29

950,000 APT Pipelines Ltd 2.000% 15-Jul-2030 1,124,530 0.27500,000 APT Pipelines Ltd 3.125% 18-Jul-2031 663,686 0.16565,000 ASB Bank Ltd 3.750% 14-Jun-2023 610,531 0.15



39

Payden Global Bond Fund (continued) As at 30 June 2020


Corporate bonds (continued) 1,100,000 AT&T Inc 1.800% 14-Sep-2039 1,162,856 0.28

825,000 AT&T Inc 4.350% 01-Mar-2029 962,605 0.231,300,000 Athene Global Funding 1.875% 23-Jun-2023 1,473,921 0.351,200,000 Banco de Sabadell SA 1.750% 10-May-2024 1,275,492 0.301,060,000 Banco Internacional del Peru SAA Interbank 3.250% 04-Oct-2026 1,071,766 0.26

800,000 Banco Santander SA 2.706% 27-Jun-2024 841,330 0.20900,000 Bank of America Corp floating rate 07-Feb-2030 1,048,676 0.25

1,150,000 Barclays PLC floating rate 06-Oct-2023 1,439,610 0.341,000,000 Becton Dickinson Euro Finance Sarl 1.208% 04-Jun-2026 1,127,830 0.27

600,000 BlackRock Inc 1.900% 28-Jan-2031 614,072 0.15950,000 BNP Paribas SA floating rate 09-Jun-2026 973,951 0.23

1,395,000 Canadian Imperial Bank of Commerce 0.375% 03-May-2024 1,558,917 0.371,350,000 Chubb INA Holdings Inc 0.875% 15-Dec-2029 1,513,562 0.36

600,000 Comcast Corp 0.750% 20-Feb-2032 657,678 0.161,000,000 Credit Agricole SA floating rate 16-Jun-2026 1,015,793 0.24

800,000 Credit Mutuel Arkea SA 1.625% 15-Apr-2026 938,153 0.22695,000 Credit Suisse Group AG floating rate 11-Sep-2025 719,182 0.17

1,200,000 Dell International LLC/EMC Corp 5.450% 15-Jun-2023 1,313,088 0.31550,000 Digital Dutch Finco BV 0.625% 15-Jul-2025 610,884 0.15400,000 Digital Dutch Finco BV 1.500% 15-Mar-2030 460,178 0.11650,000 Digital Euro Finco LLC 2.500% 16-Jan-2026 790,709 0.19

1,000,000 Dollar Tree Inc 3.700% 15-May-2023 1,072,153 0.26700,000 DuPont de Nemours Inc 2.169% 01-May-2023 713,970 0.17625,000 Elenia Finance OYJ 0.375% 06-Feb-2027 699,622 0.17

2,150,000 Enel Finance International NV 4.625% 14-Sep-2025 2,450,204 0.58700,000 Energy Transfer Operating LP 3.750% 15-May-2030 696,700 0.17

1,025,000 Enstar Group Ltd 4.500% 10-Mar-2022 1,038,932 0.251,300,000 Exelon Corp 4.050% 15-Apr-2030 1,504,133 0.361,300,000 Firmenich Productions Participations SAS 1.375% 30-Oct-2026 1,500,706 0.361,100,000 Fomento Economico Mexicano SAB de CV 3.500% 16-Jan-2050 1,138,852 0.271,450,000 Fresenius SE & Co KGaA 0.750% 15-Jan-2028 1,613,787 0.38

750,000 General Motors Financial Co Inc 2.250% 06-Sep-2024 891,153 0.211,000,000 Goldman Sachs Group Inc 2.600% 07-Feb-2030 1,049,902 0.25

350,000 Goldman Sachs Group Inc 4.250% 29-Jan-2026 494,087 0.12700,000 Heathrow Funding Ltd 1.875% 14-Mar-2034 798,198 0.19

1,400,000 Indonesia Asahan Aluminium Persero PT 4.750% 15-May-2025 1,499,591 0.36850,000 International Flavors & Fragrances Inc 1.800% 25-Sep-2026 964,133 0.23250,000 Islandsbanki HF floating rate 19-Jan-2024 275,162 0.07700,000 ISS Finance BV 1.250% 07-Jul-2025 786,637 0.19700,000 ITC Holdings Corp 2.950% 14-May-2030 747,118 0.18500,000 JD.com Inc 3.375% 14-Jan-2030 534,695 0.13

1,000,000 KBC Group NV floating rate 03-Dec-2029 1,087,156 0.26600,000 KKR Group Finance Co II LLC 5.500% 01-Feb-2043 740,110 0.18800,000 Legal & General Group PLC floating rate 01-Nov-2050 1,020,574 0.24

1,700,000 Lloyds Banking Group PLC floating rate 07-Sep-2028 1,905,651 0.451,150,000 Logicor Financing Sarl 1.625% 15-Jul-2027 1,302,601 0.311,300,000 Lonza Finance International NV 1.625% 21-Apr-2027 1,546,408 0.37

750,000 Lowe's Cos Inc 5.125% 15-Apr-2050 1,027,983 0.24400,000 Lukoil Securities BV 3.875% 06-May-2030 417,500 0.10700,000 National Rural Utilities Cooperative Finance Corp 3.900% 01-Nov-2028 831,037 0.20750,000 Nationwide Mutual Insurance Co 9.375% 15-Aug-2039 1,208,739 0.29

1,200,000 NextEra Energy Capital Holdings Inc 3.550% 01-May-2027 1,362,285 0.32700,000 NIBC Bank NV 3.125% 15-Nov-2023 891,900 0.21

1,000,000 NiSource Inc 3.600% 01-May-2030 1,147,768 0.271,000,000 Northern Trust Corp 1.950% 01-May-2030 1,034,213 0.251,200,000 ONEOK Inc 3.400% 01-Sep-2029 1,171,786 0.28

900,000 PayPal Holdings Inc 1.650% 01-Jun-2025 931,453 0.221,350,000 Penske Truck Leasing Co LP/PTL Finance Corp 4.125% 01-Aug-2023 1,442,862 0.341,000,000 Pertamina Persero PT 3.100% 25-Aug-2030 1,012,269 0.24

500,000 Prosus NV 3.680% 21-Jan-2030 524,790 0.13500,000 RELX Capital Inc 3.000% 22-May-2030 539,580 0.13

1,100,000 San Diego Gas & Electric Co 3.320% 15-Apr-2050 1,201,154 0.29



40



Corporate bonds (continued) 810,000 SMBC Aviation Capital Finance DAC 2.650% 15-Jul-2021 813,713 0.19800,000 Takeda Pharmaceutical Co Ltd 2.000% 09-Jul-2040 899,859 0.21

1,000,000 Takeda Pharmaceutical Co Ltd 4.400% 26-Nov-2023 1,112,635 0.271,000,000 Telefonica Emisiones SA 1.807% 21-May-2032 1,185,364 0.28

700,000 Tencent Holdings Ltd 3.240% 03-Jun-2050 703,729 0.17700,000 Tencent Holdings Ltd 3.290% 03-Jun-2060 709,474 0.17

1,200,000 Terega SASU 0.625% 27-Feb-2028 1,268,402 0.301,050,000 Teva Pharmaceutical Finance Netherlands II BV 1.125% 15-Oct-2024 1,036,128 0.25

500,000 UBS AG 1.750% 21-Apr-2022 509,690 0.12450,000 UniCredit SpA 6.572% 14-Jan-2022 475,559 0.11900,000 UniCredit SpA floating rate 20-Jan-2026 971,437 0.23

1,000,000 Upjohn Finance BV 1.908% 23-Jun-2032 1,142,140 0.27425,000 Upjohn Inc 2.300% 22-Jun-2027 439,091 0.10

1,150,000 Ventas Realty LP 3.000% 15-Jan-2030 1,140,321 0.271,000,000 Volkswagen Group of America Finance LLC 3.350% 13-May-2025 1,068,437 0.251,000,000 Worldline SA 0.250% 18-Sep-2024 1,106,008 0.26

Government/Agency/Government-related bonds 248,769,557 59.301,730,000 Australia Government Bond 1.750% 21-Nov-2020 1,198,418 0.292,500,000 Australia Government Bond 2.750% 21-Jun-2035 2,086,318 0.504,070,000 Australia Government Bond 3.250% 21-Apr-2025 3,183,511 0.76

450,000 Bundesrepublik Deutschland Bundesanleihe 0.000% 15-Aug-2026 527,211 0.132,700,000 Bundesrepublik Deutschland Bundesanleihe 0.000% 15-Feb-2030 3,183,272 0.763,300,000 Bundesrepublik Deutschland Bundesanleihe 0.250% 15-Feb-2029 3,976,239 0.951,230,000 Bundesrepublik Deutschland Bundesanleihe 1.250% 15-Aug-2048 1,885,754 0.45

650,000 Bundesrepublik Deutschland Bundesanleihe 1.750% 15-Feb-2024 796,747 0.19525,000 Bundesrepublik Deutschland Bundesanleihe 4.250% 04-Jul-2039 1,101,664 0.26850,000 Bundesrepublik Deutschland Bundesanleihe 4.750% 04-Jul-2034 1,658,616 0.40200,000 Canadian Government Bond 2.750% 01-Dec-2048 210,916 0.05750,000 Canadian Government Bond 5.000% 01-Jun-2037 912,483 0.22

1,300,000 CPPIB Capital Inc 1.950% 30-Sep-2029 1,005,591 0.246,650,000 Denmark Government Bond 1.750% 15-Nov-2025 1,127,641 0.271,800,000 Denmark Government Bond 4.500% 15-Nov-2039 512,717 0.121,600,000 Finland Government Bond 2.750% 04-Jul-2028 2,249,885 0.548,500,000 French Republic Government Bond OAT 0.000% 25-May-2022 9,660,626 2.305,780,000 French Republic Government Bond OAT 0.500% 25-May-2026 6,868,397 1.644,900,000 French Republic Government Bond OAT 0.750% 25-Nov-2028 5,986,839 1.43

730,000 French Republic Government Bond OAT 2.000% 25-May-2048 1,136,749 0.273,270,000 French Republic Government Bond OAT 3.250% 25-May-2045 6,088,305 1.452,930,000 French Republic Government Bond OAT 4.750% 25-Apr-2035 5,560,146 1.331,000,000 Indonesia Government International Bond 1.400% 30-Oct-2031 1,068,537 0.25

150,000 Ireland Government Bond 1.500% 15-May-2050 208,304 0.05550,000 Ireland Government Bond 2.400% 15-May-2030 768,099 0.18

1,900,000 Ireland Government Bond 3.400% 18-Mar-2024 2,443,642 0.58660,000 Israel Government International Bond 3.875% 03-Jul-2050 786,298 0.19

9,000,000 Italy Buoni Poliennali Del Tesoro 0.350% 01-Nov-2021 10,167,484 2.424,970,000 Italy Buoni Poliennali Del Tesoro 1.650% 01-Dec-2030 5,769,375 1.376,000,000 Italy Buoni Poliennali Del Tesoro 1.850% 01-Jul-2025 7,136,990 1.701,725,000 Italy Buoni Poliennali Del Tesoro 2.000% 01-Feb-2028 2,075,570 0.491,360,000 Italy Buoni Poliennali Del Tesoro 2.700% 01-Mar-2047 1,699,703 0.40

700,000 Italy Buoni Poliennali Del Tesoro 3.850% 01-Sep-2049 1,063,765 0.252,420,000 Italy Buoni Poliennali Del Tesoro 5.000% 01-Aug-2039 4,065,382 0.97

651,000,000 Japan Government Forty Year Bond 2.200% 20-Mar-2050 8,684,680 2.07762,100,000 Japan Government Ten Year Bond 0.300% 20-Dec-2025 7,220,102 1.72498,300,000 Japan Government Thirty Year Bond 1.400% 20-Dec-2045 5,587,942 1.33235,900,000 Japan Government Thirty Year Bond 2.000% 20-Sep-2040 2,853,066 0.68759,800,000 Japan Government Thirty Year Bond 2.200% 20-Sep-2039 9,389,772 2.24

1,338,500,000 Japan Government Twenty Year Bond 1.000% 20-Mar-2023 12,792,689 3.05252,500,000 Japan Government Twenty Year Bond 1.600% 20-Jun-2030 2,704,181 0.64

1,414,600,000 Japan Government Twenty Year Bond 1.700% 20-Sep-2033 15,702,932 3.74656,000,000 Japan Government Twenty Year Bond 1.900% 20-Dec-2028 7,079,103 1.69



41



Government/Agency/Government-related bonds (continued) 900,000 Kazakhstan Government International Bond 1.550% 09-Nov-2023 1,022,894 0.24

3,850,000 Kingdom of Belgium Government Bond 0.800% 22-Jun-2025 4,605,704 1.101,300,000 Kingdom of Belgium Government Bond 1.000% 22-Jun-2031 1,633,455 0.391,370,000 Kingdom of Belgium Government Bond 3.750% 22-Jun-2045 2,713,080 0.657,000,000 Malaysia Government Bond 3.502% 31-May-2027 1,714,149 0.41

68,830,000 Mexican Bonos 5.750% 05-Mar-2026 3,060,637 0.7329,500,000 Mexican Bonos 6.500% 10-Jun-2021 1,297,420 0.31

1,200,000 Municipal Finance Authority of British Columbia 2.550% 09-Oct-2029 971,753 0.232,700,000 Netherlands Government Bond 0.500% 15-Jul-2026 3,228,852 0.77

350,000 Netherlands Government Bond 2.750% 15-Jan-2047 680,498 0.16950,000 Netherlands Government Bond 4.000% 15-Jan-2037 1,805,212 0.43

1,400,000 OMERS Finance Trust 2.600% 14-May-2029 1,113,370 0.27870,000 Panama Government International Bond 4.500% 01-Apr-2056 1,070,979 0.26

1,775,000 PSP Capital Inc 2.050% 15-Jan-2030 1,384,539 0.331,100,000 Qatar Government International Bond 4.000% 14-Mar-2029 1,267,903 0.30

250,000 Qatar Government International Bond 4.817% 14-Mar-2049 329,654 0.08650,000 Republic of Austria Government Bond 0.500% 20-Feb-2029 780,997 0.19

2,240,000 Republic of Austria Government Bond 1.650% 21-Oct-2024 2,761,468 0.66960,000 Republic of Austria Government Bond 3.150% 20-Jun-2044 1,825,560 0.43

3,250,000 Republic of Poland Government Bond 5.250% 25-Oct-2020 835,080 0.201,000,000 Russian Foreign Bond - Eurobond 5.625% 04-Apr-2042 1,359,790 0.321,800,000 Singapore Government Bond 3.500% 01-Mar-2027 1,524,407 0.363,120,000 Spain Government Bond 0.450% 31-Oct-2022 3,573,234 0.853,000,000 Spain Government Bond 1.250% 31-Oct-2030 3,636,044 0.877,830,000 Spain Government Bond 1.950% 30-Apr-2026 9,811,272 2.341,650,000 Spain Government Bond 2.900% 31-Oct-2046 2,570,422 0.61

581,000 Spain Government Bond 4.200% 31-Jan-2037 993,528 0.2410,000,000 Sweden Government Bond 1.000% 12-Nov-2026 1,159,054 0.28

1,230,000 United Kingdom Gilt 3.250% 22-Jan-2044 2,386,462 0.572,990,000 United Kingdom Gilt 4.250% 07-Dec-2055 8,001,131 1.911,810,000 United Kingdom Gilt 4.750% 07-Dec-2038 3,894,608 0.932,131,000 United States Treasury Note/Bond 2.250% 15-Aug-2046 2,528,357 0.602,050,000 United States Treasury Note/Bond 3.375% 15-May-2044 2,900,830 0.69

100,000 United States Treasury Note/Bond 3.500% 15-Feb-2039 141,553 0.03


873,886Payden Global Funds PLC - Payden USD Low Duration Credit Fund, US Dollar Class (Accumulating)(1) 10,619,468 2.53

Mortgage related securities 12,584,138 3.004,080,000 Fannie Mae Pool 2.000% 01-Aug-2035 4,214,513 1.004,020,000 Fannie Mae Pool 2.500% 01-Jul-2050 4,184,647 1.003,980,000 Fannie Mae Pool 3.000% 01-Aug-2050 4,184,978 1.00


4,000,000 Italy Buoni Ordinari del Tesoro BOT 0.000% 30-Nov-2020 4,497,561 1.07450,000,000 Japan Treasury Discount Bill 0.000% 14-Sep-2020 4,172,576 0.99

4,000,000 Spain Letras del Tesoro 0.000% 07-May-2021 4,510,992 1.08

Total value of investment in securities (2019: 93.72%, USD 412,165,399) 420,513,558 100.23



42



Futures contracts (2019: 0.12%, USD 510,678) Notional (USD) Broker 319,169 0.07

(4)Canada Bond 10 Year (MX) Future Exp 21-Sep-2020 (452,775) Goldman Sachs 1,028 0.00

1Euro-Buxl 30 Year Bond (EUREX) Future Exp 08-Sep-2020 242,645 Goldman Sachs 4,403 0.00

143US Treasury Note 10 Year (CBT) Future Exp 21-Sep-2020 19,823,375 Goldman Sachs 78,203 0.02



29US Long Bond (CBT) Future Exp 21-Sep-2020 5,127,032 Goldman Sachs 51,280 0.01

66US Ultra Bond (CBT) Future Exp 21-Sep-2020 14,308,307 Goldman Sachs 90,006 0.02

Unrealised gain on forward foreign currency contracts (Appendix) (2019: 3.90%, USD 17,142,654) 2,933,920 0.70


Futures contracts (2019: (0.09%), USD (402,521)) Notional (USD) Broker (221,977) (0.05)

46Australia Bond 3 Year (SFE) Future Exp 15-Sep-2020 3,708,441 Goldman Sachs (1,040) 0.00

(66)Euro-Bobl (EUREX) Future Exp 08-Sep-2020 (9,966,496) Goldman Sachs (39,288) (0.01)

(100)Euro-Bund (EUREX) Future Exp 08-Sep-2020 (19,716,823) Goldman Sachs (109,021) (0.02)

(60)Euro-Schatz (EUREX) Future Exp 08-Sep-2020 (7,552,622) Goldman Sachs (4,380) 0.00

(84)US Ultra Bond 10 Year (CBT) Future Exp 21-Sep-2020 (13,160,440) Goldman Sachs (68,248) (0.02)

Unrealised loss on forward foreign currency contracts (Appendix) (2019: (0.80%), USD (3,528,165)) (3,901,440) (0.93)


Net current liabilities (84,383) (0.02)




Unrealised gain on forward foreign currency contractsUnrealised

Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Bond Fund State Street USD 2,249,150 EUR (2,000,000) 08-Jul-2020 2,585State Street USD 3,421,071 EUR (3,000,000) 08-Jul-2020 51,224State Street USD 5,066,888 EUR (4,500,000) 08-Jul-2020 12,116Citibank USD 649,281 JPY (70,000,000) 08-Jul-2020 402Citibank USD 69,263,519 JPY(7,467,300,000) 08-Jul-2020 43,834Citibank USD 4,175,665 JPY (448,000,000) 08-Jul-2020 22,836Citibank USD 467,157 JPY (50,000,000) 08-Jul-2020 3,671HSBC Securities SEK 19,646,000 USD (2,023,310) 30-Jul-2020 86,155HSBC Securities USD 1,991,484 GBP (1,601,000) 30-Jul-2020 12,901HSBC Securities USD 1,984,360 JPY (212,650,000) 30-Jul-2020 12,560Barclays USD 2,779,634 AUD (4,013,000) 23-Sep-2020 15,995



43



Unrealised gain on forward foreign currency contracts (continued)Unrealised

Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDEuro Class Citibank EUR 13,526,000 USD (15,055,777) 06-Jul-2020 137,145Citibank EUR 2,000 USD (2,245) 06-Jul-2020 2Citibank USD 2,250 EUR (2,000) 06-Jul-2020 4Citibank USD 14,615 EUR (13,000) 06-Jul-2020 12Citibank USD 1,128 EUR (1,000) 06-Jul-2020 5Citibank USD 6,748 EUR (6,000) 06-Jul-2020 9Citibank USD 66,970 EUR (59,000) 06-Jul-2020 699Citibank USD 9,056 EUR (8,000) 06-Jul-2020 70Citibank USD 32,937 EUR (29,000) 06-Jul-2020 363Citibank USD 4,555 EUR (4,000) 06-Jul-2020 62Citibank EUR 13,520,000 USD (15,195,020) 05-Aug-2020 1,831

Euro Class (Distributing)Citibank EUR 12,646,000 USD (14,076,250) 06-Jul-2020 128,222Citibank EUR 12,751,000 USD (14,330,747) 05-Aug-2020 1,727

Norwegian Krone ClassState Street NOK 3,145,460,000 USD (323,703,341) 06-Jul-2020 2,356,855State Street NOK 13,000 USD (1,347) 06-Jul-2020 1State Street NOK 10,989,000 USD (1,132,277) 06-Jul-2020 6,849State Street NOK 12,567,000 USD (1,288,979) 06-Jul-2020 13,723State Street USD 520,854 NOK (5,000,000) 06-Jul-2020 2,551State Street USD 328,145,494 NOK(3,165,572,000) 06-Jul-2020 476

US Dollar Class (Accumulating) UnhedgedHSBC Securities AUD 104,000 USD (69,037) 06-Jul-2020 2,569HSBC Securities CAD 88,000 USD (63,668) 06-Jul-2020 943HSBC Securities EUR 1,164,000 USD (1,295,672) 06-Jul-2020 11,778HSBC Securities USD 1,139 EUR (1,000) 06-Jul-2020 15HSBC Securities USD 1,128 EUR (1,000) 06-Jul-2020 5HSBC Securities USD 936 JPY (100,000) 06-Jul-2020 9HSBC Securities AUD 107,000 USD (73,681) 05-Aug-2020 2HSBC Securities CAD 85,000 USD (62,413) 05-Aug-2020 1HSBC Securities EUR 1,209,000 USD (1,358,783) 05-Aug-2020 166HSBC Securities GBP 174,000 USD (215,036) 05-Aug-2020 8HSBC Securities JPY 79,100,000 USD (733,480) 05-Aug-2020 32HSBC Securities DKK 110,000 USD (16,184) 06-Aug-2020 404HSBC Securities DKK 3,000 USD (448) 06-Aug-2020 4HSBC Securities ILS 44,000 USD (12,601) 06-Aug-2020 124HSBC Securities MXN 570,000 USD (23,603) 06-Aug-2020 943Barclays MYR 67,000 USD (15,516) 06-Aug-2020 97Barclays MYR 2,000 USD (465) 06-Aug-2020 1Barclays MYR 3,000 USD (688) 06-Aug-2020 11HSBC Securities NOK 80,000 USD (7,833) 06-Aug-2020 461HSBC Securities PLN 78,000 USD (18,832) 06-Aug-2020 889HSBC Securities PLN 2,000 USD (499) 06-Aug-2020 6HSBC Securities SEK 89,000 USD (9,120) 06-Aug-2020 437HSBC Securities SGD 21,000 USD (14,925) 06-Aug-2020 130HSBC Securities USD 1,292 MXN (30,000) 06-Aug-2020 0HSBC Securities USD 717 SGD (1,000) 06-Aug-2020 0

2,933,920



44



Unrealised loss on forward foreign currency contractsUnrealised

Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Bond Fund State Street USD 172,852,090 EUR (155,830,000) 08-Jul-2020 (2,189,022)HSBC Securities USD 23,237,291 GBP (18,874,000) 08-Jul-2020 (84,155)Citibank USD 2,525,879 JPY (275,000,000) 08-Jul-2020 (23,291)State Street USD 6,074,021 AUD (9,651,000) 28-Jul-2020 (571,708)State Street USD 5,425,187 CAD (7,694,000) 28-Jul-2020 (224,265)HSBC Securities USD 1,625,468 DKK (11,144,000) 28-Jul-2020 (54,794)HSBC Securities USD 4,029,340 MXN (99,430,000) 28-Jul-2020 (257,776)Citibank USD 963,706 PLN (4,028,000) 28-Jul-2020 (54,675)HSBC Securities USD 1,084,801 SEK (10,950,000) 28-Jul-2020 (90,909)HSBC Securities USD 1,510,634 SGD (2,138,000) 28-Jul-2020 (22,008)HSBC Securities GBP 1,601,000 USD (2,009,686) 30-Jul-2020 (31,103)HSBC Securities JPY 425,300,000 USD (3,987,250) 30-Jul-2020 (43,649)HSBC Securities USD 1,965,231 JPY (212,650,000) 30-Jul-2020 (6,569)HSBC Securities USD 1,993,340 SEK (19,646,000) 30-Jul-2020 (116,125)Barclays USD 1,728,446 MYR (7,498,000) 06-Aug-2020 (18,803)State Street EUR 4,903,000 USD (5,555,202) 22-Sep-2020 (38,167)Barclays EUR 2,455,000 USD (2,782,279) 23-Sep-2020 (19,758)Barclays NOK 26,505,000 USD (2,783,289) 25-Sep-2020 (34,925)Barclays USD 2,782,424 SEK (25,899,000) 25-Sep-2020 (381)

Euro ClassCitibank EUR 3,000 USD (3,408) 06-Jul-2020 (39)Citibank EUR 1,000 USD (1,128) 06-Jul-2020 (5)Citibank USD 7,858 EUR (7,000) 06-Jul-2020 (4)Citibank USD 32,489 EUR (29,000) 06-Jul-2020 (85)Citibank USD 5,565 EUR (5,000) 06-Jul-2020 (51)Citibank USD 5,595 EUR (5,000) 06-Jul-2020 (21)Citibank USD 3,368 EUR (3,000) 06-Jul-2020 (2)Citibank USD 15,006,407 EUR (13,361,000) 06-Jul-2020 (1,180)Citibank USD 2,206,176 EUR (1,963,000) 05-Aug-2020 (289)

Euro Class (Distributing)Citibank USD 14,203,355 EUR (12,646,000) 06-Jul-2020 (1,117)

Norwegian Krone ClassState Street NOK 503,000 USD (54,297) 06-Jul-2020 (2,155)State Street NOK 1,007,000 USD (105,725) 06-Jul-2020 (1,339)State Street NOK 14,000 USD (1,458) 06-Jul-2020 (7)State Street NOK 19,000 USD (1,974) 06-Jul-2020 (5)State Street NOK 3,204,966,000 USD (332,280,427) 05-Aug-2020 (11,265)

US Dollar Class (Accumulating) UnhedgedHSBC Securities EUR 1,000 USD (1,131) 06-Jul-2020 (8)HSBC Securities EUR 1,000 USD (1,136) 06-Jul-2020 (13)HSBC Securities EUR 3,000 USD (3,376) 06-Jul-2020 (6)HSBC Securities EUR 1,000 USD (1,125) 06-Jul-2020 (2)HSBC Securities GBP 175,000 USD (216,386) 06-Jul-2020 (151)HSBC Securities JPY 80,500,000 USD (747,585) 06-Jul-2020 (1,389)HSBC Securities JPY 200,000 USD (1,864) 06-Jul-2020 (10)HSBC Securities JPY 100,000 USD (936) 06-Jul-2020 (9)HSBC Securities USD 71,604 AUD (104,000) 06-Jul-2020 (2)HSBC Securities USD 64,611 CAD (88,000) 06-Jul-2020 (1)HSBC Securities USD 1,311,839 EUR (1,168,000) 06-Jul-2020 (103)HSBC Securities USD 216,230 GBP (175,000) 06-Jul-2020 (4)HSBC Securities USD 748,019 JPY (80,700,000) 06-Jul-2020 (31)HSBC Securities MXN 30,000 USD (1,343) 06-Aug-2020 (51)HSBC Securities USD 286 ILS (1,000) 06-Aug-2020 (3)HSBC Securities USD 1,338 NOK (13,000) 06-Aug-2020 (10)

(3,901,440)



45


Portfolio Analysis % of totalassets

Transferable securities and money market instruments admitted to an official stock exchange 77.50Transferable securities and money market instruments traded on another regulated market 15.36Financial derivative instruments dealt in on a regulated market 0.02OTC financial derivative instruments (0.22)Other transferable securities 2.29

94.95



46

Payden Global Emerging Markets Bond FundAs at 30 June 2020


Angola 3,103,955 1.56Government/Agency/Government-related bonds 3,103,955 1.56

670,000 Angolan Government International Bond 8.000% 26-Nov-2029 554,090 0.281,285,000 Angolan Government International Bond 8.250% 09-May-2028 1,063,719 0.531,430,000 Angolan Government International Bond 9.375% 08-May-2048 1,169,537 0.59

350,000 Angolan Government International Bond 9.500% 12-Nov-2025 316,609 0.16

Argentina 3,453,998 1.73Corporate bonds 57,059 0.03

6,000,000 YPF SA 16.500% 09-May-2022 57,059 0.03

Government/Agency/Government-related bonds 3,396,939 1.70660,000 Argentine Republic Government International Bond 3.750% 31-Dec-2038 260,235 0.13680,000 Argentine Republic Government International Bond 5.625% 26-Jan-2022 282,550 0.14610,000 Argentine Republic Government International Bond 6.875% 11-Jan-2048 238,364 0.12720,000 Argentine Republic Government International Bond 7.125% 06-Jul-2036 283,900 0.14305,000 Argentine Republic Government International Bond 7.125% 28-Jun-2117 119,040 0.06

1,824,000 Argentine Republic Government International Bond 7.500% 22-Apr-2026 741,803 0.371,451,109 Argentine Republic Government International Bond 8.280% 31-Dec-2033 647,957 0.33

240,000 Provincia de Buenos Aires 6.500% 15-Feb-2023 102,002 0.05290,000 Provincia de Buenos Aires 7.875% 15-Jun-2027 121,078 0.06960,000 Provincia de Cordoba 7.125% 10-Jun-2021 600,010 0.30

Armenia 1,492,003 0.75Government/Agency/Government-related bonds 1,492,003 0.75

1,325,000 Republic of Armenia International Bond 7.150% 26-Mar-2025 1,492,003 0.75

Azerbaijan 899,050 0.45Corporate bonds 899,050 0.45

780,000 Southern Gas Corridor CJSC 6.875% 24-Mar-2026 899,050 0.45

Bahrain 496,634 0.25Government/Agency/Government-related bonds 496,634 0.25

270,000 Bahrain Government International Bond 5.625% 30-Sep-2031 273,780 0.14200,000 Bahrain Government International Bond 7.000% 26-Jan-2026 222,854 0.11

Belarus 2,339,090 1.18Government/Agency/Government-related bonds 2,339,090 1.18

200,000 Republic of Belarus International Bond 6.200% 28-Feb-2030 191,764 0.10370,000 Republic of Belarus International Bond 6.875% 28-Feb-2023 371,820 0.19920,000 Republic of Belarus International Bond 7.625% 29-Jun-2027 951,533 0.48350,000 Republic of Belarus Ministry of Finance 5.875% 24-Feb-2026 340,078 0.17500,000 Republic of Belarus Ministry of Finance 6.378% 24-Feb-2031 483,895 0.24

Brazil 8,809,567 4.43Corporate bonds 3,753,962 1.88

860,000 Itau Unibanco Holding SA floating rate 21-Nov-2029 816,690 0.41775,236 MV24 Capital BV 6.748% 01-Jun-2034 738,172 0.37115,000 Odebrecht Oil & Gas Finance Ltd 0.000% Perpetual 403 0.00

5,260,000 Swiss Insured Brazil Power Finance Sarl 9.850% 16-Jul-2032 1,081,903 0.54800,000 Ultrapar International SA 5.250% 06-Jun-2029 815,052 0.41

1,005,773 USJ Acucar e Alcool SA 9.875% 09-Nov-2023 301,742 0.15

Government/Agency/Government-related bonds 5,055,605 2.555,845,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2021 1,105,044 0.554,990,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2023 1,032,759 0.522,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2027 431,965 0.222,700,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01-Jan-2029 590,501 0.30

515,000 Brazilian Government International Bond 4.500% 30-May-2029 528,650 0.271,240,000 Brazilian Government International Bond 4.750% 14-Jan-2050 1,173,827 0.59

200,000 Brazilian Government International Bond 5.000% 27-Jan-2045 192,859 0.10



47

Payden Global Emerging Markets Bond Fund (continued) As at 30 June 2020


Chile 1,859,486 0.94Corporate bonds 551,031 0.28

382,585 Latam Airlines 2015-1 Pass Through Trust A 4.200% 15-Nov-2027 330,936 0.1726,745 Latam Airlines 2015-1 Pass Through Trust B 4.500% 15-Nov-2023 13,841 0.01

200,000 VTR Finance NV 6.375% 15-Jul-2028 206,254 0.10

Government/Agency/Government-related bonds 1,308,455 0.66160,000,000 Bonos de la Tesoreria de la Republica en pesos 4.500% 01-Mar-2026 231,595 0.12570,000,000 Bonos de la Tesoreria de la Republica en pesos 5.000% 01-Mar-2035 890,344 0.45100,000,000 Bonos de la Tesoreria de la Republica en pesos 6.000% 01-Jan-2043 186,516 0.09

China 1,267,304 0.64Corporate bonds 1,267,304 0.64

630,000 Prosus NV 3.680% 21-Jan-2030 661,235 0.33250,000 Tencent Holdings Ltd 3.240% 03-Jun-2050 251,332 0.13350,000 Tencent Holdings Ltd 3.290% 03-Jun-2060 354,737 0.18

Colombia 7,781,550 3.90Corporate bonds 1,200,104 0.60

572,000,000 Emgesa SA ESP 8.750% 25-Jan-2021 155,972 0.08497,000,000 Empresas Publicas de Medellin ESP 7.625% 10-Sep-2024 138,871 0.07

2,545,000,000 Empresas Publicas de Medellin ESP 8.375% 08-Nov-2027 720,652 0.36200,000 Geopark Ltd 6.500% 21-Sep-2024 184,609 0.09

Government/Agency/Government-related bonds 6,581,446 3.30360,000 Colombia Government International Bond 4.500% 15-Mar-2029 396,742 0.20750,000 Colombia Government International Bond 5.000% 15-Jun-2045 852,596 0.43730,000 Colombia Government International Bond 6.125% 18-Jan-2041 915,055 0.46795,000 Colombia Government International Bond 7.375% 18-Sep-2037 1,093,125 0.55

4,692,850,000 Colombian TES 3.300% 17-Mar-2027 1,300,195 0.652,300,000,000 Colombian TES 6.000% 28-Apr-2028 626,421 0.311,194,000,000 Colombian TES 7.000% 04-May-2022 341,488 0.171,900,000,000 Colombian TES 7.500% 26-Aug-2026 579,108 0.29

232,000,000 Colombian TES 7.750% 18-Sep-2030 68,192 0.031,240,000,000 Colombian TES 10.000% 24-Jul-2024 408,524 0.21

Costa Rica 708,068 0.36Government/Agency/Government-related bonds 708,068 0.36

280,000 Costa Rica Government International Bond 6.125% 19-Feb-2031 242,830 0.12350,000 Costa Rica Government International Bond 7.000% 04-Apr-2044 289,100 0.15210,000 Costa Rica Government International Bond 7.158% 12-Mar-2045 176,138 0.09

Czech Republic 654,438 0.33Government/Agency/Government-related bonds 654,438 0.33

6,000,000 Czech Republic Government Bond 0.950% 15-May-2030 256,631 0.138,000,000 Czech Republic Government Bond 2.750% 23-Jul-2029 397,807 0.20

Dominican Republic 6,227,831 3.14Government/Agency/Government-related bonds 6,227,831 3.14

370,000 Dominican Republic International Bond 4.500% 30-Jan-2030 336,515 0.17535,000 Dominican Republic International Bond 5.875% 30-Jan-2060 461,972 0.23330,000 Dominican Republic International Bond 5.950% 25-Jan-2027 333,155 0.17

1,595,000 Dominican Republic International Bond 6.000% 19-Jul-2028 1,610,248 0.81325,000 Dominican Republic International Bond 6.400% 05-Jun-2049 299,000 0.15570,000 Dominican Republic International Bond 6.500% 15-Feb-2048 529,245 0.27375,000 Dominican Republic International Bond 6.850% 27-Jan-2045 361,313 0.18645,000 Dominican Republic International Bond 7.450% 30-Apr-2044 667,575 0.34

42,300,000 Dominican Republic International Bond 8.900% 15-Feb-2023 678,077 0.3461,600,000 Dominican Republic International Bond 9.750% 05-Jun-2026 950,731 0.48

Ecuador 1,552,979 0.77Government/Agency/Government-related bonds 1,552,979 0.77

2,125,000 Ecuador Government International Bond 7.775% 23-Jan-2028 881,896 0.44



48



Ecuador (continued) Government/Agency/Government-related bonds (continued)

320,000 Ecuador Government International Bond 7.875% 27-Mar-2025 143,200 0.07340,000 Ecuador Government International Bond 7.950% 20-Jun-2024 168,303 0.08780,000 Ecuador Government International Bond 8.750% 02-Jun-2023 359,580 0.18

Egypt 4,361,630 2.19Government/Agency/Government-related bonds 4,361,630 2.19

570,000 Egypt Government International Bond 5.577% 21-Feb-2023 584,250 0.29420,000 Egypt Government International Bond 6.200% 01-Mar-2024 432,181 0.22945,000 Egypt Government International Bond 7.500% 31-Jan-2027 993,765 0.50685,000 Egypt Government International Bond 7.625% 29-May-2032 670,334 0.34740,000 Egypt Government International Bond 8.500% 31-Jan-2047 726,217 0.36970,000 Egypt Government International Bond 8.700% 01-Mar-2049 954,883 0.48

El Salvador 1,237,956 0.62Government/Agency/Government-related bonds 1,237,956 0.62

700,000 El Salvador Government International Bond 6.375% 18-Jan-2027 603,757 0.30340,000 El Salvador Government International Bond 7.625% 01-Feb-2041 290,360 0.15190,000 El Salvador Government International Bond 7.650% 15-Jun-2035 165,775 0.08185,000 El Salvador Government International Bond 8.625% 28-Feb-2029 178,064 0.09

Gabon 451,130 0.22Government/Agency/Government-related bonds 451,130 0.22

230,000 Gabon Government International Bond 6.625% 06-Feb-2031 206,072 0.10260,000 Gabon Government International Bond 6.950% 16-Jun-2025 245,058 0.12

Georgia 2,829,117 1.42Corporate bonds 2,829,117 1.42

550,000 Bank of Georgia JSC 6.000% 26-Jul-2023 548,012 0.27390,000 Georgian Oil and Gas Corp JSC 6.750% 26-Apr-2021 398,580 0.20

1,250,000 Georgian Railway JSC 7.750% 11-Jul-2022 1,265,625 0.64620,000 TBC Bank JSC 5.750% 19-Jun-2024 616,900 0.31

Ghana 3,404,625 1.70Government/Agency/Government-related bonds 3,404,625 1.70

175,000 Ghana Government International Bond 6.375% 11-Feb-2027 164,281 0.08200,000 Ghana Government International Bond 144A 6.375% 11-Feb-2027 187,750 0.09375,000 Ghana Government International Bond 7.625% 16-May-2029 355,575 0.18390,000 Ghana Government International Bond 7.875% 26-Mar-2027 387,676 0.19200,000 Ghana Government International Bond 8.627% 16-Jun-2049 181,830 0.09

1,765,000 Ghana Government International Bond 10.750% 14-Oct-2030 2,127,513 1.07

Guatemala 3,274,866 1.64Government/Agency/Government-related bonds 3,274,866 1.64

580,000 Guatemala Government Bond 4.500% 03-May-2026 604,975 0.30850,000 Guatemala Government Bond 4.875% 13-Feb-2028 909,508 0.46300,000 Guatemala Government Bond 4.900% 01-Jun-2030 321,468 0.16240,000 Guatemala Government Bond 5.375% 24-Apr-2032 265,800 0.13

1,010,000 Guatemala Government Bond 6.125% 01-Jun-2050 1,173,115 0.59

Honduras 540,335 0.27Government/Agency/Government-related bonds 540,335 0.27

530,000 Honduras Government International Bond 5.625% 24-Jun-2030 540,335 0.27

Hungary 2,315,354 1.16Government/Agency/Government-related bonds 2,315,354 1.16

56,000,000 Hungary Government Bond 3.000% 26-Jun-2024 190,939 0.10415,000,000 Hungary Government Bond 3.000% 21-Aug-2030 1,420,119 0.71109,000,000 Hungary Government Bond 3.250% 22-Oct-2031 381,911 0.1984,300,000 Hungary Government Bond 5.500% 24-Jun-2025 322,385 0.16



49



India 5,641,652 2.83Corporate bonds 4,868,363 2.44

200,000 Adani Electricity Mumbai Ltd 3.949% 12-Feb-2030 186,932 0.09855,700 Adani Transmission Ltd 4.250% 21-May-2036 826,468 0.41210,000 Azure Power Solar Energy Pvt Ltd 5.650% 24-Dec-2024 212,504 0.11760,000 Muthoot Finance Ltd 6.125% 31-Oct-2022 771,210 0.39590,000 Power Finance Corp Ltd 6.150% 06-Dec-2028 656,085 0.33

1,060,000 ReNew Power Pvt Ltd 5.875% 05-Mar-2027 1,029,249 0.52260,000 ReNew Power Pvt Ltd 6.450% 27-Sep-2022 259,753 0.13

1,010,000 Shriram Transport Finance Co Ltd 5.950% 24-Oct-2022 926,162 0.46

Government/Agency/Government-related bonds 773,289 0.39780,000 Export-Import Bank of India 3.250% 15-Jan-2030 773,289 0.39

Indonesia 18,303,018 9.19Corporate bonds 8,098,144 4.07

830,000 Hutama Karya Persero PT 3.750% 11-May-2030 873,627 0.44280,000 Indonesia Asahan Aluminium Persero PT 4.750% 15-May-2025 299,918 0.15360,000 Indonesia Asahan Aluminium Persero PT 5.450% 15-May-2030 402,372 0.20240,000 Indonesia Asahan Aluminium Persero PT 6.530% 15-Nov-2028 285,007 0.14330,000 Listrindo Capital BV 4.950% 14-Sep-2026 333,300 0.17475,000 Minejesa Capital BV 4.625% 10-Aug-2030 483,816 0.24770,000 Minejesa Capital BV 5.625% 10-Aug-2037 792,557 0.40270,000 Pelabuhan Indonesia III Persero PT 4.500% 02-May-2023 282,235 0.14670,000 Pertamina Persero PT 3.100% 25-Aug-2030 678,221 0.34630,000 Pertamina Persero PT 4.700% 30-Jul-2049 685,227 0.34445,000 Pertamina Persero PT 5.625% 20-May-2043 517,701 0.26570,000 Pertamina Persero PT 6.500% 07-Nov-2048 749,148 0.38

600,000Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 6.150% 21-May-2048 748,077 0.38

14,960,000,000 Wijaya Karya Persero Tbk PT 7.700% 31-Jan-2021 966,938 0.49

Government/Agency/Government-related bonds 10,204,874 5.12100,000 Indonesia Government International Bond 1.400% 30-Oct-2031 106,854 0.05280,000 Indonesia Government International Bond 5.250% 17-Jan-2042 347,278 0.17260,000 Indonesia Government International Bond 6.625% 17-Feb-2037 356,633 0.18195,000 Indonesia Government International Bond 8.500% 12-Oct-2035 303,907 0.15

4,200,000,000 Indonesia Treasury Bond 5.625% 17-May-2023 290,722 0.1512,000,000,000 Indonesia Treasury Bond 8.250% 17-May-2036 875,072 0.4410,000,000,000 Indonesia Treasury Bond 8.250% 19-May-2036 729,226 0.37

6,900,000,000 Indonesia Treasury Bond 8.375% 15-Sep-2026 521,908 0.265,250,000,000 Indonesia Treasury Bond 8.375% 17-Sep-2026 397,104 0.20

28,000,000,000 Indonesia Treasury Bond 8.375% 17-Mar-2034 2,068,099 1.0414,500,000,000 Indonesia Treasury Bond 9.500% 17-Jul-2031 1,160,711 0.58

8,000,000,000 Indonesia Treasury Bond 11.000% 17-Sep-2025 664,193 0.337,862,000,000 Indonesia Treasury Bond EMTN 8.250% 19-May-2036 572,437 0.29

21,250,000,000 Indonesia Treasury Bond EMTN 8.375% 17-Mar-2034 1,571,102 0.79220,000 Perusahaan Penerbit SBSN Indonesia III 4.150% 29-Mar-2027 239,628 0.12

Ivory Coast 2,834,224 1.43Government/Agency/Government-related bonds 2,834,224 1.43

240,000 Ivory Coast Government International Bond 5.250% 22-Mar-2030 251,139 0.13450,000 Ivory Coast Government International Bond 5.875% 17-Oct-2031 476,346 0.24820,000 Ivory Coast Government International Bond 6.125% 15-Jun-2033 820,377 0.41575,000 Ivory Coast Government International Bond 6.375% 03-Mar-2028 589,513 0.30425,000 Ivory Coast Government International Bond 6.625% 22-Mar-2048 433,197 0.22250,000 Ivory Coast Government International Bond 6.875% 17-Oct-2040 263,652 0.13

Kazakhstan 2,482,506 1.25Corporate bonds 2,482,506 1.25

130,000,000 Development Bank of Kazakhstan JSC 8.950% 04-May-2023 289,137 0.15280,000,000 Development Bank of Kazakhstan JSC 9.500% 14-Dec-2020 667,558 0.33

1,305,000 KazMunayGas National Co JSC 5.750% 19-Apr-2047 1,525,811 0.77



50



Kenya 994,917 0.50Government/Agency/Government-related bonds 994,917 0.50

700,000 Kenya Government International Bond 6.875% 24-Jun-2024 713,073 0.36285,000 Kenya Government International Bond 8.250% 28-Feb-2048 281,844 0.14

Kuwait 260,744 0.13Corporate bonds 260,744 0.13

230,000 MEGlobal Canada ULC 5.875% 18-May-2030 260,744 0.13

Lebanon 306,235 0.16Government/Agency/Government-related bonds 306,235 0.16

385,000 Lebanon Government International Bond 6.000% 27-Jan-2023 69,974 0.04305,000 Lebanon Government International Bond 6.600% 27-Nov-2026 54,786 0.03148,000 Lebanon Government International Bond 6.650% 26-Feb-2030 26,273 0.01235,000 Lebanon Government International Bond 6.750% 29-Nov-2027 42,335 0.02220,000 Lebanon Government International Bond 6.850% 25-May-2029 39,087 0.02410,000 Lebanon Government International Bond 7.000% 23-Mar-2032 73,780 0.04

Malaysia 10,418,142 5.22Corporate bonds 7,171,326 3.60

2,000,000 1MDB Energy Ltd 5.990% 11-May-2022 2,084,938 1.054,500,000 1MDB Global Investments Ltd 4.400% 09-Mar-2023 4,248,000 2.13

490,000 Petronas Capital Ltd 3.500% 21-Apr-2030 545,591 0.27230,000 Petronas Capital Ltd 4.550% 21-Apr-2050 292,797 0.15

Government/Agency/Government-related bonds 3,246,816 1.628,500,000 Malaysia Government Bond 3.885% 15-Aug-2029 2,140,914 1.07

600,000 Malaysia Government Bond 3.889% 31-Jul-2020 140,221 0.073,800,000 Malaysia Government Bond 4.392% 15-Apr-2026 965,681 0.48

Mexico 12,432,485 6.24Corporate bonds 7,559,360 3.80

1,287,250 Cometa Energia SA de CV 6.375% 24-Apr-2035 1,345,556 0.68844,533 Fermaca Enterprises S de RL de CV 6.375% 30-Mar-2038 901,539 0.45

6,700,000 Grupo Televisa SAB 7.250% 14-May-2043 220,135 0.11580,000 Mexico City Airport Trust 3.875% 30-Apr-2028 527,841 0.27580,000 Mexico City Airport Trust 5.500% 31-Jul-2047 515,791 0.26710,000 Petroleos Mexicanos 5.950% 28-Jan-2031 586,783 0.30560,000 Petroleos Mexicanos 6.490% 23-Jan-2027 511,778 0.26935,000 Petroleos Mexicanos 6.500% 13-Mar-2027 845,231 0.42340,000 Petroleos Mexicanos 6.500% 23-Jan-2029 296,969 0.15120,000 Petroleos Mexicanos 6.625% 15-Jun-2035 97,988 0.05782,000 Petroleos Mexicanos 6.750% 21-Sep-2047 602,633 0.30303,000 Petroleos Mexicanos 6.840% 23-Jan-2030 267,225 0.13730,000 Petroleos Mexicanos 6.950% 28-Jan-2060 562,188 0.28332,000 Petroleos Mexicanos 7.690% 23-Jan-2050 277,703 0.14

Government/Agency/Government-related bonds 4,873,125 2.442,500,000 Mexican Bonos 5.750% 05-Mar-2026 111,167 0.063,700,000 Mexican Bonos 7.500% 03-Jun-2027 178,504 0.096,180,000 Mexican Bonos 7.750% 23-Nov-2034 303,894 0.15

16,611,000 Mexican Bonos 7.750% 13-Nov-2042 785,894 0.3935,700,000 Mexican Bonos 8.500% 31-May-2029 1,830,299 0.9225,700,000 Mexican Bonos 8.500% 18-Nov-2038 1,320,758 0.66

280,000 Mexico Government International Bond 6.050% 11-Jan-2040 342,609 0.17

Mongolia 4,828,230 2.41Government/Agency/Government-related bonds 4,828,230 2.41

1,080,000 Development Bank of Mongolia LLC 7.250% 23-Oct-2023 1,051,444 0.52525,000 Mongolia Government International Bond 5.125% 05-Dec-2022 524,980 0.26500,000 Mongolia Government International Bond 5.625% 01-May-2023 501,875 0.25

1,470,000 Mongolia Government International Bond 8.750% 09-Mar-2024 1,587,544 0.801,115,000 Mongolia Government International Bond 10.875% 06-Apr-2021 1,162,387 0.58



51



Nigeria 3,630,497 1.82Government/Agency/Government-related bonds 3,630,497 1.82

400,000 Nigeria Government International Bond 6.500% 28-Nov-2027 381,800 0.19930,000 Nigeria Government International Bond 7.143% 23-Feb-2030 871,828 0.44980,000 Nigeria Government International Bond 7.625% 21-Nov-2025 1,003,216 0.50500,000 Nigeria Government International Bond 7.696% 23-Feb-2038 458,350 0.23670,000 Nigeria Government International Bond 7.875% 16-Feb-2032 634,001 0.32280,000 Nigeria Government International Bond 8.747% 21-Jan-2031 281,302 0.14

Oman 2,333,694 1.17Government/Agency/Government-related bonds 2,333,694 1.17

220,000 Oman Government International Bond 4.750% 15-Jun-2026 204,189 0.10460,000 Oman Government International Bond 5.375% 08-Mar-2027 430,445 0.22640,000 Oman Government International Bond 6.500% 08-Mar-2047 555,996 0.28

1,315,000 Oman Government International Bond 6.750% 17-Jan-2048 1,143,064 0.57

Panama 2,949,396 1.48Corporate bonds 697,034 0.35

238,939 Aeropuerto Internacional de Tocumen SA 6.000% 18-Nov-2048 262,545 0.13370,000 Empresa de Transmision Electrica SA 5.125% 02-May-2049 434,489 0.22

Government/Agency/Government-related bonds 2,252,362 1.13265,000 Panama Government International Bond 4.300% 29-Apr-2053 317,671 0.16880,000 Panama Government International Bond 4.500% 01-Apr-2056 1,083,289 0.54590,000 Panama Government International Bond 6.700% 26-Jan-2036 851,402 0.43

Paraguay 3,113,039 1.56Corporate bonds 386,650 0.19

370,000 Telefonica Celular del Paraguay SA 5.875% 15-Apr-2027 386,650 0.19

Government/Agency/Government-related bonds 2,726,389 1.37880,000 Paraguay Government International Bond 4.950% 28-Apr-2031 984,501 0.49565,000 Paraguay Government International Bond 5.400% 30-Mar-2050 656,414 0.33505,000 Paraguay Government International Bond 5.600% 13-Mar-2048 591,756 0.30400,000 Paraguay Government International Bond 6.100% 11-Aug-2044 493,718 0.25

Peru 6,605,501 3.31Corporate bonds 1,621,667 0.81

370,424 ABY Transmision Sur SA 6.875% 30-Apr-2043 482,477 0.24194,960 ABY Transmision Sur SA 144A 6.875% 30-Apr-2043 253,935 0.13

2,650,000 Banco de Credito del Peru 4.650% 17-Sep-2024 770,528 0.38402,000 Banco de Credito del Peru 4.850% 30-Oct-2020 114,727 0.06

Government/Agency/Government-related bonds 4,983,834 2.50605,000 Corp Financiera de Desarrollo SA 4.750% 15-Jul-2025 662,563 0.33

5,255,000 Peru Government Bond 5.350% 12-Aug-2040 1,494,383 0.754,570,000 Peru Government Bond 5.400% 12-Aug-2034 1,364,572 0.69

540,000 Peru Government Bond 6.150% 12-Aug-2032 174,830 0.09936,000 Peruvian Government International Bond 5.350% 12-Aug-2040 266,174 0.13

1,020,000 Peruvian Government International Bond 6.350% 12-Aug-2028 341,972 0.171,970,000 Peruvian Government International Bond 6.950% 12-Aug-2031 679,340 0.34

Philippines 248,926 0.13Government/Agency/Government-related bonds 248,926 0.13

10,000,000 Philippine Government International Bond 6.250% 14-Jan-2036 248,926 0.13

Poland 754,675 0.38Government/Agency/Government-related bonds 754,675 0.38

1,500,000 Republic of Poland Government Bond 2.500% 25-Apr-2024 409,313 0.211,255,000 Republic of Poland Government Bond 2.500% 25-Jul-2026 345,362 0.17



52



Qatar 3,225,905 1.63Government/Agency/Government-related bonds 3,225,905 1.63

340,000 Qatar Government International Bond 3.400% 16-Apr-2025 370,601 0.19430,000 Qatar Government International Bond 4.400% 16-Apr-2050 533,278 0.27

1,115,000 Qatar Government International Bond 4.817% 14-Mar-2049 1,470,256 0.74625,000 Qatar Government International Bond 5.103% 23-Apr-2048 851,770 0.43

Romania 3,094,898 1.56Government/Agency/Government-related bonds 3,094,898 1.56

3,800,000 Romania Government Bond 3.650% 24-Sep-2031 839,027 0.421,450,000 Romania Government Bond 5.000% 12-Feb-2029 362,980 0.182,100,000 Romania Government Bond 5.800% 26-Jul-2027 549,984 0.28

530,000 Romanian Government International Bond 3.624% 26-May-2030 644,007 0.32278,000 Romanian Government International Bond 5.125% 15-Jun-2048 330,014 0.17280,000 Romanian Government International Bond 6.125% 22-Jan-2044 368,886 0.19

Russia 9,582,314 4.81Corporate bonds 1,090,202 0.55

980,000 Gazprom PJSC Via Gaz Capital SA 5.150% 11-Feb-2026 1,090,202 0.55

Government/Agency/Government-related bonds 8,492,112 4.26118,000,000 Russian Federal Bond - OFZ 6.900% 23-May-2029 1,793,191 0.90114,900,000 Russian Federal Bond - OFZ 7.050% 19-Jan-2028 1,761,135 0.8817,000,000 Russian Federal Bond - OFZ 7.700% 23-Mar-2033 273,316 0.1427,000,000 Russian Federal Bond - OFZ 7.700% 16-Mar-2039 443,784 0.22

117,050,000 Russian Federal Bond - OFZ 8.150% 03-Feb-2027 1,895,296 0.951,000,000 Russian Foreign Bond - Eurobond 5.100% 28-Mar-2035 1,237,558 0.62

800,000 Russian Foreign Bond - Eurobond 5.625% 04-Apr-2042 1,087,832 0.55

Saudi Arabia 2,631,361 1.33Corporate bonds 1,962,142 0.99

1,310,000 Saudi Arabian Oil Co 4.250% 16-Apr-2039 1,462,129 0.74435,000 Saudi Electricity Global Sukuk Co 2 5.060% 08-Apr-2043 500,013 0.25

Government/Agency/Government-related bonds 669,219 0.34655,000 Saudi Government International Bond 3.750% 21-Jan-2055 669,219 0.34

Senegal 2,282,168 1.15Government/Agency/Government-related bonds 2,282,168 1.15

760,000 Senegal Government International Bond 4.750% 13-Mar-2028 825,349 0.41200,000 Senegal Government International Bond 6.250% 30-Jul-2024 210,651 0.11935,000 Senegal Government International Bond 6.250% 23-May-2033 954,987 0.48281,000 Senegal Government International Bond 8.750% 13-May-2021 291,181 0.15

South Africa 8,157,888 4.10Corporate bonds 1,292,556 0.65

400,000 Eskom Holdings SOC Ltd 6.350% 10-Aug-2028 402,000 0.20425,000 Eskom Holdings SOC Ltd 6.750% 06-Aug-2023 403,674 0.20500,000 Transnet SOC Ltd 4.000% 26-Jul-2022 486,882 0.25

Government/Agency/Government-related bonds 6,865,332 3.4524,400,000 Republic of South Africa Government Bond 6.250% 31-Mar-2036 934,229 0.4713,705,000 Republic of South Africa Government Bond 6.500% 28-Feb-2041 503,003 0.2524,540,550 Republic of South Africa Government Bond 7.000% 28-Feb-2031 1,163,328 0.5830,900,000 Republic of South Africa Government Bond 8.000% 31-Jan-2030 1,645,022 0.8317,625,000 Republic of South Africa Government Bond 8.750% 28-Feb-2048 800,150 0.40

6,000,000 Republic of South Africa Government Bond 10.500% 21-Dec-2026 394,153 0.20

655,000Republic of South Africa Government International Bond 4.300% 12-Oct-2028 609,137 0.31

550,000Republic of South Africa Government International Bond 5.750% 30-Sep-2049 479,770 0.24

330,000Republic of South Africa Government International Bond 5.875% 22-Jun-2030 336,540 0.17



53



South Korea 572,554 0.29Government/Agency/Government-related bonds 572,554 0.29

12,000,000 Export-Import Bank of Korea 7.930% 30-Jul-2026 572,554 0.29

Sri Lanka 3,185,695 1.60Government/Agency/Government-related bonds 3,185,695 1.60

450,000 Sri Lanka Government International Bond 5.750% 18-Apr-2023 319,500 0.16465,000 Sri Lanka Government International Bond 5.875% 25-Jul-2022 362,700 0.18

1,590,000 Sri Lanka Government International Bond 6.200% 11-May-2027 1,045,509 0.53295,000 Sri Lanka Government International Bond 6.750% 18-Apr-2028 193,981 0.10220,000 Sri Lanka Government International Bond 6.825% 18-Jul-2026 146,308 0.07970,000 Sri Lanka Government International Bond 6.850% 03-Nov-2025 654,775 0.33700,000 Sri Lanka Government International Bond 7.850% 14-Mar-2029 462,922 0.23

Thailand 2,804,915 1.41Government/Agency/Government-related bonds 2,804,915 1.41

23,000,000 Thailand Government Bond 3.300% 17-Jun-2038 927,051 0.4744,547,000 Thailand Government Bond 4.875% 22-Jun-2029 1,877,864 0.94

Tunisia 2,255,608 1.13Government/Agency/Government-related bonds 2,255,608 1.13

2,050,000 Banque Centrale de Tunisie International Bond 5.750% 30-Jan-2025 1,909,537 0.96340,000 Banque Centrale de Tunisie International Bond 6.375% 15-Jul-2026 346,071 0.17

Turkey 2,955,039 1.47Corporate bonds 196,594 0.10

200,000 TC Ziraat Bankasi AS 5.125% 03-May-2022 196,594 0.10

Government/Agency/Government-related bonds 2,758,445 1.373,503,109 Turkey Government Bond 3.000% 23-Feb-2022 532,512 0.27

770,000 Turkey Government International Bond 4.250% 14-Apr-2026 704,179 0.35380,000 Turkey Government International Bond 5.625% 30-Mar-2021 387,338 0.19480,000 Turkey Government International Bond 6.250% 26-Sep-2022 487,476 0.24620,000 Turkey Government International Bond 7.250% 23-Dec-2023 646,940 0.32

Ukraine 7,667,931 3.85Government/Agency/Government-related bonds 7,667,931 3.85

590,000 Ukraine Government International Bond 4.375% 27-Jan-2030 571,821 0.29630,000 Ukraine Government International Bond 6.750% 20-Jun-2026 719,253 0.36200,000 Ukraine Government International Bond 7.375% 25-Sep-2032 201,547 0.10

1,090,000 Ukraine Government International Bond 7.750% 01-Sep-2025 1,141,016 0.571,790,000 Ukraine Government International Bond 7.750% 01-Sep-2027 1,865,980 0.94

685,000 Ukraine Government International Bond 8.994% 01-Feb-2024 737,953 0.379,180,000 Ukraine Government International Bond 11.670% 22-Nov-2023 350,236 0.18

22,000,000 Ukraine Government International Bond 13.410% 17-Oct-2022 918,239 0.4615,000,000 Ukraine Government International Bond 15.920% 19-Nov-2021 615,941 0.31

588,000 Ukraine Government International Bond floating rate 31-May-2040 545,945 0.27

United Arab Emirates 3,158,963 1.58Corporate bonds 2,397,025 1.20

1,415,000 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047 1,678,721 0.84580,000 Ruwais Power Co-PJSC 6.000% 31-Aug-2036 718,304 0.36

Government/Agency/Government-related bonds 761,938 0.38730,000 Abu Dhabi Government International Bond 3.125% 30-Sep-2049 761,938 0.38

Uruguay 4,823,933 2.42Government/Agency/Government-related bonds 4,823,933 2.42

38,290,000 Uruguay Government International Bond 3.875% 02-Jul-2040 912,836 0.4635,263,375 Uruguay Government International Bond 4.375% 15-Dec-2028 882,629 0.44

2,180,000 Uruguay Government International Bond 4.975% 20-Apr-2055 2,801,965 1.41175,000 Uruguay Government International Bond 5.100% 18-Jun-2050 226,503 0.11



54



Venezuela 244,954 0.12Corporate bonds 78,505 0.04

1,050,000 Petroleos de Venezuela SA 5.375% 12-Apr-2027 30,450 0.02825,000 Petroleos de Venezuela SA 6.000% 15-Nov-2026 23,925 0.01105,000 Petroleos de Venezuela SA 8.500% 27-Oct-2020 10,500 0.00470,000 Petroleos de Venezuela SA 9.000% 17-Nov-2021 13,630 0.01

Government/Agency/Government-related bonds 166,449 0.08414,000 Venezuela Government International Bond 7.000% 31-Mar-2038 25,875 0.01893,000 Venezuela Government International Bond 7.650% 21-Apr-2025 55,812 0.03405,000 Venezuela Government International Bond 7.750% 13-Oct-2019 26,325 0.01935,000 Venezuela Government International Bond 9.250% 15-Sep-2027 58,437 0.03

Total value of investment in securities(2019: 96.81%, USD 204,664,160) 193,842,973 97.31

Swaps (2019: 0.00%, USD Nil)OTC interest rate swaps Expiration date Counter Party 853 0.00

4,750,000Rec Fixed 2.350%/ Pay Floating on 7 Day China Fixing Repo Rates Index 05-Mar-2025 Barclays 853 0.00

Swaps (2019: 0.00%, USD Nil)Centrally cleared credit default swaps Expiration date Broker 20,426 0.01

2,035,000

Pay Fixed 1.000%/ Buying default protection on Brazillian Government International Bonds CDS Index 20-Dec-2024 Goldman Sachs 15,065 0.01

1,955,000

Pay Fixed 1.000%/ Buying default protection on Chile Government International Bond 3.875% 05-Aug-2020 20-Jun-2025 Goldman Sachs 5,361 0.00



Swaps (2019: 0.00%, USD Nil)Centrally cleared credit default swaps Expiration date Broker (237,786) (0.12)

2,200,000

Pay Fixed 1.000%/ Buying default protection on Colombia Government International Bond CDS Index 20-Dec-2024 Goldman Sachs (57,848) (0.03)

960,000

Pay Fixed 1.000%/ Buying default protection on Colombia Government International Bond 10.375% 28-Jan-2033 20-Jun-2025 Goldman Sachs (41,231) (0.02)

965,000

Pay Fixed 1.000%/ Buying default protection on Mexico Government International Bond 4.150% 28-Mar-2027 20-Jun-2025 Goldman Sachs (51,491) (0.02)

2,110,000

Pay Fixed 1.000%/ Buying default protection on Republic of South Africa Government International Bond 5.875% 16-Sep-2025 20-Jun-2025 Goldman Sachs (36,121) (0.02)

988,000

Pay Fixed 5.000%/ Buying default protection on North America High Yield Index 20-Jun-2025 Goldman Sachs (51,095) (0.03)



55



Swaps (2019: 0.00%, USD Nil)OTC interest rate swaps Expiration date Counter Party (7,718) 0.00

10,450,000Rec Fixed 2.220%/ Pay Floating on 7 Day China Fixing Repo Rates Index 17-Jun-2025 BNP Paribas (7,718) 0.00

Unrealised loss on forward foreign currency contracts (Appendix) (2019: (0.23%), USD (483,933)) (871,775) (0.44)





Unrealised gain on forward foreign currency contracts Unrealised

Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Emerging Markets Bond FundBarclays USD 226,658 CLP (177,700,000) 13-Jul-2020 10,039HSBC Securities PHP 58,030,000 USD (1,132,072) 17-Jul-2020 31,764HSBC Securities MXN 20,770,000 USD (851,882) 20-Jul-2020 44,724HSBC Securities MXN 20,730,000 USD (872,328) 20-Jul-2020 22,551HSBC Securities MXN 25,450,000 USD (1,042,876) 20-Jul-2020 55,757HSBC Securities USD 499,107 MXN (10,900,000) 20-Jul-2020 28,573HSBC Securities USD 721,095 MXN (16,610,000) 20-Jul-2020 4,070HSBC Securities HUF 295,830,000 USD (922,914) 22-Jul-2020 14,306HSBC Securities HUF 675,600,000 USD (2,044,299) 22-Jul-2020 96,071HSBC Securities CNH 4,668,000 USD (654,819) 29-Jul-2020 4,647HSBC Securities CNH 3,544,000 USD (500,538) 29-Jul-2020 136HSBC Securities CNH 7,848,000 USD (1,094,988) 29-Jul-2020 13,727HSBC Securities RUB 32,690,000 USD (432,493) 07-Aug-2020 24,267Barclays THB 21,910,000 USD (695,887) 11-Aug-2020 12,930HSBC Securities COP 3,084,000,000 USD (812,434) 18-Aug-2020 8,746Barclays USD 1,221,911 MYR (5,242,000) 24-Aug-2020 1,160HSBC Securities CZK 81,810,000 USD (3,229,895) 14-Sep-2020 220,904Barclays USD 190,688 BRL (971,000) 16-Sep-2020 14,382Barclays USD 398,865 BRL (2,179,000) 16-Sep-2020 3,221Barclays ZAR 16,460,000 USD (924,719) 21-Sep-2020 14,633Barclays USD 5,337,688 PEN (18,304,000) 22-Sep-2020 168,921HSBC Securities EUR 651,000 USD (731,779) 23-Sep-2020 767HSBC Securities USD 5,451,304 EUR (4,829,000) 23-Sep-2020 17,408

Euro ClassCitibank EUR 9,790,000 USD (10,897,239) 06-Jul-2020 99,264Citibank USD 547,950 EUR (487,000) 06-Jul-2020 933Citibank EUR 9,563,000 USD (10,747,779) 05-Aug-2020 1,295

Sterling Class (Accumulating)HSBC Securities GBP 21,600 USD (26,695) 05-Aug-2020 0



56




Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDSwiss Franc Class (Accumulating)HSBC Securities CHF 205,000 USD (215,587) 06-Jul-2020 784HSBC Securities CHF 54,642,000 USD (56,933,814) 06-Jul-2020 739,069HSBC Securities CHF 67,000 USD (69,728) 06-Jul-2020 988HSBC Securities CHF 91,000 USD (94,715) 06-Jul-2020 1,333HSBC Securities USD 380,176 CHF (360,000) 06-Jul-2020 208HSBC Securities CHF 53,590,000 USD (56,608,597) 05-Aug-2020 7,236HSBC Securities USD 42,285 CHF (40,000) 05-Aug-2020 27

1,664,841


Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Emerging Markets Bond FundHSBC Securities CLP 738,900,000 USD (919,030) 13-Jul-2020 (18,299)HSBC Securities USD 617,879 CLP (516,300,000) 13-Jul-2020 (11,498)Barclays USD 2,037,915 IDR(30,261,000,000) 16-Jul-2020 (76,956)HSBC Securities USD 328,303 PHP (16,750,000) 17-Jul-2020 (7,632)HSBC Securities HUF 9,600,000 USD (31,535) 22-Jul-2020 (1,122)HSBC Securities USD 4,547,873 HUF (1,504,300,000) 22-Jul-2020 (217,905)HSBC Securities RON 2,799,000 USD (657,072) 23-Jul-2020 (8,464)HSBC Securities USD 1,143,818 RON (5,168,000) 23-Jul-2020 (53,753)Barclays USD 96,098 THB (3,140,000) 11-Aug-2020 (5,485)HSBC Securities USD 2,109,987 COP (8,345,000,000) 18-Aug-2020 (112,045)Barclays USD 984,650 MYR (4,330,000) 24-Aug-2020 (23,715)HSBC Securities CZK 3,640,000 USD (154,862) 14-Sep-2020 (1,325)HSBC Securities BRL 2,158,000 USD (418,598) 16-Sep-2020 (26,767)HSBC Securities USD 2,182,121 ZAR (40,570,000) 21-Sep-2020 (133,158)Barclays PEN 6,377,000 USD (1,876,416) 22-Sep-2020 (75,650)HSBC Securities PEN 7,062,000 USD (2,005,965) 22-Sep-2020 (11,765)HSBC Securities PLN 19,499,000 USD (4,968,974) 26-Oct-2020 (37,566)HSBC Securities USD 1,703,245 EGP (28,870,000) 09-Nov-2020 (24,524)

Euro ClassCitibank USD 10,448,664 EUR (9,303,000) 06-Jul-2020 (822)

Sterling Class (Accumulating) HSBC Securities GBP 21,000 USD (25,967) 06-Jul-2020 (19)HSBC Securities USD 25,948 GBP (21,000) 06-Jul-2020 0

Swiss Franc Class (Accumulating) HSBC Securities USD 638,071 CHF (605,000) 06-Jul-2020 (487)HSBC Securities USD 374,626 CHF (356,000) 06-Jul-2020 (1,121)HSBC Securities USD 1,055,031 CHF (1,014,000) 06-Jul-2020 (15,213)HSBC Securities USD 138,047 CHF (132,000) 06-Jul-2020 (1,275)HSBC Securities USD 55,446,970 CHF (52,538,000) 06-Jul-2020 (5,209)

(871,775)


Transferable securities and money market instruments admitted to an official stock exchange 84.22Transferable securities and money market instruments traded on another regulated market 5.10Financial derivative instruments dealt in on a regulated market (0.11)OTC financial derivative instruments 0.39Other transferable securities 6.17

95.77



57

Payden Global Emerging Markets Corporate Bond Fund As at 30 June 2020


Argentina 849,958 1.77230,000 Capex SA 6.875% 15-May-2024 170,463 0.36255,000 Pampa Energia SA 7.375% 21-Jul-2023 217,702 0.45305,000 Provincia de Buenos Aires 6.500% 15-Feb-2023 129,628 0.27

80,000 Tecpetrol SA 4.875% 12-Dec-2022 75,527 0.16275,000 Transportadora de Gas del Sur SA 6.750% 02-May-2025 237,618 0.49

2,000,000 YPF SA 16.500% 09-May-2022 19,020 0.04

Australia 92,049 0.1980,000 AngloGold Ashanti Holdings PLC 6.500% 15-Apr-2040 92,049 0.19

Austria 231,391 0.48220,000 JBS Investments II GmbH 7.000% 15-Jan-2026 231,391 0.48

Belarus 232,270 0.48240,000 Republic of Belarus Ministry of Finance 6.378% 24-Feb-2031 232,270 0.48

Brazil 3,925,921 8.18115,000 Arcos Dorados Holdings Inc 6.625% 27-Sep-2023 119,181 0.25250,000 Itau Unibanco Holding SA floating rate 21-Nov-2029 237,410 0.49230,000 Klabin Austria GmbH 5.750% 03-Apr-2029 243,039 0.51335,000 MARB BondCo PLC 6.875% 19-Jan-2025 334,620 0.70245,000 Minerva Luxembourg SA 6.500% 20-Sep-2026 247,603 0.52229,158 MV24 Capital BV 6.748% 01-Jun-2034 218,202 0.45240,000 NBM US Holdings Inc 7.000% 14-May-2026 240,996 0.50108,100 Odebrecht Oil & Gas Finance Ltd 0.000% Perpetual 378 0.00275,000 Oi SA 10.000% 27-Jul-2025 229,694 0.48470,000 Petrobras Global Finance BV 5.299% 27-Jan-2025 489,157 1.02220,000 Petrobras Global Finance BV 5.999% 27-Jan-2028 231,022 0.48

50,000 Petrobras Global Finance BV 6.900% 19-Mar-2049 52,775 0.11105,000 Petrobras Global Finance BV 8.750% 23-May-2026 124,162 0.26439,765 Prumo Participacoes e Investimentos SA 7.500% 31-Dec-2031 441,964 0.92240,000 Rumo Luxembourg Sarl 5.250% 10-Jan-2028 240,000 0.50

1,090,000 Swiss Insured Brazil Power Finance Sarl 9.850% 16-Jul-2032 224,197 0.47838,377 USJ Acucar e Alcool SA 9.875% 09-Nov-2023 251,521 0.52

Cayman Islands 140,601 0.29198,730 Bioceanico Sovereign Certificate Ltd 0.000% 05-Jun-2034 140,601 0.29

Chile 1,934,210 4.03223,873 Celeo Redes Operacion Chile SA 5.200% 22-Jun-2047 251,017 0.52363,863 Empresa Electrica Angamos SA 4.875% 25-May-2029 380,804 0.79280,000 Empresa Electrica Guacolda SA 4.560% 30-Apr-2025 231,974 0.48260,000 Engie Energia Chile SA 3.400% 28-Jan-2030 271,115 0.57

15,740 Latam Airlines 2015-1 Pass Through Trust B 4.500% 15-Nov-2023 8,145 0.02420,000 VTR Finance NV 6.375% 15-Jul-2028 433,133 0.90350,000 VTR Finance NV 6.875% 15-Jan-2024 358,022 0.75

China 3,916,199 8.16245,000 China Life Insurance Co Ltd floating rate 03-Jul-2075 244,388 0.51475,000 CNAC HK Finbridge Co Ltd 3.875% 19-Jun-2029 516,008 1.07235,000 CNOOC Finance 2014 ULC 4.250% 30-Apr-2024 259,193 0.54490,000 Huarong Finance 2019 Co Ltd 3.875% 13-Nov-2029 502,298 1.05550,000 JD.com Inc 3.375% 14-Jan-2030 588,165 1.22250,000 Prosus NV 3.680% 21-Jan-2030 262,395 0.55230,000 Prosus NV 4.850% 06-Jul-2027 258,407 0.54230,000 Prosus NV 5.500% 21-Jul-2025 260,820 0.54245,000 Sino-Ocean Land Treasure Finance II Ltd 5.950% 04-Feb-2027 264,261 0.55240,000 Tencent Holdings Ltd 3.290% 03-Jun-2060 243,248 0.51270,000 Weibo Corp 3.375% 08-Jul-2030 268,210 0.56240,000 Weibo Corp 3.500% 05-Jul-2024 248,806 0.52



58

Payden Global Emerging Markets Corporate Bond Fund (continued) As at 30 June 2020


Colombia 2,219,277 4.63

250,000Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd 8.375% 10-May-2020 31,875 0.07

230,000 Banco de Bogota SA 4.375% 03-Aug-2027 234,099 0.49235,000 Banco de Bogota SA 6.250% 12-May-2026 249,203 0.52275,000 Geopark Ltd 5.500% 17-Jan-2027 237,190 0.49250,000 Geopark Ltd 144A 5.500% 17-Jan-2027 215,628 0.45475,000 Grupo de Inversiones Suramericana SA 5.500% 29-Apr-2026 512,259 1.07240,000 Millicom International Cellular SA 5.125% 15-Jan-2028 242,102 0.50490,000 Oleoducto Central SA 4.000% 07-May-2021 496,921 1.04

Dominican Republic 124,051 0.26120,000 Dominican Republic International Bond 7.500% 06-May-2021 124,051 0.26

Egypt 225,076 0.47230,000 Egypt Government International Bond 7.625% 29-May-2032 225,076 0.47

Georgia 495,735 1.03235,000 Silknet JSC 11.000% 02-Apr-2024 246,985 0.51250,000 TBC Bank JSC 5.750% 19-Jun-2024 248,750 0.52

Ghana 225,300 0.47240,000 Ghana Government International Bond 6.375% 11-Feb-2027 225,300 0.47

Guatemala 951,060 1.98210,000 Comunicaciones Celulares SA Via Comcel Trust 6.875% 06-Feb-2024 215,308 0.45235,000 Energuate Trust 5.875% 03-May-2027 231,724 0.48240,000 Guatemala Government Bond 5.375% 24-Apr-2032 265,800 0.55235,000 Industrial Senior Trust 5.500% 01-Nov-2022 238,228 0.50

India 3,740,530 7.80520,000 Adani Electricity Mumbai Ltd 3.949% 12-Feb-2030 486,022 1.01

360,000Adani Green Energy UP Ltd/Prayatna Developers Pvt Ltd/Parampujya Solar Energ 6.250% 10-Dec-2024 377,190 0.79

243,125Adani Renewable Energy RJ Ltd/Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash 4.625% 15-Oct-2039 233,400 0.49

248,750 Adani Transmission Ltd 4.250% 21-May-2036 240,252 0.50230,000 Azure Power Energy Ltd 5.500% 03-Nov-2022 232,565 0.48240,000 Azure Power Solar Energy Pvt Ltd 5.650% 24-Dec-2024 242,862 0.51240,000 Bharti Airtel International Netherlands BV 5.350% 20-May-2024 255,635 0.53230,000 Export-Import Bank of India 3.375% 05-Aug-2026 237,718 0.49260,000 Muthoot Finance Ltd 6.125% 31-Oct-2022 263,835 0.55245,000 Network i2i Ltd floating rate Perpetual 238,385 0.50250,000 ReNew Power Pvt Ltd 5.875% 05-Mar-2027 242,747 0.51250,000 ReNew Power Pvt Ltd 6.450% 27-Sep-2022 249,763 0.52480,000 Shriram Transport Finance Co Ltd 5.950% 24-Oct-2022 440,156 0.92

Indonesia 2,071,633 4.32200,000 Indonesia Asahan Aluminium Persero PT 6.530% 15-Nov-2028 237,506 0.49

8,000,000,000 Indonesia Treasury Bond 8.250% 17-May-2036 583,381 1.22200,000 Listrindo Capital BV 4.950% 14-Sep-2026 202,000 0.42245,000 Minejesa Capital BV 4.625% 10-Aug-2030 249,547 0.52470,000 Minejesa Capital BV 5.625% 10-Aug-2037 483,769 1.01240,000 Pertamina Persero PT 6.500% 07-Nov-2048 315,430 0.66

Ireland 522,957 1.09510,000 C&W Senior Financing DAC 7.500% 15-Oct-2026 522,957 1.09

Israel 1,952,534 4.07485,000 Bank Leumi Le-Israel BM floating rate 29-Jan-2031 474,263 0.99315,000 Israel Electric Corp Ltd 6.875% 21-Jun-2023 361,337 0.75

1,055,000 Teva Pharmaceutical Finance Netherlands III BV 6.750% 01-Mar-2028 1,116,934 2.33



59



Ivory Coast 256,310 0.53250,000 Ivory Coast Government International Bond 6.375% 03-Mar-2028 256,310 0.53

Jamaica 89,112 0.196,095 Digicel Group 0.5 Ltd 7.000% Perpetual 518 0.00

36,800 Digicel Group 0.5 Ltd 8.000% 01-Apr-2025 10,120 0.02112,920 Digicel Group 0.5 Ltd 10.000% 01-Apr-2024 78,474 0.17

Kazakhstan 539,161 1.1280,000,000 Development Bank of Kazakhstan JSC 9.500% 14-Dec-2020 190,731 0.40

330,000 Tengizchevroil Finance Co International Ltd 4.000% 15-Aug-2026 348,430 0.72

Kuwait 527,157 1.10465,000 MEGlobal Canada ULC 5.875% 18-May-2030 527,157 1.10

Luxembourg 351,742 0.73366,291 JBS USA Lux SA/JBS USA LLC 3.072% 01-May-2026 351,742 0.73

Malaysia 244,959 0.51220,000 Petronas Capital Ltd 3.500% 21-Apr-2030 244,959 0.51

Mexico 3,695,530 7.70235,000 Banco Mercantil del Norte SA floating rate Perpetual 221,238 0.46

235,000Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand floating rate 01-Oct-2028 241,712 0.50

215,000 BBVA Bancomer SA 6.750% 30-Sep-2022 229,473 0.48240,000 Cemex SAB de CV 7.375% 05-Jun-2027 244,440 0.51

240,000Cibanco SA Ibm/PLA Administradora Industrial S de RL de CV 4.962% 18-Jul-2029 233,249 0.49

237,500 Cometa Energia SA de CV 6.375% 24-Apr-2035 248,258 0.52199,500 Cometa Energia SA de CV 144A 6.375% 24-Apr-2035 208,536 0.43250,000 Elementia SAB de CV 5.500% 15-Jan-2025 201,536 0.42473,973 Fermaca Enterprises S de RL de CV 6.375% 30-Mar-2038 505,966 1.05220,000 Fomento Economico Mexicano SAB de CV 3.500% 16-Jan-2050 227,770 0.48230,000 Grupo Bimbo SAB de CV floating rate Perpetual 237,015 0.49245,000 Infraestructura Energetica Nova SAB de CV 4.875% 14-Jan-2048 233,190 0.49

1,900,000 Mexican Bonos 8.500% 18-Nov-2038 97,644 0.20240,000 Mexico City Airport Trust 3.875% 30-Apr-2028 218,417 0.46239,658 Mexico Generadora de Energia S de rl 5.500% 06-Dec-2032 264,836 0.55

90,000 Petroleos Mexicanos 6.490% 23-Jan-2027 82,250 0.17

Morocco 292,417 0.61240,000 OCP SA 6.875% 25-Apr-2044 292,417 0.61

Netherlands 634,323 1.32250,000 VEON Holdings BV 4.000% 09-Apr-2025 258,911 0.54350,000 VEON Holdings BV 4.950% 16-Jun-2024 375,412 0.78

Nigeria 229,080 0.48240,000 Nigeria Government International Bond 6.500% 28-Nov-2027 229,080 0.48

Panama 244,909 0.51230,000 Banco General SA 4.125% 07-Aug-2027 244,909 0.51

Paraguay 245,575 0.51235,000 Telefonica Celular del Paraguay SA 5.875% 15-Apr-2027 245,575 0.51

Peru 3,066,174 6.39194,960 ABY Transmision Sur SA 6.875% 30-Apr-2043 253,936 0.53215,000 Banco de Credito del Peru floating rate 24-Apr-2027 228,975 0.48415,000 Banco Internacional del Peru SAA Interbank floating rate 19-Mar-2029 451,752 0.94225,000 Inretail Pharma SA 5.375% 02-May-2023 232,570 0.48495,000 Intercorp Peru Ltd 3.875% 15-Aug-2029 484,387 1.01235,000 Kallpa Generacion SA 4.875% 24-May-2026 249,058 0.52



60



Peru (continued) 240,000 Nexa Resources SA 6.500% 18-Jan-2028 243,720 0.51690,000 Peruvian Government International Bond 6.350% 12-Aug-2028 231,334 0.48230,000 SAN Miguel Industrias Pet SA 4.500% 18-Sep-2022 230,119 0.48450,000 Scotiabank Peru SAA floating rate 13-Dec-2027 460,323 0.96

Qatar 980,212 2.04300,000 Nakilat Inc 6.067% 31-Dec-2033 367,560 0.76230,000 Ooredoo International Finance Ltd 5.000% 19-Oct-2025 263,584 0.55300,000 Ras Laffan Liquefied Natural Gas Co Ltd 3 5.838% 30-Sep-2027 349,068 0.73

Russia 1,035,565 2.16230,000 Lukoil Securities BV 3.875% 06-May-2030 240,063 0.50515,000 Petropavlovsk 2016 Ltd 8.125% 14-Nov-2022 540,106 1.13240,000 VTB Bank OJSC Via VTB Capital SA 6.950% 17-Oct-2022 255,396 0.53

Saudi Arabia 2,626,732 5.47530,000 Acwa Power Management And Investments One Ltd 5.950% 15-Dec-2039 577,435 1.20

115,000Acwa Power Management And Investments One Ltd 144A 5.950% 15-Dec-2039 125,293 0.26

750,000 Dar Al-Arkan Sukuk Co Ltd 6.875% 10-Apr-2022 736,425 1.53220,000 Saudi Arabian Oil Co 4.250% 16-Apr-2039 245,548 0.51350,000 Saudi Electricity Global Sukuk Co 2 5.060% 08-Apr-2043 402,309 0.84235,000 Saudi Electricity Global Sukuk Co 4 4.723% 27-Sep-2028 268,462 0.56245,000 Saudi Telecom Co 3.890% 13-May-2029 271,260 0.57

Singapore 227,692 0.48230,000 Marble II Pte Ltd 5.300% 20-Jun-2022 227,692 0.48

South Africa 789,213 1.65490,000 Gold Fields Orogen Holdings BVI Ltd 6.125% 15-May-2029 561,687 1.17225,000 Stillwater Mining Co 6.125% 27-Jun-2022 227,526 0.48

Spain 293,932 0.61290,000 AI Candelaria Spain SLU 7.500% 15-Dec-2028 293,932 0.61

Sri Lanka 195,000 0.41250,000 Sri Lanka Government International Bond 5.875% 25-Jul-2022 195,000 0.41

Thailand 464,341 0.97485,000 Bangkok Bank Pcl floating rate 25-Sep-2034 464,341 0.97

Turkey 730,394 1.52235,000 Turkcell Iletisim Hizmetleri AS 5.800% 11-Apr-2028 233,776 0.49480,000 Turkiye Sise ve Cam Fabrikalari AS 6.950% 14-Mar-2026 496,618 1.03

Ukraine 718,378 1.50250,000 MHP Lux SA 6.250% 19-Sep-2029 239,080 0.50235,000 MHP SE 7.750% 10-May-2024 246,750 0.51225,000 Ukraine Government International Bond 7.750% 01-Sep-2021 232,548 0.49

United Arab Emirates 1,746,234 3.64240,000 Abu Dhabi Crude Oil Pipeline LLC 4.600% 02-Nov-2047 284,730 0.59235,000 Alpha Star Holding V Ltd 6.625% 18-Apr-2023 199,313 0.41320,000 DP World PLC 6.850% 02-Jul-2037 391,600 0.82330,000 Emirates Semb Corp Water & Power Co PJSC 4.450% 01-Aug-2035 360,419 0.75200,000 Ruwais Power Co-PJSC 6.000% 31-Aug-2036 247,691 0.52235,000 Tabreed Sukuk Spc Ltd 5.500% 31-Oct-2025 262,481 0.55

United States 3,760,505 7.83200,000 Ardagh Packaging Finance PLC 5.250% 15-Aug-2027 196,814 0.41220,000 Bausch Health Cos Inc 6.250% 15-Feb-2029 221,512 0.46245,000 Cleveland-Cliffs Inc 6.750% 15-Mar-2026 237,038 0.49170,835 Connecticut Avenue Securities Trust 2018-R07 floating rate 25-Apr-2031 170,354 0.35



61



United States (continued) 225,635 Fannie Mae Connecticut Avenue Securities 1M2 floating rate 25-Oct-2030 223,746 0.47124,608 Fannie Mae Connecticut Avenue Securities 2M2 floating rate 25-Aug-2030 122,960 0.26222,054 Fannie Mae Connecticut Avenue Securities 2M2 floating rate 25-Dec-2030 220,614 0.46230,000 Ford Motor Co 9.000% 22-Apr-2025 249,337 0.52250,000 Ford Motor Credit Co LLC 5.125% 16-Jun-2025 250,725 0.52188,353 Freddie Mac STACR Debt Notes M2 floating rate 25-Sep-2030 187,317 0.39208,373 Freddie Mac STACR Trust 2019-DNA1 floating rate 25-Jan-2049 207,163 0.43

72,392 Freddie Mac STACR Trust 2019-HQA1 floating rate 25-Feb-2049 71,384 0.1576,176 Freddie Mac STACR Trust 2019-HQA2 floating rate 25-Apr-2049 75,177 0.16

225,000 Kraft Heinz Foods Co 5.500% 01-Jun-2050 240,740 0.50315,000 STACR Trust 2018-HRP1 floating rate 25-Apr-2043 287,083 0.60375,000 Tacala Investment Corp 7.678% 04-Feb-2028 341,250 0.71230,000 Terraform Global Operating LLC 6.125% 01-Mar-2026 227,369 0.47225,000 US Foods Inc 6.250% 15-Apr-2025 229,922 0.48


Unrealised gain on forward foreign currency contracts (Appendix) (2019: 0.01%, USD 4,126) 52,573 0.11


Swaps (2019: 0.00%, USD Nil) Centrally cleared credit default swaps Expiration date Broker (51,624) (0.11)

710,000

Pay Fixed 1.000%/ Buying default protection on Brazilian Government International Bond 4.250% 07-Jan-2025 20-Jun-2025 Goldman Sachs (15,139) (0.03)

235,000

Pay Fixed 1.000%/ Buying default protection on Mexico Government International Bond 4.150% 28-Mar-2027 20-Jun-2025 Goldman Sachs (12,539) (0.03)

1,080,000

Pay Fixed 1.000%/ Buying default protection on Brazilian Government International Bond CDS Index 20-Dec-2024 Goldman Sachs (23,946) (0.05)

Futures contracts (2019: 0.00%, USD Nil) Notional (USD) Broker (30,843) (0.06)

(14)US Treasury Note 10 Year (CBT) Future Exp 21-Sep-2020 (1,917,563) Goldman Sachs (30,843) (0.06)


Financial liabilities at fair value through profit or loss (143,394) (0.30)





62




Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Emerging Markets Corporate Bond FundHSBC Securities PHP 11,410,000 USD (222,591) 17-Jul-2020 6,245HSBC Securities MXN 7,250,000 USD (305,083) 20-Jul-2020 7,887Barclays THB 7,410,000 USD (235,350) 11-Aug-2020 4,373Barclays USD 245,282 BRL (1,249,000) 16-Sep-2020 18,499Barclays USD 491,951 PEN (1,687,000) 22-Sep-2020 15,569

52,573

Unrealised loss on forward foreign currency contracts Unrealised

Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Emerging Markets Corporate Bond FundBarclays USD 228,500 IDR(3,393,000,000) 16-Jul-2020 (8,629)HSBC Securities MXN 440,000 USD (19,281) 20-Jul-2020 (287)HSBC Securities USD 315,405 MXN (7,690,000) 20-Jul-2020 (16,559)HSBC Securities RUB 830,000 USD (11,871) 07-Aug-2020 (273)HSBC Securities USD 10,981 RUB (830,000) 07-Aug-2020 (616)Barclays USD 226,779 THB (7,410,000) 11-Aug-2020 (12,944)Barclays USD 568,960 MYR (2,502,000) 24-Aug-2020 (13,703)Barclays PEN 856,000 USD (248,224) 22-Sep-2020 (6,503)HSBC Securities PEN 848,000 USD (240,875) 22-Sep-2020 (1,413)

(60,927)


Transferable securities and money market instruments admitted to an official stock exchange 63.84Transferable securities and money market instruments traded on another regulated market 31.01Financial derivative instruments dealt in on a regulated market (0.16)OTC financial derivative instruments (0.02)Other transferable securities 1.64

96.31



63


As at 30 June 2020


USD assets

Equities 45,870,298 85.98

47,500 ABB Ltd 1,069,007 2.00

4,100 Allianz SE 837,312 1.57

7,400 American Electric Power Co Inc 589,262 1.10

3,300 Apple Inc 1,203,246 2.26

2,200 ASML Holding NV 807,685 1.51

9,200 AstraZeneca PLC 957,316 1.79

29,900 AT&T Inc 902,830 1.69

20,100 AXA SA 420,036 0.79

36,100 Bank of America Corp 856,833 1.61

12,500 Bristol-Myers Squibb Co 734,687 1.38

10,000 Chevron Corp 892,300 1.67

50,000 China Mobile Ltd 337,077 0.63

24,400 Cisco Systems Inc 1,137,772 2.13

12,700 Citigroup Inc 648,906 1.22

9,700 Coca-Cola Co 432,959 0.81

18,500 Comcast Corp 720,852 1.35

6,600 Consolidated Edison Inc 474,606 0.89

2,500 Costco Wholesale Corp 757,763 1.42

9,200 CVS Health Corp 597,356 1.12

40,300 Deutsche Telekom AG 676,002 1.27

4,700 DTE Energy Co 505,203 0.95

7,200 Duke Energy Corp 575,100 1.08

9,000 DuPont de Nemours Inc 478,080 0.90

5,100 Eli Lilly & Co 836,400 1.57

16,600 Fidelity National Financial Inc 508,873 0.95

11,500 General Mills Inc 708,228 1.33

49,100 GlaxoSmithKline PLC 992,770 1.86

3,700 Goldman Sachs Group Inc 730,732 1.37

2,300 Home Depot Inc 575,529 1.08

4,700 Honeywell International Inc 679,926 1.27

9,400 Intel Corp 562,308 1.05

6,800 International Business Machines Corp 820,862 1.54

12,500 JPMorgan Chase & Co 1,175,750 2.20

4,300 Kimberly-Clark Corp 607,418 1.14

57,500 Kinder Morgan Inc 871,700 1.63

3,000 Lockheed Martin Corp 1,094,655 2.05

8,400 Maxim Integrated Products Inc 508,914 0.95

5,400 McDonald's Corp 995,220 1.87

7,600 Medtronic PLC 696,198 1.31

9,200 Merck & Co Inc 711,252 1.33

6,800 Microsoft Corp 1,383,698 2.59

25,800 Mitsubishi Corp 542,975 1.02

20,500 Morgan Stanley 990,253 1.86

5,000 Nestle SA 552,794 1.04

9,600 Paychex Inc 727,104 1.36

4,100 PepsiCo Inc 542,123 1.02

7,900 QUALCOMM Inc 720,401 1.35

5,700 Republic Services Inc 467,600 0.88

2,600 Roche Holding AG 900,828 1.69

7,700 Sanofi 783,921 1.47

5,700 SAP SE 795,955 1.49

9,100 Siemens AG 1,072,454 2.01



64

Payden Global Equity Income Fund (continued)

As at 30 June 2020


USD assets

Equities (continued)

23,000 Sumitomo Mitsui Financial Group Inc 646,072 1.21

3,900 Texas Instruments Inc 495,086 0.93

15,700 Toronto-Dominion Bank 698,662 1.31

17,900 Unilever PLC 963,316 1.81

3,100 Union Pacific Corp 523,714 0.98

22,700 Veolia Environnement SA 510,293 0.96

19,600 Verizon Communications Inc 1,079,176 2.02

2,800 Visa Inc 540,876 1.01

5,100 Waste Management Inc 540,141 1.01

8,100 Yum! Brands Inc 703,931 1.32

Master Limited Partnerships 844,905 1.58

46,500 Enterprise Products Partners LP 844,905 1.58

Preferred Equities 1,682,712 3.15

12,000 Allstate Corp 5.100% Perpetual 304,980 0.57

250,000 CenterPoint Energy Inc floating rate Perpetual 242,637 0.45

94,000 CIT Group Inc floating rate Perpetual 72,351 0.14

1,000,000 Land O' Lakes Inc 7.000% Perpetual 903,595 1.69

6,100 Spire Inc 5.900% Perpetual 159,149 0.30

Real Estate Investment Trusts 4,210,956 7.89

5,200 Alexandria Real Estate Equities Inc 843,336 1.58

3,100 American Tower Corp 801,474 1.50

3,500 Crown Castle International Corp 585,567 1.10

4,500 Digital Realty Trust Inc 639,652 1.20

28,400 Healthcare Trust of America Inc 753,168 1.41

6,300 Prologis Inc 587,759 1.10

Total value of investment in securities

(2019: 98.67%, USD 55,967,660) 52,608,871 98.60





assets


Transferable securities and money market instruments traded on another regulated market 2.09

89.96



65

Payden Global Government Bond Index Fund As at 30 June 2020


Australia 1,761,213 1.661,320,000 Australia Government Bond 2.250% 21-May-2028 1,015,807 0.96

625,000 Australia Government Bond 2.750% 21-Apr-2024 470,012 0.44330,000 Australia Government Bond 2.750% 21-Jun-2035 275,394 0.26

Austria 1,519,272 1.43210,000 Republic of Austria Government Bond 1.500% 20-Feb-2047 311,387 0.30300,000 Republic of Austria Government Bond 3.500% 15-Sep-2021 353,606 0.33

97,000 Republic of Austria Government Bond 4.150% 15-Mar-2037 183,423 0.17405,000 Republic of Austria Government Bond 6.250% 15-Jul-2027 670,856 0.63

Belgium 2,539,451 2.39250,000 Kingdom of Belgium Government Bond 0.800% 22-Jun-2025 299,072 0.28200,000 Kingdom of Belgium Government Bond 1.600% 22-Jun-2047 283,374 0.27460,000 Kingdom of Belgium Government Bond 4.250% 28-Sep-2021 547,907 0.51320,000 Kingdom of Belgium Government Bond 5.000% 28-Mar-2035 614,988 0.58486,000 Kingdom of Belgium Government Bond 5.500% 28-Mar-2028 794,110 0.75

Canada 1,275,428 1.20500,000 Canadian Government Bond 2.250% 01-Jun-2025 400,966 0.38300,000 Canadian Government Bond 2.250% 01-Jun-2029 254,222 0.24390,000 Canadian Government Bond 4.000% 01-Jun-2041 452,692 0.42140,000 Canadian Government Bond 5.750% 01-Jun-2033 167,548 0.16

Denmark 367,323 0.34520,000 Denmark Government Bond 1.750% 15-Nov-2025 88,177 0.08980,000 Denmark Government Bond 4.500% 15-Nov-2039 279,146 0.26

Finland 964,228 0.91780,000 Finland Government Bond 2.000% 15-Apr-2024 964,228 0.91

France 8,986,841 8.46470,000 French Republic Government Bond OAT 0.000% 25-Mar-2023 536,981 0.50730,000 French Republic Government Bond OAT 0.500% 25-May-2026 867,462 0.82990,000 French Republic Government Bond OAT 1.000% 25-Nov-2025 1,203,417 1.13550,000 French Republic Government Bond OAT 1.250% 25-May-2034 719,031 0.68

1,030,000 French Republic Government Bond OAT 3.750% 25-Apr-2021 1,197,855 1.13280,000 French Republic Government Bond OAT 4.000% 25-Oct-2038 527,533 0.50375,000 French Republic Government Bond OAT 4.000% 25-Apr-2055 871,718 0.82440,000 French Republic Government Bond OAT 4.500% 25-Apr-2041 909,287 0.85

1,265,000 French Republic Government Bond OAT 5.500% 25-Apr-2029 2,153,557 2.03

Germany 6,419,740 6.041,035,000 Bundesrepublik Deutschland Bundesanleihe 2.500% 04-Jul-2044 1,904,246 1.79

75,000 Bundesrepublik Deutschland Bundesanleihe 4.750% 04-Jul-2034 146,349 0.14930,000 Bundesrepublik Deutschland Bundesanleihe 5.625% 04-Jan-2028 1,544,850 1.45

2,015,000 Bundesrepublik Deutschland Bundesanleihe 6.250% 04-Jan-2024 2,824,295 2.66

Ireland 845,575 0.80440,000 Ireland Government Bond 0.900% 15-May-2028 536,904 0.51240,000 Ireland Government Bond 3.400% 18-Mar-2024 308,671 0.29

Israel 111,664 0.10260,000 Israel Government Bond - Fixed 3.750% 31-Mar-2047 111,664 0.10

Italy 8,524,393 8.031,030,000 Italy Buoni Poliennali Del Tesoro 0.050% 15-Apr-2021 1,158,975 1.09

590,000 Italy Buoni Poliennali Del Tesoro 1.650% 01-Dec-2030 684,896 0.651,000,000 Italy Buoni Poliennali Del Tesoro 1.850% 01-Jul-2025 1,189,498 1.12

200,000 Italy Buoni Poliennali Del Tesoro 2.450% 01-Sep-2033 249,132 0.23480,000 Italy Buoni Poliennali Del Tesoro 3.250% 01-Sep-2046 657,610 0.62280,000 Italy Buoni Poliennali Del Tesoro 4.000% 01-Sep-2020 316,681 0.30860,000 Italy Buoni Poliennali Del Tesoro 4.000% 01-Feb-2037 1,269,889 1.20

1,200,000 Italy Buoni Poliennali Del Tesoro 4.750% 01-Aug-2023 1,532,178 1.44



66

Payden Global Government Bond Index Fund (continued) As at 30 June 2020


Italy (continued) 943,138 Italy Buoni Poliennali Del Tesoro 6.500% 01-Nov-2027 1,465,534 1.38

Japan 19,182,516 18.06138,400,000 Japan Government Five Year Bond 0.100% 20-Dec-2020 1,284,469 1.21175,800,000 Japan Government Forty Year Bond 2.200% 20-Mar-2049 2,330,067 2.1972,900,000 Japan Government Forty Year Bond 2.400% 20-Mar-2048 994,879 0.9444,850,000 Japan Government Thirty Year Bond 1.400% 20-Dec-2045 502,948 0.47

190,500,000 Japan Government Thirty Year Bond 1.700% 20-Jun-2033 2,111,112 1.9989,350,000 Japan Government Thirty Year Bond 2.300% 20-Dec-2036 1,092,330 1.03

128,450,000 Japan Government Thirty Year Bond 2.300% 20-Mar-2040 1,615,067 1.5260,700,000 Japan Government Thirty Year Bond 2.400% 20-Mar-2037 752,789 0.7117,750,000 Japan Government Thirty Year Bond 2.400% 20-Sep-2038 223,150 0.2139,950,000 Japan Government Thirty Year Bond 2.500% 20-Mar-2038 506,352 0.48

259,800,000 Japan Government Twenty Year Bond 1.000% 20-Mar-2023 2,483,034 2.3484,550,000 Japan Government Twenty Year Bond 1.900% 20-Dec-2028 912,406 0.8678,900,000 Japan Government Twenty Year Bond 2.000% 20-Dec-2030 878,805 0.8363,350,000 Japan Government Twenty Year Bond 2.100% 20-Sep-2024 642,574 0.6059,400,000 Japan Government Twenty Year Bond 2.100% 20-Dec-2027 640,699 0.6092,750,000 Japan Government Twenty Year Bond 2.100% 20-Jun-2029 1,023,034 0.96

112,700,000 Japan Government Twenty Year Bond 2.300% 20-Mar-2026 1,188,801 1.12

Malaysia 510,164 0.482,040,000 Malaysia Government Bond 3.955% 15-Sep-2025 510,164 0.48

Mexico 1,185,380 1.1223,960,000 Mexican Bonos 6.500% 09-Jun-2022 1,072,476 1.01

1,930,000 Mexican Bonos 10.000% 20-Nov-2036 112,904 0.11

Netherlands 1,946,103 1.83200,000 Netherlands Government Bond 0.250% 15-Jul-2029 237,679 0.22730,000 Netherlands Government Bond 2.000% 15-Jul-2024 908,431 0.86110,000 Netherlands Government Bond 2.750% 15-Jan-2047 213,871 0.20310,000 Netherlands Government Bond 3.500% 15-Jul-2020 348,594 0.33125,000 Netherlands Government Bond 4.000% 15-Jan-2037 237,528 0.22

Norway 241,874 0.231,500,000 Norway Government Bond 1.750% 17-Feb-2027 168,797 0.16

670,000 Norway Government Bond 2.000% 24-May-2023 73,077 0.07

Poland 190,749 0.18670,000 Republic of Poland Government Bond 3.250% 25-Jul-2025 190,749 0.18

Singapore 944,427 0.891,230,000 Singapore Government Bond 2.750% 01-Jul-2023 944,427 0.89

Spain 4,696,047 4.421,690,000 Spain Government Bond 1.250% 31-Oct-2030 2,048,305 1.93

120,000 Spain Government Bond 3.450% 30-Jul-2066 222,400 0.21480,000 Spain Government Bond 4.650% 30-Jul-2025 669,965 0.63450,000 Spain Government Bond 4.900% 30-Jul-2040 865,247 0.81755,000 Spain Government Bond 5.500% 30-Apr-2021 890,130 0.84

Sweden 564,995 0.533,180,000 Sweden Government Bond 2.500% 12-May-2025 388,473 0.361,610,000 Sweden Government Bond 5.000% 01-Dec-2020 176,522 0.17

United Kingdom 5,923,410 5.58720,000 United Kingdom Gilt 1.750% 07-Sep-2022 925,513 0.87510,000 United Kingdom Gilt 2.000% 07-Sep-2025 699,133 0.66

65,000 United Kingdom Gilt 3.750% 07-Sep-2020 80,883 0.08370,000 United Kingdom Gilt 4.250% 07-Dec-2046 858,552 0.81670,000 United Kingdom Gilt 4.250% 07-Dec-2055 1,792,895 1.69



67



United Kingdom (continued) 291,000 United Kingdom Gilt 4.750% 07-Dec-2030 529,952 0.50420,000 United Kingdom Gilt 4.750% 07-Dec-2038 903,721 0.85100,000 United Kingdom Gilt 8.000% 07-Jun-2021 132,761 0.12

United States 33,971,870 31.992,566,000 United States Treasury Note/Bond 1.125% 28-Feb-2027 2,677,561 2.52

17,638,000 United States Treasury Note/Bond 2.125% 31-Mar-2024 18,900,564 17.802,934,000 United States Treasury Note/Bond 2.250% 15-Aug-2046 3,481,088 3.282,258,000 United States Treasury Note/Bond 2.375% 15-May-2029 2,606,358 2.45

900,000 United States Treasury Note/Bond 2.875% 15-May-2028 1,062,334 1.00520,000 United States Treasury Note/Bond 3.000% 15-Nov-2045 701,116 0.66800,000 United States Treasury Note/Bond 3.000% 15-Feb-2048 1,095,500 1.03420,000 United States Treasury Note/Bond 3.750% 15-Nov-2043 625,382 0.59

1,700,000 United States Treasury Note/Bond 4.750% 15-Feb-2041 2,821,967 2.66


Unrealised gain on forward foreign currency contracts (Appendix) (2019: 2.12%, USD 2,578,420) 557,921 0.53


Unrealised loss on forward foreign currency contracts (Appendix) (2019: (0.98%), USD (1,192,594)) (525,433) (0.49)






Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Government Bond Index FundHSBC Securities AUD 3,276,000 USD (2,255,493) 06-Jul-2020 98HSBC Securities CAD 1,871,000 USD (1,373,695) 06-Jul-2020 31HSBC Securities CHF 227,000 USD (239,569) 06-Jul-2020 23HSBC Securities DKK 3,890,000 USD (586,192) 06-Jul-2020 50Citibank EUR 32,063,000 USD (36,011,558) 06-Jul-2020 2,833HSBC Securities GBP 5,480,000 USD (6,771,192) 06-Jul-2020 33Citibank JPY 2,094,200,000 USD (19,411,410) 06-Jul-2020 807HSBC Securities PLN 872,000 USD (220,444) 06-Jul-2020 3HSBC Securities SEK 5,520,000 USD (592,497) 06-Jul-2020 15HSBC Securities USD 6,528,820 GBP (5,280,000) 06-Jul-2020 4,720Citibank USD 241,155 JPY (26,000,000) 06-Jul-2020 148Citibank USD 19,717,407 JPY(2,123,200,000) 06-Jul-2020 36,374HSBC Securities USD 1,410,807 MXN (31,380,000) 06-Jul-2020 53,455Citibank USD 562,210 EUR (500,000) 05-Aug-2020 196HSBC Securities USD 1,369,689 MXN (31,780,000) 05-Aug-2020 954HSBC Securities USD 1,093,261 SGD (1,525,000) 05-Aug-2020 31HSBC Securities USD 112,994 ILS (388,000) 06-Aug-2020 784



68




Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDEuro Class (Accumulating)Citibank EUR 7,893,000 USD (8,785,690) 06-Jul-2020 80,030Citibank EUR 7,951,000 USD (8,936,065) 05-Aug-2020 1,077

Norwegian Krone Class (Accumulating)State Street NOK 221,717,000 USD (22,817,182) 06-Jul-2020 166,130State Street USD 22,983,345 NOK (221,717,000) 06-Jul-2020 33

Singapore Dollar Class (Distributing)HSBC Securities SGD 22,419,000 USD (15,863,323) 06-Jul-2020 207,172HSBC Securities USD 16,070,622 SGD (22,419,000) 06-Jul-2020 127

Sterling Class (Accumulating) HSBC Securities GBP 1,045,000 USD (1,291,488) 05-Aug-2020 11

Sterling Class (Distributing) HSBC Securities USD 3,598,183 GBP (2,910,000) 06-Jul-2020 2,514HSBC Securities GBP 25,533,000 USD (31,555,571) 05-Aug-2020 272

557,921


Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Government Bond Index Fund Citibank EUR 1,200,000 USD (1,351,630) 06-Jul-2020 (3,744)HSBC Securities GBP 400,000 USD (496,860) 06-Jul-2020 (2,610)Citibank JPY 55,000,000 USD (514,814) 06-Jul-2020 (4,991)HSBC Securities MXN 31,380,000 USD (1,358,010) 06-Jul-2020 (658)HSBC Securities NOK 2,423,000 USD (251,170) 06-Jul-2020 0HSBC Securities SGD 1,526,000 USD (1,093,883) 06-Jul-2020 (9)HSBC Securities USD 2,174,592 AUD (3,276,000) 06-Jul-2020 (80,999)HSBC Securities USD 1,353,628 CAD (1,871,000) 06-Jul-2020 (20,098)HSBC Securities USD 236,521 CHF (227,000) 06-Jul-2020 (3,070)HSBC Securities USD 580,926 DKK (3,890,000) 06-Jul-2020 (5,316)Citibank USD 37,025,012 EUR (33,263,000) 06-Jul-2020 (337,265)HSBC Securities USD 738,686 GBP (600,000) 06-Jul-2020 (2,689)HSBC Securities USD 249,336 NOK (2,423,000) 06-Jul-2020 (1,834)HSBC Securities USD 217,737 PLN (872,000) 06-Jul-2020 (2,710)HSBC Securities USD 586,295 SEK (5,520,000) 06-Jul-2020 (6,217)HSBC Securities USD 1,079,773 SGD (1,526,000) 06-Jul-2020 (14,102)HSBC Securities GBP 300,000 USD (371,678) 05-Aug-2020 (912)HSBC Securities USD 2,260,641 AUD (3,283,000) 05-Aug-2020 (115)HSBC Securities USD 1,387,747 CAD (1,890,000) 05-Aug-2020 (43)HSBC Securities USD 239,786 CHF (227,000) 05-Aug-2020 (31)HSBC Securities USD 589,572 DKK (3,910,000) 05-Aug-2020 (75)Citibank USD 36,408,481 EUR (32,395,000) 05-Aug-2020 (4,387)HSBC Securities USD 6,786,184 GBP (5,491,000) 05-Aug-2020 (59)Citibank USD 19,301,776 JPY(2,081,600,000) 05-Aug-2020 (1,367)HSBC Securities USD 250,368 NOK (2,415,000) 05-Aug-2020 (3)HSBC Securities USD 220,461 PLN (872,000) 05-Aug-2020 (9)HSBC Securities USD 593,909 SEK (5,531,000) 05-Aug-2020 (19)Barclays USD 514,359 MYR (2,221,000) 06-Aug-2020 (3,198)Barclays USD 17,657 MYR (77,000) 06-Aug-2020 (287)



69



Unrealised loss on forward foreign currency contracts (continued)Unrealised

Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDEuro Class (Accumulating)Citibank EUR 12,000 USD (13,584) 06-Jul-2020 (105)Citibank EUR 9,000 USD (10,248) 06-Jul-2020 (139)Citibank USD 8,888,609 EUR (7,914,000) 06-Jul-2020 (699)

Norwegian Krone Class (Accumulating)State Street NOK 222,865,000 USD (23,105,917) 05-Aug-2020 (783)

Singapore Dollar Class (Distributing)HSBC Securities SGD 22,493,000 USD (16,125,055) 05-Aug-2020 (451)

Sterling Class (Accumulating) HSBC Securities GBP 1,039,000 USD (1,284,743) 06-Jul-2020 (929)HSBC Securities USD 1,283,808 GBP (1,039,000) 06-Jul-2020 (6)

Sterling Class (Distributing) HSBC Securities GBP 28,357,000 USD (35,063,969) 06-Jul-2020 (25,350)HSBC Securities USD 31,442,797 GBP (25,447,000) 06-Jul-2020 (154)

(525,433)


Transferable securities and money market instruments admitted to an official stock exchange 94.43OTC financial derivative instruments 0.03Other transferable securities 0.89

95.35



70

Payden Global High Yield Bond Fund As at 30 June 2020


Basic Materials 338,602 2.8640,000 Ashland LLC 6.875% 15-May-2043 46,172 0.3940,000 CF Industries Inc 5.150% 15-Mar-2034 42,865 0.3664,000 Freeport-McMoRan Inc 5.000% 01-Sep-2027 64,365 0.5596,000 Novelis Corp 5.875% 30-Sep-2026 96,219 0.8188,000 PQ Corp 5.750% 15-Dec-2025 88,981 0.75

Communications 2,134,054 18.02100,000 Altice France SA 2.125% 15-Feb-2025 105,576 0.89147,503 Altice France SA 4.185% 14-Aug-2026 142,419 1.20120,000 CCO Holdings LLC/CCO Holdings Capital Corp 5.375% 01-Jun-2029 126,737 1.0740,000 CenturyLink Inc 6.875% 15-Jan-2028 42,690 0.3676,000 CenturyLink Inc 7.500% 01-Apr-2024 83,650 0.71

32,000Diamond Sports Group LLC/Diamond Sports Finance Co 5.375% 15-Aug-2026 23,323 0.20

28,000Diamond Sports Group LLC/Diamond Sports Finance Co 6.625% 15-Aug-2027 14,981 0.13

60,000 Gray Television Inc 7.000% 15-May-2027 61,659 0.52100,000 Lamar Media Corp 4.875% 15-Jan-2029 100,937 0.85100,000 Netflix Inc 3.875% 15-Nov-2029 118,246 1.00100,000 PPF Telecom Group BV 2.125% 31-Jan-2025 109,531 0.92100,000 RCS & RDS SA 2.500% 05-Feb-2025 109,507 0.9240,000 Scripps Escrow Inc 5.875% 15-Jul-2027 37,968 0.32

160,000 Sinclair Television Group Inc 5.500% 01-Mar-2030 148,270 1.2550,000 Sirius XM Radio Inc 3.875% 01-Aug-2022 50,434 0.4388,000 Sprint Capital Corp 6.875% 15-Nov-2028 107,382 0.9128,000 Telecom Italia Capital SA 6.375% 15-Nov-2033 31,635 0.2725,000 T-Mobile USA Inc 3.178% 01-Apr-2027 24,989 0.2184,000 T-Mobile USA Inc 6.500% 15-Jan-2026 87,900 0.7480,000 ViaSat Inc 5.625% 15-Sep-2025 76,808 0.65

100,000 Virgin Media Vendor Financing Notes III DAC 4.875% 15-Jul-2028 124,484 1.05200,000 VTR Finance NV 6.375% 15-Jul-2028 206,254 1.74200,000 Weibo Corp 3.375% 08-Jul-2030 198,674 1.68

Consumer Cyclical 1,862,346 15.72100,000 1011778 BC ULC/New Red Finance Inc 5.000% 15-Oct-2025 99,581 0.8460,000 Allison Transmission Inc 5.875% 01-Jun-2029 62,574 0.53

128,078 BJ's Wholesale Club Inc 2.435% 03-Feb-2024 124,224 1.0596,000 Churchill Downs Inc 4.750% 15-Jan-2028 92,862 0.78

100,000 Fiat Chrysler Automobiles NV 3.375% 07-Jul-2023 112,315 0.95100,000 Fiat Chrysler Automobiles NV 4.500% 07-Jul-2028 112,315 0.9550,000 Flynn Restaurant Group LP 7.178% 29-Jun-2026 41,083 0.3525,000 Ford Motor Co 4.750% 15-Jan-2043 19,806 0.1750,000 Ford Motor Co 9.000% 22-Apr-2025 54,204 0.4688,000 H&E Equipment Services Inc 5.625% 01-Sep-2025 89,091 0.75

100,000 International Game Technology PLC 3.500% 15-Jun-2026 107,822 0.9148,900 K-Mac Holdings Corp 3.178% 14-Mar-2025 46,054 0.3978,667 K-Mac Holdings Corp 6.928% 16-Mar-2026 71,357 0.60

120,000 Marriott Ownership Resorts Inc/ILG LLC 6.500% 15-Sep-2026 121,106 1.0288,000 Penske Automotive Group Inc 5.500% 15-May-2026 87,984 0.74

150,000 Scientific Games International Inc 5.500% 15-Feb-2026 134,952 1.14112,000 Sonic Automotive Inc 6.125% 15-Mar-2027 111,279 0.94140,000 Tacala Investment Corp 7.678% 04-Feb-2028 127,400 1.0795,000 Taylor Morrison Communities Inc 6.000% 01-Sep-2023 97,583 0.8240,000 Toll Brothers Finance Corp 3.800% 01-Nov-2029 40,321 0.3480,000 Yum! Brands Inc 4.750% 15-Jan-2030 81,417 0.6925,000 Yum! Brands Inc 7.750% 01-Apr-2025 27,016 0.23

Consumer Non-cyclical 1,389,339 11.7336,000 Bausch Health Americas Inc 8.500% 31-Jan-2027 38,276 0.3217,000 Bausch Health Cos Inc 5.500% 01-Mar-2023 17,062 0.1428,000 Bausch Health Cos Inc 9.000% 15-Dec-2025 30,195 0.26

100,000 Catalent Pharma Solutions Inc 2.375% 01-Mar-2028 107,355 0.91



71

Payden Global High Yield Bond Fund (continued) As at 30 June 2020


Consumer Non-cyclical (continued) 40,000 Catalent Pharma Solutions Inc 5.000% 15-Jul-2027 41,593 0.3560,000 DaVita Inc 5.000% 01-May-2025 61,410 0.52

100,000 Eurofins Scientific SE 3.750% 17-Jul-2026 118,394 1.0050,000 Froneri International Ltd 2.625% 29-Jan-2027 54,255 0.4650,000 Froneri International Ltd 5.928% 31-Jan-2028 48,375 0.4159,700 Grifols Worldwide Operations Ltd 2.250% 15-Nov-2027 65,932 0.56

100,000 IQVIA Inc 2.875% 15-Jun-2028 112,455 0.95100,000 Loxam SAS 3.750% 15-Jul-2026 104,174 0.8840,000 Post Holdings Inc 5.500% 15-Dec-2029 41,432 0.35

100,000 Q-Park Holding I BV 2.000% 01-Mar-2027 104,980 0.8948,000 Select Medical Corp 6.250% 15-Aug-2026 48,633 0.4152,000 Tenet Healthcare Corp 4.625% 15-Jul-2024 51,020 0.4348,000 Tenet Healthcare Corp 6.250% 01-Feb-2027 47,790 0.40

100,000 Teva Pharmaceutical Finance Netherlands II BV 1.125% 15-Oct-2024 98,679 0.83100,000 Teva Pharmaceutical Finance Netherlands II BV 6.000% 31-Jan-2025 118,776 1.0080,000 Teva Pharmaceutical Finance Netherlands III BV 2.200% 21-Jul-2021 78,553 0.66

Energy 1,367,696 11.5550,000 Antero Resources Corp 5.125% 01-Dec-2022 36,236 0.31

50,000Ascent Resources Utica Holdings LLC/ARU Finance Corp 10.000% 01-Apr-2022 42,781 0.36

25,000 Cenovus Energy Inc 3.800% 15-Sep-2023 23,522 0.2028,000 Cheniere Energy Inc 4.875% 28-May-2021 28,459 0.2450,000 CNX Resources Corp 7.250% 14-Mar-2027 46,064 0.3950,000 Comstock Resources Inc 9.750% 15-Aug-2026 46,898 0.4025,000 Continental Resources Inc/OK 3.800% 01-Jun-2024 23,442 0.2040,000 EnLink Midstream Partners LP 5.450% 01-Jun-2047 24,922 0.2144,000 EQM Midstream Partners LP 4.750% 15-Jul-2023 44,373 0.3775,000 EQT Corp 7.000% 01-Feb-2030 77,353 0.65

200,000 Geopark Ltd 5.500% 17-Jan-2027 172,502 1.4640,000 Oasis Petroleum Inc 6.875% 15-Jan-2023 6,800 0.0650,000 Occidental Petroleum Corp 3.500% 15-Jun-2025 42,500 0.3640,000 Parkland Corp 5.875% 15-Jul-2027 41,593 0.3550,000 Petroleos Mexicanos 5.950% 28-Jan-2031 41,323 0.3530,000 Petroleos Mexicanos 6.490% 23-Jan-2027 27,417 0.2350,000 Plains All American Pipeline LP/PAA Finance Corp 3.600% 01-Nov-2024 51,120 0.43

100,000 Plains All American Pipeline LP/PAA Finance Corp 3.800% 15-Sep-2030 98,183 0.83100,000 Range Resources Corp 9.250% 01-Feb-2026 90,078 0.7630,000 SM Energy Co 10.000% 15-Jan-2025 28,556 0.2475,000 Southwestern Energy Co 7.500% 01-Apr-2026 65,884 0.5688,000 Sunoco LP/Sunoco Finance Corp 5.875% 15-Mar-2028 87,667 0.74

100,000 TerraForm Power Operating LLC 5.000% 31-Jan-2028 104,482 0.8851,770 Transocean Pontus Ltd 6.125% 01-Aug-2025 45,558 0.3844,000 Transocean Poseidon Ltd 6.875% 01-Feb-2027 38,060 0.327,000 Viper Energy Partners LP 5.375% 01-Nov-2027 6,878 0.06

25,000 Western Midstream Operating LP 4.000% 01-Jul-2022 25,045 0.21

Financial 2,309,993 19.5050,000 AI Convoy (Luxembourg) Sarl 3.750% 18-Jan-2027 53,806 0.45

110,000 Asurion LLC 6.678% 04-Aug-2025 109,725 0.93100,000 Banco de Sabadell SA 5.625% 06-May-2026 115,454 0.97100,000 Banco de Sabadell SA floating rate 17-Jan-2030 94,376 0.80200,000 Bank of Ireland Group PLC floating rate Perpetual 235,649 1.99200,000 Dar Al-Arkan Sukuk Co Ltd 6.875% 21-Mar-2023 190,402 1.6160,000 FS KKR Capital Corp 4.750% 15-May-2022 59,532 0.5050,000 FS KKR Capital Corp II 4.250% 14-Feb-2025 44,711 0.38

100,000 Galaxy Bidco Ltd 6.500% 31-Jul-2026 124,783 1.0532,000 Icahn Enterprises LP/Icahn Enterprises Finance Corp 4.750% 15-Sep-2024 30,136 0.2572,000 Icahn Enterprises LP/Icahn Enterprises Finance Corp 6.250% 15-May-2026 72,219 0.61

100,000 Intesa Sanpaolo SpA 5.148% 10-Jun-2030 129,271 1.0940,000 Iron Mountain Inc 4.875% 15-Sep-2029 38,940 0.3360,000 Iron Mountain Inc 5.250% 15-Mar-2028 59,839 0.51



72



Financial (continued)

84,000MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc 5.625% 01-May-2024 87,161 0.74

24,000 MPT Operating Partnership LP/MPT Finance Corp 4.625% 01-Aug-2029 24,161 0.2048,000 MPT Operating Partnership LP/MPT Finance Corp 5.250% 01-Aug-2026 49,939 0.4284,000 Navient Corp 6.625% 26-Jul-2021 82,556 0.70

300,000 Phoenix Group Holdings PLC floating rate Perpetual 290,913 2.46200,000 Shriram Transport Finance Co Ltd 5.950% 24-Oct-2022 183,399 1.55100,000 Springleaf Finance Corp 5.375% 15-Nov-2029 94,120 0.7960,000 Springleaf Finance Corp 7.125% 15-Mar-2026 62,175 0.5280,000 VICI Properties LP/VICI Note Co Inc 4.250% 01-Dec-2026 76,726 0.65

Government 494,498 4.17200,000 Egypt Government International Bond 7.625% 29-May-2032 195,718 1.65200,000 Republic of Belarus Ministry of Finance 5.875% 24-Feb-2026 194,330 1.64100,000 Ukraine Government International Bond 7.750% 01-Sep-2022 104,450 0.88

Industrial 965,507 8.1588,000 Boise Cascade Co 5.625% 01-Sep-2024 88,981 0.7588,000 Covanta Holding Corp 5.875% 01-Jul-2025 89,421 0.75

100,000 Crown European Holdings SA 2.875% 01-Feb-2026 114,101 0.9625,000 Howmet Aerospace Inc 5.125% 01-Oct-2024 25,910 0.2276,000 Mueller Water Products Inc 5.500% 15-Jun-2026 78,930 0.67

195,028 MV24 Capital BV 6.748% 01-Jun-2034 185,704 1.57100,000 Standard Industries Inc 2.250% 21-Nov-2026 105,564 0.8996,000 Standard Industries Inc 5.000% 15-Feb-2027 97,479 0.8260,000 TransDigm Inc 6.250% 15-Mar-2026 59,954 0.51

120,000 TTM Technologies Inc 5.625% 01-Oct-2025 119,463 1.01

Mortgage Securities 669,087 5.65100,000 Connecticut Avenue Securities Trust 2020-R01 floating rate 25-Jan-2040 71,822 0.61100,000 Connecticut Avenue Securities Trust 2020-R02 floating rate 25-Jan-2040 71,734 0.60100,000 Freddie Mac STACR Remic Trust 2020-DNA2 floating rate 25-Feb-2050 82,864 0.70100,000 Freddie Mac STACR Trust 2019-DNA4 floating rate 25-Oct-2049 82,404 0.70100,000 Freddie Mac STACR Trust 2019-HQA2 floating rate 25-Apr-2049 99,051 0.8475,000 Freddie Mac STACR Trust 2019-HRP1 floating rate 25-Feb-2049 71,559 0.6042,125 STACR Trust 2018-HRP1 floating rate 25-Apr-2043 41,755 0.35

150,000 STACR Trust 2018-HRP2 floating rate 25-Feb-2047 147,898 1.25

Technology 234,931 1.98100,000 ams AG 6.000% 31-Jul-2025 111,192 0.9425,000 Dell International LLC/EMC Corp 6.100% 15-Jul-2027 28,922 0.2440,000 Dell International LLC/EMC Corp 8.350% 15-Jul-2046 53,417 0.4540,000 Western Digital Corp 4.750% 15-Feb-2026 41,400 0.35

Utilities 246,872 2.0848,000 Calpine Corp 5.250% 01-Jun-2026 48,606 0.4176,000 Calpine Corp 5.500% 01-Feb-2024 76,047 0.645,000 National Fuel Gas Co 4.900% 01-Dec-2021 5,173 0.04

25,000 National Fuel Gas Co 5.500% 15-Jan-2026 26,599 0.2388,000 Vistra Operations Co LLC 5.625% 15-Feb-2027 90,447 0.76


Swaps (2019: 0.00%, USD Nil)Centrally cleared credit default swaps Expiration date Broker 11,127 0.09

332,500

Rec Fixed 5.000%/ Selling default protection on North America High Yield Index 20-Jun-2025 Goldman Sachs 11,127 0.09



73




2US Treasury Note 2 Year (CBT) Future Exp 30-Sep-2020 441,531 Goldman Sachs 125 0.00

1US Long Bond (CBT) Future Exp 21-Sep-2020 177,344 Goldman Sachs 1,219 0.01




(2)US Treasury Note 10 Year (CBT) Future Exp 21-Sep-2020 (277,297) Goldman Sachs (1,047) (0.01)

(6)US Ultra Bond 10 Year (CBT) Future Exp 21-Sep-2020 (937,563) Goldman Sachs (7,344) (0.06)

(1)US Treasury Note 5 Year (CBT) Future Exp 30-Sep-2020 (125,398) Goldman Sachs (344) 0.00



Net current liabilities (141,970) (1.20)




Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global High Yield Bond Fund State Street USD 39,421 EUR (35,000) 08-Jul-2020 106HSBC Securities USD 125,274 GBP (100,000) 08-Jul-2020 1,710HSBC Securities USD 125,817 GBP (100,000) 08-Jul-2020 2,253

Sterling Class (Accumulating) HSBC Securities GBP 8,400 USD (10,381) 05-Aug-2020 0

4,069


Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global High Yield Bond FundState Street EUR 120,000 USD (135,704) 08-Jul-2020 (910)HSBC Securities GBP 90,000 USD (112,034) 08-Jul-2020 (826)State Street USD 2,357,124 EUR (2,125,000) 08-Jul-2020 (29,851)HSBC Securities USD 269,628 GBP (219,000) 08-Jul-2020 (977)



74




Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDSterling Class (Accumulating)HSBC Securities GBP 8,200 USD (10,139) 06-Jul-2020 (7)HSBC Securities USD 10,132 GBP (8,200) 06-Jul-2020 0

(32,571)


Transferable securities and money market instruments admitted to an official stock exchange 47.78Transferable securities and money market instruments traded on another regulated market 46.27Financial derivative instruments dealt in on a regulated market 0.03OTC financial derivative instruments (0.23)

93.85



75

Payden Global Inflation - Linked Bond Fund As at 30 June 2020


Canada 1,946,867 1.82716,067 Canadian Government Real Return Bond 1.500% 01-Dec-2044 721,955 0.67550,274 Canadian Government Real Return Bond 2.000% 01-Dec-2041 578,907 0.5446,115 Canadian Government Real Return Bond 3.000% 01-Dec-2036 50,987 0.05

539,044 Canadian Government Real Return Bond 4.000% 01-Dec-2031 595,018 0.56

France 7,951,950 7.42313,959 French Republic Government Bond OAT 0.100% 25-Jul-2047 436,688 0.41636,477 French Republic Government Bond OAT 1.800% 25-Jul-2040 1,104,493 1.03

1,524,465 French Republic Government Bond OAT 1.850% 25-Jul-2027 2,067,913 1.93886,044 French Republic Government Bond OAT 2.100% 25-Jul-2023 1,084,476 1.01842,673 French Republic Government Bond OAT 3.150% 25-Jul-2032 1,434,153 1.34

1,150,491 French Republic Government Bond OAT 3.400% 25-Jul-2029 1,824,227 1.70

Germany 1,925,743 1.80351,344 Deutsche Bundesrepublik Inflation Linked Bond 0.100% 15-Apr-2046 543,753 0.51

1,048,945 Deutsche Bundesrepublik Inflation Linked Bond 0.500% 15-Apr-2030 1,381,990 1.29

Italy 6,035,751 5.63511,218 Italy Buoni Poliennali Del Tesoro 2.100% 15-Sep-2021 587,017 0.55

1,165,764 Italy Buoni Poliennali Del Tesoro 2.350% 15-Sep-2035 1,566,175 1.46364,563 Italy Buoni Poliennali Del Tesoro 2.550% 15-Sep-2041 514,633 0.48

1,316,854 Italy Buoni Poliennali Del Tesoro 2.600% 15-Sep-2023 1,591,140 1.481,367,785 Italy Buoni Poliennali Del Tesoro 3.100% 15-Sep-2026 1,776,786 1.66

United Kingdom 29,420,927 27.46453,220 United Kingdom Gilt Inflation Linked 0.125% 22-Mar-2026 660,934 0.62

1,183,528 United Kingdom Gilt Inflation Linked 0.125% 22-Mar-2068 4,429,686 4.13545,921 United Kingdom Gilt Inflation Linked 0.375% 22-Mar-2062 1,873,421 1.75693,248 United Kingdom Gilt Inflation Linked 0.625% 22-Mar-2040 1,551,205 1.45

1,211,910 United Kingdom Gilt Inflation Linked 0.625% 22-Nov-2042 2,894,381 2.701,902,540 United Kingdom Gilt Inflation Linked 0.750% 22-Mar-2034 3,729,485 3.481,999,800 United Kingdom Gilt Inflation Linked 0.750% 22-Nov-2047 5,447,500 5.08

665,519 United Kingdom Gilt Inflation Linked 1.125% 22-Nov-2037 1,516,725 1.42860,139 United Kingdom Gilt Inflation Linked 1.250% 22-Nov-2055 3,101,150 2.89880,000 United Kingdom Gilt Inflation Linked 4.125% 22-Jul-2030 4,216,440 3.94

United States 54,090,497 50.4811,384,540 United States Treasury Inflation Indexed Bonds 0.125% 15-Jan-2022 11,538,876 10.7711,398,514 United States Treasury Inflation Indexed Bonds 0.250% 15-Jan-2025 11,994,272 11.19

3,501,634 United States Treasury Inflation Indexed Bonds 0.625% 15-Feb-2043 4,122,237 3.853,218,224 United States Treasury Inflation Indexed Bonds 0.875% 15-Feb-2047 4,104,515 3.831,150,633 United States Treasury Inflation Indexed Bonds 2.125% 15-Feb-2040 1,696,593 1.586,460,855 United States Treasury Inflation Indexed Bonds 2.375% 15-Jan-2025 7,435,487 6.94

10,293,745 United States Treasury Inflation Indexed Bonds 2.500% 15-Jan-2029 13,198,517 12.32


Unrealised gain on forward foreign currency contracts (Appendix) (2019: 1.35%, USD 1,468,031) 152,975 0.14


Unrealised loss on forward foreign currency contracts (Appendix) (2019: (0.99%), USD (1,080,115)) (230,353) (0.21)






76

Payden Global Inflation - Linked Bond Fund (continued) As at 30 June 2020



Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Inflation - Linked Bond FundHSBC Securities CAD 2,842,000 USD (2,086,607) 06-Jul-2020 47Citibank EUR 14,273,000 USD (16,030,720) 06-Jul-2020 1,261HSBC Securities GBP 26,021,000 USD (32,152,042) 06-Jul-2020 157HSBC Securities USD 31,902,190 GBP (25,800,000) 06-Jul-2020 23,064HSBC Securities USD 275,910 GBP (221,000) 06-Jul-2020 2,837

Euro Class (Accumulating)Citibank EUR 8,791,000 USD (9,785,253) 06-Jul-2020 89,135Citibank EUR 8,926,000 USD (10,031,860) 05-Aug-2020 1,209

Sterling Class (Accumulating) HSBC Securities GBP 786,000 USD (971,397) 05-Aug-2020 8

Sterling Class (Distributing) HSBC Securities GBP 254,000 USD (311,615) 06-Jul-2020 2,234HSBC Securities USD 95,833 GBP (76,000) 06-Jul-2020 1,925HSBC Securities USD 6,350 GBP (5,000) 06-Jul-2020 172HSBC Securities USD 11,313 GBP (9,000) 06-Jul-2020 192HSBC Securities USD 8,655 GBP (7,000) 06-Jul-2020 6HSBC Securities USD 2,490 GBP (2,000) 06-Jul-2020 19HSBC Securities GBP 140,000 USD (173,023) 05-Aug-2020 1HSBC Securities GBP 41,547,000 USD (51,346,857) 05-Aug-2020 443

Sterling Class Unhedged (Distributing)Citibank CAD 448,000 USD (324,128) 06-Jul-2020 4,803Citibank EUR 2,453,000 USD (2,730,442) 06-Jul-2020 24,862Citibank CAD 458,000 USD (336,299) 05-Aug-2020 2Citibank EUR 2,560,000 USD (2,877,175) 05-Aug-2020 335Citibank GBP 4,205,000 USD (5,196,665) 05-Aug-2020 230Citibank JPY 57,800,000 USD (535,959) 05-Aug-2020 33

152,975


Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Inflation - Linked Bond FundHSBC Securities USD 2,056,126 CAD (2,842,000) 06-Jul-2020 (30,528)Citibank USD 15,887,262 EUR (14,273,000) 06-Jul-2020 (144,719)HSBC Securities USD 2,149,172 CAD (2,927,000) 05-Aug-2020 (66)Citibank USD 16,465,018 EUR (14,650,000) 05-Aug-2020 (1,984)HSBC Securities USD 32,462,702 GBP (26,267,000) 05-Aug-2020 (280)

Euro Class (Accumulating)Citibank USD 4,452 EUR (4,000) 06-Jul-2020 (41)Citibank USD 9,869,119 EUR (8,787,000) 06-Jul-2020 (776)

Sterling Class (Accumulating)HSBC Securities GBP 774,000 USD (957,066) 06-Jul-2020 (692)HSBC Securities USD 956,369 GBP (774,000) 06-Jul-2020 (5)



77

Payden Global Inflation - Linked Bond Fund (continued) As at 30 June 2020



Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDSterling Class (Distributing)HSBC Securities GBP 64,000 USD (79,135) 06-Jul-2020 (55)HSBC Securities GBP 47,000 USD (59,214) 06-Jul-2020 (1,140)HSBC Securities GBP 112,000 USD (142,515) 06-Jul-2020 (4,125)HSBC Securities GBP 86,000 USD (107,861) 06-Jul-2020 (1,598)HSBC Securities GBP 21,000 USD (26,554) 06-Jul-2020 (606)HSBC Securities GBP 99,000 USD (124,159) 06-Jul-2020 (1,832)HSBC Securities GBP 31,000 USD (38,828) 06-Jul-2020 (523)HSBC Securities GBP 40,293,000 USD (49,823,060) 06-Jul-2020 (36,020)HSBC Securities USD 50,546,702 GBP (40,908,000) 06-Jul-2020 (247)

Sterling Class Unhedged (Distributing) Citibank GBP 4,147,000 USD (5,127,662) 06-Jul-2020 (3,525)Citibank GBP 19,000 USD (23,722) 06-Jul-2020 (245)Citibank JPY 58,300,000 USD (541,413) 06-Jul-2020 (1,000)Citibank USD 328,928 CAD (448,000) 06-Jul-2020 (3)Citibank USD 2,755,087 EUR (2,453,000) 06-Jul-2020 (217)Citibank USD 5,147,510 GBP (4,166,000) 06-Jul-2020 (104)Citibank USD 540,390 JPY (58,300,000) 06-Jul-2020 (22)

(230,353)


Transferable securities and money market instruments admitted to an official stock exchange 92.04OTC financial derivative instruments (0.07)Other transferable securities 1.80

93.77



78

Payden Global Short Bond Fund As at 30 June 2020


Asset-backed and Mortgage-backed securities 65,536,611 15.481,335,328 Allegro CLO III Ltd floating rate 25-Jul-2027 1,324,066 0.311,600,000 Bavarian Sky UK 3 PLC floating rate 20-Apr-2028 1,979,433 0.47

750,000 BDS 2020-FL5 Ltd floating rate 16-Feb-2037 729,083 0.17

900,000Blackrock European CLO III Designated Activity Co floating rate 15-Apr-2030 1,006,326 0.24

400,000 Bluemountain Fuji EUR CLO V DAC floating rate 15-Jan-2033 436,506 0.10707,574 BX Commercial Mortgage Trust 2018-IND E floating rate 15-Nov-2035 698,849 0.16892,500 BX Commercial Mortgage Trust 2018-IND F floating rate 15-Nov-2035 872,875 0.21

1,500,000 BXMT 2020-FL2 Ltd AS floating rate 16-Feb-2037 1,441,635 0.341,500,000 BXMT 2020-FL2 Ltd C floating rate 16-Feb-2037 1,404,300 0.33

500,000 BXMT 2020-FL2 Ltd D floating rate 16-Feb-2037 460,665 0.11900,000 Cairn CLO III BV floating rate 20-Oct-2028 996,980 0.24

1,500,000 Cairn CLO VII BV floating rate 31-Jan-2030 1,655,762 0.39445,884 Charter Mortgage Funding 2017-1 PLC floating rate 12-Jun-2054 544,191 0.13

1,000,000 CLNC 2019-FL1 Ltd floating rate 20-Aug-2035 976,250 0.231,463,709 CMF 2020-1 PLC floating rate 16-Jan-2057 1,770,092 0.42

779,411 Connecticut Avenue Securities Trust 2020-R01 floating rate 25-Jan-2040 778,140 0.18581,265 Connecticut Avenue Securities Trust 2020-R02 floating rate 25-Jan-2040 577,557 0.14

1,650,000 Contego CLO V DAC floating rate 15-Jan-2031 1,833,417 0.431,850,000 CVC Cordatus Loan Fund III DAV floating rate 15-Aug-2032 2,045,627 0.482,500,000 Delamare Cards MTN Issuer PLC floating rate 19-Oct-2022 3,077,421 0.73

900,000 Dryden 39 Euro CLO 2015 BV floating rate 15-Oct-2031 1,000,439 0.241,543,936 Dutch Property Finance 2018-1 BV floating rate 28-Apr-2051 1,705,571 0.401,750,000 E-Carat 11 PLC floating rate 18-May-2028 2,131,494 0.502,000,000 Exantas Capital Corp 2019-RSO7 Ltd floating rate 15-Apr-2036 1,945,130 0.461,137,126 FACT SA Compartment 2018-1 floating rate 20-Nov-2025 1,279,474 0.30

969,101 Finsbury Square 2020-1 PLC floating rate 16-Mar-2070 1,172,060 0.28533,905 Freddie Mac STACR Remic Trust 2020-DNA2 floating rate 25-Feb-2050 530,993 0.12

1,250,000 Freddie Mac STACR Remic Trust 2020-DNA3 floating rate 25-Jun-2050 1,250,000 0.30471,957 Freddie Mac STACR Trust 2019-DNA2 floating rate 25-Mar-2049 469,200 0.11

1,000,000 Freddie Mac STACR Trust 2019-HRP1 floating rate 25-Feb-2049 958,873 0.231,500,000 GPMT 2019-FL2 Ltd floating rate 22-Feb-2036 1,477,789 0.35

1,000,000Greystone Commercial Real Estate Notes 2018-HC1 Ltd floating rate 15-Sep-2028 962,577 0.23

2,600,000 Harvest CLO XIX DAC floating rate 14-Apr-2031 2,875,029 0.681,750,000 Henley CLO I DAC floating rate 15-Jul-2032 1,951,528 0.462,000,000 KREF 2018-FL1 Ltd A floating rate 15-Jun-2036 1,980,215 0.471,000,000 KREF 2018-FL1 Ltd AS floating rate 15-Jun-2036 980,113 0.23

16,217 LA Arena Funding LLC 7.656% 15-Dec-2026 15,893 0.001,892,151 Oat Hill No 1 PLC floating rate 25-Feb-2046 2,362,941 0.561,200,000 Orbita Funding 2020-1 PLC floating rate 17-Mar-2027 1,451,480 0.341,900,000 PCL Funding III PLC floating rate 15-Jun-2023 2,304,333 0.541,882,414 Precise Mortgage Funding 2018-1B PLC floating rate 12-Dec-2054 2,299,153 0.54

982,910 Precise Mortgage Funding 2020-1B PLC floating rate 16-Oct-2056 1,190,261 0.28900,000 Providus CLO IV DAC floating rate 20-Jul-2031 1,009,486 0.24781,375 Silverstone Master Issuer PLC floating rate 21-Jan-2070 878,809 0.21900,000 St Paul's CLO IX DAC floating rate 15-Nov-2030 997,181 0.24842,507 STACR Trust 2018-HRP1 M2 floating rate 25-Apr-2043 835,105 0.20764,103 STACR Trust 2018-HRP2 M2 floating rate 25-Feb-2047 754,082 0.18850,000 STWD 2019-FL1 Ltd floating rate 15-Jul-2038 833,577 0.20

3,000,000 Voya Euro CLO I DAC floating rate 15-Oct-2030 3,324,650 0.78

Corporate bonds 188,239,828 44.471,575,000 Abbott Ireland Financing DAC 0.875% 27-Sep-2023 1,810,522 0.431,200,000 AbbVie Inc 0.500% 01-Jun-2021 1,348,434 0.321,000,000 AbbVie Inc 3.250% 01-Oct-2022 1,048,470 0.25

695,000AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.500% 26-May-2022 688,204 0.16


900,000 American Honda Finance Corp 1.375% 10-Nov-2022 1,031,758 0.24750,000 Ameriprise Financial Inc 3.000% 22-Mar-2022 780,842 0.18



79

Payden Global Short Bond Fund (continued) As at 30 June 2020


Corporate bonds (continued) 1,100,000 ANZ New Zealand Int'l Ltd 1.900% 13-Feb-2023 1,130,591 0.27

655,000 ANZ New Zealand Int'l Ltd 2.125% 28-Jul-2021 666,886 0.161,250,000 APT Pipelines Ltd 3.875% 11-Oct-2022 1,310,047 0.311,000,000 Ares Capital Corp 3.625% 19-Jan-2022 1,017,217 0.24

171,000 Assurant Inc floating rate 26-Mar-2021 171,005 0.041,250,000 AT&T Inc floating rate 05-Sep-2023 1,392,797 0.331,300,000 Athene Global Funding 1.875% 23-Jun-2023 1,473,921 0.35

500,000 Atos SE 0.750% 07-May-2022 567,024 0.13700,000 Aviation Capital Group LLC 6.750% 06-Apr-2021 703,577 0.17900,000 Avolon Holdings Funding Ltd 3.625% 01-May-2022 848,746 0.20

1,500,000 Banco Bradesco SA 2.850% 27-Jan-2023 1,481,715 0.351,090,000 Banco del Estado de Chile 2.668% 08-Jan-2021 1,099,411 0.26

925,000 Banco Santander Chile 2.500% 15-Dec-2020 932,599 0.22825,000 Bank of America Corp 4.200% 26-Aug-2024 916,442 0.22

1,375,000 Bank of America Corp floating rate 21-Jul-2021 1,376,285 0.331,000,000 Bank of America Corp floating rate 07-Feb-2022 1,125,436 0.271,465,000 Banque Federative du Credit Mutuel SA 2.200% 20-Jul-2020 1,466,271 0.351,600,000 Barclays PLC floating rate 06-Oct-2023 2,002,935 0.471,300,000 Bayer Capital Corp BV floating rate 26-Jun-2022 1,452,210 0.342,250,000 Becton Dickinson Euro Finance Sarl 0.632% 04-Jun-2023 2,512,373 0.59

950,000 BNP Paribas SA floating rate 09-Jun-2026 973,951 0.231,700,000 BNZ International Funding Ltd 0.500% 13-May-2023 1,923,256 0.45

200,000 Boise Cascade Co 5.625% 01-Sep-2024 202,229 0.051,000,000 BPCE SA 2.375% 14-Jan-2025 1,035,181 0.241,800,000 CaixaBank SA 1.750% 24-Oct-2023 2,059,420 0.491,445,000 Canadian Imperial Bank of Commerce 0.375% 03-May-2024 1,614,792 0.381,000,000 Capgemini SE 1.250% 15-Apr-2022 1,138,146 0.27

455,000 Centene Corp 4.750% 15-May-2022 461,131 0.11

1,200,000Charter Communications Operating LLC/Charter Communications Operating Capital 4.464% 23-Jul-2022 1,280,380 0.30

945,000 Cigna Corp 3.200% 17-Sep-2020 950,321 0.22535,000 Cigna Corp floating rate 17-Sep-2021 535,026 0.13700,000 Citigroup Inc 0.500% 29-Jan-2022 790,177 0.19

2,100,000 Citigroup Inc floating rate 04-Nov-2022 2,141,974 0.511,340,000 CK Hutchison International 17 II Ltd 2.250% 29-Sep-2020 1,342,158 0.322,000,000 Coca-Cola Co 0.125% 22-Sep-2022 2,248,092 0.531,300,000 Comcast Corp 3.100% 01-Apr-2025 1,434,679 0.341,200,000 Cooperatieve Rabobank UA 4.000% 19-Sep-2022 1,593,142 0.381,005,000 Credit Agricole SA 3.375% 10-Jan-2022 1,040,630 0.251,500,000 Credit Suisse AG floating rate 18-May-2022 1,702,196 0.40

750,000 Credit Suisse Group Funding Guernsey Ltd 3.800% 15-Sep-2022 797,189 0.191,500,000 CVS Health Corp 3.700% 09-Mar-2023 1,611,506 0.381,850,000 Daimler International Finance BV 0.250% 06-Nov-2023 2,026,334 0.481,700,000 Danaher Corp 1.700% 30-Mar-2024 2,000,745 0.47

775,000 Dell International LLC/EMC Corp 5.850% 15-Jul-2025 891,795 0.212,300,000 Deutsche Bank AG 1.750% 16-Dec-2021 2,828,548 0.671,100,000 Deutsche Bank AG floating rate 07-Dec-2020 1,231,987 0.291,200,000 Digital Dutch Finco BV 0.125% 15-Oct-2022 1,331,984 0.311,200,000 Dollar Tree Inc 3.700% 15-May-2023 1,286,583 0.30

850,000 Dominion Energy Gas Holdings LLC 2.500% 15-Nov-2024 898,881 0.21850,000 Dominion Energy Inc 2.715% 15-Aug-2021 869,065 0.21700,000 DuPont de Nemours Inc 2.169% 01-May-2023 713,970 0.17

1,800,000 E.ON SE 0.000% 24-Oct-2022 2,014,233 0.481,400,000 Enel Finance International NV 2.875% 25-May-2022 1,448,757 0.34

837,000Energy Transfer Partners LP/Regency Energy Finance Corp 5.875% 01-Mar-2022 883,542 0.21

1,320,000 Enstar Group Ltd 4.500% 10-Mar-2022 1,337,942 0.32675,000 EQM Midstream Partners LP 4.750% 15-Jul-2023 680,724 0.16

1,000,000 Exelon Generation Co LLC 3.250% 01-Jun-2025 1,080,915 0.261,400,000 Express Scripts Holding Co 2.600% 30-Nov-2020 1,412,712 0.332,000,000 FCA Bank SpA 0.250% 12-Oct-2020 2,240,381 0.531,250,000 FCA Bank SpA 0.250% 28-Feb-2023 1,347,583 0.32



80



Corporate bonds (continued) 850,000 Fiat Chrysler Automobiles NV 3.375% 07-Jul-2023 954,677 0.23300,000 Fidelity National Information Services Inc 0.750% 21-May-2023 339,512 0.08850,000 First Abu Dhabi Bank PJSC 1.375% 19-Feb-2023 1,057,658 0.25350,000 Fiserv Inc 0.375% 01-Jul-2023 391,593 0.09625,000 Florida Power & Light Co 2.850% 01-Apr-2025 686,059 0.16

1,300,000 Ford Motor Credit Co LLC 3.087% 09-Jan-2023 1,241,097 0.291,300,000 Ford Motor Credit Co LLC floating rate 01-Dec-2021 1,369,182 0.32

975,000 General Mills Inc 1.000% 27-Apr-2023 1,109,675 0.262,600,000 General Motors Financial Co Inc floating rate 10-May-2021 2,875,453 0.681,340,000 General Motors Financial Co Inc floating rate 14-Jan-2022 1,331,493 0.311,580,000 Goldman Sachs Group Inc 3.000% 26-Apr-2022 1,610,791 0.383,900,000 Goldman Sachs Group Inc 3.500% 01-Apr-2025 4,281,014 1.012,000,000 Goldman Sachs Group Inc floating rate 26-Sep-2023 2,212,987 0.521,300,000 HSBC Holdings PLC floating rate 11-Sep-2021 1,300,632 0.311,500,000 HSBC Holdings PLC floating rate 05-Oct-2023 1,667,280 0.39

470,000 Icahn Enterprises LP/Icahn Enterprises Finance Corp 6.250% 01-Feb-2022 472,221 0.111,030,000 ICICI Bank Ltd 5.750% 16-Nov-2020 1,043,452 0.251,300,000 Indonesia Asahan Aluminium Persero PT 4.750% 15-May-2025 1,392,477 0.33

835,000 Infor Inc 1.450% 15-Jul-2023 842,519 0.20625,000 ING Groep NV floating rate 29-Mar-2022 629,673 0.15

1,750,000 International Flavors & Fragrances Inc 0.500% 25-Sep-2021 1,961,513 0.46700,000 ISS Finance BV 1.250% 07-Jul-2025 786,637 0.19

1,700,000 JPMorgan Chase & Co floating rate 18-Jun-2022 1,746,168 0.41650,000 Jyske Bank A/S 0.875% 03-Dec-2021 734,133 0.17870,000 Kinder Morgan Inc floating rate 15-Jan-2023 870,132 0.21

1,750,000 Landsbankinn HF 1.375% 14-Mar-2022 1,961,591 0.46790,000 Lennar Corp 4.125% 15-Jan-2022 801,633 0.19350,000 Lennar Corp 4.500% 30-Apr-2024 364,838 0.09

1,000,000 Lloyds Banking Group PLC floating rate 15-Jan-2026 1,234,207 0.291,550,000 Logicor Financing Sarl 0.750% 15-Jul-2024 1,715,908 0.41

750,000 Lowe's Cos Inc 4.000% 15-Apr-2025 855,615 0.201,000,000 Macquarie Bank Ltd 2.100% 17-Oct-2022 1,027,889 0.242,270,000 Macquarie Group Ltd floating rate 28-Nov-2023 2,271,589 0.541,100,000 Mclaren Finance PLC 5.000% 01-Aug-2022 856,271 0.20

950,000 Medtronic Global Holdings SCA 0.375% 07-Mar-2023 1,069,658 0.251,100,000 Metropolitan Life Global Funding I 0.000% 23-Sep-2022 1,234,242 0.29

950,000 Mitsubishi UFJ Financial Group Inc 0.978% 09-Jun-2024 1,087,004 0.26600,000 Mondelez International Inc 2.125% 13-Apr-2023 621,848 0.15

1,100,000 Morgan Stanley floating rate 27-Jan-2022 1,236,855 0.291,550,000 Morgan Stanley floating rate 22-Jul-2022 1,558,165 0.371,750,000 MUFG Union Bank NA 3.150% 01-Apr-2022 1,824,428 0.43

700,000 Muthoot Finance Ltd 6.125% 31-Oct-2022 710,325 0.17175,000 National Fuel Gas Co 4.900% 01-Dec-2021 181,044 0.04750,000 National Fuel Gas Co 5.500% 15-Jan-2026 797,984 0.19850,000 National Securities Clearing Corp 1.200% 23-Apr-2023 862,655 0.20

1,500,000 National Securities Clearing Corp 1.500% 23-Apr-2025 1,535,198 0.361,200,000 Nationale-Nederlanden Bank NV 0.375% 31-May-2023 1,340,025 0.321,000,000 NextEra Energy Capital Holdings Inc 2.403% 01-Sep-2021 1,022,825 0.24

705,000 Nissan Motor Acceptance Corp 2.150% 28-Sep-2020 702,981 0.17400,000 Nykredit Realkredit A/S 0.250% 20-Jan-2023 443,438 0.11

1,000,000 Occidental Petroleum Corp 2.600% 13-Aug-2021 979,975 0.231,300,000 Occidental Petroleum Corp 2.700% 15-Aug-2022 1,212,633 0.291,835,000 ONEOK Inc 4.250% 01-Feb-2022 1,898,209 0.45

850,000 Park Aerospace Holdings Ltd 5.250% 15-Aug-2022 798,261 0.191,000,000 PayPal Holdings Inc 1.650% 01-Jun-2025 1,034,948 0.241,635,000 Pelabuhan Indonesia III Persero PT 4.500% 02-May-2023 1,709,090 0.40

875,000 Penske Truck Leasing Co LP/PTL Finance Corp 3.650% 29-Jul-2021 895,941 0.211,250,000 PepsiCo Inc 0.250% 06-May-2024 1,413,781 0.331,000,000 Petroleos Mexicanos 3.125% 27-Nov-2020 1,112,581 0.261,000,000 Plains All American Pipeline LP/PAA Finance Corp 5.000% 01-Feb-2021 1,009,238 0.24

650,000 PPF Telecom Group BV 3.500% 20-May-2024 744,886 0.18610,000 Royal Bank of Scotland Group PLC floating rate 15-May-2023 610,490 0.14



81



Corporate bonds (continued) 1,500,000 Sabine Pass Liquefaction LLC 5.625% 15-Apr-2023 1,641,677 0.391,000,000 Santander Consumer Bank AS 0.750% 01-Mar-2023 1,123,565 0.271,800,000 Santander Holdings USA Inc 3.700% 28-Mar-2022 1,854,191 0.442,065,000 Shriram Transport Finance Co Ltd 5.950% 24-Oct-2022 1,893,590 0.451,250,000 Sirius XM Radio Inc 3.875% 01-Aug-2022 1,260,844 0.30

645,000 SLM Corp 5.125% 05-Apr-2022 640,566 0.15630,000 SMBC Aviation Capital Finance DAC 3.000% 15-Jul-2022 633,444 0.15670,000 Smithfield Foods Inc 2.650% 03-Oct-2021 662,788 0.16

18,286 Southern California Edison Co 1.845% 01-Feb-2022 18,303 0.00500,000 State Street Corp floating rate 30-Mar-2023 519,107 0.12

1,045,000 Suncorp-Metway Ltd 2.375% 09-Nov-2020 1,051,566 0.251,325,000 Takeda Pharmaceutical Co Ltd 1.125% 21-Nov-2022 1,515,209 0.36

800,000 Takeda Pharmaceutical Co Ltd 4.000% 26-Nov-2021 835,374 0.20700,000 Target Corp 2.250% 15-Apr-2025 749,496 0.18

1,300,000 Telenor ASA 0.000% 25-Sep-2023 1,458,530 0.34750,000 Telstra Corp Ltd 3.500% 21-Sep-2022 903,760 0.21600,000 Tencent Holdings Ltd 1.810% 26-Jan-2026 608,314 0.14

1,521,175 Teva Pharmaceutical Finance Netherlands II BV 0.375% 25-Jul-2020 1,709,653 0.40260,000 Teva Pharmaceutical Finance Netherlands II BV 3.250% 15-Apr-2022 291,543 0.07

1,100,000 Truist Bank 2.800% 17-May-2022 1,145,050 0.27350,000 UBS AG 0.750% 21-Apr-2023 399,501 0.09600,000 UBS AG 1.750% 21-Apr-2022 611,628 0.14550,000 UniCredit SpA 6.572% 14-Jan-2022 581,239 0.14600,000 Upjohn Finance BV 0.816% 23-Jun-2022 678,124 0.16700,000 Upjohn Finance BV 1.023% 23-Jun-2024 792,090 0.19650,000 USAA Capital Corp 1.500% 01-May-2023 667,165 0.16

1,500,000 Ventas Realty LP 3.500% 15-Apr-2024 1,562,566 0.371,200,000 Volkswagen Financial Services AG 0.375% 12-Apr-2021 1,341,883 0.321,000,000 Volkswagen Group of America Finance LLC 3.350% 13-May-2025 1,068,437 0.25

845,000 Welltower Inc 3.625% 15-Mar-2024 903,339 0.211,000,000 Worldline SA 0.250% 18-Sep-2024 1,106,008 0.26

Government/Agency/Government-related bonds 110,129,016 26.03885,000 Abu Dhabi Government International Bond 2.500% 11-Oct-2022 915,860 0.22

3,200,000 Agence Francaise de Developpement EPIC 1.875% 14-Sep-2020 3,207,584 0.762,480,000 European Bank for Reconstruction & Development 1.875% 15-Jul-2021 2,520,337 0.60

770,000 Fondo MIVIVIENDA SA 3.500% 31-Jan-2023 793,027 0.1913,200,000 French Republic Government Bond OAT 0.000% 25-Mar-2023 15,081,173 3.5610,500,000 French Republic Government Bond OAT 3.250% 25-Oct-2021 12,395,231 2.939,100,000 Italy Buoni Poliennali Del Tesoro 0.050% 15-Jan-2023 10,188,953 2.41

19,000,000 Italy Buoni Poliennali Del Tesoro 2.300% 15-Oct-2021 22,000,170 5.201,050,000,000 Japan Government Five Year Bond 0.100% 20-Mar-2023 9,796,596 2.312,020,000,000 Japan Government Twenty Year Bond 2.100% 20-Dec-2021 19,344,616 4.57

900,000 Kazakhstan Government International Bond 1.550% 09-Nov-2023 1,022,894 0.2445,450,000 Mexican Bonos 6.500% 09-Jun-2022 2,034,391 0.481,050,000 Nigeria Government International Bond 6.750% 28-Jan-2021 1,066,737 0.253,000,000 Republic of Austria Government Bond 0.000% 20-Sep-2022 3,416,555 0.81

209,000 Senegal Government International Bond 8.750% 13-May-2021 216,572 0.053,800,000 Spain Government Bond 0.000% 30-Apr-2023 4,305,038 1.021,300,000 Sri Lanka Government International Bond 6.250% 27-Jul-2021 1,117,991 0.26

702,000 United States Treasury Note/Bond 0.375% 30-Apr-2025 705,291 0.17


1,153,028Payden Global Funds PLC - Payden USD Low Duration Credit Fund, US Dollar Class (Accumulating)(1) 14,011,598 3.31

Leveraged Loans 946,096 0.22375,000 AI Convoy (Luxembourg) Sarl 3.750% 18-Jan-2027 403,544 0.10500,000 Froneri International Ltd 2.625% 29-Jan-2027 542,552 0.12



82



Mortgage related securities 12,615,392 2.984,090,000 Fannie Mae Pool 2.000% 01-Aug-2035 4,224,842 1.004,030,000 Fannie Mae Pool 2.500% 01-Jul-2050 4,195,057 0.993,990,000 Fannie Mae Pool 3.000% 01-Aug-2050 4,195,493 0.99


4,000,000 Italy Buoni Ordinari del Tesoro BOT 0.000% 30-Nov-2020 4,497,561 1.06450,000,000 Japan Treasury Discount Bill 0.000% 14-Sep-2020 4,172,577 0.9810,500,000 Spain Letras del Tesoro 0.000% 07-May-2021 11,841,353 2.80







38Australia Bond 3 Year (SFE) Future Exp 15-Sep-2020 3,063,495 Goldman Sachs (859) 0.00

19Canada Bond 10 Year (MX) Future Exp 21-Sep-2020 2,150,683 Goldman Sachs (4,882) 0.00

(44)Euro-Bobl (EUREX) Future Exp 08-Sep-2020 (6,644,331) Goldman Sachs (26,192) (0.01)

(2)Euro-Bund (EUREX) Future Exp 08-Sep-2020 (393,664) Goldman Sachs (2,853) 0.00

(220)Euro-Schatz (EUREX) Future Exp 08-Sep-2020 (27,687,994) Goldman Sachs (21,014) 0.00

4Japan Bond 10 Year (OSE) Future Exp 14-Sep-2020 5,633,777 Goldman Sachs 0 0.00

(8)Long Gilt (LIFFE) Future Exp 28-Sep-2020 (1,356,491) Goldman Sachs (4,053) 0.00

(2)US Treasury Note 10 Year (CBT) Future Exp 21-Sep-2020 (277,297) Goldman Sachs (1,047) 0.00


Unrealised loss on forward foreign currency contracts (Appendix) (2019: (0.67%), USD (2,989,286)) (2,892,851) (0.68)







83




Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Short Bond FundState Street USD 7,982,499 EUR (7,000,000) 08-Jul-2020 119,522State Street USD 4,503,900 EUR (4,000,000) 08-Jul-2020 10,770Citibank USD 29,443,465 JPY(3,174,300,000) 08-Jul-2020 18,633Citibank USD 4,157,024 JPY (446,000,000) 08-Jul-2020 22,734HSBC Securities SEK 19,254,000 USD (1,982,939) 30-Jul-2020 84,436HSBC Securities USD 1,951,679 GBP (1,569,000) 30-Jul-2020 12,643HSBC Securities USD 1,944,701 JPY (208,400,000) 30-Jul-2020 12,309Barclays USD 2,779,634 AUD (4,013,000) 23-Sep-2020 15,995

Euro Class (Accumulating)Citibank EUR 16,516,000 USD (18,383,943) 06-Jul-2020 167,461Citibank EUR 16,666,000 USD (18,730,784) 05-Aug-2020 2,257

Norwegian Krone Class (Accumulating)State Street NOK 3,347,375,000 USD (344,482,674) 06-Jul-2020 2,508,148State Street NOK 24,975,000 USD (2,573,357) 06-Jul-2020 15,566State Street NOK 10,578,000 USD (1,084,970) 06-Jul-2020 11,551State Street USD 521,791 NOK (5,009,000) 06-Jul-2020 2,556State Street USD 65,268 NOK (620,000) 06-Jul-2020 999State Street USD 354,143,397 NOK(3,416,370,000) 06-Jul-2020 514

Sterling Class (Accumulating) HSBC Securities GBP 10,865,000 USD (13,427,771) 05-Aug-2020 116

Swedish Krona Class (Accumulating) HSBC Securities SEK 236,374,000 USD (25,105,947) 06-Jul-2020 266,208HSBC Securities SEK 2,525,000 USD (268,177) 06-Jul-2020 2,854HSBC Securities SEK 125,000 USD (13,361) 06-Jul-2020 56HSBC Securities SEK 295,000 USD (31,544) 06-Jul-2020 121HSBC Securities SEK 250,000 USD (26,610) 06-Jul-2020 224HSBC Securities SEK 371,000 USD (39,474) 06-Jul-2020 349HSBC Securities SEK 837,000 USD (89,567) 06-Jul-2020 276HSBC Securities USD 84,043 SEK (771,000) 06-Jul-2020 1,285HSBC Securities USD 286,574 SEK (2,668,000) 06-Jul-2020 193HSBC Securities SEK 249,995,000 USD (26,844,034) 05-Aug-2020 879

3,278,655


Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden Global Short Bond FundState Street USD 1,110,398 EUR (1,000,000) 08-Jul-2020 (12,884)State Street USD 166,455,132 EUR (150,063,000) 08-Jul-2020 (2,108,010)HSBC Securities USD 38,362,338 GBP (31,159,000) 08-Jul-2020 (138,931)State Street USD 222,113 CAD (315,000) 28-Jul-2020 (9,182)HSBC Securities USD 1,953,275 MXN (48,200,000) 28-Jul-2020 (124,960)Citibank USD 644,783 PLN (2,695,000) 28-Jul-2020 (36,581)HSBC Securities GBP 1,569,000 USD (1,969,517) 30-Jul-2020 (30,481)HSBC Securities JPY 416,800,000 USD (3,907,561) 30-Jul-2020 (42,777)HSBC Securities USD 1,925,954 JPY (208,400,000) 30-Jul-2020 (6,438)HSBC Securities USD 1,953,567 SEK (19,254,000) 30-Jul-2020 (113,808)State Street EUR 4,902,000 USD (5,554,069) 22-Sep-2020 (38,159)Barclays EUR 2,455,000 USD (2,782,279) 23-Sep-2020 (19,758)Barclays NOK 26,527,000 USD (2,785,599) 25-Sep-2020 (34,954)Barclays USD 2,784,788 SEK (25,921,000) 25-Sep-2020 (381)



84




Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDEuro Class (Accumulating)Citibank USD 18,549,945 EUR (16,516,000) 06-Jul-2020 (1,459)

Norwegian Krone Class (Accumulating)State Street NOK 29,957,000 USD (3,225,978) 06-Jul-2020 (120,618)State Street NOK 520,000 USD (56,045) 06-Jul-2020 (2,141)State Street NOK 2,500,000 USD (269,865) 06-Jul-2020 (10,713)State Street NOK 6,094,000 USD (639,712) 06-Jul-2020 (8,005)State Street NOK 3,448,526,000 USD (357,531,934) 05-Aug-2020 (12,121)State Street USD 31,100 NOK (300,000) 05-Aug-2020 (2)

Sterling Class (Accumulating) HSBC Securities GBP 10,760,000 USD (13,304,944) 06-Jul-2020 (9,619)HSBC Securities USD 13,295,260 GBP (10,760,000) 06-Jul-2020 (65)

Swedish Krona Class (Accumulating) HSBC Securities SEK 2,957,000 USD (318,435) 06-Jul-2020 (1,033)HSBC Securities SEK 250,000 USD (27,313) 06-Jul-2020 (478)HSBC Securities SEK 300,000 USD (32,539) 06-Jul-2020 (337)HSBC Securities SEK 3,510,000 USD (381,058) 06-Jul-2020 (4,298)HSBC Securities SEK 1,795,000 USD (195,899) 06-Jul-2020 (3,225)HSBC Securities SEK 425,000 USD (45,974) 06-Jul-2020 (354)HSBC Securities SEK 708,000 USD (76,381) 06-Jul-2020 (385)HSBC Securities SEK 541,000 USD (58,086) 06-Jul-2020 (16)HSBC Securities USD 10,727 SEK (100,000) 06-Jul-2020 (7)HSBC Securities USD 26,589,785 SEK (247,724,000) 06-Jul-2020 (668)HSBC Securities USD 43,058 SEK (401,000) 05-Aug-2020 (3)

(2,892,851)


Transferable securities and money market instruments admitted to an official stock exchange 70.06Transferable securities and money market instruments traded on another regulated market 20.93Financial derivative instruments dealt in on a regulated market (0.02)OTC financial derivative instruments 0.09Other transferable securities 1.56

92.62



85

Payden Sterling Reserve Fund As at 30 June 2020

Holding Name of securities Fair value % of netGBP assets

Asset-backed and Mortgage-backed securities 68,742,369 26.66219,975 Bavarian Sky UK 1 PLC floating rate 20-Nov-2025 220,248 0.08

2,400,000 Bavarian Sky UK 3 PLC floating rate 20-Apr-2028 2,403,002 0.934,000,000 Bumper UK 2019-1 Finance PLC floating rate 20-Dec-2028 3,994,568 1.551,689,665 Charter Mortgage Funding 2017-1 PLC floating rate 12-Jun-2054 1,668,986 0.652,439,516 CMF 2020-1 PLC floating rate 16-Jan-2057 2,387,628 0.934,000,000 E-Carat 11 PLC floating rate 18-May-2028 3,943,013 1.533,391,853 Finsbury Square 2020-1 PLC floating rate 16-Mar-2070 3,320,015 1.292,562,562 Friary No 4 PLC floating rate 21-Jan-2050 2,507,361 0.973,034,374 Globaldrive Auto Receivables UK 2019-A PLC floating rate 20-Sep-2026 3,041,542 1.184,000,000 Gosforth Funding 2017-1 PLC floating rate 19-Dec-2059 4,003,412 1.554,000,000 Holmes Master Issuer PLC floating rate 15-Oct-2054 3,992,918 1.553,293,055 Kenrick NO 3 PLC floating rate 11-Oct-2054 3,198,472 1.243,000,000 Lanark Master Issuer PLC floating rate 22-Dec-2069 2,946,778 1.141,502,513 Motor 2016-1 PLC 1.300% 25-Nov-2025 1,509,566 0.584,025,853 Oat Hill No 1 PLC floating rate 25-Feb-2046 4,068,901 1.581,800,000 Orbita Funding 2020-1 PLC floating rate 17-Mar-2027 1,762,075 0.684,100,000 PCL Funding III PLC floating rate 15-Jun-2023 4,024,367 1.564,000,000 Penarth Master Issuer PLC floating rate 18-Mar-2025 3,942,962 1.534,000,000 Permanent Master Issuer PLC floating rate 15-Jul-2058 4,016,832 1.562,626,624 Precise Mortgage Funding 2018-1B PLC floating rate 12-Dec-2054 2,596,407 1.011,474,365 Precise Mortgage Funding 2020-1B PLC floating rate 16-Oct-2056 1,444,959 0.563,771,235 Ripon Mortgages PLC floating rate 20-Aug-2056 3,762,107 1.464,000,000 Silverstone Master Issuer PLC floating rate 21-Jan-2070 3,986,250 1.55

Corporate bonds 74,190,545 28.784,000,000 ASB Finance Ltd 1.000% 07-Sep-2020 4,001,780 1.551,109,000 ASIF II 6.375% 05-Oct-2020 1,124,232 0.444,000,000 Australia & New Zealand Banking Group Ltd floating rate 17-Dec-2021 4,011,180 1.564,000,000 Daimler International Finance BV 2.750% 04-Dec-2020 4,028,520 1.564,000,000 Dexia Credit Local SA 0.875% 07-Sep-2021 4,027,140 1.564,164,000 DNB Bank ASA 1.375% 12-Jun-2023 4,253,547 1.653,724,000 Euroclear Bank SA 1.250% 30-Sep-2024 3,817,137 1.483,000,000 First Abu Dhabi Bank PJSC 1.375% 19-Feb-2023 3,021,133 1.173,000,000 International Business Machines Corp 2.750% 21-Dec-2020 3,033,240 1.184,000,000 Landesbank Baden-Wuerttemberg floating rate 18-May-2021 4,000,260 1.554,000,000 Lloyds Bank PLC floating rate 03-Feb-2023 4,007,760 1.554,000,000 Metropolitan Life Global Funding I 1.125% 15-Dec-2021 4,026,318 1.564,000,000 National Australia Bank Ltd 5.125% 09-Dec-2021 4,249,609 1.653,500,000 Nestle Holdings Inc 1.750% 09-Dec-2020 3,518,410 1.373,500,000 New York Life Global Funding 1.625% 15-Dec-2023 3,595,684 1.394,000,000 NRW Bank floating rate 09-Oct-2024 3,996,284 1.554,000,000 OP Corporate Bank PLC 2.500% 20-May-2022 4,138,070 1.613,600,000 Svenska Handelsbanken AB 1.625% 18-Jun-2022 3,673,579 1.434,034,000 Swedbank AB 1.625% 28-Dec-2022 4,130,752 1.603,500,000 Westpac Securities NZ Ltd 2.500% 13-Jan-2021 3,535,910 1.37

Covered bonds 60,524,812 23.484,000,000 Barclays Bank UK PLC floating rate 15-May-2023 4,013,900 1.564,000,000 Canadian Imperial Bank of Commerce floating rate 28-Oct-2022 4,007,400 1.554,000,000 Commonwealth Bank of Australia floating rate 16-Jan-2025 4,002,600 1.554,000,000 Coventry Building Society floating rate 13-Nov-2023 4,025,860 1.564,000,000 Leeds Building Society floating rate 15-Apr-2023 4,026,720 1.564,000,000 Nationwide Building Society floating rate 10-Jan-2025 4,019,900 1.564,000,000 Nordea Eiendomskreditt AS floating rate 18-Jun-2023 3,986,100 1.553,000,000 Royal Bank of Canada floating rate 08-Jun-2021 3,001,530 1.161,500,000 Royal Bank of Canada floating rate 30-Jan-2025 1,491,682 0.584,000,000 Santander UK PLC floating rate 16-Nov-2022 3,989,860 1.554,000,000 Skipton Building Society floating rate 02-May-2023 3,988,280 1.554,000,000 SpareBank 1 Boligkreditt AS floating rate 14-Nov-2022 3,981,940 1.554,000,000 Toronto-Dominion Bank floating rate 24-Jun-2022 4,003,220 1.554,000,000 TSB Bank PLC floating rate 07-Dec-2022 3,991,520 1.554,000,000 United Overseas Bank Ltd floating rate 28-Feb-2023 3,967,340 1.54



86

Payden Sterling Reserve Fund (continued)As at 30 June 2020

Holding Name of securities Fair value % of netGBP assets

Covered bonds (continued)4,000,000 Yorkshire Building Society floating rate 19-Nov-2023 4,026,960 1.56

Government/Agency/Government-related bonds 38,350,846 14.883,250,000 Asian Development Bank floating rate 12-Oct-2023 3,249,675 1.262,000,000 BNG Bank NV 1.000% 15-Mar-2022 2,025,320 0.793,000,000 CPPIB Capital Inc 0.375% 25-Jul-2023 3,002,655 1.163,000,000 European Bank for Reconstruction & Development floating rate 13-Nov-2024 2,999,478 1.163,250,000 European Investment Bank floating rate 29-Jun-2023 3,261,310 1.273,000,000 Export Development Canada floating rate 15-Nov-2021 2,999,100 1.163,500,000 Federal National Mortgage Association 5.375% 07-Jun-2021 3,657,955 1.42

3,000,000International Bank for Reconstruction & Development floating rate 04-Oct-2023 3,002,100 1.16

4,000,000 Japan Bank for International Cooperation 2.625% 15-Dec-2020 4,041,560 1.572,500,000 Province of Alberta Canada 1.000% 15-Nov-2021 2,522,075 0.983,500,000 SNCF Reseau 5.500% 01-Dec-2021 3,752,070 1.463,674,000 Tennessee Valley Authority 5.350% 07-Jun-2021 3,837,548 1.49


5,000,000 United Kingdom Treasury Bill 0.000% 27-Jul-2020 4,999,829 1.944,000,000 United Kingdom Treasury Bill 0.000% 14-Sep-2020 3,999,675 1.555,000,000 United Kingdom Treasury Bill 0.000% 09-Nov-2020 4,999,288 1.94

Total value of investment in securities (2019: 98.61%, GBP 252,584,602) 255,807,364 99.23





Transferable securities and money market instruments admitted to an official stock exchange 88.70Transferable securities and money market instruments traded on another regulated market 1.54Other transferable securities 7.56

97.80



87

Payden US Core Bond Fund As at 30 June 2020


Asset-backed and Mortgage-backed securities 5,293,581 9.76250,000 Apidos CLO XXI floating rate 18-Jul-2027 242,548 0.45250,000 Atrium XII floating rate 22-Apr-2027 230,161 0.42250,000 Cedar Funding II CLO Ltd floating rate 09-Jun-2030 240,603 0.44300,000 CIFC Funding 2017-III Ltd A1 floating rate 20-Jul-2030 295,700 0.55220,000 CLNC 2019-FL1 Ltd floating rate 20-Aug-2035 212,756 0.39

101,817Connecticut Avenue Securities Trust 2019-HRP1 M2 floating rate 25-Nov-2039 93,933 0.17

259,277 Fannie Mae Grantor Trust 2017-T1 2.898% 25-Jun-2027 286,644 0.53150,000 Fannie Mae-Aces floating rate 25-Sep-2030 180,688 0.33

280,000Freddie Mac Multifamily Structured Pass Through Certificates 2.454% 25-Aug-2023 294,271 0.54

260,000Freddie Mac Multifamily Structured Pass Through Certificates floating rate 25-Aug-2024 282,577 0.52

550,000Freddie Mac Multifamily Structured Pass Through Certificates floating rate 25-Feb-2025 608,565 1.12

143,189 Freddie Mac STACR 2019-HQA3 M2 floating rate 25-Sep-2049 139,376 0.26160,000 Freddie Mac STACR Remic Trust 2020-DNA3 floating rate 25-Jun-2050 160,000 0.30106,403 Freddie Mac STACR Trust 2019-DNA1 M2 floating rate 25-Jan-2049 105,786 0.20100,000 Freddie Mac STACR Trust 2019-FTR3 floating rate 25-Sep-2047 76,745 0.14100,000 Freddie Mac STACR Trust 2019-FTR4 floating rate 25-Nov-2047 76,356 0.14170,000 Freddie Mac STACR Trust 2019-HRP1 floating rate 25-Feb-2049 163,008 0.30

250,000Greystone Commercial Real Estate Notes 2018-HC1 Ltd AS floating rate 15-Sep-2028 240,644 0.44

255,401 Invitation Homes 2017-SFR2 Trust floating rate 17-Dec-2036 252,963 0.4781,980 New Residential Mortgage Loan Trust 2017-2 floating rate 25-Mar-2057 88,729 0.16

132,098 New Residential Mortgage Loan Trust 2017-4 floating rate 25-May-2057 142,781 0.26120,000 STACR Trust 2018-HRP2 floating rate 25-Feb-2047 112,397 0.21229,026 Starwood Waypoint Homes 2017-1 Trust floating rate 17-Jan-2035 228,397 0.42

19,615Structured Asset Mortgage Investments II Trust 2003-AR4 floating rate 19-Jan-2034 18,770 0.04

270,000 STWD 2019-FL1 Ltd floating rate 15-Jul-2038 264,783 0.49147,750 Taco Bell Funding LLC 4.318% 25-Nov-2048 151,079 0.2899,000 Wingstop Funding 2018-1 LLC 4.970% 05-Dec-2048 103,321 0.19

Corporate bonds 22,081,255 40.72160,000 AbbVie Inc 2.600% 21-Nov-2024 169,962 0.31115,000 AbbVie Inc 4.050% 21-Nov-2039 134,672 0.25200,000 Adani Electricity Mumbai Ltd 3.949% 12-Feb-2030 186,932 0.34200,000 Alcoa Nederland Holding BV 6.750% 30-Sep-2024 204,873 0.38200,000 Alibaba Group Holding Ltd 3.400% 06-Dec-2027 222,334 0.4185,000 Alliant Energy Finance LLC 3.750% 15-Jun-2023 91,253 0.1750,319 American Airlines 2016-1 A Pass Through Trust 4.100% 15-Jan-2028 42,861 0.08

187,075 American Airlines 2019-1 AA Pass Through Trust 3.150% 15-Feb-2032 173,060 0.32120,000 American Equity Investment Life Holding Co 5.000% 15-Jun-2027 130,473 0.24125,000 American University 3.672% 01-Apr-2049 137,940 0.25140,000 Amgen Inc 3.375% 21-Feb-2050 156,862 0.2950,000 Anheuser-Busch InBev Worldwide Inc 8.200% 15-Jan-2039 78,983 0.1590,000 Appalachian Power Co 6.700% 15-Aug-2037 124,961 0.2380,000 Apple Inc 1.650% 11-May-2030 81,953 0.15

120,000 Applied Materials Inc 1.750% 01-Jun-2030 122,916 0.23185,000 Ares Capital Corp 3.625% 19-Jan-2022 188,185 0.35200,000 ASB Bank Ltd 3.750% 14-Jun-2023 216,117 0.40205,000 AT&T Inc 4.350% 01-Mar-2029 239,193 0.44120,000 AT&T Inc 6.400% 15-May-2038 158,577 0.29200,000 Banco Internacional del Peru SAA Interbank 3.250% 04-Oct-2026 202,220 0.37124,000 Bank of America Corp floating rate 20-Dec-2023 130,313 0.24305,000 Bank of America Corp floating rate 29-Apr-2031 323,436 0.60135,000 Bank of Montreal floating rate 05-Oct-2028 144,253 0.27160,000 Bank of Nova Scotia 1.300% 11-Jun-2025 161,187 0.30200,000 Bayer US Finance II LLC 3.875% 15-Dec-2023 219,550 0.4090,000 Blue Cross & Blue Shield of Minnesota 3.790% 01-May-2025 99,007 0.18



88

Payden US Core Bond Fund (continued) As at 30 June 2020


Corporate bonds (continued) 135,000 Bristol-Myers Squibb Co 4.125% 15-Jun-2039 172,344 0.32201,000 Broadcom Inc 4.110% 15-Sep-2028 219,368 0.40140,000 Canadian Imperial Bank of Commerce 3.100% 02-Apr-2024 150,249 0.28145,000 Cardinal Health Inc 2.616% 15-Jun-2022 149,706 0.28150,000 CDW LLC/CDW Finance Corp 5.500% 01-Dec-2024 163,484 0.3085,000 Chevron Corp 2.236% 11-May-2030 89,133 0.16

155,000 Cigna Corp 3.050% 30-Nov-2022 163,242 0.30190,000 Cigna Corp 4.125% 15-Nov-2025 218,514 0.4050,000 Cigna Corp 4.800% 15-Aug-2038 63,475 0.12

140,000 Cigna Corp floating rate 17-Sep-2021 140,007 0.26205,000 Citigroup Inc floating rate 24-Apr-2025 221,618 0.41230,000 Citigroup Inc floating rate 03-Jun-2031 238,192 0.44110,000 Coca-Cola Co 2.500% 01-Jun-2040 114,009 0.21

70,000Colorado Interstate Gas Co LLC/Colorado Interstate Issuing Corp 4.150% 15-Aug-2026 78,167 0.14

195,000 Comcast Corp 1.950% 15-Jan-2031 197,672 0.36105,000 Consolidated Edison Co of New York Inc 3.950% 01-Apr-2050 126,975 0.23110,000 Costco Wholesale Corp 1.600% 20-Apr-2030 111,326 0.21150,000 Covanta Holding Corp 5.875% 01-Mar-2024 151,859 0.28250,000 Credit Agricole SA floating rate 16-Jun-2026 253,948 0.47250,000 Credit Suisse Group AG 3.574% 09-Jan-2023 259,463 0.48160,000 DH Europe Finance II Sarl 3.250% 15-Nov-2039 177,005 0.33120,000 Dignity Health 3.125% 01-Nov-2022 124,172 0.2370,000 Dignity Health 4.500% 01-Nov-2042 72,745 0.13

110,000 Diversified Healthcare Trust 4.750% 01-May-2024 99,206 0.18200,000 Dollar Tree Inc 3.700% 15-May-2023 214,431 0.40100,000 Dominion Energy Inc 4.104% 01-Apr-2021 102,268 0.19125,000 Duke Energy Corp 4.200% 15-Jun-2049 153,859 0.28100,000 Emory University 2.969% 01-Sep-2050 107,684 0.20150,000 Encompass Health Corp 5.125% 15-Mar-2023 151,297 0.28

100,000Energy Transfer Partners LP/Regency Energy Finance Corp 5.000% 01-Oct-2022 106,530 0.20

65,000 EQM Midstream Partners LP 4.750% 15-Jul-2023 65,551 0.1260,000 Equifax Inc 3.100% 15-May-2030 64,136 0.12

115,000 Equinix Inc 1.250% 15-Jul-2025 115,546 0.21110,000 Exxon Mobil Corp 2.992% 19-Mar-2025 119,566 0.22200,000 Federation des Caisses Desjardins du Quebec 2.050% 10-Feb-2025 205,951 0.38150,000 Ford Foundation 2.415% 01-Jun-2050 154,544 0.28200,000 Ford Motor Credit Co LLC 3.200% 15-Jan-2021 197,500 0.3641,000 Fortis Inc 3.055% 04-Oct-2026 44,299 0.08

140,000 GATX Corp 4.350% 15-Feb-2024 152,711 0.28150,000 General Electric Co 6.750% 15-Mar-2032 182,637 0.3475,000 Goldman Sachs Group Inc 3.500% 01-Apr-2025 82,327 0.15

110,000 Goldman Sachs Group Inc 6.750% 01-Oct-2037 160,329 0.30150,000 Goodyear Tire & Rubber Co 5.125% 15-Nov-2023 143,953 0.2755,000 Home Depot Inc 2.700% 15-Apr-2030 60,523 0.1140,000 Honeywell International Inc 1.950% 01-Jun-2030 41,859 0.08

215,000 HSBC Holdings PLC floating rate 04-Jun-2031 220,028 0.41200,000 Indonesia Asahan Aluminium Persero PT 4.750% 15-May-2025 214,227 0.39105,000 Intercontinental Exchange Inc 2.100% 15-Jun-2030 106,978 0.20115,000 Interstate Power & Light Co 3.500% 30-Sep-2049 126,033 0.23150,000 Iron Mountain Inc 5.750% 15-Aug-2024 151,907 0.28210,000 JPMorgan Chase & Co floating rate 05-Dec-2024 231,510 0.43120,000 Kellogg Co 2.100% 01-Jun-2030 121,818 0.2260,000 Kinder Morgan Inc 5.300% 01-Dec-2034 69,871 0.13

220,000 Leland Stanford Junior University 2.413% 01-Jun-2050 227,105 0.42150,000 Level 3 Financing Inc 5.125% 01-May-2023 150,391 0.28130,000 Lincoln National Corp 7.000% 15-Jun-2040 186,149 0.34200,000 Low Income Investment Fund 3.711% 01-Jul-2029 209,429 0.39200,000 Lukoil Securities BV 3.875% 06-May-2030 208,750 0.38145,000 Macquarie Group Ltd floating rate 28-Nov-2028 157,258 0.29



89



Corporate bonds (continued) 110,000 Manulife Financial Corp floating rate 24-Feb-2032 116,741 0.2285,000 Merck & Co Inc 1.450% 24-Jun-2030 85,021 0.1680,000 Merck & Co Inc 2.350% 24-Jun-2040 81,597 0.15

140,000 Morgan Stanley floating rate 24-Apr-2024 150,787 0.28150,000 MPT Operating Partnership LP/MPT Finance Corp 5.500% 01-May-2024 152,485 0.28250,000 National Securities Clearing Corp 1.500% 23-Apr-2025 255,866 0.47200,000 Nationwide Building Society floating rate 08-Mar-2029 227,029 0.42216,000 Nationwide Financial Services Inc 5.300% 18-Nov-2044 253,172 0.4745,000 Nationwide Mutual Insurance Co 9.375% 15-Aug-2039 72,524 0.13

150,000 New York Life Insurance Co 6.750% 15-Nov-2039 228,536 0.42115,000 NIKE Inc 3.375% 27-Mar-2050 133,319 0.2575,000 NiSource Inc 3.650% 15-Jun-2023 81,076 0.15

130,000 Northwell Healthcare Inc 4.260% 01-Nov-2047 142,660 0.2620,000 Northwell Healthcare Inc 6.150% 01-Nov-2043 27,028 0.05

115,000 Occidental Petroleum Corp 3.200% 15-Aug-2026 93,941 0.17115,000 Ohio National Life Insurance Co 6.875% 15-Jun-2042 112,161 0.21125,000 ONEOK Partners LP 6.650% 01-Oct-2036 141,154 0.2650,000 Oracle Corp 2.500% 01-Apr-2025 53,610 0.10

125,000 Orange SA 9.000% 01-Mar-2031 204,096 0.38125,000 Otis Worldwide Corp 2.293% 05-Apr-2027 130,735 0.24115,000 Owl Rock Capital Corp 3.750% 22-Jul-2025 112,503 0.21155,000 Pacific Gas & Electric Co 1.750% 16-Jun-2022 155,635 0.2950,000 Pacific Life Insurance Co 9.250% 15-Jun-2039 82,500 0.1575,000 PayPal Holdings Inc 2.300% 01-Jun-2030 78,503 0.1490,000 Penske Truck Leasing Co LP/PTL Finance Corp 3.375% 01-Feb-2022 92,363 0.17

200,000 Pertamina Persero PT 3.100% 25-Aug-2030 202,454 0.37140,000 Petroleos Mexicanos 5.950% 28-Jan-2031 115,704 0.21120,000 Petroleos Mexicanos 6.490% 23-Jan-2027 109,667 0.20200,000 Prosus NV 3.680% 21-Jan-2030 209,916 0.39105,000 Protective Life Corp 4.300% 30-Sep-2028 114,129 0.21100,000 Sabine Pass Liquefaction LLC 5.750% 15-May-2024 112,671 0.21130,000 Sabine Pass Liquefaction LLC 6.250% 15-Mar-2022 138,595 0.26100,000 Santander Holdings USA Inc 3.244% 05-Oct-2026 104,036 0.19150,000 SBA Communications Corp 4.000% 01-Oct-2022 151,840 0.28144,000 Schlumberger Holdings Corp 4.000% 21-Dec-2025 158,470 0.2990,000 Shire Acquisitions Investments Ireland DAC 2.400% 23-Sep-2021 91,774 0.1749,000 SM Energy Co 10.000% 15-Jan-2025 46,642 0.09

200,000 SMBC Aviation Capital Finance DAC 2.650% 15-Jul-2021 200,917 0.37110,000 Stryker Corp 1.150% 15-Jun-2025 110,699 0.20200,000 Swedbank AB 1.300% 02-Jun-2023 202,548 0.37250,000 Synchrony Bank 3.000% 15-Jun-2022 255,379 0.47200,000 Takeda Pharmaceutical Co Ltd 2.050% 31-Mar-2030 200,330 0.37200,000 Takeda Pharmaceutical Co Ltd 4.400% 26-Nov-2023 222,527 0.4155,000 Target Corp 2.650% 15-Sep-2030 60,570 0.11

111,000 Teachers Insurance & Annuity Association of America 6.850% 16-Dec-2039 167,295 0.31200,000 Tencent Holdings Ltd 3.240% 03-Jun-2050 201,066 0.3728,000 Teva Pharmaceutical Finance Netherlands III BV 2.200% 21-Jul-2021 27,494 0.0595,000 Teva Pharmaceutical Finance Netherlands III BV 3.150% 01-Oct-2026 85,180 0.1640,000 TJX Cos Inc 3.500% 15-Apr-2025 44,575 0.0860,000 TJX Cos Inc 3.875% 15-Apr-2030 70,654 0.13

210,000 Toledo Hospital 6.015% 15-Nov-2048 237,018 0.44140,000 Toronto-Dominion Bank 2.650% 12-Jun-2024 149,896 0.28165,000 Toyota Motor Credit Corp 1.350% 25-Aug-2023 168,207 0.31120,000 Transatlantic Holdings Inc 8.000% 30-Nov-2039 185,208 0.34150,000 United Airlines Holdings Inc 4.250% 01-Oct-2022 127,735 0.24140,000 UnitedHealth Group Inc 3.875% 15-Aug-2059 171,888 0.3290,000 Upjohn Inc 1.650% 22-Jun-2025 91,874 0.17

160,000 US Bancorp 2.400% 30-Jul-2024 170,506 0.31105,000 Vodafone Group PLC 5.250% 30-May-2048 137,348 0.25240,000 Volkswagen Group of America Finance LLC 4.250% 13-Nov-2023 262,925 0.48150,000 Walmart Inc 3.050% 08-Jul-2026 169,538 0.31



90



Corporate bonds (continued) 85,000 Walt Disney Co 2.750% 01-Sep-2049 82,757 0.1540,000 Walt Disney Co 9.500% 15-Jul-2024 51,938 0.1065,000 WEA Finance LLC 4.125% 20-Sep-2028 66,034 0.12

250,000 Wells Fargo & Co floating rate 02-Jun-2028 258,550 0.48165,000 Wells Fargo & Co floating rate 30-Apr-2041 172,752 0.32

Government/Agency/Government-related bonds 15,803,612 29.15200,000 Abu Dhabi Government International Bond 2.500% 11-Oct-2022 206,974 0.38320,000 California Health Facilities Financing Authority 2.484% 01-Jun-2027 331,974 0.61145,000 City of Portland OR 7.701% 01-Jun-2022 157,682 0.29150,000 Compton Community College District 3.533% 01-Aug-2039 159,678 0.30300,000 CPPIB Capital Inc 1.950% 30-Sep-2029 232,059 0.43115,000 Dominican Republic International Bond 6.600% 28-Jan-2024 120,998 0.22210,000 Export-Import Bank of India 3.250% 15-Jan-2030 208,193 0.38200,000 Municipal Finance Authority of British Columbia 2.550% 09-Oct-2029 161,959 0.30290,000 New York State Thruway Authority 2.500% 01-Jan-2027 297,670 0.55200,000 Panama Government International Bond 4.500% 01-Apr-2056 246,202 0.45125,000 Pennsylvania State University 2.840% 01-Sep-2050 130,788 0.24200,000 Peruvian Government International Bond 2.783% 23-Jan-2031 213,700 0.40170,000 Serbia International Bond 3.125% 15-May-2027 200,593 0.37190,000 State of California 3.375% 01-Apr-2025 212,939 0.39145,000 State of California 7.550% 01-Apr-2039 258,838 0.48100,000 Tennessee Valley Authority 2.875% 15-Sep-2024 110,340 0.20579,600 United States Treasury Inflation Indexed Bonds 0.125% 15-Oct-2024 607,156 1.12502,000 United States Treasury Note/Bond 0.125% 15-May-2023 501,333 0.93

1,039,000 United States Treasury Note/Bond 0.625% 15-May-2030 1,036,281 1.91605,000 United States Treasury Note/Bond 2.375% 15-Nov-2049 747,482 1.38887,000 United States Treasury Note/Bond 2.500% 15-Jan-2022 918,703 1.70

2,030,000 United States Treasury Note/Bond 2.750% 30-Sep-2020 2,043,011 3.773,295,000 United States Treasury Note/Bond 2.875% 30-Nov-2025 3,743,429 6.901,970,000 United States Treasury Note/Bond 3.000% 15-Feb-2049 2,720,639 5.02

155,000 Uruguay Government International Bond 7.875% 15-Jan-2033 234,991 0.43

Mortgage related securities 13,439,817 24.79140,000 Fannie Mae Pool 2.500% 01-Jul-2035 146,584 0.27370,000 Fannie Mae Pool 2.500% 01-Jul-2050 385,754 0.71750,000 Fannie Mae Pool 2.500% 01-Aug-2050 780,718 1.44930,000 Fannie Mae Pool 3.000% 01-Jul-2050 979,552 1.81580,000 Fannie Mae Pool 3.000% 01-Aug-2050 609,871 1.13417,236 Fannie Mae Pool UMBS 2.500% 01-Oct-2031 444,811 0.82250,929 Fannie Mae Pool UMBS 2.500% 01-Feb-2032 267,557 0.49101,673 Fannie Mae Pool UMBS 3.000% 01-Jun-2027 107,540 0.20184,137 Fannie Mae Pool UMBS 3.000% 01-Jul-2027 194,764 0.36201,229 Fannie Mae Pool UMBS 3.000% 01-Oct-2032 211,636 0.39248,315 Fannie Mae Pool UMBS 3.000% 01-May-2045 264,158 0.49278,667 Fannie Mae Pool UMBS 3.000% 01-Nov-2046 296,176 0.55417,983 Fannie Mae Pool UMBS 3.000% 01-Jun-2050 440,925 0.8166,334 Fannie Mae Pool UMBS 3.500% 01-Sep-2042 71,817 0.13

151,958 Fannie Mae Pool UMBS 3.500% 01-May-2045 162,845 0.30323,028 Fannie Mae Pool UMBS 3.500% 01-Dec-2045 349,512 0.64275,543 Fannie Mae Pool UMBS 3.500% 01-May-2046 293,340 0.54310,431 Fannie Mae Pool UMBS 3.500% 01-Aug-2046 333,978 0.62221,720 Fannie Mae Pool UMBS 3.500% 01-Feb-2047 234,798 0.43198,634 Fannie Mae Pool UMBS 3.500% 01-Apr-2047 210,742 0.39221,821 Fannie Mae Pool UMBS 3.500% 01-Jun-2047 241,156 0.45403,414 Fannie Mae Pool UMBS 3.500% 01-Jan-2048 425,763 0.79238,450 Fannie Mae Pool UMBS 3.500% 01-May-2048 251,381 0.46130,677 Fannie Mae Pool UMBS 4.000% 01-Jan-2041 143,512 0.2769,034 Fannie Mae Pool UMBS 4.000% 01-Dec-2041 75,809 0.14

322,657 Fannie Mae Pool UMBS 4.000% 01-Dec-2044 350,725 0.65227,052 Fannie Mae Pool UMBS 4.000% 01-Aug-2047 241,784 0.45103,487 Fannie Mae Pool UMBS 4.000% 01-Jun-2048 109,859 0.20



91



Mortgage related securities (continued) 134,103 Fannie Mae Pool UMBS 4.000% 01-Aug-2048 142,224 0.2658,382 Fannie Mae Pool UMBS 5.000% 01-Jun-2033 66,766 0.1274,980 Fannie Mae Pool UMBS 5.000% 01-Nov-2033 86,076 0.1678,473 Fannie Mae Pool UMBS 5.000% 01-Jul-2035 90,081 0.1756,253 Fannie Mae Pool UMBS 5.500% 01-Apr-2034 64,549 0.1236,607 Fannie Mae Pool UMBS 5.500% 01-May-2034 42,018 0.08

101,048 Fannie Mae Pool UMBS 5.500% 01-Apr-2036 116,193 0.2170,640 Fannie Mae Pool UMBS AS8592 2.500% 01-Jan-2032 75,145 0.14

187,034 Fannie Mae Pool UMBS MA2868 2.500% 01-Jan-2032 196,411 0.36155,167 Freddie Mac Gold Pool 3.000% 01-Nov-2042 166,419 0.3171,873 Freddie Mac Gold Pool 3.000% 01-Apr-2043 77,092 0.14

280,000 Ginnie Mae 2.500% 01-Aug-2050 294,186 0.54190,000 Ginnie Mae 3.000% 01-Aug-2050 200,925 0.3730,000 Ginnie Mae 3.500% 01-Aug-2050 31,654 0.06

153,163 Ginnie Mae I Pool 3.000% 15-Feb-2043 162,820 0.3036,731 Ginnie Mae I Pool 3.500% 15-Jul-2042 39,149 0.0728,412 Ginnie Mae I Pool 4.500% 15-Aug-2046 31,697 0.06

462,409 Ginnie Mae II Pool 3.000% 20-Jul-2046 492,276 0.91285,367 Ginnie Mae II Pool 3.000% 20-Jan-2050 302,966 0.56410,000 Ginnie Mae II Pool 3.000% 01-Jul-2050 434,424 0.80262,655 Ginnie Mae II Pool 3.500% 20-Dec-2041 287,672 0.53246,947 Ginnie Mae II Pool 3.500% 20-May-2046 264,724 0.49134,187 Ginnie Mae II Pool 3.500% 20-Jun-2047 143,096 0.26260,000 Ginnie Mae II Pool 3.500% 01-Jul-2050 274,371 0.51178,489 Ginnie Mae II Pool 4.000% 20-Nov-2040 196,861 0.3656,028 Ginnie Mae II Pool 4.000% 20-Oct-2044 61,071 0.11

174,584 Ginnie Mae II Pool 4.000% 20-Jan-2045 190,212 0.3574,726 Ginnie Mae II Pool 4.500% 20-Jul-2041 83,579 0.1550,617 Ginnie Mae II Pool 4.500% 20-Aug-2041 55,627 0.10

129,627 Ginnie Mae II Pool 4.500% 20-Sep-2041 142,466 0.26


1,460,000 United States Treasury Bill 0.000% 30-Jul-2020 1,459,859 2.69





4US Treasury Note 5 Year (CBT) Future Exp 30-Sep-2020 501,469 Goldman Sachs 1,500 0.00

1US Ultra Bond (CBT) Future Exp 21-Sep-2020 216,094 Goldman Sachs 2,062 0.00





92




(24)US Ultra Bond 10 Year (CBT) Future Exp 21-Sep-2020 (3,756,188) Goldman Sachs (23,437) (0.04)



Net current liabilities (3,844,956) (7.10)



Unrealised gain on forward foreign currency contracts Unrealised

Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden US Core Bond FundCitibank PLN 436,000 USD (104,822) 28-Jul-2020 5,410HSBC Securities USD 400,183 CAD (543,000) 23-Sep-2020 1,439Citibank USD 205,384 EUR (182,000) 23-Sep-2020 586

7,435


Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDPayden US Core Bond FundCitibank USD 104,314 PLN (436,000) 28-Jul-2020 (5,918)

(5,918)


Transferable securities and money market instruments admitted to an official stock exchange 38.22Transferable securities and money market instruments traded on another regulated market 51.48Financial derivative instruments dealt in on a regulated market (0.02)OTC financial derivative instruments 0.00*Other transferable securities 6.86

96.54

* A zero balance may reflect actual rounding to less than 0.005.



93

Payden US Dollar Liquidity Fund As at 30 June 2020


Asset-backed and Mortgage-backed securities 50,969,331 20.86520,000 BDS 2020-FL5 Ltd floating rate 16-Feb-2037 507,591 0.21900,000 BMW Floorplan Master Owner Trust floating rate 15-May-2023 895,818 0.37

1,510,000 BXMT 2020-FL2 Ltd floating rate 16-Feb-2037 1,474,953 0.60872,159 Connecticut Avenue Securities Trust 2019-R01 floating rate 25-Jul-2031 858,617 0.35756,161 Connecticut Avenue Securities Trust 2019-R02 floating rate 25-Aug-2031 751,164 0.31810,929 Connecticut Avenue Securities Trust 2019-R03 floating rate 25-Sep-2031 807,702 0.33149,996 Connecticut Avenue Securities Trust 2019-R06 floating rate 25-Sep-2039 149,846 0.06314,227 Connecticut Avenue Securities Trust 2019-R07 floating rate 25-Oct-2039 314,485 0.13

2,679,226 Connecticut Avenue Securities Trust 2020-R01 floating rate 25-Jan-2040 2,674,857 1.09416,573 Connecticut Avenue Securities Trust 2020-R02 floating rate 25-Jan-2040 413,916 0.17

7,740,000 Dell Equipment Finance Trust 2018-2 3.370% 22-Oct-2023 7,847,878 3.2110,269 Fannie Mae Connecticut Avenue Securities 1M1 floating rate 25-Oct-2029 10,268 0.00

7,500,000 Ford Credit Floorplan Master Owner Trust A 3.520% 15-Oct-2023 7,735,471 3.17130,167 Freddie Mac STACR Remic Trust 2020-DNA1 floating rate 25-Jan-2050 130,112 0.05804,515 Freddie Mac STACR Remic Trust 2020-DNA2 floating rate 25-Feb-2050 800,127 0.33771,047 Freddie Mac STACR Remic Trust 2020-HQA1 floating rate 25-Jan-2050 771,007 0.31

1,630,859 Freddie Mac STACR Remic Trust 2020-HQA2 floating rate 25-Mar-2050 1,629,191 0.67142,681 Freddie Mac STACR Trust 2018-HQA2 floating rate 25-Oct-2048 142,518 0.06732,807 Freddie Mac STACR Trust 2019-DNA3 floating rate 25-Jul-2049 722,636 0.30390,000 Freddie Mac STACR Trust 2019-HRP1 floating rate 25-Feb-2049 373,960 0.15

15,104Freddie Mac Structured Agency Credit Risk Debt Notes M1 floating rate 25-Jul-2029 15,108 0.01

39,241Freddie Mac Structured Agency Credit Risk Debt Notes M1 floating rate 25-Mar-2030 39,276 0.02

801,501Freddie Mac Structured Agency Credit Risk Debt Notes M2 floating rate 25-Sep-2030 797,095 0.33

45,228 Gosforth Funding 2017-1 PLC floating rate 19-Dec-2059 44,943 0.02255,591 Gosforth Funding 2018-1 PLC floating rate 25-Aug-2060 248,566 0.10

491,129GreatAmerica Leasing Receivables Funding LLC Series 2018-1 2.600% 15-Jun-2021 493,213 0.20

520,048 Invitation Homes 2018-SFR3 Trust floating rate 17-Jul-2037 517,872 0.2154,000 Lanark Master Issuer PLC floating rate 22-Dec-2069 53,923 0.0215,625 Motor 2017-1 PLC floating rate 25-Sep-2024 15,652 0.01

131,095 NCUA Guaranteed Notes Trust 2010-R2 floating rate 05-Nov-2020 131,116 0.055,449,270 Nissan Auto Lease Trust 2018-A 3.250% 15-Sep-2021 5,489,893 2.25

850,000 Permanent Master Issuer PLC floating rate 15-Jul-2058 850,105 0.35690,000 PFP 2019-6 Ltd floating rate 14-Apr-2037 668,886 0.27850,000 PFS Financing Corp floating rate 15-Jul-2022 849,475 0.35

1,330,000 Springleaf Funding Trust 2017-A 2.680% 15-Jul-2030 1,329,370 0.54657,655 STACR Trust 2018-DNA2 floating rate 25-Dec-2030 656,399 0.27598,180 STACR Trust 2018-HRP1 floating rate 25-Apr-2043 592,925 0.24

1,280,000 STACR Trust 2018-HRP2 floating rate 25-Feb-2047 1,198,896 0.49770,000 STWD 2019-FL1 Ltd floating rate 15-Jul-2038 755,123 0.31474,539 Verizon Owner Trust 2017-2 1.920% 20-Dec-2021 474,990 0.19

1,772,626 Verizon Owner Trust 2017-3 2.060% 20-Apr-2022 1,780,727 0.732,000,000 Westlake Automobile Receivables Trust 2017-2 3.280% 15-Dec-2022 2,020,462 0.832,895,000 Westlake Automobile Receivables Trust 2018-1 3.410% 15-May-2023 2,933,199 1.20

Certificates of Deposit 3,371,376 1.38930,000 Barclays Bank PLC floating rate 15-Oct-2020 931,290 0.38

2,440,000 Oversea-Chinese Banking Corp Ltd floating rate 21-Aug-2020 2,440,086 1.00

Corporate bonds 110,007,512 45.01435,000 AbbVie Inc floating rate 19-Nov-2021 434,852 0.18200,000 ABN AMRO Bank NV floating rate 19-Jan-2021 200,650 0.08

1,075,000 AIG Global Funding 3.350% 25-Jun-2021 1,105,491 0.451,238,000 Amazon.com Inc 3.300% 05-Dec-2021 1,286,050 0.531,200,000 American Express Co 3.375% 17-May-2021 1,228,046 0.50

440,000 American Express Co floating rate 20-May-2022 440,853 0.181,525,000 American Honda Finance Corp floating rate 10-May-2023 1,513,436 0.62

465,000 Ameriprise Financial Inc 3.000% 22-Mar-2022 484,122 0.201,160,000 Amgen Inc 3.875% 15-Nov-2021 1,203,589 0.49



94

Payden US Dollar Liquidity Fund (continued) As at 30 June 2020


Corporate bonds (continued) 465,000 ANZ New Zealand Int'l Ltd 2.125% 28-Jul-2021 473,438 0.19435,000 ANZ New Zealand Int'l Ltd 2.875% 25-Jan-2022 449,641 0.18

1,105,000 Apple Inc 2.850% 06-May-2021 1,129,183 0.4690,000 AstraZeneca PLC floating rate 10-Jun-2022 90,426 0.04

500,000 AT&T Inc floating rate 01-Jun-2021 502,578 0.21750,000 Australia & New Zealand Banking Group Ltd 2.250% 09-Nov-2020 755,303 0.31200,000 Aviation Capital Group LLC floating rate 30-Jul-2021 188,619 0.0860,000 Bank of America Corp floating rate 21-Jul-2021 60,014 0.02

1,100,000 Bank of America Corp floating rate 01-Oct-2021 1,100,906 0.45115,000 Bank of America Corp floating rate 23-Jan-2022 114,712 0.05

1,200,000 Bank of America Corp floating rate 23-Jan-2022 1,213,515 0.50320,000 Bank of America Corp floating rate 25-Jun-2022 320,251 0.1390,000 Bank of Montreal floating rate 27-Aug-2021 90,676 0.04

1,600,000 Bank of New York Mellon Corp 2.450% 27-Nov-2020 1,611,000 0.66600,000 Banque Federative du Credit Mutuel SA floating rate 20-Jul-2020 600,366 0.25510,000 Barclays Bank PLC 1.700% 12-May-2022 519,296 0.21

1,200,000 Barclays PLC 3.200% 10-Aug-2021 1,227,691 0.50500,000 BAT Capital Corp floating rate 14-Aug-2020 500,048 0.20112,000 Becton Dickinson and Co floating rate 29-Dec-2020 112,009 0.0550,000 Becton Dickinson and Co floating rate 06-Jun-2022 50,140 0.02

130,000 BMW US Capital LLC 3.250% 14-Aug-2020 130,436 0.05315,000 BMW US Capital LLC floating rate 13-Aug-2021 313,421 0.13800,000 BNZ International Funding Ltd 2.900% 21-Feb-2022 828,832 0.34305,000 BOC Aviation Ltd floating rate 02-May-2021 302,415 0.12155,000 BP Capital Markets PLC floating rate 16-Sep-2021 155,672 0.06

1,200,000 BPCE SA 2.650% 03-Feb-2021 1,217,040 0.501,000,000 Bristol-Myers Squibb Co 2.250% 15-Aug-2021 1,019,200 0.42

570,000 Canadian Imperial Bank of Commerce floating rate 17-Mar-2023 566,475 0.23115,000 Capital One Financial Corp floating rate 09-Mar-2022 114,871 0.05210,000 Caterpillar Financial Services Corp 2.650% 17-May-2021 214,205 0.09

1,140,000 Caterpillar Financial Services Corp floating rate 12-Nov-2021 1,139,879 0.471,215,000 Caterpillar Financial Services Corp floating rate 13-May-2022 1,225,692 0.50

200,000 Central Nippon Expressway Co Ltd floating rate 23-Apr-2021 200,927 0.08725,000 Chevron Corp floating rate 11-May-2023 735,304 0.30185,000 Cigna Corp 3.200% 17-Sep-2020 186,042 0.08235,000 Cigna Corp floating rate 17-Sep-2021 235,011 0.10750,000 Citigroup Inc 2.350% 02-Aug-2021 764,592 0.31300,000 Citigroup Inc floating rate 30-Mar-2021 302,772 0.1235,000 Citigroup Inc floating rate 25-Apr-2022 35,201 0.01

565,000 Citigroup Inc floating rate 04-Nov-2022 576,293 0.24465,000 Citizens Bank NA 2.550% 13-May-2021 472,644 0.19

1,375,000 Citizens Bank NA floating rate 26-May-2022 1,376,368 0.56550,000 CK Hutchison International 17 II Ltd 2.250% 29-Sep-2020 550,886 0.23350,000 Comcast Corp floating rate 01-Oct-2020 350,286 0.14760,000 Commonwealth Bank of Australia 2.200% 09-Nov-2020 764,354 0.31

1,350,000 Commonwealth Bank of Australia floating rate 18-Sep-2022 1,360,597 0.5690,000 Conagra Brands Inc floating rate 09-Oct-2020 90,054 0.04

370,000 Credit Agricole Corporate & Investment Bank SA floating rate 03-Oct-2021 370,472 0.151,375,000 Credit Agricole SA floating rate 10-Jan-2022 1,385,376 0.57

785,000 Credit Suisse AG 1.000% 05-May-2023 789,598 0.32665,000 Credit Suisse AG 2.100% 12-Nov-2021 679,044 0.28320,000 Credit Suisse AG 2.800% 08-Apr-2022 332,077 0.14

1,160,000 Credit Suisse AG floating rate 04-Feb-2022 1,155,074 0.471,200,000 Crown Castle International Corp 2.250% 01-Sep-2021 1,210,279 0.50

850,000 CVS Health Corp 3.350% 09-Mar-2021 866,923 0.3550,000 CVS Health Corp floating rate 09-Mar-2021 50,195 0.02

150,000 Daimler Finance North America LLC floating rate 12-Feb-2021 149,401 0.06300,000 Daimler Finance North America LLC floating rate 22-Feb-2021 298,719 0.12160,000 Deutsche Bank AG floating rate 22-Jan-2021 158,847 0.07

1,200,000 Discover Bank 3.200% 09-Aug-2021 1,226,899 0.501,095,000 Dominion Energy Gas Holdings LLC floating rate 15-Jun-2021 1,093,534 0.45

500,000 Dominion Energy Inc 2.579% 01-Jul-2020 500,000 0.20



95



Corporate bonds (continued) 110,000 Dominion Energy Inc 2.715% 15-Aug-2021 112,467 0.05515,000 Duke Energy Florida LLC floating rate 26-Nov-2021 514,855 0.21105,000 Express Scripts Holding Co floating rate 30-Nov-2020 105,009 0.04200,000 Fifth Third Bank NA floating rate 30-Oct-2020 200,123 0.08405,000 Fifth Third Bank NA floating rate 01-Feb-2022 406,850 0.17695,000 Fox Corp 3.666% 25-Jan-2022 727,803 0.3040,000 General Motors Co floating rate 07-Aug-2020 39,991 0.0230,000 General Motors Financial Co Inc floating rate 06-Nov-2020 29,882 0.01

484,000 General Motors Financial Co Inc floating rate 06-Nov-2021 479,053 0.2025,000 General Motors Financial Co Inc floating rate 14-Jan-2022 24,841 0.0138,000 General Motors Financial Co Inc floating rate 30-Jun-2022 37,246 0.02

1,500,000 Gilead Sciences Inc 2.550% 01-Sep-2020 1,505,453 0.621,200,000 GlaxoSmithKline Capital PLC 3.125% 14-May-2021 1,229,476 0.50

750,000 Goldman Sachs Group Inc 2.875% 25-Feb-2021 760,159 0.31465,000 Goldman Sachs Group Inc 5.250% 27-Jul-2021 488,356 0.20

1,000,000 Goldman Sachs Group Inc floating rate 15-Sep-2020 1,001,302 0.4175,000 Goldman Sachs Group Inc floating rate 15-Nov-2021 75,228 0.03

180,000 Hewlett Packard Enterprise Co floating rate 05-Oct-2021 179,692 0.07600,000 HSBC Holdings PLC floating rate 25-May-2021 606,743 0.25

1,211,000 Huntington Bancshares Inc 2.300% 14-Jan-2022 1,243,245 0.51265,000 Infor Inc 1.450% 15-Jul-2023 267,386 0.11490,000 ING Groep NV floating rate 29-Mar-2022 493,664 0.20

1,000,000 Jackson National Life Global Funding 3.300% 11-Jun-2021 1,027,086 0.42235,000 Jackson National Life Global Funding floating rate 11-Jun-2021 235,630 0.10

1,190,000 Jackson National Life Global Funding floating rate 06-Jan-2023 1,174,644 0.48540,000 John Deere Capital Corp 0.550% 05-Jul-2022 541,707 0.22135,000 John Deere Capital Corp floating rate 07-Jun-2021 135,388 0.06

1,200,000 JPMorgan Chase & Co 4.350% 15-Aug-2021 1,252,588 0.51180,000 JPMorgan Chase & Co 4.625% 10-May-2021 186,560 0.08315,000 JPMorgan Chase & Co floating rate 18-Jun-2022 315,546 0.1340,000 Kinder Morgan Inc floating rate 15-Jan-2023 40,006 0.02

200,000 Lloyds Bank PLC floating rate 07-May-2021 200,418 0.081,000,000 Lloyds Banking Group PLC floating rate 15-Jun-2023 1,006,208 0.41

95,000 Macquarie Group Ltd floating rate 28-Nov-2023 95,066 0.041,255,000 Marriott International Inc 3.125% 15-Oct-2021 1,258,017 0.51

100,000 Marriott International Inc floating rate 08-Mar-2021 99,049 0.04425,000 Metropolitan Life Global Funding I floating rate 07-Sep-2020 425,285 0.17150,000 Metropolitan Life Global Funding I floating rate 08-Jan-2021 150,168 0.06

1,175,000 Metropolitan Life Global Funding I floating rate 13-Jan-2023 1,167,488 0.48100,000 Mitsubishi UFJ Financial Group Inc floating rate 26-Jul-2021 100,372 0.04212,000 Mitsubishi UFJ Financial Group Inc floating rate 13-Sep-2021 213,770 0.09230,000 Mitsubishi UFJ Financial Group Inc floating rate 22-Feb-2022 231,465 0.09

1,175,000 Mitsubishi UFJ Financial Group Inc floating rate 07-Mar-2022 1,176,836 0.48700,000 Mizuho Bank Ltd 2.700% 20-Oct-2020 704,992 0.29

1,000,000 Mizuho Financial Group Inc floating rate 13-Sep-2021 1,009,245 0.411,400,000 Mizuho Securities USA LLC floating rate 16-Feb-2021 1,400,077 0.57

570,000 Mondelez International Inc 0.625% 01-Jul-2022 569,920 0.23465,000 Morgan Stanley 5.500% 28-Jul-2021 489,752 0.2040,000 Morgan Stanley floating rate 20-Jan-2022 40,167 0.02

415,000 Morgan Stanley floating rate 10-Jun-2022 415,043 0.171,205,000 Morgan Stanley floating rate 20-Jan-2023 1,202,266 0.49

335,000 MPLX LP floating rate 09-Sep-2021 332,419 0.141,955,000 National Australia Bank Ltd floating rate 13-Dec-2022 1,954,968 0.802,000,000 National Bank of Canada 2.200% 02-Nov-2020 2,008,811 0.822,750,000 New York Life Global Funding floating rate 10-Jan-2023 2,715,494 1.11

655,000 NextEra Energy Capital Holdings Inc 2.403% 01-Sep-2021 669,950 0.27305,000 NextEra Energy Capital Holdings Inc floating rate 28-Aug-2021 305,111 0.13450,000 Nissan Motor Acceptance Corp floating rate 15-Mar-2021 439,875 0.18225,000 Nissan Motor Acceptance Corp floating rate 21-Sep-2021 216,283 0.09255,000 Nordea Bank Abp 1.000% 09-Jun-2023 257,664 0.11160,000 Occidental Petroleum Corp floating rate 08-Feb-2021 157,641 0.0690,000 Occidental Petroleum Corp floating rate 13-Aug-2021 85,998 0.04



96



Corporate bonds (continued) 490,000 Otis Worldwide Corp floating rate 05-Apr-2023 484,813 0.20870,000 Pacific Gas & Electric Co 1.750% 16-Jun-2022 873,567 0.36500,000 Penske Truck Leasing Co LP/PTL Finance Corp 3.300% 01-Apr-2021 506,943 0.2140,000 Phillips 66 floating rate 26-Feb-2021 39,944 0.02

870,000 PNC Bank NA floating rate 09-Dec-2022 871,209 0.361,030,000 PNC Bank NA floating rate 24-Feb-2023 1,029,366 0.42

290,000 Protective Life Global Funding 1.082% 09-Jun-2023 292,456 0.121,000,000 Regions Bank floating rate 13-Aug-2021 1,002,109 0.41

550,000 Reliance Standard Life Global Funding II 3.050% 20-Jan-2021 555,737 0.23305,000 Royal Bank of Canada floating rate 30-Apr-2021 305,934 0.13

1,750,000 Royal Bank of Canada floating rate 17-Jan-2023 1,743,571 0.71850,000 Ryder System Inc 2.250% 01-Sep-2021 861,699 0.35715,000 Santander UK PLC 2.100% 13-Jan-2023 739,542 0.30600,000 Santander UK PLC floating rate 03-Nov-2020 600,569 0.2550,000 Sempra Energy floating rate 15-Jan-2021 50,009 0.02

105,000 Sempra Energy floating rate 15-Mar-2021 105,187 0.041,200,000 Shire Acquisitions Investments Ireland DAC 2.400% 23-Sep-2021 1,223,649 0.50

300,000 Southern Power Co floating rate 20-Dec-2020 300,021 0.12495,000 Southwest Airlines Co 4.750% 04-May-2023 508,835 0.21125,000 Starbucks Corp 1.300% 07-May-2022 126,836 0.05190,000 State Street Corp floating rate 30-Mar-2023 197,261 0.08300,000 Sumitomo Mitsui Financial Group Inc 2.934% 09-Mar-2021 305,095 0.13120,000 Sumitomo Mitsui Financial Group Inc floating rate 14-Jul-2021 120,958 0.05

1,075,000 Sumitomo Mitsui Financial Group Inc floating rate 19-Oct-2021 1,085,345 0.44750,000 Suncorp-Metway Ltd 2.375% 09-Nov-2020 754,712 0.31910,000 Toronto-Dominion Bank floating rate 27-Jan-2023 904,490 0.37

1,055,000 Toyota Motor Credit Corp floating rate 13-Aug-2021 1,053,639 0.43170,000 Truist Bank floating rate 26-Oct-2021 171,622 0.07425,000 Truist Bank floating rate 09-Mar-2023 422,672 0.17850,000 Truist Financial Corp 2.900% 03-Mar-2021 862,947 0.3565,000 Tyson Foods Inc floating rate 21-Aug-2020 65,007 0.03

790,000 UBS AG 1.750% 21-Apr-2022 805,310 0.33585,000 UBS AG 2.450% 01-Dec-2020 588,804 0.24600,000 UBS AG floating rate 01-Dec-2020 600,894 0.25

1,000,000 UBS Group AG floating rate 01-Feb-2022 1,018,631 0.42275,000 United Overseas Bank Ltd floating rate 23-Apr-2021 274,551 0.1190,000 UnitedHealth Group Inc floating rate 15-Oct-2020 90,038 0.04

520,000 Upjohn Inc 1.125% 22-Jun-2022 523,381 0.21215,000 USAA Capital Corp 2.625% 01-Jun-2021 219,515 0.0975,000 Verizon Communications Inc floating rate 16-Mar-2022 76,021 0.03

200,000 Volkswagen Group of America Finance LLC 2.500% 24-Sep-2021 203,236 0.081,210,000 Volkswagen Group of America Finance LLC 2.900% 13-May-2022 1,249,745 0.51

200,000 Volkswagen Group of America Finance LLC 3.875% 13-Nov-2020 201,909 0.08700,000 Wells Fargo & Co 2.550% 07-Dec-2020 706,560 0.29750,000 Wells Fargo & Co 3.000% 22-Jan-2021 761,126 0.3190,000 Wells Fargo & Co floating rate 04-Mar-2021 90,665 0.0430,000 Wells Fargo & Co floating rate 11-Feb-2022 30,094 0.01

350,000 Wells Fargo Bank NA floating rate 22-Oct-2021 351,126 0.14250,000 Wells Fargo Bank NA floating rate 27-May-2022 250,602 0.10420,000 Westpac Banking Corp floating rate 25-Jan-2021 420,800 0.1750,000 Westpac Banking Corp floating rate 13-May-2021 50,411 0.02

1,080,000 Westpac Banking Corp floating rate 13-Jan-2023 1,079,704 0.441,195,000 Xcel Energy Inc 2.400% 15-Mar-2021 1,208,040 0.49

Covered bonds 1,489,245 0.61470,000 Bank of Montreal 1.750% 15-Jun-2021 476,017 0.20

1,000,000 Toronto-Dominion Bank 2.250% 15-Mar-2021 1,013,228 0.41



97



Government/Agency/Government-related bonds 41,725,010 17.091,600,000 Erste Abwicklungsanstalt 1.875% 16-Jul-2021 1,625,566 0.67

600,000 EUROFIMA floating rate 15-Nov-2021 602,328 0.251,910,000 Instituto de Credito Oficial floating rate 15-Dec-2021 1,876,026 0.771,000,000 Inter-American Development Bank floating rate 15-Mar-2022 998,820 0.412,000,000 Inter-American Investment Corp 0.750% 04-May-2022 2,010,580 0.82

800,000 Inter-American Investment Corp floating rate 12-Oct-2021 803,680 0.331,270,000 Kommunalbanken AS floating rate 24-Feb-2022 1,269,173 0.52

400,000Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV floating rate 07-Sep-2021 399,578 0.16

1,240,000 OMERS Finance Trust 1.125% 14-Apr-2023 1,258,606 0.527,000,000 United States Treasury Note/Bond 1.250% 31-Mar-2021 7,056,875 2.898,500,000 United States Treasury Note/Bond 1.375% 31-Jan-2021 8,558,935 3.505,000,000 United States Treasury Note/Bond 1.750% 31-Jul-2021 5,085,742 2.08

10,000,000 United States Treasury Note/Bond 2.125% 31-May-2021 10,179,101 4.17

Short Term Investments 34,714,949 14.20Commercial paper 12,124,671 4.96

2,000,000 ABN AMRO Funding USA LLC 0.000% 26-Aug-2020 1,999,294 0.82430,000 BPCE SA 0.000% 03-Aug-2020 429,947 0.17

2,000,000 Coca-Cola Co 0.000% 09-Nov-2020 1,998,673 0.822,000,000 General Dynamics Corp 0.000% 21-Jul-2020 1,999,063 0.822,000,000 Macquarie Bank Ltd 0.000% 08-Sep-2020 1,999,152 0.821,500,000 Total Capital Canada Ltd 0.000% 03-Aug-2020 1,499,612 0.611,100,000 Walt Disney Co 0.000% 20-Jul-2020 1,099,925 0.451,100,000 Walt Disney Co 0.000% 01-Oct-2020 1,099,005 0.45

Government/Agency/Government-related bonds 22,590,278 9.242,000,000 United States Cash Management Bill 0.000% 01-Sep-2020 1,999,563 0.828,000,000 United States Cash Management Bill 0.000% 15-Sep-2020 7,997,804 3.273,000,000 United States Treasury Bill 0.000% 28-Jul-2020 2,999,724 1.234,600,000 United States Treasury Bill 0.000% 08-Oct-2020 4,598,166 1.885,000,000 United States Treasury Bill 0.000% 25-Feb-2021 4,995,021 2.04






Transferable securities and money market instruments admitted to an official stock exchange 30.58Transferable securities and money market instruments traded on another regulated market 52.99Other transferable securities 15.32

98.89



98

Payden USD Low Duration Credit FundAs at 30 June 2020


Basic Materials 1,427,280 1.40630,000 Celanese US Holdings LLC 3.500% 08-May-2024 665,374 0.6587,000 CF Industries Inc 3.400% 01-Dec-2021 88,735 0.09

660,000 DuPont de Nemours Inc 2.169% 01-May-2023 673,171 0.66

Communications 4,255,615 4.18500,000 Alibaba Group Holding Ltd 2.800% 06-Jun-2023 525,777 0.52200,000 AT&T Inc 3.200% 01-Mar-2022 208,732 0.20660,000 AT&T Inc 4.125% 17-Feb-2026 752,688 0.74780,000 Comcast Corp 3.700% 15-Apr-2024 863,741 0.85570,000 eBay Inc 1.900% 11-Mar-2025 588,850 0.58795,000 Fox Corp 4.030% 25-Jan-2024 881,797 0.87

62,500Sprint Spectrum Co LLC/Sprint Spectrum Co II LLC/Sprint Spectrum Co III LLC 3.360% 20-Sep-2021 63,433 0.06

335,000 Tencent Holdings Ltd 3.575% 11-Apr-2026 370,597 0.36

Consumer Cyclical 8,786,399 8.64107,085 American Airlines 2013-2 Class B Pass Through Trust 5.600% 15-Jul-2020 107,635 0.11486,737 American Airlines 2019-1 Class B Pass Through Trust 3.850% 15-Feb-2028 342,842 0.3482,935 Continental Airlines 2007-1 Class B Pass Through Trust 6.903% 19-Apr-2022 71,632 0.07

370,000 Costco Wholesale Corp 1.375% 20-Jun-2027 378,701 0.37850,000 Daimler Finance North America LLC 3.700% 04-May-2023 900,137 0.88500,000 Dollar Tree Inc 3.700% 15-May-2023 536,076 0.53480,000 Ford Motor Credit Co LLC 2.979% 03-Aug-2022 461,856 0.45440,000 Ford Motor Credit Co LLC 3.087% 09-Jan-2023 420,064 0.41400,000 General Motors Financial Co Inc 3.450% 14-Jan-2022 406,639 0.40520,000 General Motors Financial Co Inc 4.200% 01-Mar-2021 526,945 0.52225,000 General Motors Financial Co Inc floating rate 14-Jan-2022 223,572 0.22815,000 Las Vegas Sands Corp 3.200% 08-Aug-2024 812,652 0.80190,000 Nissan Motor Acceptance Corp floating rate 13-Jul-2020 189,952 0.19280,000 Nissan Motor Acceptance Corp floating rate 13-Jan-2022 269,187 0.26750,000 QVC Inc 4.450% 15-Feb-2025 738,975 0.73345,000 TJX Cos Inc 3.500% 15-Apr-2025 384,458 0.38400,000 Toyota Industries Corp 3.110% 12-Mar-2022 412,157 0.41675,000 Volkswagen Group of America Finance LLC 4.000% 12-Nov-2021 703,005 0.69455,000 Volkswagen Group of America Finance LLC 4.250% 13-Nov-2023 498,462 0.49400,000 ZF North America Capital Inc 4.750% 29-Apr-2025 401,452 0.39

Consumer Non-cyclical 15,639,860 15.37440,000 AbbVie Inc 2.300% 21-Nov-2022 455,339 0.45495,000 AbbVie Inc 2.600% 21-Nov-2024 525,820 0.52

1,010,000 Amgen Inc 1.900% 21-Feb-2025 1,056,018 1.04420,000 Bayer US Finance II LLC 3.875% 15-Dec-2023 461,056 0.4585,000 Block Financial LLC 4.125% 01-Oct-2020 85,318 0.08

1,205,000 Bristol-Myers Squibb Co 2.900% 26-Jul-2024 1,304,980 1.28439,000 Cigna Corp 3.750% 15-Jul-2023 476,797 0.47513,000 Cigna Corp 4.125% 15-Nov-2025 589,987 0.58500,000 Cigna Corp floating rate 17-Sep-2021 500,024 0.49370,000 Coca-Cola Co 1.450% 01-Jun-2027 381,060 0.37600,000 CVS Health Corp 3.500% 20-Jul-2022 632,327 0.62505,000 Danone SA 2.077% 02-Nov-2021 513,362 0.50320,000 DH Europe Finance II Sarl 2.200% 15-Nov-2024 336,534 0.33445,000 Equifax Inc 2.600% 15-Dec-2025 474,979 0.47500,000 HCA Inc 5.250% 15-Apr-2025 573,800 0.56465,000 Health Care Service Corp A Mutual Legal Reserve Co 1.500% 01-Jun-2025 473,053 0.46750,000 Land O' Lakes Inc 6.000% 15-Nov-2022 775,136 0.76400,000 Land O' Lakes Inc 7.000% Perpetual 361,438 0.36675,000 Merck & Co Inc 0.750% 24-Feb-2026 674,188 0.66440,000 Mondelez International Inc 2.125% 13-Apr-2023 456,022 0.4575,000 Mylan NV 3.150% 15-Jun-2021 76,575 0.08

750,000 PayPal Holdings Inc 2.200% 26-Sep-2022 776,594 0.76380,000 Shire Acquisitions Investments Ireland DAC 2.400% 23-Sep-2021 387,489 0.38700,000 Shire Acquisitions Investments Ireland DAC 2.875% 23-Sep-2023 742,312 0.73



99

Payden USD Low Duration Credit Fund (continued)As at 30 June 2020


Consumer Non-cyclical (continued) 375,000 Stryker Corp 1.150% 15-Jun-2025 377,384 0.37375,000 Teva Pharmaceutical Finance Co BV 3.650% 10-Nov-2021 373,506 0.37110,000 Teva Pharmaceutical Finance Netherlands III BV 2.200% 21-Jul-2021 108,011 0.11250,000 Teva Pharmaceutical Finance Netherlands III BV 6.000% 15-Apr-2024 257,456 0.25410,000 Teva Pharmaceutical Finance Netherlands III BV 7.125% 31-Jan-2025 437,253 0.43495,000 UnitedHealth Group Inc 1.250% 15-Jan-2026 504,523 0.50250,000 Upjohn Inc 1.125% 22-Jun-2022 251,625 0.25235,000 Upjohn Inc 1.650% 22-Jun-2025 239,894 0.24

Energy 6,851,253 6.74310,000 Chevron Corp 1.554% 11-May-2025 319,008 0.31460,000 Continental Resources Inc 4.500% 15-Apr-2023 441,154 0.43

300,000Energy Transfer Partners LP/Regency Energy Finance Corp 5.000% 01-Oct-2022 319,589 0.32

75,000 Kinder Morgan Inc floating rate 15-Jan-2023 75,011 0.07670,000 Midwest Connector Capital Co LLC 3.625% 01-Apr-2022 686,724 0.68330,000 MPLX LP 3.375% 15-Mar-2023 344,393 0.34465,000 ONEOK Inc 4.250% 01-Feb-2022 481,018 0.47500,000 ONEOK Inc 7.500% 01-Sep-2023 574,155 0.57277,000 Ovintiv Inc 3.900% 15-Nov-2021 276,369 0.27885,000 Phillips 66 Partners LP 2.450% 15-Dec-2024 912,047 0.90455,000 Plains All American Pipeline LP/PAA Finance Corp 5.000% 01-Feb-2021 459,203 0.4530,793 Ras Laffan Liquefield Natural Gas Co Ltd II 5.298% 30-Sep-2020 31,158 0.03

500,000 Schlumberger Holdings Corp 4.000% 21-Dec-2025 550,243 0.54530,000 Total Capital International SA 2.434% 10-Jan-2025 563,880 0.56760,000 Williams Cos Inc 7.875% 01-Sep-2021 817,301 0.80

Financial 46,012,524 45.23

290,000AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.125% 03-Jul-2023 283,791 0.28


505,000 Air Lease Corp 2.300% 01-Feb-2025 484,001 0.48525,000 Aircastle Ltd 5.500% 15-Feb-2022 530,140 0.52415,000 Ally Financial Inc 3.875% 21-May-2024 429,478 0.42585,000 Ameriprise Financial Inc 3.000% 22-Mar-2022 609,057 0.60450,000 ANZ New Zealand Int'l Ltd 2.125% 28-Jul-2021 458,166 0.45400,000 Ares Capital Corp 3.500% 10-Feb-2023 402,382 0.39500,000 Ares Capital Corp 3.625% 19-Jan-2022 508,608 0.50505,000 ASB Bank Ltd 3.750% 14-Jun-2023 545,696 0.54361,000 Athene Global Funding 4.000% 25-Jan-2022 373,782 0.37640,000 Avolon Holdings Funding Ltd 3.625% 01-May-2022 603,553 0.59400,000 Bank of America Corp floating rate 17-May-2022 409,785 0.40800,000 Bank of America Corp floating rate 22-Oct-2025 840,963 0.83465,000 Bank of Montreal 1.850% 01-May-2025 481,747 0.47235,000 Barclays Bank PLC 1.700% 12-May-2022 239,283 0.23280,000 Barclays PLC floating rate 07-May-2026 292,893 0.29475,000 BBVA USA 3.500% 11-Jun-2021 485,407 0.48380,000 BNP Paribas SA floating rate 09-Jun-2026 389,580 0.38275,000 BNZ International Funding Ltd 3.375% 01-Mar-2023 293,509 0.29485,000 Canadian Imperial Bank of Commerce 3.100% 02-Apr-2024 520,504 0.51500,000 Capital One Financial Corp 3.300% 30-Oct-2024 538,312 0.53525,000 CIT Bank NA floating rate 27-Sep-2025 492,106 0.48420,000 Citigroup Inc 2.900% 08-Dec-2021 432,745 0.42600,000 Citigroup Inc floating rate 24-Jan-2023 620,729 0.61560,000 Citigroup Inc floating rate 15-May-2024 571,557 0.56460,000 Citizens Bank NA 3.250% 14-Feb-2022 476,593 0.47570,000 Credit Agricole SA floating rate 16-Jun-2026 579,002 0.57510,000 Credit Suisse Group AG floating rate 14-Dec-2023 531,266 0.52700,000 Credit Suisse Group AG floating rate 05-Jun-2026 709,784 0.70310,000 Crown Castle International Corp 1.350% 15-Jul-2025 312,583 0.31290,000 Digital Realty Trust LP 3.625% 01-Oct-2022 306,286 0.30



100



Financial (continued) 750,000 Discover Bank 3.350% 06-Feb-2023 791,731 0.78450,000 Enstar Group Ltd 4.500% 10-Mar-2022 456,117 0.45455,000 Equinix Inc 1.250% 15-Jul-2025 457,161 0.45600,000 Federation des Caisses Desjardins du Quebec 2.050% 10-Feb-2025 617,852 0.61730,000 Fifth Third Bancorp 2.375% 28-Jan-2025 771,392 0.76500,000 Five Corners Funding Trust 4.419% 15-Nov-2023 557,337 0.55480,000 FS KKR Capital Corp 4.750% 15-May-2022 476,255 0.47830,000 FS KKR Capital Corp II 4.250% 14-Feb-2025 742,207 0.73385,000 GE Capital International Funding Co Unlimited Co 3.373% 15-Nov-2025 404,267 0.40200,000 Goldman Sachs Group Inc 2.625% 25-Apr-2021 203,201 0.20225,000 Goldman Sachs Group Inc 3.500% 01-Apr-2025 246,982 0.24500,000 Goldman Sachs Group Inc 3.850% 08-Jul-2024 551,581 0.54

1,100,000 Goldman Sachs Group Inc floating rate 31-Oct-2022 1,128,035 1.11365,000 Goldman Sachs Group Inc floating rate 23-Feb-2023 363,391 0.36500,000 HSBC Holdings PLC floating rate 13-Mar-2023 518,108 0.51565,000 HSBC Holdings PLC floating rate 04-Jun-2026 571,498 0.56450,000 Intercontinental Exchange Inc 4.000% 15-Oct-2023 498,170 0.49460,000 Jackson National Life Global Funding 3.300% 01-Feb-2022 478,247 0.47

1,040,000 JPMorgan Chase & Co floating rate 05-Dec-2024 1,146,525 1.13445,000 JPMorgan Chase & Co floating rate 22-Apr-2026 462,714 0.45515,000 KeyCorp 2.250% 06-Apr-2027 540,784 0.53410,000 Kimco Realty Corp 3.200% 01-May-2021 415,533 0.41410,000 Lloyds Banking Group PLC floating rate 05-Feb-2026 423,742 0.42275,000 Macquarie Group Ltd floating rate 28-Nov-2023 286,124 0.28500,000 MassMutual Global Funding II 0.850% 09-Jun-2023 502,335 0.49470,000 Metropolitan Life Global Funding I 3.375% 11-Jan-2022 490,826 0.48540,000 Mitsubishi UFJ Financial Group Inc 2.801% 18-Jul-2024 578,889 0.57650,000 Mizuho Financial Group Inc 2.632% 12-Apr-2021 660,748 0.65550,000 Morgan Stanley 3.750% 25-Feb-2023 593,782 0.58280,000 Morgan Stanley floating rate 20-Jan-2022 281,166 0.28365,000 Morgan Stanley floating rate 24-Apr-2024 393,123 0.39440,000 MUFG Union Bank NA 2.100% 09-Dec-2022 453,976 0.45500,000 National Bank of Canada 2.150% 07-Oct-2022 514,290 0.51595,000 National Securities Clearing Corp 1.200% 23-Apr-2023 603,858 0.59550,000 Nordea Bank Abp 1.000% 09-Jun-2023 555,746 0.55687,000 Nordea Bank Abp 4.875% 13-May-2021 710,268 0.70635,000 Ontario Teachers' Finance Trust 1.375% 15-Apr-2025 651,796 0.64575,000 Owl Rock Capital Corp 3.750% 22-Jul-2025 562,513 0.55325,000 Principal Life Global Funding II 1.250% 23-Jun-2025 326,323 0.32300,000 Regions Financial Corp 2.750% 14-Aug-2022 312,571 0.31430,000 Regions Financial Corp 3.800% 14-Aug-2023 467,885 0.46370,000 Reliance Standard Life Global Funding II 2.625% 22-Jul-2022 380,358 0.37430,000 Royal Bank of Canada 1.600% 17-Apr-2023 441,294 0.43400,000 Santander Holdings USA Inc 3.244% 05-Oct-2026 416,142 0.41465,000 SLM Corp 5.125% 05-Apr-2022 461,803 0.45140,000 Sumitomo Mitsui Financial Group Inc 2.058% 14-Jul-2021 142,415 0.14200,000 Sumitomo Mitsui Financial Group Inc 2.448% 27-Sep-2024 210,040 0.21395,000 Swedbank AB 1.300% 02-Jun-2023 400,032 0.39250,000 Synchrony Bank 3.000% 15-Jun-2022 255,379 0.25745,000 Synchrony Financial 4.250% 15-Aug-2024 782,767 0.77475,000 Synovus Bank floating rate 10-Feb-2023 481,121 0.47430,000 Truist Bank 2.800% 17-May-2022 447,610 0.44525,000 Truist Bank floating rate 26-Oct-2021 530,009 0.52555,000 UBS AG 1.750% 21-Apr-2022 565,756 0.56240,000 USAA Capital Corp 1.500% 01-May-2023 246,338 0.24500,000 WEA Finance LLC 3.150% 05-Apr-2022 507,547 0.50830,000 Wells Fargo & Co floating rate 02-Jun-2024 843,483 0.83750,000 Wells Fargo & Co floating rate 30-Oct-2025 781,230 0.77325,000 Wells Fargo & Co floating rate 30-Apr-2026 336,424 0.33555,000 Zions Bancorp NA 3.350% 04-Mar-2022 567,418 0.56



101



Industrial 5,717,169 5.62355,000 3M Co 2.650% 15-Apr-2025 384,171 0.38625,000 Aviation Capital Group LLC 3.875% 01-May-2023 594,281 0.58200,000 Aviation Capital Group LLC 6.750% 06-Apr-2021 201,022 0.20490,000 CNH Industrial Capital LLC 3.875% 15-Oct-2021 502,503 0.49160,000 DAE Funding LLC 4.500% 01-Aug-2022 152,898 0.15440,000 GATX Corp 4.350% 15-Feb-2024 479,949 0.47740,000 Otis Worldwide Corp 2.056% 05-Apr-2025 777,195 0.76550,000 Otis Worldwide Corp floating rate 05-Apr-2023 544,177 0.54430,000 Penske Truck Leasing Co LP/PTL Finance Corp 3.375% 01-Feb-2022 441,289 0.43240,000 Penske Truck Leasing Co LP/PTL Finance Corp 3.650% 29-Jul-2021 245,744 0.24

7,000 Raytheon Technologies Corp 3.650% 16-Aug-2023 7,590 0.01530,000 Ryder System Inc 3.650% 18-Mar-2024 566,494 0.56515,000 SMBC Aviation Capital Finance DAC 2.650% 15-Jul-2021 517,361 0.51285,000 Westinghouse Air Brake Technologies Corp 4.400% 15-Mar-2024 302,495 0.30

Technology 4,627,243 4.55465,000 Apple Inc 1.125% 11-May-2025 475,360 0.47729,000 Broadcom Inc 3.459% 15-Sep-2026 782,870 0.77300,000 Dell International LLC/EMC Corp 5.450% 15-Jun-2023 328,272 0.32300,000 Infor Inc 1.750% 15-Jul-2025 301,610 0.30935,000 Intuit Inc 0.650% 15-Jul-2023 937,536 0.92285,000 Microchip Technology Inc 2.670% 01-Sep-2023 293,568 0.29270,000 NetApp Inc 1.875% 22-Jun-2025 274,167 0.27650,000 Oracle Corp 2.500% 01-Apr-2025 696,934 0.68500,000 Xilinx Inc 2.950% 01-Jun-2024 536,926 0.53

Utilities 7,184,460 7.06885,000 CenterPoint Energy Inc 3.600% 01-Nov-2021 919,322 0.90500,000 Dominion Energy Gas Holdings LLC 2.500% 15-Nov-2024 528,754 0.52485,000 Dominion Energy Inc 3.071% 15-Aug-2024 522,012 0.51615,000 Dominion Energy Inc 4.104% 01-Apr-2021 628,948 0.62650,000 Entergy Corp 2.950% 01-Sep-2026 718,611 0.71210,000 Exelon Corp 2.450% 15-Apr-2021 212,922 0.21500,000 Georgia Power Co 2.200% 15-Sep-2024 525,078 0.52390,000 National Fuel Gas Co 5.500% 15-Jan-2026 414,952 0.41310,000 NextEra Energy Capital Holdings Inc 3.150% 01-Apr-2024 336,824 0.33420,000 NiSource Inc 3.650% 15-Jun-2023 454,023 0.45600,000 Pacific Gas & Electric Co 1.750% 16-Jun-2022 602,460 0.59405,000 Pinnacle West Capital Corp 1.300% 15-Jun-2025 410,459 0.40340,000 PSEG Power LLC 3.850% 01-Jun-2023 367,912 0.36525,000 Vistra Operations Co LLC 3.550% 15-Jul-2024 542,183 0.53






Swaps (2019: 0.00%, USD Nil)Centrally cleared credit default swaps Expiration date Broker (80,749) (0.08)

1,900,000

Pay Fixed 5.000%/ Buying default protection on North America High Yield Index 20-Jun-2025 Goldman Sachs (80,749) (0.08)



102



Futures contracts (2019: 0.00%, USD (1,237)) Notional (USD) Broker (20,306) (0.02)


(13)US Treasury Note 5 Year (CBT) Future Exp 30-Sep-2020 (1,631,094) Goldman Sachs (3,555) 0.00

Unrealised loss on forward foreign currency contracts (Appendix) (2019: 0.00%, USD (1,084)) (756) 0.00






Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDEuro Class (Accumulating)Citibank EUR 1,019,000 USD (1,134,248) 06-Jul-2020 10,332Citibank USD 56,601 EUR (50,000) 06-Jul-2020 439Citibank EUR 987,000 USD (1,109,281) 05-Aug-2020 134

Sterling Class (Distributing)HSBC Securities GBP 759,000 USD (938,028) 05-Aug-2020 8

10,913


Currency Purchased Currency Sold Maturity Gain/Loss Counter Party Purchased Amount Sold Amount date USDEuro Class (Accumulating)Citibank USD 1,088,332 EUR (969,000) 06-Jul-2020 (86)

Sterling Class (Distributing) HSBC Securities GBP 745,000 USD (921,207) 06-Jul-2020 (666)HSBC Securities USD 920,536 GBP (745,000) 06-Jul-2020 (4)

(756)


Transferable securities and money market instruments admitted to an official stock exchange 41.00Transferable securities and money market instruments traded on another regulated market 57.59Financial derivative instruments dealt in on a regulated market (0.09)OTC financial derivative instruments 0.01

98.51


CONDENSED PROFIT AND LOSS ACCOUNT

FOR THE PERIOD ENDED 30 JUNE 2020

103

Note

Payden Absolute Return

Bond Fund(USD)

Payden Euro Liquidity

Fund(EUR)


(USD)

Payden Global Emerging

Markets Bond Fund(USD)

Payden Global Emerging Markets

Corporate Bond Fund

(USD)


(USD)Bank interest income 238,992 – 19,789 13,363 2,657 746Dividend income – – – – – 869,795Income on debt securities 48,535,069 38,837 3,889,982 5,987,488 1,258,135 46,732Investment Manager prepaid fees – – – – – –Other income 18,970 71 1,580 482 1,113 28Net gains/(losses) on financial assets and liabilities at fair value through profit or loss (239,456,820) (444,186) (21,568,936) (17,470,315) (1,873,067) (9,096,837)Total investment income/(loss) (190,663,789) (405,278) (17,657,585) (11,468,982) (611,162) (8,179,536)Depositary fees (295,313) (9,724) (37,374) (28,483) (5,529) (5,327)Administration fees (353,625) (18,611) (67,575) (56,120) (18,511) (10,379)Investment Manager fees (6,523,367) (34,204) (621,082) (492,176) (195,129) (136,805)Directors’ fees (1,826) (1,706) (1,825) (1,826) (1,826) (1,825)Interest expense on swaps (1,680,948) – (8,431) (222,967) (17,466) –Other expenses (18,637) (35,948) (47,852) (44,955) (41,306) (34,216)Rebate due from the Investment Manager 19,464 41,498 65,628 – 52,895 26,874Operating expenses (8,854,252) (58,695) (718,511) (846,527) (226,872) (161,678)Net income/(loss) (199,518,041) (463,973) (18,376,096) (12,315,509) (838,034) (8,341,214)Finance costsOverdraft expense (2,270) – (469) (102) (26) (13)Distributions to holders of redeemable participating shares 8 (5,393,383) – (104,345) (2,342,407) (1,023,371) (5,013)

(5,395,653) – (104,814) (2,342,509) (1,023,397) (5,026)Profit/(loss) before tax for the period (204,913,694) (463,973) (18,480,910) (14,658,018) (1,861,431) (8,346,240)Withholding taxes on dividends and other investment income (243,058) (1,127) (28,945) (45,543) (16,570) (195,265)Taxation – – – 32,388 3,423 –Increase/(decrease) in net assets from operations attributable to holders of redeemable participating shares (205,156,752) (465,100) (18,509,855) (14,671,173) (1,874,578) (8,541,505)

All gains and losses have been recognised in the Condensed Profit and Loss Account and arise from continuing operations. The accompanying notes form an integral part of the financial statements.


CONDENSED PROFIT AND LOSS ACCOUNT (continued)

FOR THE PERIOD ENDED 30 JUNE 2020 (continued)

104

Note

Payden Global Government

Bond Index Fund(USD)

Payden Global High Yield

Bond Fund(USD)

Payden Global Inflation -

Linked Bond Fund(USD)

Payden Global Short Bond

Fund(USD)

PaydenSterling Corporate

Bond Fund -Investment Grade(1)

(GBP)

Payden Sterling Reserve

Fund(GBP)

Bank interest income 2,219 – 2,991 23,536 690 1,711Dividend income – – – – – –Income on debt securities 607,828 326,101 393,515 3,748,819 44,431 1,274,000Investment Manager prepaid fees – – – – 21,820 –Other income – 400 40 583 – 137Net gains/(losses) on financial assets and liabilities at fair value through profit or loss (523,915) (982,896) 2,124,956 (40,122,029) 169,831 (13,239)Total investment income/(loss) 86,132 (656,395) 2,521,502 (36,349,091) 236,772 1,262,609Depositary fees (12,422) (2,160) (11,111) (40,269) (3,382) (41,664)Administration fees (38,690) (21,631) (32,385) (61,407) (12,578) (38,986)Investment Manager fees (83,999) (34,872) (129,105) (615,260) – (148,699)Directors’ fees (1,825) (1,826) (1,826) (1,826) (1,092) (1,447)Interest expense on swaps – – – (18,060) – –Other expenses (40,214) (41,114) (39,386) (42,618) (35,984) (36,413)Rebate due from the Investment Manager 65,143 57,370 58,841 62,930 16,626 44,160Operating expenses (112,007) (44,233) (154,972) (716,510) (36,410) (223,049)Net income/(loss) (25,875) (700,628) 2,366,530 (37,065,601) 200,362 1,039,560Finance costsOverdraft expense (1,420) (4) (10) (782) (3) –Distributions to holders of redeemable participating shares 8 (215,078) – (174,611) – – (376,582)

(216,498) (4) (174,621) (782) (3) (376,582)Profit/(loss) before tax for the period (242,373) (700,632) 2,191,909 (37,066,383) 200,359 662,978Withholding taxes on dividends and other investment income (541) (1,917) – (25,279) – (5,709)Taxation – – – – – –Increase/(decrease) in net assets from operations attributable to holders of redeemable participating shares (242,914) (702,549) 2,191,909 (37,091,662) 200,359 657,269






105

Note

Payden US Core

Bond Fund(USD)

Payden US Dollar Liquidity

Fund(USD)

Payden USD Low Duration

Credit Fund(USD)

Cross Investments Adjustment

(USD)

Total Company*

(USD)Bank interest income 1,044 7,154 4,400 – 319,917Dividend income – – – – 869,795Income on debt securities 781,654 2,410,198 1,613,368 – 71,303,698Investment Manager prepaid fees – – – – 27,506Other income 285 8,194 662 – 32,589Net gains/(losses) on financial assets and liabilities at fair value through profit or loss 1,909,582 552,823 (1,550,326) (579,560) (328,929,388)Total investment income/(loss) 2,692,565 2,978,369 68,104 (579,560) (256,375,883)Depositary fees (4,161) (7,904) (9,171) – (526,724)Administration fees (27,631) (30,094) (34,986) – (838,543)Investment Manager fees (87,124) (122,660) (147,471) – (9,414,191)Directors’ fees (1,825) (1,825) (1,825) – (26,984)Interest expense on swaps (3,611) – (25,378) – (1,976,861)Other expenses (47,910) (32,787) (38,886) – (600,757)Rebate due from the Investment Manager 59,747 – 54,357 – 645,602Operating expenses (112,515) (195,270) (203,360) – (12,738,458)Net income/(loss) 2,580,050 2,783,099 (135,256) (579,560) (269,114,341)Finance costs Overdraft expense (5) (3) (12) – (5,120)Distributions to holders of redeemable participating shares 8 (1,552,287) – – – (11,285,214)

(1,552,292) (3) (12) – (11,290,334)Profit/(loss) before tax for the period 1,027,758 2,783,096 (135,268) (579,560) (280,404,675)Withholding taxes on dividends and other investment income (2,881) (6,671) (3,485) – (578,595)Taxation – – – – 35,811Increase/(decrease) in net assets from operations attributable to holders of redeemable participating shares 1,024,877 2,776,425 (138,753) (579,560) (280,947,459)






106

Note

0.01 Payden Absolute Return

Bond Fund

0.02 Payden Euro Liquidity

Fund0.03 Payden Global Bond Fund

0.04 Payden Global Emerging

Markets Bond Fund

0.05Payden Global Emerging Markets

Corporate Bond Fund

0.06 Payden Global Equity Income Fund

(USD) (EUR) (USD) (USD) (USD) (USD)Bank interest income 941,528 – 79,402 37,033 16,452 4,852Dividend income – – – – – 1,048,869Income on debt securities 52,492,120 28,727 3,475,067 6,951,395 1,445,868 60,708Other income 141,134 68 14,366 718 2,415 190Net gains on financial assets and liabilities at fair value through profit or loss 50,949,608 386,296 19,876,135 15,900,082 2,771,222 7,285,801Total investment income 104,524,390 415,091 23,444,970 22,889,228 4,235,957 8,400,420Depositary fees (298,464) (11,734) (34,296) (28,546) (5,667) (5,767)Administration fees (327,092) (15,296) (66,056) (58,655) (20,589) (11,312)Investment Manager fees (5,865,432) (25,949) (486,439) (496,160) (196,451) (140,598)Directors’ fees (6,297) (5,488) (6,297) (6,297) (6,297) (6,297)Interest expense on swaps (28) – – (115,124) (24,600) –Other expenses (44,497) (27,047) (39,673) (35,869) (30,982) (27,166)Rebate due from the Investment Manager 43,132 42,363 79,001 – 49,161 32,635Operating expenses (6,498,678) (43,151) (553,760) (740,651) (235,425) (158,505)Net income 98,025,712 371,940 22,891,210 22,148,577 4,000,532 8,241,915Finance costs Overdraft expense (1,222) – (122) (467) (30) (141)Distributions to holders of redeemable participating shares 8 (6,603,302) – (130,382) (2,910,555) (1,244,997) (6,477)

(6,604,524) – (130,504) (2,911,022) (1,245,027) (6,618)Profit before tax for the period 91,421,188 371,940 22,760,706 19,237,555 2,755,505 8,235,297Withholding taxes on dividends and other investment income 279,645 (118) (14,187) (60,251) (11,929) (208,839)Taxation – – – (49,705) (3,430) –Increase in net assets from operations attributable to holders of redeemable participating shares 91,700,833 371,822 22,746,519 19,127,599 2,740,146 8,026,458





107

Note

0.07 Payden Global Government

Bond Index Fund

0.08 Payden Global High Yield

Bond Fund

0.09 Payden Global Inflation -

Linked Bond Fund

0.10 Payden Global Short Bond

Fund

0.11 Payden Sterling Corporate

Bond Fund -Investment Grade

0.12 Payden Sterling Reserve

Fund(USD) (USD) (USD) (USD) (GBP) (GBP)

Bank interest income 20,743 12,476 13,806 139,253 454 3,840Dividend income – – – – – –Income on debt securities 816,198 610,594 1,274,965 3,615,707 229,515 1,598,169Other income 30 265 532 7,056 – –Net gains on financial assets and liabilities at fair value through profit or loss 5,143,925 1,341,254 4,698,058 10,303,470 504,281 743,427Total investment income 5,980,896 1,964,589 5,987,361 14,065,486 734,250 2,345,436Depositary fees (11,595) (2,279) (11,010) (40,519) (2,478) (39,143)Administration fees (40,334) (25,706) (34,115) (64,753) (10,846) (39,378)Investment Manager fees (79,085) (61,388) (123,718) (546,905) (48,397) (160,565)Directors’ fees (6,297) (6,297) (6,297) (6,297) (4,787) (4,787)Interest expense on swaps – (1,250) – – – –Other expenses (30,685) (37,090) (30,082) (37,314) (21,682) (34,773)Rebate due from the Investment Manager 62,881 48,260 56,760 75,711 32,049 37,771Operating expenses (105,115) (85,750) (148,462) (620,077) (56,141) (240,875)Net income 5,875,781 1,878,839 5,838,899 13,445,409 678,109 2,104,561Finance costs Overdraft expense (472) – (37) – – (162)Distributions to holders of redeemable participating shares 8 (319,171) – (661,237) – – (556,474)

(319,643) – (661,274) – – (556,636)Profit before tax for the period 5,556,138 1,878,839 5,177,625 13,445,409 678,109 1,547,925Withholding taxes on dividends and other investment income (56,554) 5,961 – (11,601) – (2,057)Taxation – – – – – –Increase in net assets from operations attributable to holders of redeemable participating shares 5,499,584 1,884,800 5,177,625 13,433,808 678,109 1,545,868





108

Note

0.07 Payden US Core

Bond Fund

0.08 Payden US Dollar Liquidity

Fund

0.09 Payden USD Low Duration

Credit Fund

CrossInvestmentsAdjustment

TotalCompany*

(USD) (USD) (USD) (USD) (USD)

Bank interest income 5,951 15,080 18,319 – 1,310,451Dividend income – – – – 1,048,869Income on debt securities 777,194 1,150,253 1,587,942 – 76,655,296Other income 926 105 270 – 168,084Net gains/(losses) on financial assets and liabilities at fair value through profit or loss 2,313,317 364,213 3,256,419 (1,838,334) 124,415,862Total investment income/(loss) 3,097,388 1,529,651 4,862,950 (1,838,334) 203,598,562Depositary fees (4,096) (7,588) (8,940) – (525,873)Administration fees (30,470) (31,651) (37,156) – (830,149)Investment Manager fees (70,936) (41,501) (135,042) – (8,543,338)Directors’ fees (6,297) (6,297) (6,297) – (94,150)Interest expense on swaps – – – – (141,002)Other expenses (39,607) (31,616) (29,851) – (518,026)Rebate due from the Investment Manager 62,735 52,251 54,304 – 755,016Operating expenses (88,671) (66,402) (162,982) – (9,897,522)Net income/(loss) 3,008,717 1,463,249 4,699,968 (1,838,334) 193,701,040Finance costsOverdraft expense (990) – (16) – (3,706)Distributions to holders of redeemable participating shares 8 (1,212,348) – – – (13,808,491)

(1,213,338) – (16) – (13,812,197)Profit/(loss) before tax for the period 1,795,379 1,463,249 4,699,952 (1,838,334) 179,888,843Withholding taxes on dividends and other investment income (3,086) (1,523) (2,929) – (88,088)Taxation – – – – (53,135)Increase/(decrease) in net assets from operations attributable to holders of redeemable participating shares 1,792,293 1,461,726 4,697,023 (1,838,334) 179,747,620




CONDENSED BALANCE SHEET

AS AT 30 JUNE 2020

109

Note


Bond Fund(USD)


Fund(EUR)


(USD)


Markets Bond Fund(USD)


Corporate Bond Fund

(USD)


(USD)Current assetsFinancial assets at fair value through profit or loss 7 2,749,939,534 66,872,977 423,766,647 195,529,093 47,887,972 52,608,871Cash at bank 72,913,254 435,277 9,547,732 3,073,653 233,364 5,257,578Cash collateral 3 16,193,000 – 4,751,000 540,000 31,000 306,000Due to counterparty 3,910,922 – – – – –Margin on derivative contracts – – – 730,262 180,201 –Interest/dividends receivable 14,080,804 101,498 1,791,169 3,112,544 569,875 53,224Receivable for investments sold 5,734,673 – 670,032 – 634,370 1,237Receivable for subscriptions 371,648 – 1,331,281 – – 200,000Rebate receivable from the Investment Manager 9,932 57,708 32,529 – 26,427 13,898Other receivables 55,225 2,505 88,731 11,181 12,946 41,641Total assets 2,863,208,992 67,469,965 441,979,121 202,996,733 49,576,155 58,482,449Current liabilities Financial liabilities at fair value through profit or loss 7 (3,356,148) – (4,123,417) (1,117,279) (143,394) –Bank overdraft (13,382) (555) (1,718) (22) (5) (78)Margin on derivative contracts (1,752,760) – (167,419) – – (3,342)Cash collateral payable 3 (3,890,000) – – (540,000) – –Interest/dividends payable – – – (3,639) (506) –Payable for investments purchased (23,612,635) (246,081) (15,520,178) (1,823,383) (1,327,760) (5,025,199)Payable for redemptions (2,892,077) – (2,259,995) – – –Investment Manager fee payable (3,011,930) (47,063) (300,917) (236,050) (94,726) (64,664)Administration fee payable (147,979) (12,330) (10,918) (1,939) (1,358) (3,292)Depositary fee payable (68,926) (12,724) – – (656) (51)Directors' fee payable – – – – – –Audit fee payable (3,088) (2,729) (3,089) (3,088) (3,088) (3,089)Taxation payable – – – (64,383) (3,726) –Other payables (3,981) (305) (32,623) (9,530) (11,216) (29,277)Total liabilities (38,752,906) (321,787) (22,420,274) (3,799,313) (1,586,435) (5,128,992)Net assets attributable to holders of redeemable participating shares at trading valuation 2,824,456,086 67,148,178 419,558,847 199,197,420 47,989,720 53,353,457

The accompanying notes form an integral part of the financial statements.


CONDENSED BALANCE SHEET (continued)

AS AT 30 JUNE 2020 (continued)

110

Note




Bond Fund(USD)




Fund(USD)

Payden Sterling Corporate


(GBP)


Fund(GBP)

Current assetsFinancial assets at fair value through profit or loss 7 103,230,584 12,029,465 101,524,710 415,306,390 – 255,807,364Cash at bank 3,046,595 127,110 5,511,518 21,632,664 13,650 2,351,780Cash collateral 3 320,000 20,000 – 2,323,000 – –Due to counterparty – – – – – –Margin on derivative contracts – 41,882 – 109,950 – –Interest/dividends receivable 714,108 139,014 467,538 1,805,009 – 872,905Receivable for investments sold 366,232 294,009 – 2,713,917 – –Receivable for subscriptions – – 487,637 1,184,194 – 2,500,000Rebate receivable from the Investment Manager 32,558 78,692 29,011 31,755 34,002 40,923Other receivables 1,042 42,806 9,014 8,180 2,233 1,609Total assets 107,711,119 12,772,978 108,029,428 445,115,059 49,885 261,574,581Current liabilities Financial liabilities at fair value through profit or loss 7 (525,433) (41,306) (230,353) (3,029,040) – –Bank overdraft (592) (78) (669) (1,588) – –Margin on derivative contracts – – – – – –Cash collateral payable 3 – – – – – –Interest/dividends payable – – – – – –Payable for investments purchased (915,136) (779,460) (559,730) (18,383,449) – (3,557,542)Payable for redemptions – – – (102,764) – –Investment Manager fee payable (40,411) (52,355) (64,168) (295,311) – (95,237)Administration fee payable (14,556) (12,347) (10,515) (8,977) (6,326) (29,744)Depositary fee payable (4,299) (3,925) (2,836) (2,924) (2,697) (36,663)Directors' fee payable – – – – (678) –Audit fee payable (3,088) (3,088) (3,088) (3,088) (2,366) (2,366)Taxation payable – – – – – –Other payables (3,508) (34,230) (9,009) (878) (37,818) (46,217)Total liabilities (1,507,023) (926,789) (880,368) (21,828,019) (49,885) (3,767,769)Net assets attributable to holders of redeemable participating shares at trading valuation 106,204,096 11,846,189 107,149,060 423,287,040 – 257,806,812





AS AT 30 JUNE 2020 (continued)

111

Note

Payden US Core

Bond Fund(USD)


Fund(USD)


Credit Fund(USD)


(USD)

Total Company*

(USD)Current assetsFinancial assets at fair value through profit or loss 7 58,097,903 242,277,423 100,516,092 (41,493,374) 4,852,405,264Cash at bank 869,560 1,965,917 303,793 – 128,156,244**Cash collateral 3 52,000 – 60,000 – 24,596,000Due to counterparty – – – – 3,910,922Margin on derivative contracts 14,031 – 245,290 – 1,321,616Interest/dividends receivable 289,991 697,732 745,946 – 25,659,513Receivable for investments sold 767,362 – – – 11,181,832Receivable for subscriptions 13,919 16,374 – – 6,694,053Rebate receivable from the Investment Manager 29,668 – 27,860 – 469,722Other receivables 14,604 46,657 34,766 – 374,354Total assets 60,149,038 245,004,103 101,933,747 (41,493,374) 5,054,769,520Current liabilitiesFinancial liabilities at fair value through profit or loss 7 (29,355) – (101,811) – (12,697,536)Bank overdraft (3) – – – (18,758)Margin on derivative contracts – – – – (1,923,521)Cash collateral payable 3 – – – – (4,430,000)Interest/dividends payable (443) – (2,375) – (6,963)Payable for investments purchased (5,835,640) (569,920) – – (79,024,575)Payable for redemptions (278) (23,384) – – (5,485,068)**Investment Manager fee payable (43,319) (59,667) (69,119) – (4,503,525)**Administration fee payable (7,784) – (16,952) – (295,033)Depositary fee payable – – (350) – (146,891)Directors' fee payable – – – – (838)Audit fee payable (3,088) (3,088) (3,088) – (45,970)Taxation payable – – – – (68,109)Other payables (5,536) (310) (9,937) – (309,187)**Total liabilities (5,925,446) (656,369) (203,632) – (108,955,974)Net assets attributable to holders of redeemable participating shares at trading valuation 54,223,592 244,347,734 101,730,115 (41,493,374) 4,945,813,546


** The Net Assets has been adjusted to account for the Collection Account balances.




AS AT 31 DECEMBER 2019

112

Note


Bond Fund


FundPayden

Global Bond Fund


Markets Bond Fund


Corporate Bond Fund


(USD) (EUR) (USD) (USD) (USD) (USD)Current assetsFinancial assets at fair value through profit or loss 7 3,215,426,831 68,442,210 429,944,321 207,320,997 48,488,785 55,967,660Cash at bank 102,399,126** 1,044,975 8,529,345** 1,276,312 1,685,483 445,287Cash collateral 3 37,207,000 – 17,372,000 2,060,000 – –Margin on derivative contracts 14,658,057 – – – – –Interest/dividends receivable 14,548,732 148,146 2,239,542 3,506,478 582,594 74,738Receivable for investments sold 16,461 – 5,405,531 208,895 4,751 254,817Receivable for futures sold – – 97 – – –Receivable for subscriptions 974,728 – 47,769** – – –Rebate receivable from the Investment Manager 2,289 21,100 7,745 – 6,112 2,841Other receivables 28,481 11,827 24,253 – 3,232 17,785Total assets 3,385,261,705 69,668,258 463,570,603 214,372,682 50,770,957 56,763,128Current liabilitiesFinancial liabilities at fair value through profit or loss 7 (19,505,120) – (4,078,850) (483,933) (24,194) –Bank overdraft (3,337,994) (661) (1,112) (439,745) – (50)Due to counterparty (5,150,000) – – – – –Margin on derivative contracts – – (166,493) (66,543) (18,322) –Cash collateral payable 3 (30,070,000) – (14,990,000) (1,790,000) – –Interest/dividends payable (355,563) – – (231) – –Payable for investments purchased (2,427,400) – (4,488,945) – (935,804) –Payable for redemptions (343,142)** – (6,067) (1,532) – –Investment Manager fee payable (854,562) (16,865) (76,072) (62,491) (23,712) (17,770)Administration fee payable (138,017) (10,393) (1,239) (6,260) (1,364) (3,740)Depositary fee payable (105,327) (11,708) – (593) (1,505) (616)Directors' fee payable (167) (137) (166) (167) (167) (167)Audit fee payable (5,478) (4,902) (5,478) (5,478) (5,478) (5,479)Taxation payable – – – (106,755) (7,149) –Other payables (202,206)** (10,314) (16,472) (3,096) (7,801) (11,051)Total liabilities (62,494,976) (54,980) (23,830,894) (2,966,824) (1,025,496) (38,873)Net assets attributable to holders of redeemable participating shares at trading valuation 3,322,766,729 69,613,278 439,739,709 211,405,858 49,745,461 56,724,255





AS AT 31 DECEMBER 2019 (continued)

113

Note


Bond Index Fund


Bond Fund


Linked Bond Fund

0.10 Payden Global Short Bond

Fund



0.12 Payden Sterling Reserve


Current assetsFinancial assets at fair value through profit or loss 7 117,790,128 11,904,039 105,910,117 426,343,619 19,249,604 252,584,602Cash at bank 3,905,642** 538,891** 3,523,122 24,218,804** 692,970 2,790,510Cash collateral 3 1,590,000 132,000 – 17,839,000 24,000 –Margin on derivative contracts – 416 – 88,082 7,300 –Interest/dividends receivable 986,973 147,998 415,981 1,702,662 317,356 883,664Receivable for investments sold 3 – 8 267 – –Receivable for futures sold – – – – – –Receivable for subscriptions – 2,996,114** – 140,956 – –Rebate receivable from the Investment Manager 7,494 27,658 6,851 7,499 17,569 19,444Other receivables – 22,686 – 12 – –Total assets 124,280,240 15,769,802 109,856,079 470,340,901 20,308,799 256,278,220Current liabilities Financial liabilities at fair value through profit or loss 7 (1,192,594) (94,174) (1,080,115) (3,297,295) (14,300) –Bank overdraft (744) (2,995,805)** (80) (3,442) – –Due to counterparty – – – – (28,822) –Margin on derivative contracts – – – – – –Cash collateral payable 3 (1,300,000) – – (15,980,000) – –Interest/dividends payable – – – (3,300) – –Payable for investments purchased – (74,112) – – – –Payable for redemptions – (941) – (5,707,710)** – –Investment Manager fee payable (10,576) (22,733) (15,602) (74,992) (25,482) (34,498)Administration fee payable (15,774) (10,454) (10,552) (17,129) (1,546) (23,443)Depositary fee payable (6,497) (3,983) (3,594) (11,873) (640) (27,796)Directors' fee payable (167) (167) (167) (167) (5) (4)Audit fee payable (5,479) (5,479) (5,478) (5,478) (4,327) (4,327)Taxation payable – – – – – –Other payables (67,847)** (13,247) (6,576) (2,340) (2,230) (31,195)Total liabilities (2,599,678) (3,221,095) (1,122,164) (25,103,726) (77,352) (121,263)Net assets attributable to holders of redeemable participating shares at trading valuation 121,680,562 12,548,707 108,733,915 445,237,175 20,231,447 256,156,957





AS AT 31 DECEMBER 2019 (continued)

114

Note

Payden US Core

Bond Fund

0 Payden US Dollar Liquidity

Fund


Credit Fund

CrossInvestmentsAdjustment

0.18 Total Company*

(USD) (USD) (USD) (USD) (USD)Current assetsFinancial assets at fair value through profit or loss 7 56,902,346 235,540,879 105,975,728 (37,917,700) 5,416,536,482Cash at bank 696,478 4,279,212 9,536,213 – 167,361,812**Cash collateral 3 18,000 – 53,000 – 76,302,794Margin on derivative contracts 5,167 – – – 14,761,392Interest/dividends receivable 324,151 964,596 927,490 – 28,179,280Receivable for investments sold 91,933 – 6 – 5,982,672Receivable for futures sold 37 – – – 134Receivable for subscriptions 11,513 8,033 – – 4,179,113Rebate receivable from the Investment Manager 6,988 976 5,085 – 154,256Other receivables 16,320 14,805 – – 140,850Total assets 58,072,933 240,808,501 116,497,522 (37,917,700) 5,713,598,785Current liabilitiesFinancial liabilities at fair value through profit or loss 7 (50,298) – (2,321) – (29,827,838)Bank overdraft – – (218,510) – (6,998,224)Due to counterparty – – – – (5,188,182)Margin on derivative contracts – – (18,764) – (270,122)Cash collateral payable 3 – – – – (64,130,000)Interest/dividends payable – – – – (359,094)Payable for investments purchased (3,237,023) (3,009,757) (4,579,949) – (18,752,990)Payable for redemptions (6,044) – – – (6,065,436)Investment Manager fee payable (10,115) (13,176) (18,371) – (1,298,561)Administration fee payable (8,166) (3,512) (15,688) – (276,665)Depositary fee payable – – (1,749) – (186,550)Directors' fee payable (167) (167) (167) – (2,169)Audit fee payable (5,478) (5,479) (5,478) – (82,707)Taxation payable – – – – (113,904)Other payables (15,303) (2,719) (5,650) – (950,338)**Total liabilities (3,332,594) (3,034,810) (4,866,647) – (134,502,780)Net assets attributable to holders of redeemable participating shares at trading valuation 54,740,339 237,773,691 111,630,875 (37,917,700) 5,579,096,005





CONDENSED STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES


115

Note


Bond Fund(USD)


Fund(EUR)


(USD)


Markets BondFund(USD)


Corporate Bond Fund

(USD)


(USD)Net assets attributable to holders of redeemable participating shares at beginning of period 3,322,766,729 69,613,278 439,739,709 211,405,858 49,745,461 56,724,255

Translation adjustment 11 – – – – – –

Share transactions:Value of shares issued during the period 232,421,997 – 24,464,321 4,096,881 118,837 5,200,597Value of shares redeemed during the period (525,575,888) (2,000,000) (26,135,328) (1,634,146) – (29,890)

Increase in net assets from operations attributable to holders of redeemable participating shares (205,156,752) (465,100) (18,509,855) (14,671,173) (1,874,578) (8,541,505)

Net assets attributable to holders of redeemable participating shares at trading valuation at end of period 2,824,456,086 67,148,178 419,558,847 199,197,420 47,989,720 53,353,457



CONDENSED STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES (continued)


116

Note




Bond Fund(USD)




Fund(USD)

Payden Sterling Corporate


(GBP)


Fund(GBP)

Net assets attributable to holders of redeemable participating shares at beginning of period 121,680,562 12,548,707 108,733,915 445,237,175 20,231,447 256,156,957


Share transactions:Value of shares issued during the period 2,299,859 31 5,068,222 45,373,809 11,721 12,517,651Value of shares redeemed during the period (17,533,411) – (8,844,986) (30,232,282) (20,443,527) (11,525,065)

Increase in net assets from operations attributable to holders of redeemable participating shares (242,914) (702,549) 2,191,909 (37,091,662) 200,359 657,269

Net assets attributable to holders of redeemable participating shares at trading valuation at end of period 106,204,096 11,846,189 107,149,060 423,287,040 – 257,806,812






117

Note

Payden US Core

Bond Fund(USD)


Fund(USD)


Credit Fund(USD)


(USD)

Total Company*

(USD)Net assets attributable to holders of redeemable participating shares at beginning of period 54,740,339 237,773,691 111,630,875 (37,917,700) 5,579,096,005

Translation adjustment 11 – – – – (24,182,616)

Share transactions:Value of shares issued during the period 3,361,290 54,369,252 5,341,787 (6,600,000) 391,311,409Value of shares redeemed during the period (4,902,914) (50,571,634) (15,103,794) 3,603,886 (719,463,793)

Increase in net assets from operations attributable to holders of redeemable participating shares 1,024,877 2,776,425 (138,753) (579,560) (280,947,459)

Net assets attributable to holders of redeemable participating shares at trading valuation at end of period 54,223,592 244,347,734 101,730,115 (41,493,374) 4,945,813,546






118

Note


Bond Fund


Fund0.02 Payden Global Bond Fund


Markets Bond Fund


Corporate Bond Fund


(USD) (EUR) (USD) (USD) (USD) (USD)Net assets attributable to holders of redeemable participating shares at beginning of period 2,766,248,536 74,489,546 288,146,008 178,943,822 46,441,136 45,211,903


Share transactions:Value of shares issued during the period 380,197,054 – 77,871,587 14,897,042 113,874 5,214,029Value of shares redeemed during the period (596,992,286) (35,195,037) (5,726,432) – – (4,633)

Increase in net assets from operations attributable to holders of redeemable participating shares 91,700,833 371,822 22,746,519 19,127,599 2,740,146 8,026,458

Net assets attributable to holders of redeemable participating shares at trading valuation at end of period 2,641,154,137 39,666,331 383,037,682 212,968,463 49,295,156 58,447,757





119

Note


Bond Index Fund


Bond Fund


Linked Bond Fund


Fund



.Payden Sterling Reserve


Net assets attributable to holders of redeemable participating shares at beginning of period 97,651,200 21,702,771 96,810,948 343,230,093 19,207,483 318,388,743


Share transactions:Value of shares issued during the period 17,729,116 21,838 3,715,348 90,230,909 22,106 59,431,728Value of shares redeemed during the period (2,035,253) (9,047,331) (5,044,958) (55,550,154) – (95,805,680)

Increase in net assets from operations attributable to holders of redeemable participating shares 5,499,584 1,884,800 5,177,625 13,433,808 678,109 1,545,868

Net assets attributable to holders of redeemable participating shares at trading valuation at end of period 118,844,647 14,562,078 100,658,963 391,344,656 19,907,698 283,560,659





120

Note

Payden US Core

Bond Fund

0.14 Payden US Dollar Liquidity

Fund


Credit Fund


0.18 Total Company*

(USD) (USD) (USD) (USD) (USD)Net assets attributable to holders of redeemable participating shares at beginning of period 40,427,030 78,078,023 91,225,775 (35,263,248) 4,573,969,263

Translation adjustment 11 – – – – (231,692)

Share transactions:Value of shares issued during the period 15,864,175 44,272,433 21,575,861 – 748,630,582Value of shares redeemed during the period (2,819,612) (8,462,312) (20,948,014) – (870,343,229)

Increase/(decrease) in net assets from operations attributable to holders of redeemable participating shares 1,792,293 1,461,726 4,697,023 (1,838,334) 179,747,620

Net assets attributable to holders of redeemable participating shares at trading valuation at end of period 55,263,886 115,349,870 96,550,645 (37,101,582) 4,631,772,544




NOTES TO THE CONDENSED FINANCIAL STATEMENTS FOR THE PERIOD ENDED 30 JUNE 2020

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1. ESTABLISHMENT

Payden Global Funds public limited company (the “Company”) is an umbrella fund with segregated liability between its Funds and was incorporated as an investment company on 1 July 1999 under the laws of Ireland as Payden & Rygel Global Funds public limited company. The Company changed its name on 14 December 2005. The Company is an investment company with variable capital. The shares of the Company are admitted to the Official List and to trading on the Main Securities Market of Euronext Dublin and is authorised in Ireland by the Central Bank of Ireland (the “Central Bank”) as an undertaking for collective investment in transferable securities pursuant to the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (“the Central Bank UCITS Regulations”).

During the period ended 30 June 2020, the Company had fifteen sub-funds, which are distributed in Switzerland (amongst other countries), (individually referred as the “Fund” and collectively as the “Funds”) in which shares were funded as follows:

Payden Absolute Return Bond Fund Payden Euro Liquidity Fund Payden Global Bond Fund Payden Global Emerging Markets Bond Fund Payden Global Emerging Markets Corporate Bond Fund Payden Global Equity Income Fund Payden Global Government Bond Index Fund Payden Global High Yield Bond Fund Payden Global Inflation - Linked Bond Fund Payden Global Short Bond Fund Payden Sterling Corporate Bond Fund - Investment Grade(1)

Payden Sterling Reserve Fund Payden US Core Bond Fund Payden US Dollar Liquidity Fund Payden USD Low Duration Credit Fund

There are three unfunded Funds approved by the Central Bank in the Company namely Payden Global Corporate Bond Fund, Payden US Equity Income Fund and Payden Global Emerging Markets Bond Fund (Hard Currency).


2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies adopted by the Company:

i) Basis of preparation and accounting convention

The financial statements presented have been prepared in accordance with accounting standards generally accepted in Ireland, including FRS 102 “The Financial Reporting Standard applicable in the United Kingdom and Republic of Ireland” (“FRS 102”), Irish Statute comprising the Companies Act 2014, the Central Bank UCITS Regulations and the listing rules of Euronext Dublin. Accounting standards generally accepted in Ireland in preparing financial statements giving a true and fair view are those published by the Institute of Chartered Accountants in Ireland and issued by the Financial Reporting Council (“FRC”).

The aggregated financial statements for the Company are denominated in US Dollar (“USD”).

The financial statements are prepared on a going concern basis, under the historical cost convention as modified by the revaluation of financial assets and financial liabilities held at fair value through profit or loss.

The information required to be included in the Statement of Total Recognised Gains and Losses and a Reconciliation of Movements in Shareholders Funds, is, in the opinion of the Directors contained in the Condensed Profit and Loss Account and the Condensed Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares on pages 103 and 115, respectively. The Company has availed of the exemption available to investment funds under FRS 102 not to prepare a cash flow statement.


NOTES TO THE CONDENSED FINANCIAL STATEMENTS FOR THE PERIOD ENDED 30 JUNE 2020 (continued)

122

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

i) Basis of preparation and accounting convention (continued)

A Fund may invest in other investment funds, including other Funds of the Company. As at 30 June 2020, Payden Absolute Return Bond Fund, Payden Global Bond Fund and Payden Global Short Bond Fund have investments of USD14,018,470 (31 December 2019: USD13,753,027), USD10,619,468 (31 December 2019: USD10,418,387) and USD14,011,598 (31 December 2019: USD13,746,286) in Payden USD Low Duration Credit Fund - US Dollar Class Accumulating, respectively. Additionally, Payden Absolute Return Bond Fund has investments of USD2,843,838 in Payden Global High Yield Bond Fund - US Dollar Class (31 December 2019: Nil). The total columns in Condensed Profit and Loss Account, Condensed Balance Sheet and Condensed Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares have been adjusted in respect of the related cross investments.

ii) Financial assets at fair value through profit or loss

This category has two sub-categories: financial assets and liabilities held for trading, and those designated by management at fair value through profit or loss at inception.

In accordance with FRS 102: “Financial Instruments: Recognition and Measurement”, all of the Company’s investments are classified as held for trading. Financial assets and liabilities held for trading are securities that were either acquired for generating a profit from short-term fluctuations in price or dealer margins, or are included in a portfolio where a pattern of short-term trading exists. Derivatives, unless designated as effective hedging instruments, are categorised as held for trading. While positions within the portfolio will often be held with a view to long term capital gains, the Company also undertakes short term trading and, accordingly, for the purpose of FRS 102, the Directors have classified the Company’s portfolio as financial assets and liabilities held for trading.

Regular-way purchases and sales of investments are recognised on trade date – the date on which the Company commits to purchase or sell the assets. Investments are initially recognised at fair value, and transaction costs for all financial assets carried at fair value through profit or loss are expensed as incurred. Investments are subsequently re-measured at fair value at period-end. Investments are derecognised when the rights to receive cash flows from the investments have expired or the Company has transferred substantially all risks and rewards of ownership.

Transaction costs are costs incurred in connection with the purchase and sale of financial assets and liabilities at fair value through profit or loss. They include such fees as commissions paid to agents, brokers or dealers. Details of transaction costs incurred by each Fund are disclosed in Note 5.

Gains and losses arising from changes in the fair value of the “financial assets and liabilities at fair value through profit or loss” category are included in the Condensed Profit and Loss Account in the period in which they arise. The fair value of financial instruments traded in active markets (such as publicly traded derivatives, trading securities and shares or units in investment funds) is based on quoted market prices at the balance sheet date. When the Company holds derivatives with offsetting market risks it uses mid-market prices as a basis for establishing fair values for the offsetting risk positions. In order to determine the net asset value of the Company for subscriptions and redemptions, investments have been valued using mid-market price in accordance with the prospectus. The quoted market price used for financial assets and liabilities held by the Company is the current mid-market price.

iii) Investment Funds

Shares or units in open ended investment funds are valued by reference to the latest available net asset value of the shares or units of the relevant investment funds priced by the underlying Administrator and provided by a vendor. Shares or units in closed ended investment funds are valued by reference to the latest available net asset value of the shares or units of the relevant investment funds priced by the underlying Administrator and provided by a vendor. If such prices are unavailable and if appropriate in the opinion of the Directors, shares or units in investment funds are valued at the estimated net asset value of the shares or units as provided by the Administrator.

iv) Master Limited Partnerships

Master Limited Partnership means a limited partnership that typically derives income and gains from the exploration, development, storage, gathering, mining, production, processing, refining, transportation (including pipelines transporting gas, oil or products thereof) or marketing of any mineral or natural resources. A Fund which invests in Master Limited Partnerships will do so by purchasing units issued to the limited partners of the Master Limited Partnership that are publically traded on Regulated Markets.



123


v) Loans

The Company may purchase participations in or assignments of floating rate mortgages or other commercial loans that are liquid and will provide for interest rate adjustments at least every 397 days and which may be secured by real estate or other assets. These participations may be interests in, or assignments of, the loan and may be acquired from banks or brokers that have made the loan or members of the lending syndicate.

Loan participation notes are typically traded over the counter and will have similar liquidity to other debt instruments which are traded over the counter. The liquidity of loan participation notes may be affected by specific economic events, such as a deterioration in the creditworthiness of the borrower, and also may make it more difficult to assign a value to the loan participation note for the purposes of valuing a Fund’s portfolio and calculating its net asset value.

To the extent that a Fund invests in loan participation notes, the notes in which it invests are securitised and result typically in the Fund having a contractual relationship with the issuer of the note and not with the underlying borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the issuer and typically only upon receipt by the issuer of the payments from the borrower. In connection with purchasing loan participations notes, a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan participation note, nor any rights of set-off against the borrower, and a Fund may not directly benefit from any collateral supporting the loan to which the note relates.

In connection with purchasing participations in or assignments of floating rate mortgages or other commercial loans, a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and a Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation.

The fair value of loans is based on the Markit price at the balance sheet date. Unrealised gains or losses on loans are included in financial assets/liabilities at fair value through profit or loss on the Condensed Balance Sheet. Realised and unrealised gains or losses on loans are included within the net gains/(losses) on financial assets and liabilities at fair value through profit or loss in the Condensed Profit and Loss Account.

vi) Future contracts

Initial margin deposits are made upon entering into future contracts and are generally made in cash at bank. Future contracts are valued based upon their quoted daily settlement prices. Changes in the value of open future contracts are recognised as unrealised gains or losses on future contracts until the contracts are expired at which time realised gains and losses are recognised.

Unrealised gains or losses on future contracts are included in financial assets/liabilities at fair value through profit or loss on the Condensed Balance Sheet. The initial margin receivable or payable at the reporting date is reported as an asset or liability, as applicable on the Condensed Balance Sheet. Realised and unrealised gains or losses on future contracts are included within the net gains/(losses) on financial assets and liabilities at fair value through profit or loss in the Condensed Profit and Loss Account. Transaction costs for purchases and sales of futures are included in the net gains/(losses) on financial assets and liabilities at fair value through profit or loss in the Condensed Profit and Loss Account for each Fund.

vii) Forward foreign currency contracts

Forward foreign currency contracts are used primarily to protect the Company from adverse currency and interest rate movements. Contracts outstanding at the period-end are valued at their market value. The resulting gain or loss is included in net gains/(losses) on financial assets and liabilities at fair value through profit or loss in the Condensed Profit and Loss Account.

viii) Options

The unrealised gain or loss on open option positions is calculated and recorded as the fair value of the option less the premium paid on that option. The fair value of the options which are dealt in on a securities market are the settlement price as determined by the market. Unrealised gains or losses on open option positions are included in financial assets and liabilities at fair value through profit and loss in the Condensed Balance Sheet.

The premium on purchased put options exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the realised gain or loss. The premium on purchased call options exercised is added to the cost of the securities or foreign currency purchased. Premiums paid from the purchase of options, which expire unexercised, are treated as realised losses.



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ix) Swaps

Credit default, interest rate swaps and inflation swaps are recognised at fair value on the date on which the derivative contract is entered into and are subsequently remeasured at their fair value. The swaps are valued by the counterparty daily and verified at least weekly by a competent person appointed by the Directors (such as the Investment Manager) approved for such purpose by the Depositary and who is independent of the counterparty on the basis of their marked-to-market price.

Centrally cleared swaps

Centrally cleared swaps are cleared on a central clearing house and are subject to clearing house rules, including initial and variation margin requirements. Margin for centrally cleared swaps is included in the Condensed Balance Sheet in margin on derivative contracts.

All derivatives are carried as assets when fair value is positive and as liabilities when fair value is negative.

x) Swaptions

When a Fund writes a swaption, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current fair value of the swaption written. Premiums received from the written swaptions which expire unexercised are treated by the Fund on the expiration dates as realised gains. If a written call swaption is exercised, the premium is added to the proceeds from the sale of the underlying swap in determining the realised gain or loss. If a written put swaption is exercised, the premium reduces the cost basis of the swap purchased.

When a Fund purchases a swaption, an amount equal to the premium paid by the Fund is recorded as an asset and is subsequently adjusted to the current fair value of the swaption purchased. Premiums paid for the purchase of swaptions which expire unexercised are treated on the expiration date as realised losses. If a purchased payer swaption is exercised, the premium is subtracted from the proceeds of the underlying swap in determining whether the relevant Fund has realised a gain or a loss. If a purchased receiver swaption is exercised, the premium is added to the cost basis of the floating rate investment that has been swapped.

Unrealised gains or losses on swaptions are included in financial assets/liabilities at fair value through profit or loss on the Condensed Balance Sheet. Realised and unrealised gains or losses on swaptions are included within the net gains/(losses) on financial assets and liabilities at fair value through profit or loss in the Condensed Profit and Loss Account.

xi) Interest income and expenses

Bank interest and income on debt securities are included in the Condensed Profit and Loss Account on an effective yield basis. Income and/or expenses on debt securities are included in income on debt securities in the Condensed Profit and Loss Account and may have a negative balance. Expenses and withholding taxes are accounted for on an accrual basis.

xii) Distribution policy

Distributions to holders of redeemable participating shares are classified as finance costs in the Condensed Profit and Loss Account. All net investment and net realised capital gains are retained by the Company and are reflected in the net asset value of the Funds. In the event that the Company has paid or decided to pay any dividend on behalf of a Fund, such dividend will be paid in compliance with Euronext Dublin regulations and in accordance with the articles of association, i.e. out of the profits available for distribution. The distributions for the period are set out in Note 8 to the financial statements.

xiii) Dividend income

Dividends are credited to the Condensed Profit and Loss Account on the dates on which the relevant securities are listed as “ex-dividend”. Income is shown gross of any non-recoverable withholding taxes and net of any tax credits. Withholding tax is recognised in the Condensed Profit and Loss Account.

xiv) Foreign currencies

Assets and liabilities denominated in foreign currencies are translated into the functional currency at the exchange rates ruling at the period end.

Functional and presentation currencies of the Funds are disclosed in Note 11 to the financial statements. Transactions denominated in currencies other than the functional currency are translated into the functional currency at the exchange rates ruling at the dates of the transactions. All gains and losses arising on foreign currency translations are included in the Condensed Profit and Loss Account. A notional foreign exchange adjustment is included in the Condensed Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares.



125


xiv) Foreign currencies (continued)

The following exchange rates at the period end have been used to translate assets and liabilities in other currencies to USD:

Currency Description30 June

202031 December

2019 Currency Description30 June

202031 December

2019

Argentine Peso ARS 70.4532 59.8729 Malaysian Ringgit MYR 4.2850 4.0905

Australian Dollar AUD 1.4524 1.4226 Mexican Peso MXN 23.1070 18.8840

Brazilian Real BRL 5.4908 4.0227 Nigerian Naira NGN - 362.9200

Canadian Dollar CAD 1.3620 1.2968 Norwegian Krone NOK 9.6470 8.7873

Chilean Peso CLP 820.6000 751.9500 Peruvian Neuvo Sol PEN 3.5355 3.3111

Chinese Yuan CNY 7.0741 - Philippine Peso PHP 49.8250 50.6450

Colombian Peso COP 3,739.2800 3,281.5000 Polish Zloty PLN 3.9557 3.7873

Czech Koruna CZK 23.7213 - Romanian Leu RON 4.3091 4.2639

Danish Krone DKK 6.6360 6.6570 Russian Ruble RUB 71.2544 62.1113

Dominican Peso DOP 58.4750 53.3600 Singapore Dollar SGD 1.3951 1.3447

Egyptian Pound EGP - 16.0500 South African Rand ZAR 17.3750 13.9835

Euro EUR 0.8904 0.8909 Sri Lankan Rupee LKR - 181.3750

Georgian Lari GEL - 2.8600 Sterling Pound GBP 0.8093 0.7549

Hong Kong Dollar HKD 7.7505 7.7918 Swedish Krona SEK 9.3167 9.3611

Hungarian Forint HUF 315.5768 294.6192 Swiss Franc CHF 0.9476 0.9684

Indonesian Rupiah IDR 14,285.0000 13,882.5000 Thai Baht THB 30.9075 29.9538

Israeli Shekel ILS 3.4610 - Turkish Lira TRY 6.8548 5.9510

Japanese Yen JPY 107.8850 108.6750 Ukranian Hryvna UAH 26.6950 23.8080

Kazakhstan Tenge KZT 405.7300 382.9250 Uruguayan Peso UYU 42.2000 37.4250

In respect of the aggregation of Funds’ financial statements, the following exchange rates against the USD were used in the preparation of the accounts:

30 June 2020 31 December 2019

Currency Description Closing rate Average rate Closing rate Average rate

Euro EUR 0.8904 0.9078 0.8909 0.8935

Sterling Pound GBP 0.8093 0.7940 0.7549 0.7837

xv) Cash and cash collateral

Cash comprises current deposits with banks. Cash is held at face value at the period-end date.

Cash collateral which is pledged to the broker is recorded as an asset to the Fund within “Cash collateral” on the Condensed Balance Sheet, and is valued at its fair value. A related liability (collateral broker-owned) is recorded as a liability within “Cash collateral payable” on the Condensed Balance Sheet and is also valued at its fair value.

xvi) Redeemable participating shares

Redeemable participating shares are redeemable at the shareholder’s option and are classified as financial liabilities. The dividend, if any, on these redeemable participating shares is recognised in the Condensed Profit and Loss Account as finance costs. The shares can be redeemed at any time for cash equal to a proportionate share of the relevant Fund’s net asset value. A share is carried at the redemption amount that is payable at the Condensed Balance Sheet date if the shareholder exercised its right to put the share back to the Fund. The fair value of the financial liability for the shares is the redemption amount per share, calculated as the net asset value per share less any associated duties and charges and any redemption dividend which is payable on the shares redeemed.



126

3. COLLATERAL

Cash received as collateral is recorded as an asset on the Balance Sheet and is valued at its fair value. A related liability to repay the collateral is recorded as a liability on the Balance Sheet and is also valued at its fair value in line with the requirements of FRS 102.

The following cash has been pledged as collateral to the Fund as at 30 June 2020:

Fund name Counterparty Amount Payden Absolute Return Bond Fund Citibank USD3,890,000Payden Global Emerging Markets Bond Fund Citibank USD70,000Payden Global Emerging Markets Bond Fund HSBC USD470,000

The following cash has been pledged as collateral to the Fund as at 31 December 2019:

Fund name Counterparty Amount Payden Absolute Return Bond Fund Barclays USD1,260,000Payden Absolute Return Bond Fund Citibank USD11,370,000Payden Absolute Return Bond Fund HSBC USD17,440,000Payden Global Bond Fund Barclays USD14,900,000Payden Global Bond Fund HSBC USD90,000Payden Global Emerging Markets Bond Fund HSBC USD1,790,000Payden Global Government Bond Index Fund Barclays USD910,000Payden Global Government Bond Index Fund HSBC USD390,000Payden Global Short Bond Fund Barclays USD15,680,000Payden Global Short Bond Fund HSBC USD300,000

The following security was provided to the Fund as collateral at 30 June 2020:

Fund name Security Coupon Maturity Amount Payden Global Government Bond Index Fund

United States Treasury Note/Bond 2.750% 30-Nov-2020 USD104,000

No security was provided to the Fund as collateral as at 31 December 2019.

4. EFFICIENT PORTFOLIO MANAGEMENT

The Investment Manager may invest in financial derivative instruments for investment purposes as specified in the Company’s prospectus.

In addition, each Fund may utilise techniques and instruments for efficient portfolio management purposes or to protect against foreign exchange rate risks, subject to the conditions and within the limits laid down by the Central Bank. Such techniques and instruments include, but are not limited to, futures, options, swaps, warrants, stock lending arrangements, repurchase/reverse repurchase agreements, forward foreign currency contracts and when issued and/or delayed delivery securities.

Efficient portfolio management transactions relating to the assets of a Fund may be entered into with one of the following aims: a reduction of risk, a reduction of cost with no increase or a minimal increase in risk or generation of additional capital or income with no, or an acceptably low level of risk (relative to the expected return).

The Company currently invests in futures, options and forward foreign currency contracts in order to hedge currency and market exposure as well as increase capital and income returns. Forward foreign currency contracts are used to hedge against anticipated future changes in exchange rates which otherwise might either adversely affect the value of the Company’s portfolio securities or adversely affect the price of securities which the Company intends to purchase at a later date. Forward foreign currency contracts are also used to take small active currency positions, where guidelines permit. The counterparties of the forward foreign currency contracts are shown in the Schedule of Investments. The details of all open transactions at the period end are disclosed in the Schedule of Investments.

During the periods ended 30 June 2020 and 30 June 2019, the Company has not used any stock lending arrangements or entered into any repurchase/reverse repurchase agreements.



127

5. TRANSACTION COSTS

Transaction costs are costs incurred in connection with the purchase and sale of financial assets or liabilities at fair value through profit or loss. They include fees such as commissions paid to agents, brokers or dealers.

Transaction costs on equities, collective investment schemes, options and futures are included in the net gains/(losses) on financial assets and liabilities at fair value through profit or loss in the Condensed Profit and Loss Account for each Fund.

Transaction costs on bonds are included in the purchase and sale price of the investment as per standard fixed income market practice. They cannot be practically or reliably gathered as they are embedded in the cost of investment and cannot be separately verified or disclosed.

Similarly, transaction costs on the purchase and sale of forward foreign currency contracts and swaps are included in the purchase and sale prices of the investment and cannot be separately verified or disclosed.

The depositary transaction costs for the periods ended 30 June 2020 and 30 June 2019 are disclosed in the Condensed Profit and Loss Account under the heading ‘Depositary fees’.

6. SHAREHOLDERS FUNDS

i) Authorised Shares

The authorised share capital of the Company is 500 billion shares of no par value initially designated as unclassified shares. The unclassified shares are available for issue as participating shares. The capital of the Company is equal to the net asset value of the Company.

Seven subscriber shares are in issue (issued for the purposes of the incorporation of the Company), one of which is held by Payden & Rygel and the remainder of which are each held by a Managing Partner of Payden & Rygel for the benefit of Payden & Rygel. Each subscriber share gives the holder the right to vote and to one vote in relation to any matters relating to the Company which are submitted to shareholders for a vote by poll.

ii) Redeemable Participating Shares

Redeemable participating shares carry the right to a proportionate share in the net assets of the Funds and the holders of the shares are entitled to one vote for every share held in relation to any matters relating to the Company which are submitted to shareholders for a vote by poll. The issued redeemable participating share capital is at all times equal to the net asset value of the Company.

The net asset value per share is determined by dividing the value of the net assets of each Fund for each share class by the total number of shares in issue in the relevant Fund for that share class at that time.



128

6. SHAREHOLDERS FUNDS (continued)

ii) Redeemable Participating Shares (continued)

At 30 June 2020 and 31 December 2019, the Company had the following shares in issue: E


Australian Dollar Class (Accumulating)*

Canadian Dollar Class (Accumulating)*

Euro Class (Accumulating)*

Japanese Yen Class (Accumulating)*

Norwegian Krone Class (Accumulating)*

Sterling Class (Accumulating)*

Sterling Class (Distributing)*

Swiss Franc Class(Accumulating)*

At trading valuation:

Shares outstanding 30 June 2020 155,949 2,757,207 25,753,137 99,638 1,663,412 103,268,767 32,416,351 1,042,42331 December 2019 155,863 2,757,207 28,211,350 99,794 1,706,926 122,298,715 37,404,629 –

Net asset value (AUD) (CAD) (EUR) (JPY) (NOK) (GBP) (GBP) (CHF)30 June 2020 1,606,154 28,830,052 262,858,576 1,002,136,309 171,141,927 1,151,111,720 301,023,922 11,389,35631 December 2019 1,629,955 29,103,505 292,890,121 1,021,655,284 178,760,823 1,385,113,617 358,276,400 –

Net asset value per share (AUD) (CAD) (EUR) (JPY) (NOK) (GBP) (GBP) (CHF)30 June 2020 10.30 10.46 10.21 10,057.76 102.89 11.15 9.29 10.9331 December 2019 10.46 10.56 10.38 10,237.19 104.74 11.32 9.58 –

* Hedged share class.



129



Payden Absolute Return Bond Fund (continued) Payden Euro Liquidity Fund

Swiss Franc Class (Distributing)*

US Dollar Class (Accumulating)


Euro Class (Distributing)


Shares outstanding 30 June 2020 591,980 56,302,310 2,253,166 2,982,85331 December 2019 – 53,017,678 2,373,742 2,982,853

Net asset value (CHF) (USD) (EUR) (EUR)30 June 2020 6,299,969 666,996,605 37,447,970 29,700,20831 December 2019 – 631,108,428 39,713,658 29,899,620

Net asset value per share (CHF) (USD) (EUR) (EUR)30 June 2020 10.64 11.85 16.62 9.9631 December 2019 – 11.90 16.73 10.02




130




Euro Class*Euro Class

(Distributing)*Norwegian Krone

Class* US Dollar Class


Unhedged


Shares outstanding 30 June 2020 663,054 1,246,243 21,363,300 1,948,675 366,15131 December 2019 882,080 1,246,243 20,876,666 1,983,395 797,579

Net asset value (EUR) (EUR) (NOK) (USD) (USD)30 June 2020 11,550,673 12,741,369 3,202,397,009 56,222,113 4,095,31631 December 2019 14,960,141 12,502,473 3,032,333,962 55,138,419 8,693,086

Net asset value per share (EUR) (EUR) (NOK) (USD) (USD)30 June 2020 17.42 10.22 149.91 28.85 11.1831 December 2019 16.96 10.03 145.25 27.80 10.90




131




Euro Class*Sterling Class

(Accumulating)*Swiss Franc Class (Accumulating)* US Dollar Class

US Dollar Class (Distributing)


Shares outstanding 30 June 2020 478,329 1,549 7,271,209 488,890 11,221,63431 December 2019 431,042 1,549 7,267,703 458,271 11,211,030

Net asset value (EUR) (GBP) (CHF) (USD) (USD)30 June 2020 9,562,423 21,618 79,697,867 16,767,895 87,553,37331 December 2019 9,303,104 23,383 86,152,885 16,648,329 95,315,072

Net asset value per share (EUR) (GBP) (CHF) (USD) (USD)30 June 2020 19.99 13.95 10.96 34.30 7.8031 December 2019 21.59 15.09 11.85 36.33 8.50




132




Corporate Bond Fund






Shares outstanding 30 June 2020 5,222,102 34,635 5,185,00731 December 2019 5,209,151 37,082 4,680,906

Net asset value (USD) (GBP) (USD)30 June 2020 47,989,720 340,319 52,932,95931 December 2019 49,745,461 404,518 56,188,371

Net asset value per share (USD) (GBP) (USD)30 June 2020 9.19 9.83 10.2131 December 2019 9.55 10.91 12.00



133






Singapore Dollar Class (Distributing)*





Shares outstanding 30 June 2020 728,499 1,357,678 1,886,608 73,514 1,991,384 2,154,37231 December 2019 978,803 1,357,678 2,594,524 73,514 2,241,091 2,354,372

Net asset value (EUR) (NOK) (SGD) (GBP) (GBP) (USD)30 June 2020 7,944,033 222,664,514 22,473,282 1,044,030 25,514,492 25,275,52631 December 2019 10,245,034 211,902,885 29,561,758 997,390 27,550,112 26,262,811

Net asset value per share (EUR) (NOK) (SGD) (GBP) (GBP) (USD)30 June 2020 10.91 164.00 11.91 14.20 12.81 11.7331 December 2019 10.47 156.06 11.39 13.56 12.30 11.15




134




Sterling Class (Accumulating)* US Dollar Class


Shares outstanding 30 June 2020 469 434,47031 December 2019 467 434,470

Net asset value (GBP) (USD)30 June 2020 8,424 11,835,78031 December 2019 9,001 12,536,784

Net asset value per share (GBP) (USD)30 June 2020 17.97 27.2431 December 2019 19.26 28.86




135







Sterling Class Unhedged (Distributing)



Shares outstanding 30 June 2020 792,810 54,594 3,011,298 846,876 1,762,97331 December 2019 795,609 54,594 2,797,584 849,126 2,221,211

Net asset value (EUR) (GBP) (GBP) (GBP) (USD)30 June 2020 8,905,032 784,551 41,585,866 12,336,158 29,551,93131 December 2019 8,475,507 744,404 36,758,817 11,133,460 34,788,718

Net asset value per share (EUR) (GBP) (GBP) (GBP) (USD)30 June 2020 11.24 14.37 13.81 14.57 16.7631 December 2019 10.65 13.63 13.14 13.11 15.66




136







Swedish Krona Class (Accumulating)* US Dollar Class


Shares outstanding 30 June 2020 1,680,182 31,272,429 1,085,061 2,465,227 416,94931 December 2019 1,679,335 29,945,140 1,084,516 2,733,410 417,242

Net asset value (EUR) (NOK) (GBP) (SEK) (USD)30 June 2020 16,668,310 3,448,598,665 10,865,709 249,627,593 6,867,78031 December 2019 16,748,965 3,299,818,296 10,869,756 277,739,463 6,845,766

Net asset value per share (EUR) (NOK) (GBP) (SEK) (USD)30 June 2020 9.92 110.27 10.01 101.27 16.4731 December 2019 9.98 110.19 10.02 101.57 16.41




137



Payden Sterling Reserve Fund Payden US Core Bond Fund



Sterling Class (Distributing) US Dollar Class



Shares outstanding 30 June 2020 15,028,988 8,903,967 4,541,977 21,639,56931 December 2019 14,045,412 9,891,427 4,676,197 21,323,004

Net asset value (GBP) (GBP) (USD) (USD)30 June 2020 167,677,379 90,129,433 54,223,592 244,347,73431 December 2019 156,035,717 100,121,240 54,740,339 237,773,691

Net asset value per share (GBP) (GBP) (USD) (USD)30 June 2020 11.16 10.12 11.94 11.2931 December 2019 11.11 10.12 11.71 11.15



138









Shares outstanding 30 June 2020 94,904 77,710 8,100,289 120,17931 December 2019 99,803 577,710 8,541,335 120,179

Net asset value (EUR) (GBP) (USD) (USD)30 June 2020 987,472 759,430 98,435,177 1,247,50731 December 2019 1,031,008 5,597,529 101,834,204 1,224,038

Net asset value per share (EUR) (GBP) (USD) (USD)30 June 2020 10.41 9.78 12.15 10.3831 December 2019 10.33 9.69 11.92 10.19




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7. FAIR VALUE ESTIMATION

The Company has classified fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. FRS 102 Section 11.27 on “Fair Value: Disclosure” requires disclosure relating to the fair value hierarchy in which fair value measurements are categorised for assets and liabilities. The disclosures are based on a three level fair value hierarchy for the inputs used in valuation techniques to measure fair value. The fair value hierarchy has the following levels:

Level 1: The unadjusted quoted prices in an active market for identical assets or liabilities that the entity can access at the measurement date.

Level 2: Inputs other than quoted prices included within Level 1 that are observable (i.e. developed using market data) for the asset or liability, either directly or indirectly.

Level 3: Inputs are unobservable (i.e. for which market data is unavailable) for the asset or liability.

It will create a fair value hierarchy based upon inputs (observable and unobservable), that is familiar to preparers and users of financial statements, rather than on valuation techniques.

Fair value hierarchy of the financial assets and liabilities measured at fair value is as follows:


As at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds – 2,622,409,819 – 2,622,409,819Transferable securities - Investment Funds - UCITS 16,862,308 – – 16,862,308Leveraged Loans – 51,108,134 – 51,108,134Short Term Investments 49,988,500 – – 49,988,500Forward foreign currency contracts – 5,656,051 – 5,656,051Futures contracts 368,199 – – 368,199Options 116,640 – – 116,640Swaps – 3,429,883 – 3,429,883Total financial assets 67,335,647 2,682,603,887 – 2,749,939,534

Forward foreign currency contracts – (2,733,246) – (2,733,246)Futures contracts (622,902) – – (622,902)Total financial liabilities (622,902) (2,733,246) – (3,356,148)

As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds(1) 189,704,907 2,877,332,423 – 3,067,037,330Transferable securities - Investment Funds(2) 13,753,027 – – 13,753,027Leveraged Loans – 72,355,969 – 72,355,969Forward foreign currency contracts – 60,958,414 – 60,958,414Futures contracts 418,647 – – 418,647Options 423,294 – – 423,294Swaptions – 480,150 – 480,150Total financial assets 204,299,875 3,011,126,956 – 3,215,426,831

Forward foreign currency contracts – (10,390,687) – (10,390,687)Futures contracts (2,647,780) – – (2,647,780)Swaps – (5,482,298) – (5,482,298)Swaptions – (984,355) – (984,355)Total financial liabilities (2,647,780) (16,857,340) – (19,505,120)


As at 30 June 2020 Level 1 Level 2 Level 3 Total (EUR)Transferable securities - Bonds – 60,140,892 – 60,140,892Short Term Investments 6,732,085 – – 6,732,085Total financial assets 6,732,085 60,140,892 – 66,872,977

As at 31 December 2019 Level 1 Level 2 Level 3 Total (EUR)Transferable securities - Bonds(1) 1,504,155 66,938,055 – 68,442,210Total financial assets 1,504,155 66,938,055 – 68,442,210

(1) Includes Short Term Investments as at 31 December 2019.(2) Includes Transferable securities - Investment Funds - UCITS as at 31 December 2019.



140

7. FAIR VALUE ESTIMATION (continued)


As at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 237,388,249 159,324,712 – 396,712,961Transferable securities - Investment Funds - UCITS 10,619,468 – – 10,619,468Short Term Investments 13,181,129 – – 13,181,129Forward foreign currency contracts – 2,933,920 – 2,933,920Futures contracts 319,169 – – 319,169Total financial assets 261,508,015 162,258,632 – 423,766,647


As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 271,063,338 130,683,674 – 401,747,012Transferable securities - Investment Funds(1) 10,418,387 – – 10,418,387Forward foreign currency contracts – 17,142,654 – 17,142,654Futures contracts 510,678 – – 510,678Options – 51,976 – 51,976Swaptions – 73,614 – 73,614Total financial assets 281,992,403 147,951,918 – 429,944,321

Forward foreign currency contracts – (3,528,165) – (3,528,165)Futures contracts (402,521) – – (402,521)Swaptions – (148,164) – (148,164)Total financial liabilities (402,521) (3,676,329) – (4,078,850)


As at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 32,787,794 161,055,179 – 193,842,973Forward foreign currency contracts – 1,664,841 – 1,664,841Swaps – 21,279 – 21,279Total financial assets 32,787,794 162,741,299 – 195,529,093

Forward foreign currency contracts – (871,775) – (871,775)Swaps – (245,504) – (245,504)Total financial liabilities – (1,117,279) – (1,117,279)

As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds(2) 140,372,222 64,291,938 – 204,664,160Forward foreign currency contracts – 2,443,714 – 2,443,714Swaps – 213,123 – 213,123Total financial assets 140,372,222 66,948,775 – 207,320,997

Forward foreign currency contracts – (483,933) – (483,933)Total financial liabilities – (483,933) – (483,933)


As at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 328,978 46,813,429 – 47,142,407Leveraged Loans – 692,992 – 692,992Forward foreign currency contracts – 52,573 – 52,573Total financial assets 328,978 47,558,994 – 47,887,972

Forward foreign currency contracts – (60,927) – (60,927)Futures contracts (30,843) – – (30,843)Swaps – (51,624) – (51,624)Total financial liabilities (30,843) (112,551) – (143,394)

(1) Includes Transferable securities - Investment Funds - UCITS as at 31 December 2019. (2) Includes Short Term Investments as at 31 December 2019.



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Payden Global Emerging Markets Corporate Bond Fund (continued)

As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds(1) 1,917,707 45,621,661 – 47,539,368Leveraged Loans – 889,670 – 889,670Forward foreign currency contracts – 4,126 – 4,126Swaps – 55,621 – 55,621Total financial assets 1,917,707 46,571,078 – 48,488,785



As at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Equities 51,390,288 1,218,583 – 52,608,871Total financial assets 51,390,288 1,218,583 – 52,608,871

As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Equities 53,329,715 2,637,945 – 55,967,660Total financial assets 53,329,715 2,637,945 – 55,967,660


As at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 102,672,663 – – 102,672,663Forward foreign currency contracts – 557,921 – 557,921Total financial assets 102,672,663 557,921 – 103,230,584


As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 115,211,708 – – 115,211,708Forward foreign currency contracts – 2,578,420 – 2,578,420Total financial assets 115,211,708 2,578,420 – 117,790,128

Forward foreign currency contracts – (1,192,594) – (1,192,594)Total financial liabilities – (1,192,594) – (1,192,594)


As at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds – 11,103,306 – 11,103,306Leveraged Loans – 909,619 – 909,619Forward foreign currency contracts – 4,069 – 4,069Futures contracts 1,344 – – 1,344Swaps – 11,127 – 11,127Total financial assets 1,344 12,028,121 – 12,029,465

Forward foreign currency contracts – (32,571) – (32,571)Futures contracts (8,735) – – (8,735)Total financial liabilities (8,735) (32,571) – (41,306)

As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 228,620 10,670,198 – 10,898,818Transferable securities - Equities 12,683 – – 12,683Leveraged Loans – 854,229 – 854,229Forward foreign currency contracts – 134,848 – 134,848Futures contracts 3,461 – – 3,461Total financial assets 244,764 11,659,275 – 11,904,039


(1) Includes Short Term Investments as at 31 December 2019.



142



As at at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 101,371,735 – – 101,371,735Forward foreign currency contracts – 152,975 – 152,975Total financial assets 101,371,735 152,975 – 101,524,710


As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 104,442,086 – – 104,442,086Forward foreign currency contracts – 1,468,031 – 1,468,031Total financial assets 104,442,086 1,468,031 – 105,910,117

Forward foreign currency contracts – (1,080,115) – (1,080,115)Total financial liabilities – (1,080,115) – (1,080,115)


As at at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 99,268,014 277,252,833 – 376,520,847Transferable securities - Investment Funds - UCITS 14,011,598 – – 14,011,598Leveraged Loans – 946,096 – 946,096Short Term Investments 20,511,491 – – 20,511,491Forward foreign currency contracts – 3,278,655 – 3,278,655Futures contracts 37,703 – – 37,703Total financial assets 133,828,806 281,477,584 – 415,306,390


As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds(1) 104,237,572 289,403,893 – 393,641,465Transferable securities - Investment Funds(2) 13,746,286 – – 13,746,286Leveraged Loans – 393,614 – 393,614Forward foreign currency contracts – 18,276,009 – 18,276,009Futures contracts 150,962 – – 150,962Options – 56,048 – 56,048Swaptions – 79,235 – 79,235Total financial assets 118,134,820 308,208,799 – 426,343,619

Forward foreign currency contracts – (2,989,286) – (2,989,286)Futures contracts (85,701) – – (85,701)Swaps – (62,711) – (62,711)Swaptions – (159,597) – (159,597)Total financial liabilities (85,701) (3,211,594) – (3,297,295)

Payden Sterling Corporate Bond Fund - Investment Grade*

As at 31 December 2019 Level 1 Level 2 Level 3 Total (GBP)Transferable securities - Bonds 1,371,303 17,878,301 – 19,249,604Total financial assets 1,371,303 17,878,301 – 19,249,604

Futures contracts (14,300) – – (14,300)Total financial liabilities (14,300) – – (14,300)


As at at 30 June 2020 Level 1 Level 2 Level 3 Total (GBP)Transferable securities - Bonds – 241,808,572 – 241,808,572Short Term Investments 13,998,792 – – 13,998,792Total financial assets 13,998,792 241,808,572 – 255,807,364

As at 31 December 2019 Level 1 Level 2 Level 3 Total (GBP)Transferable securities - Bonds(1) 18,542,224 234,042,378 – 252,584,602Total financial assets 18,542,224 234,042,378 – 252,584,602

(1) Includes Short Term Investments as at 31 December 2019.(2) Includes Transferable securities - Investment Funds - UCITS as at 31 December 2019.* See Note 1.



143



As at at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 12,428,374 44,189,891 – 56,618,265Short Term Investments 1,459,859 – – 1,459,859Forward foreign currency contracts – 7,435 – 7,435Futures contracts 12,344 – – 12,344Total financial assets 13,900,577 44,197,326 – 58,097,903


As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds(1) 17,062,163 39,815,594 – 56,877,757Forward foreign currency contracts – 2,394 – 2,394Futures contracts 3,172 – – 3,172Options – 7,878 – 7,878Swaptions – 11,145 – 11,145Total financial assets 17,065,335 39,837,011 – 56,902,346

Forward foreign currency contracts – (20,922) – (20,922)Futures contracts (6,939) – – (6,939)Swaptions – (22,437) – (22,437)Total financial liabilities (6,939) (43,359) – (50,298)


As at at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds 30,880,654 173,310,444 – 204,191,098Certificates of Deposit – 3,371,376 – 3,371,376Short Term Investments 22,590,278 12,124,671 – 34,714,949Total financial assets 53,470,932 188,806,491 – 242,277,423

As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds(2) 41,997,901 193,542,978 – 235,540,879Total financial assets 41,997,901 193,542,978 – 235,540,879


As at at 30 June 2020 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds – 100,501,803 – 100,501,803Forward foreign currency contracts – 10,913 – 10,913Futures contracts 3,376 – – 3,376Total financial assets 3,376 100,512,716 – 100,516,092

Forward foreign currency contracts – (756) – (756)Futures contracts (20,306) – – (20,306)Swaps – (80,749) – (80,749)Total financial liabilities (20,306) (81,505) – (101,811)

As at 31 December 2019 Level 1 Level 2 Level 3 Total (USD)Transferable securities - Bonds – 105,766,352 – 105,766,352Forward foreign currency contracts – 184,399 – 184,399Futures contracts 24,977 – – 24,977Total financial assets 24,977 105,950,751 – 105,975,728


(1) Includes Short Term Investments as at 31 December 2019.(2) Includes Certificates of Deposit and Short Term Investments as at 31 December 2019.



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Investments the values of which are based on quoted market prices in active markets are classified within Level 1. They include government and government-related bonds that are both investment grade and denominated in their own currency, exchange traded derivatives and other quoted securities such as investment funds and equities. The Company does not adjust the quoted price for these instruments.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include agency and corporate bonds, leveraged loans and OTC derivatives. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently. Unobservable inputs shall be used to measure fair value to the extent that relevant observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. The fair value measurement objective remains the same, i.e. an exit price from the perspective of a market participant that holds the asset or owes the liability. Therefore, unobservable inputs shall reflect the assumptions that the Directors would use when pricing the asset or liability, including assumptions about risk.

There were no investments classified within Level 3 at the period ended 30 June 2020 (31 December 2019: none).

Transfers of securities from Level 1 to Level 2 as at 30 June 2020:

Fund Value Payden Absolute Return Bond Fund USD165,590,534Payden Euro Liquidity Fund EUR501,851Payden Global Bond Fund USD5,873,444Payden Global Emerging Markets Bond Fund USD79,107,051Payden Global Emerging Markets Corporate Bond Fund USD1,042,566Payden Global High Yield Bond Fund USD104,450Payden Global Short Bond Fund USD7,317,771Payden Sterling Reserve Fund GBP12,275,345Payden US Core Bond Fund USD956,981Payden US Dollar Liquidity Fund USD399,578

There were no transfers of securities from Level 1 to Level 2 as at 31 December 2019.

Transfers of securities from Level 2 to Level 1 as at 30 June 2020:

Fund Value Payden Global Equity Income Fund USD464,129Payden US Core Bond Fund USD110,340

There were no transfers of securities from Level 2 to Level 1 as at 31 December 2019.

8. DISTRIBUTIONS TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES

The Company currently pays a dividend monthly in respect of the Payden Absolute Return Bond Fund – Sterling Class (Distributing) and Swiss Franc Class (Distributing).

The Company also currently pays a dividend quarterly in respect of the Payden Global Bond Fund – Euro Class (Distributing), Payden Global Emerging Markets Bond Fund – US Dollar Class (Distributing), Payden Global Emerging Markets Corporate Bond Fund – US Dollar Class (Distributing), Payden Global Equity Income Fund – Sterling Class (Distributing), Payden Global Government Bond Index Fund – Singapore Dollar Class (Distributing) and Sterling Class (Distributing), Payden Global Inflation - Linked Bond Fund – Sterling Class (Distributing) and Sterling Class Unhedged (Distributing) and Payden Sterling Reserve Fund - Sterling Class (Distributing).

The Company also currently pays a dividend annually in respect of Payden US Core Bond Fund – US Dollar Class and Payden USD Low Duration Credit Fund – Euro Class (Distributing), Sterling Class (Distributing) and US Dollar Class (Distributing).



145

8. DISTRIBUTIONS TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES (continued)

However, the Directors may at their discretion alter the frequency with which a dividend is paid. In the event that a dividend is to be paid, shareholders in the Fund may, at their discretion, receive cash if they elect to do so. The Company reserves the right to pay dividends or make other distributions in the future in respect of any of the other Funds. In the event that the Company decides to pay any dividend on behalf of a Fund, such dividend will be paid in accordance with the rules of Euronext Dublin and in accordance with the articles of association, i.e., out of profits available for distribution. The dividend is paid out of net investment income and the net amount of all realised and unrealised capital gains (less realised and unrealised losses). Distributions recorded in the accounts include equalisation.

The distributions paid during the periods ended 30 June 2020 and 30 June 2019 were as follows:

Fund Currency 30 June 2020 30 June 2019


Sterling Class (Distributing) GBP 4,275,155 5,130,956

Swiss Franc Class (Distributing) CHF 13,499 –


Euro Class (Distributing) EUR 93,717 115,369


US Dollar Class (Distributing) USD 2,342,407 2,910,555


US Dollar Class (Distributing) USD 1,023,371 1,244,997


Sterling Class (Distributing) GBP 4,063 5,048


Singapore Dollar Class (Distributing) SGD 98,799 168,366




Sterling Class Unhedged (Distributing) GBP 32,943 127,324




US Dollar Class USD 1,552,287 1,212,349

9. SOFT COMMISSION ARRANGEMENTS

There were no soft commission arrangements affecting the Company during the period ended 30 June 2020 (30 June 2019: Nil).

10. RELATED PARTIES

The Investment Manager, Administrator and Distributor are related parties under FRS 102 “Related Party Transactions”.

In compliance with the Central Bank UCITS Regulations 81(4)(b), the Directors confirm that for the period ended 30 June 2020, all transactions carried out with connected parties were on an arms length basis and in the best interest of shareholders.

In compliance with the Central Bank UCITS Regulations 81(4)(a), the Directors confirm that there are in place arrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 43 (1) of the Central Bank UCITS Regulations are applied to all transactions with a related party.



146

10. RELATED PARTIES (continued)

As at 30 June 2020, Payden Absolute Return Bond Fund, Payden Global Bond Fund and Payden Global Short Bond Fund held investments in Payden USD Low Duration Credit Fund. Payden Absolute Return Bond Fund also held investments in Payden Global High Yield Bond Fund. Details of the transactions for each Fund can be found overleaf.

None of the Directors or the Company Secretary, at the date of this report, holds or held, on the date of his appointment or during the period ended 30 June 2020 any direct beneficial interest in the shares of the Company.

The Directors are related parties of the Company. Joan A. Payden, Robin Creswell, Mark Morris (resigned on 20 February 2020), Mary Beth Syal, Erinn King and Nigel Jenkins (appointed on 28 May 2020) are Managing Directors of Payden & Rygel. Any Directors affiliated with the Investment Manager shall not be entitled to a fee for their services as Directors.

The following related parties held shares in the Company as at 30 June 2020:

Related Party Shares held Fund

Payden & Rygel Global Limited 5,281 Payden Global Equity Income Fund - Sterling Class (Distributing)

The following related parties held shares in the Company as at 31 December 2019:

Related Party Shares held Fund

Payden & Rygel Global Limited 5,217 Payden Global Equity Income Fund - Sterling Class (Distributing)

Payden Global Funds plc 104,393 Payden Global High Yield Bond Fund - US Dollar Class

The following table presents inter-company holdings of shares as at 30 June 2020:

Inter-company holder of shares Shares held Fund

Payden Absolute Return Bond Fund 104,393 Payden Global High Yield Bond Fund - US Dollar Class

Payden Absolute Return Bond Fund 1,153,594 Payden USD Low Duration Credit Fund - US Dollar Class (Accumulating)

Payden Global Bond Fund 873,886 Payden USD Low Duration Credit Fund - US Dollar Class (Accumulating)

Payden Global Short Bond Fund 1,153,028 Payden USD Low Duration Credit Fund - US Dollar Class (Accumulating)

The following table presents inter-company holdings of shares as at 31 December 2019:

Inter-company holder of shares Shares held Fund

Payden Absolute Return Bond Fund 1,153,594 Payden USD Low Duration Credit Fund - US Dollar Class (Accumulating)

Payden Global Bond Fund 873,886 Payden USD Low Duration Credit Fund - US Dollar Class (Accumulating)

Payden Global Short Bond Fund 1,153,028 Payden USD Low Duration Credit Fund - US Dollar Class (Accumulating)

Payden Absolute Return Bond Fund, Payden Global Bond Fund and Payden Global Short Bond Fund have investments of USD14,018,470 (31 December 2019: USD13,753,027), USD10,619,468 (31 December 2019: USD10,418,387) and USD14,011,598 (31 December 2019: USD13,746,286) in Payden USD Low Duration Credit Fund - US Dollar Class Accumulating, respectively.

Payden Absolute Return Bond Fund has investments of USD2,843,838 (31 December 2019: Nil) in Payden Global High Yield Bond Fund - US Dollar Class.



147

10. RELATED PARTIES (continued)

Related party transactions in Payden Global Funds plc for the period ended 30 June 2020 were as follows:

Subscription Value

Redemption Value

Payden Absolute Return Bond Fund Payden Global High Yield Bond Fund - US Dollar Class USD6,600,000 USD3,603,886

There were no related party transactions in Payden Global Funds plc for the period ended 30 June 2019.

11. FUNCTIONAL AND PRESENTATION CURRENCY

Items included in the Company’s financial statements are measured using the currency of the primary economic environment in which each Fund operates (the “functional currency”). In accordance with FRS 102 – Section 30: “Foreign Currency Translation” the functional currency of each Fund has been re-evaluated by the Directors.

The functional currency of Payden Absolute Return Bond Fund, Payden Global Bond Fund, Payden Global Emerging Markets Bond Fund, Payden Global Emerging Markets Corporate Bond Fund, Payden Global Equity Income Fund, Payden Global Government Bond Index Fund, Payden Global High Yield Bond Fund, Payden Global Inflation - Linked Bond Fund, Payden Global Short Bond Fund, Payden US Core Bond Fund, Payden US Dollar Liquidity Fund and Payden USD Low Duration Credit Fund is US Dollar (“USD”).

The functional currency of Payden Sterling Corporate Bond Fund - Investment Grade* and Payden Sterling Reserve Fund is Sterling pound (“GBP”).

The functional currency of Payden Euro Liquidity Fund is Euro (“EUR”).

The presentation currency is the same as the functional currency for the Funds. The presentation currency of the Company is USD. A currency adjustment arises from the re-translation of the opening net asset value at the period end exchange rates. This method of allocation has no effect on the value of net assets allocated to the individual Funds.

12. SEGREGATED LIABILITY

The Company avails of the segregated liability provisions of the Companies Act 2014. As such, under Irish law the Company generally will not be liable as a whole to third parties and there generally will not be the potential for cross liability between the Funds.

13. SIGNIFICANT EVENTS DURING THE PERIOD

All shareholders of the Payden Sterling Corporate Bond Fund - Investment Grade have fully redeemed and this Fund is no longer being offered to investors.

Mark Morris (British) resigned as a Director on 20 February 2020.

Nigel Jenkins (British) was appointed as a Director on 28 May 2020.

On 8 January 2020 the Company issued the third addendum to the Prospectus relating to the change to distribution frequency in Payden Absolute Return Bond Fund.

On 8 May 2020 the Company issued the fourth addendum to the Prospectus relating to changes to the Company’s Anti-Dilution Levy provisions.

14. SUBSEQUENT EVENTS

There have been no other subsequent events affecting the Company since the period ended 30 June 2020.

15. APPROVAL OF THE FINANCIAL STATEMENTS

The financial statements were approved and authorised for issue by the Directors at the Board meeting held on 26 August 2020.

*See Note 1.


SCHEDULE OF SIGNIFICANT PORTFOLIO MOVEMENTS

148

The following Schedule of Significant Portfolio Movements reflects the aggregate purchases of a security exceeding one per cent of the total value of purchases and aggregate disposals greater than one per cent of the total sales for the period. At a minimum the largest 20 purchases and 20 sales must be given.


Purchases Holdings Cost

USDFederal Home Loan Bank Discount Notes 0.000% 07-Jan-2020 75,000,000 74,997,188

Freddie Mac Discount Notes 0.000% 08-Jan-2020 75,000,000 74,997,083

United States Treasury Note/Bond 2.375% 15-Mar-2022 57,814,000 59,999,743

Federal Home Loan Bank Discount Notes 0.000% 16-Mar-2020 50,000,000 49,995,625

United States Cash Management Bill 0.000% 08-Sep-2020 50,000,000 49,979,885

United States Treasury 0.000% 07-Apr-2020 50,000,000 49,912,562

United States Treasury 0.000% 21-May-2020 50,000,000 49,823,507

Marriott International Inc 0.000% 27-Apr-2020 32,000,000 31,905,653

MUL Asset Finance Corporation 0.000% 05-Mar-2020 30,000,000 29,991,300

United States Treasury Bill 0.000% 09-Jun-2020 30,000,000 29,989,640

Eaton Corp 0.000% 16-Jan-2020 30,000,000 29,988,067

Sempra Energy 0.000% 11-Mar-2020 30,000,000 29,979,700

Louisville Gas & Electric 0.000% 04-Mar-2020 28,000,000 27,990,527

Keurig Dr Pepper Inc 0.000% 06-Feb-2020 26,900,000 26,860,098

Federal Home Loan Bank Discount Notes 0.000% 19-Feb-2020 25,000,000 24,998,972

United States Treasury 0.000% 10-Mar-2020 20,000,000 19,952,680

Bell Canada 0.000% 10-Feb-2020 18,000,000 17,969,640

Federal Home Loan Bank Discount Notes 0.000% 27-Feb-2020 17,000,000 16,999,301



Sales Holdings Proceeds

USDJapan Treasury Discount Bill 0.000% 23-Mar-2020 10,700,000,000 96,691,587

United States Treasury 0.000% 11-Feb-2020 85,000,000 84,936,526


Japan Treasury Discount Bill 0.000% 16-Mar-2020 7,000,000,000 63,254,913

Japan Treasury Discount Bill 0.000% 09-Mar-2020 7,000,000,000 63,254,787


United States Treasury 0.000% 07-Apr-2020 50,000,000 49,972,650

United States Treasury 0.000% 21-May-2020 50,000,000 49,960,513

Louisville Gas & Electric 0.000% 04-Mar-2020 28,000,000 27,993,117

CenterPoint Energy Inc 0.000% 04-Feb-2020 25,000,000 24,992,708


United States Treasury Bill 0.000% 28-Jul-2020 15,000,000 14,997,054

Entergy Corp 0.000% 16-Apr-2020 15,000,000 14,964,400

CVS Health Corp 3.700% 09-Mar-2023 14,295,000 14,340,744

UniCredit SpA floating rate 20-Jan-2026 10,500,000 11,597,496

UBS Group AG floating rate 29-Jan-2026 9,950,000 10,394,254

Nigeria Government International Bond 6.750% 28-Jan-2021 10,030,000 9,825,980

Indonesia Asahan Aluminium Persero PT 5.230% 15-Nov-2021 9,500,000 9,776,475

Lloyds Banking Group PLC floating rate 05-Feb-2026 9,500,000 9,719,145

KFC Holding Co 0.000% 03-Apr-2025 9,281,910 8,957,869


SCHEDULE OF SIGNIFICANT PORTFOLIO MOVEMENTS (continued)

149



EURFrance Treasury Bill BTF 0.000% 01-Jul-2020 3,000,000 3,002,352

Italy Buoni Ordinari del Tesoro BOT 0.000% 30-Apr-2020 2,000,000 2,001,865

Italy Buoni Ordinari del Tesoro BOT 0.000% 12-Jun-2020 2,000,000 2,001,860

Italy Buoni Ordinari del Tesoro BOT 0.000% 14-Aug-2020 2,000,000 1,999,005

Italy Buoni Ordinari del Tesoro BOT 0.000% 30-Sep-2020 1,750,000 1,750,824

Spain Letras del Tesoro 0.000% 06-Mar-2020 1,250,000 1,250,800

Credit Suisse AG floating rate 18-May-2022 1,050,000 1,050,000

Siemens Financieringsmaatschappij NV 0.125% 05-Jun-2022 900,000 898,353

Athene Global Funding 1.875% 23-Jun-2023 850,000 848,921

PepsiCo Inc 0.250% 06-May-2024 700,000 701,615

General Mills Inc 1.000% 27-Apr-2023 600,000 604,558

Siemens Financieringsmaatschappij NV 0.000% 20-Feb-2023 600,000 602,616

Upjohn Finance BV 0.816% 23-Jun-2022 600,000 600,000

GlaxoSmithKline Capital PLC 0.125% 12-May-2023 600,000 599,751

LVMH Moet Hennessy Louis Vuitton SE floating rate 11-Feb-2022 600,000 599,346

FCA Bank SpA 0.250% 28-Feb-2023 600,000 599,298

RELX Finance BV 0.000% 18-Mar-2024 600,000 587,332

Danaher Corp 1.700% 30-Mar-2024 550,000 549,621

Skandinaviska Enskilda Banken AB 0.250% 19-May-2023 550,000 548,361

CaixaBank SA 1.750% 24-Oct-2023 500,000 524,808

Capgemini SE 1.250% 15-Apr-2022 500,000 498,970

Digital Dutch Finco BV 0.125% 15-Oct-2022 500,000 494,845

Cairn CLO VII BV floating rate 31-Jan-2030 400,000 400,800

Signify NV 2.000% 11-May-2024 350,000 347,151

Danone SA 1.000% 26-Mar-2025 300,000 308,520

Takeda Pharmaceutical Co Ltd 1.125% 21-Nov-2022 240,000 244,428


EURDell Bank International DAC 0.625% 17-Oct-2022 900,000 876,615

Schaeffler AG 1.125% 26-Mar-2022 800,000 770,976

BAT Capital Corp floating rate 16-Aug-2021 700,000 693,630

Siemens Financieringsmaatschappij NV 0.000% 20-Feb-2023 600,000 598,584

Imperial Brands Finance PLC 0.500% 27-Jul-2021 600,000 595,182

FCA Bank SpA 0.250% 28-Feb-2023 600,000 565,326

Skandinaviska Enskilda Banken AB 0.250% 19-May-2023 550,000 553,174

ING Bank NV floating rate 08-Apr-2022 500,000 500,499

ASB Finance Ltd 0.500% 17-Jun-2020 500,000 500,150

Medtronic Global Holdings SCA 0.000% 07-Mar-2021 500,000 500,105

RCI Banque SA floating rate 08-Jul-2020 500,000 498,460

Signify NV 2.000% 11-May-2024 350,000 349,756

Danone SA 1.000% 26-Mar-2025 300,000 313,530

Koninklijke Philips NV 1.375% 30-Mar-2025 150,000 156,903

Spain Letras del Tesoro 0.000% 06-Mar-2020 125,000 125,043

France Treasury Bill BTF 0.000% 01-Jul-2020 20,000 20,016



150



USDUnited States Treasury Note/Bond 2.750% 30-Nov-2020 16,000,000 16,153,179

United States Treasury Note/Bond 2.250% 15-Aug-2046 12,231,000 12,762,123

United States Treasury Note/Bond 1.750% 15-Nov-2029 9,641,000 10,211,511

United States Treasury Inflation Indexed Bonds 0.250% 15-Jul-2029 9,322,561 9,537,417

French Republic Government Bond OAT 0.000% 25-May-2022 8,500,000 9,424,252

Japan Government Twenty Year Bond 1.000% 20-Mar-2023 970,000,000 9,348,562

United States Treasury Note/Bond 1.875% 31-Jan-2022 7,500,000 7,722,388

Bundesrepublik Deutschland Bundesanleihe 0.250% 15-Feb-2029 6,500,000 7,636,936

Italy Buoni Poliennali Del Tesoro 1.850% 01-Jul-2025 6,000,000 6,613,888

Cyprus Government International Bond 0.625% 21-Jan-2030 5,200,000 5,739,343

Italy Buoni Poliennali Del Tesoro 1.650% 01-Dec-2030 4,970,000 5,556,289

Italy Buoni Ordinari del Tesoro BOT 0.000% 30-Nov-2020 4,000,000 4,512,901

United States Treasury Note/Bond 1.750% 31-Dec-2024 4,400,000 4,436,094

Spain Letras del Tesoro 0.000% 07-May-2021 4,000,000 4,324,553

Japan Treasury Discount Bill 0.000% 14-Sep-2020 450,000,000 4,190,943

Japan Government Forty Year Bond 2.200% 20-Mar-2050 274,000,000 3,784,741

Japan Government Ten Year Bond 0.300% 20-Dec-2025 400,000,000 3,758,394

Mexican Bonos 5.750% 05-Mar-2026 68,830,000 3,553,480

Spain Government Bond 1.950% 30-Apr-2026 2,900,000 3,553,466

Spain Government Bond 1.250% 31-Oct-2030 3,000,000 3,230,579


Japan Government Twenty Year Bond 1.700% 20-Sep-2033 273,900,000 3,075,260

Japan Government Twenty Year Bond 1.600% 20-Jun-2030 280,000,000 3,043,473

Italy Buoni Poliennali Del Tesoro 0.350% 01-Nov-2021 2,600,000 2,969,594



Japan Government Twenty Year Bond 1.000% 20-Mar-2023 1,530,000,000 14,563,861


United States Treasury Note/Bond 3.000% 15-Feb-2048 9,550,000 11,385,395


United States Treasury Inflation Indexed Bonds 0.250% 15-Jul-2029 9,316,257 9,830,107

United States Treasury Note/Bond 2.375% 15-May-2029 8,200,000 8,665,734



Italy Buoni Poliennali Del Tesoro 5.250% 01-Nov-2029 4,745,000 7,057,087

Bundesrepublik Deutschland Bundesanleihe 0.000% 15-Aug-2026 5,800,000 6,576,564

Italy Buoni Poliennali Del Tesoro 4.500% 01-May-2023 5,475,000 6,492,516

Japan Government Ten Year Bond 0.300% 20-Dec-2025 570,000,000 5,470,608


Cyprus Government International Bond 0.625% 21-Jan-2030 5,200,000 4,989,101

French Republic Government Bond OAT 0.000% 25-May-2022 4,300,000 4,850,190

United States Treasury Note/Bond 1.750% 31-Dec-2024 4,400,000 4,477,501

Italy Buoni Poliennali Del Tesoro 3.850% 01-Sep-2049 2,840,000 4,365,947

French Republic Government Bond OAT 1.750% 25-Nov-2024 3,600,000 4,314,498


Japan Government Twenty Year Bond 1.700% 20-Sep-2033 320,000,000 3,549,073

Spain Government Bond 1.950% 30-Jul-2030 2,500,000 2,916,008



151



USDSaudi Government International Bond 3.750% 21-Jan-2055 2,250,000 2,211,210

Hungary Government Bond 3.000% 27-Oct-2027 596,700,000 2,155,564

Malaysia Government Bond 3.885% 15-Aug-2029 8,500,000 2,147,724

Ukraine Government International Bond 7.750% 01-Sep-2027 1,790,000 2,025,650

Russian Federal Bond - OFZ 6.900% 23-May-2029 118,000,000 1,854,927

Republic of South Africa Government Bond 10.500% 21-Dec-2026 31,000,000 1,796,588

Republic of South Africa Government Bond 8.000% 31-Jan-2030 30,900,000 1,666,959

Dominican Republic International Bond 6.000% 19-Jul-2028 1,595,000 1,570,619

Hungary Government Bond 3.000% 21-Aug-2030 415,000,000 1,557,655

KazMunayGas National Co JSC 5.750% 19-Apr-2047 1,305,000 1,319,260

Israel Government International Bond 3.375% 15-Jan-2050 1,240,000 1,209,322

Panama Government International Bond 4.500% 01-Apr-2056 1,170,000 1,170,000

Banque Centrale de Tunisie International Bond 5.750% 30-Jan-2025 1,255,000 1,163,325


Egypt Government International Bond 7.625% 29-May-2032 1,150,000 1,150,000

Ghana Government International Bond 6.375% 11-Feb-2027 1,090,000 1,090,000

ReNew Power Pvt Ltd 5.875% 05-Mar-2027 1,060,000 1,060,000

Bonos de la Tesoreria de la Republica en pesos 4.500% 01-Mar-2026 795,000,000 1,051,964

Ecopetrol SA 6.875% 29-Apr-2030 1,050,000 1,040,676

Philippine Government International Bond 3.700% 01-Mar-2041 825,000 1,003,406

Petrobras Global Finance BV 6.900% 19-Mar-2049 810,000 1,000,675

Paraguay Government International Bond 4.950% 28-Apr-2031 970,000 999,743

Thailand Government Bond 3.300% 17-Jun-2038 23,000,000 982,591

Serbia International Bond 3.125% 15-May-2027 860,000 916,651

Uruguay Government International Bond 3.875% 02-Jul-2040 38,290,000 900,230

Uruguay Government International Bond 4.375% 15-Dec-2028 35,136,850 880,754

Pertamina Persero PT 3.100% 25-Aug-2030 870,000 870,000

MV24 Capital BV 6.748% 01-Jun-2034 783,918 859,549

Romania Government Bond 3.650% 24-Sep-2031 3,800,000 851,550

Itau Unibanco Holding SA 2.900% 24-Jan-2023 850,000 850,000

Mexican Bonos 8.500% 18-Nov-2038 13,300,000 841,959

Hutama Karya Persero PT 3.750% 11-May-2030 830,000 826,572



152

Payden Global Emerging Markets Bond Fund (continued)


USDRepublic of Poland Government Bond 2.750% 25-Apr-2028 12,280,000 3,353,357

Hungary Government Bond 3.000% 27-Oct-2027 920,730,000 2,998,940

Petrobras Global Finance BV 6.900% 19-Mar-2049 1,735,000 1,912,174

Russian Federal Bond - OFZ 8.150% 03-Feb-2027 113,000,000 1,875,102

Republic of South Africa Government Bond 10.500% 21-Dec-2026 25,000,000 1,649,589

Saudi Government International Bond 3.750% 21-Jan-2055 1,595,000 1,566,363


Israel Government International Bond 3.375% 15-Jan-2050 1,240,000 1,223,136

Turkey Government Bond 11.000% 02-Mar-2022 7,390,000 1,091,525

Nigeria Government International Bond 0.000% 09-Mar-2020 400,000,000 1,085,609

Republic of South Africa Government Bond 6.500% 28-Feb-2041 32,000,000 1,080,983

Sri Lanka Government International Bond 7.550% 28-Mar-2030 1,080,000 1,074,113

Turkey Government International Bond 6.125% 24-Oct-2028 1,015,000 1,071,333

Ecopetrol SA 6.875% 29-Apr-2030 1,050,000 1,037,792

Serbia International Bond 3.125% 15-May-2027 860,000 992,375

Adecoagro SA 6.000% 21-Sep-2027 980,000 991,535

Uruguay Government International Bond 9.875% 20-Jun-2022 43,700,000 988,060

BOC Aviation Ltd 3.000% 11-Sep-2029 1,020,000 960,487

Philippine Government International Bond 3.700% 01-Mar-2041 825,000 940,203

Bonos de la Tesoreria de la Republica en pesos 4.500% 01-Mar-2026 635,000,000 924,789

Bahrain Government International Bond 6.750% 20-Sep-2029 935,000 916,113

Russian Federal Bond - OFZ 7.700% 23-Mar-2033 76,000,000 912,488

GEMS MENASA Cayman Ltd/GEMS Education Delaware LLC 7.125% 31-Jul-26 1,030,000 904,825

Ghana Government International Bond 6.375% 11-Feb-2027 915,000 883,185

Russian Foreign Bond - Eurobond 4.750% 27-May-2026 800,000 877,250

Egypt Government International Bond 14.800% 01-Feb-2023 13,300,000 860,057

Nigeria Government International Bond 7.875% 16-Feb-2032 800,000 854,600

Itau Unibanco Holding SA 2.900% 24-Jan-2023 850,000 852,125

Sri Lanka Government International Bond 10.750% 03-Mar-2021 162,000,000 840,779

Uruguay Government International Bond 4.975% 20-Apr-2055 685,000 840,533

Mexican Udibonos 4.000% 03-Nov-2050 19,459,320 820,092


Jordan Government International Bond 7.375% 10-Oct-2047 700,000 763,745

Israel Government International Bond 2.750% 03-Jul-2030 700,000 751,625

Malaysia Government Bond 4.181% 15-Jul-2024 3,010,000 749,559

Indonesia Government International Bond 1.400% 30-Oct-2031 670,000 741,908

BBVA Bancomer SA floating rate 13-Sep-2034 640,000 724,000

Eskom Holdings SOC Ltd 6.350% 10-Aug-2028 690,000 716,910



153



USDIndonesia Treasury Bond 8.250% 17-May-2036 8,000,000,000 624,341

JD.com Inc 3.375% 14-Jan-2030 550,000 556,307


Acwa Power Management And Investments One Ltd 5.950% 15-Dec-2039 500,000 503,063

Adani Electricity Mumbai Ltd 3.949% 12-Feb-2030 520,000 501,775

Peruvian Government International Bond 6.350% 12-Aug-2028 1,400,000 487,626

Fomento Economico Mexicano SAB de CV 3.500% 16-Jan-2050 460,000 487,364

MEGlobal Canada ULC 5.875% 18-May-2030 465,000 481,450

Bank Leumi Le-Israel BM floating rate 29-Jan-2031 485,000 462,088

Oi SA 10.000% 27-Jul-2025 510,000 457,981

VTR Finance NV 6.375% 15-Jul-2028 420,000 420,000

Petrobras Global Finance BV 5.299% 27-Jan-2025 365,000 382,246

Russian Federal Bond - OFZ 8.150% 03-Feb-2027 20,500,000 362,328

Geopark Ltd 144A 5.500% 17-Jan-2027 350,000 347,498

AI Candelaria Spain SLU 7.500% 15-Dec-2028 290,000 331,615

Pertamina Persero PT 6.500% 07-Nov-2048 240,000 269,921

Weibo Corp 3.375% 08-Jul-2030 270,000 268,210

Sino-Ocean Land Treasure Finance II Ltd 5.950% 04-Feb-2027 245,000 266,910

Colbun SA 3.150% 06-Mar-2030 270,000 265,783

Mexico City Airport Trust 5.500% 31-Jul-2047 240,000 264,000


USDGazprom PJSC Via Gaz Capital SA 4.950% 23-Mar-2027 705,000 741,308

Embraer Netherlands Finance BV 5.400% 01-Feb-2027 620,000 569,242

First Quantum Minerals Ltd 7.250% 01-Apr-2023 535,000 541,688

Petrobras Global Finance BV 8.750% 23-May-2026 475,000 541,643

Adani Transmission Ltd 4.000% 03-Aug-2026 520,000 539,760

Adecoagro SA 6.000% 21-Sep-2027 530,000 536,875

Mexico City Airport Trust 3.875% 30-Apr-2028 505,000 529,871

Abu Dhabi National Energy Co PJSC 4.375% 22-Jun-2026 465,000 518,500

GMR Hyderabad International Airport Ltd 4.250% 27-Oct-2027 510,000 489,600

MAF Global Securities Ltd floating rate Perpetual 485,000 460,750

Oi SA 10.000% 27-Jul-2025 460,000 427,800

GEMS MENASA Cayman Ltd/GEMS Education Delaware LLC 7.125% 31-Jul-2026 485,000 425,025

Teva Pharmaceutical Finance Netherlands III BV 6.750% 01-Mar-2028 375,000 406,875

CNOOC Finance 2014 ULC 4.250% 30-Apr-2024 345,000 376,208

Transportadora de Gas del Sur SA 6.750% 02-May-2025 425,000 374,000

Indonesia Treasury Bond 5.625% 17-May-2023 4,200,000,000 304,399

Tencent Holdings Ltd 144A 3.975% 11-Apr-2029 270,000 296,255

BBVA Bancomer SA floating rate 13-Sep-2034 250,000 282,813

HSBC Bank PLC 0.000% 09-Mar-2020 100,000,000 271,402

Colbun SA 3.150% 06-Mar-2030 270,000 271,215

Minera Mexico SA de CV 4.500% 26-Jan-2050 260,000 269,776


America Movil SAB de CV 3.625% 22-Apr-2029 240,000 267,358

Ecopetrol SA 5.875% 18-Sep-2023 245,000 265,948



154



USDBank of America Corp 33,600 1,026,863

Chevron Corp 10,000 975,888

Siemens AG 9,100 954,764

Apple Inc 3,300 900,549

ASML Holding NV 2,200 797,740

American Tower Corp 3,100 791,130

SAP SE 5,700 789,022

Sanofi 7,700 780,567

Comcast Corp 18,500 769,820

Maxim Integrated Products Inc 12,600 745,741

Yum! Brands Inc 8,100 734,960

Texas Instruments Inc 5,800 727,163

Honeywell International Inc 4,700 722,103

JPMorgan Chase & Co 6,300 713,691

Fidelity National Financial Inc 16,600 653,285

Kimberly-Clark Corp 4,300 603,914

Broadcom Inc 1,800 582,798

Citizens Financial Group Inc 15,100 562,560

QUALCOMM Inc 7,900 544,455

Visa Inc 2,800 534,828

Waste Management Inc 5,100 531,987

First Citizens BancShares Inc 20,900 522,500

DuPont de Nemours Inc 9,000 511,440

Crown Castle International Corp 3,500 508,353

International Business Machines Corp 3,500 502,744

Prologis Inc 6,300 495,625

Coca-Cola Co 9,700 440,737

Union Pacific Corp 3,100 438,860

Republic Services Inc 5,700 408,200

Allianz SE 1,900 406,668

AT&T Inc 9,000 344,828

ABB Ltd 14,900 333,481

Toronto-Dominion Bank 6,200 303,982

Citigroup Inc 4,800 276,625

Paychex Inc 3,100 275,855

Enterprise Products Partners LP 11,800 261,754

Goldman Sachs Group Inc 1,200 228,820



155

Payden Global Equity Income Fund (continued)


USDPfizer Inc 29,600 1,081,699

Kering SA 2,100 1,081,331

Wells Fargo & Co 20,400 957,174

Eli Lilly and Co 5,600 811,306

AvalonBay Communities Inc 5,100 689,122

Merck & Co Inc 7,200 595,899

Broadcom Inc 1,800 570,951

JM Smucker Co 5,200 560,852

Airbus SE 7,800 539,508

Williams Cos Inc 24,700 511,122

Simon Property Group Inc 3,700 493,003

First Citizens BancShares Inc 20,900 487,097

Bank of America Corp 15,300 433,983

BASF SE 8,300 406,899

Equinor ASA 41,800 396,626

DuPont de Nemours Inc 7,200 383,193

American Electric Power Co Inc 4,800 379,076

Medtronic PLC 3,500 354,038

Citizens Financial Group Inc 15,100 344,081

Legal & General Group PLC 142,300 341,289

Magellan Midstream Partners LP 8,100 336,421

TOTAL SA 9,700 336,300


Delta Air Lines Inc 9,700 326,953

Bristol-Myers Squibb Co 5,200 318,367

Consolidated Edison Inc 4,400 317,593

Roche Holding AG 900 317,308

Air Lease Corp 20,000 295,677


Maxim Integrated Products Inc 4,200 256,117

Texas Instruments Inc 1,900 251,756

Lloyds Banking Group PLC 633,700 251,345

Phillips 66 5,800 245,530

Microsoft Corp 1,300 244,343

Royal Dutch Shell PLC 20,600 237,406

Citigroup Inc 3,200 215,760

Verizon Communications Inc 3,600 210,723

Qantas Airways Ltd 126,600 190,992



156



USDUnited States Treasury Note/Bond 2.125% 31-Mar-2024 20,538,000 21,384,296




Bundesrepublik Deutschland Bundesanleihe 6.250% 04-Jan-2024 2,400,000 3,355,670



Bundesrepublik Deutschland Bundesanleihe 2.500% 04-Jul-2044 1,050,000 1,911,092

Spain Government Bond 1.250% 31-Oct-2030 1,690,000 1,840,573


United States Treasury Note/Bond 0.125% 30-Apr-2022 1,156,000 1,154,103


Italy Buoni Poliennali Del Tesoro 1.850% 01-Jul-2025 1,000,000 1,082,490

Bundesrepublik Deutschland Bundesanleihe 4.750% 04-Jul-2034 550,000 1,059,616

United States Treasury Note/Bond 3.000% 15-Feb-2048 800,000 1,040,049

United States Treasury Note/Bond 2.875% 15-May-2028 900,000 991,937

Bundesrepublik Deutschland Bundesanleihe 5.625% 04-Jan-2028 600,000 977,842


United States Treasury Note/Bond 2.250% 15-Nov-2025 800,000 825,597

Japan Government Forty Year Bond 2.200% 20-Mar-2049 50,000,000 693,777


USDUnited States Treasury Note/Bond 2.500% 15-Aug-2023 17,230,000 17,855,783











Bundesrepublik Deutschland Bundesanleihe 6.250% 04-Jan-2024 1,200,000 1,690,523


French Republic Government Bond OAT 0.000% 25-Mar-2023 1,300,000 1,453,151



Spain Government Bond 6.000% 31-Jan-2029 782,942 1,199,649


United States Treasury Note/Bond 0.125% 30-Apr-2022 1,156,000 1,154,802

Italy Buoni Poliennali Del Tesoro 5.000% 01-Mar-2025 920,000 1,152,384

Bundesrepublik Deutschland Bundesanleihe 5.625% 04-Jan-2028 700,000 1,146,655

Japan Government Thirty Year Bond 1.400% 20-Dec-2045 88,000,000 1,016,182

Spain Government Bond 4.650% 30-Jul-2025 700,000 926,489

United Kingdom Gilt 4.250% 07-Dec-2046 380,000 865,549

United States Treasury Note/Bond 2.250% 15-Aug-2046 700,000 855,560

Italy Buoni Poliennali Del Tesoro 5.250% 01-Nov-2029 566,000 841,197



157



USDPhoenix Group Holdings PLC 0.000% 26-Apr-2168 300,000 300,000

Bank of Ireland Group PLC floating rate Perpetual 200,000 216,270

EQT Corp 7.000% 01-Feb-2030 250,000 205,000

Egypt Government International Bond 7.625% 29-May-2032 200,000 200,000

Ford Motor Credit Co LLC 5.125% 16-Jun-2025 200,000 200,000

VTR Finance NV 6.375% 15-Jul-2028 200,000 200,000


Panama Government International Bond 4.500% 01-Apr-2056 200,000 200,000

HTA Group Ltd 7.000% 18-Dec-2025 200,000 198,878

Weibo Corp 3.375% 08-Jul-2030 200,000 198,674

Geopark Ltd 144A 5.500% 17-Jan-2027 200,000 198,570

Republic of Belarus Ministry of Finance 5.875% 24-Feb-2026 200,000 197,598

Ghana Government International Bond 8.750% 11-Mar-2061 200,000 197,234

Piraeus Bank SA floating rate 19-Feb-2030 150,000 163,433

Dominican Republic International Bond 5.875% 30-Jan-2060 150,000 148,290

Intesa Sanpaolo SpA 5.148% 10-Jun-2030 100,000 125,965

Virgin Media Vendor Financing Notes III DAC 4.875% 15-Jul-2028 100,000 125,965

Huntington Ingalls Industries Inc 4.200% 01-May-2030 125,000 124,995

IQVIA Inc 2.875% 15-Jun-2028 100,000 113,520

Fiat Chrysler Automobiles NV 3.375% 07-Jul-2023 100,000 112,315

Fiat Chrysler Automobiles NV 4.500% 07-Jul-2028 100,000 112,315

ams AG 6.000% 31-Jul-2025 100,000 111,192

Ashland Services BV 2.000% 30-Jan-2028 100,000 111,025

Banco de Sabadell SA floating rate 17-Jan-2030 100,000 110,790

Telefonica Europe BV floating rate 05-May-2168 100,000 110,125

RCS & RDS SA 2.500% 05-Feb-2025 100,000 109,985

Altice France SA 2.125% 15-Feb-2025 100,000 109,801

Q-Park Holding I BV 2.000% 01-Mar-2027 100,000 109,775

Catalent Pharma Solutions Inc 2.375% 01-Mar-2028 100,000 108,035

Eurofins Scientific SE 3.750% 17-Jul-2026 100,000 107,258

Connecticut Avenue Securities Trust 2020-R01 floating rate 25-Jan-2040 100,000 100,000

Connecticut Avenue Securities Trust 2020-R02 0.000% 25-Jan-2040 100,000 100,000

Freddie Mac STACR Remic Trust 2020-DNA2 floating rate 25-Feb-2050 100,000 100,000

Lamar Media Corp 4.875% 15-Jan-2029 100,000 100,000

Plains All American Pipeline LP/PAA Finance Corp 3.800% 15-Sep-2030 100,000 99,794

Range Resources Corp 9.250% 01-Feb-2026 100,000 90,750

Marriott International Inc 5.750% 01-May-2025 80,000 79,997

JPMorgan Chase & Co floating rate 01-Aug-2168 75,000 74,950



158

Payden Global High Yield Bond Fund (continued)


USDSTACR Trust 2018-HRP1 floating rate 25-Apr-2043 300,000 315,996

Banco Bilbao Vizcaya Argentaria SA floating rate Perpetual 200,000 250,457

Panama Government International Bond 4.500% 01-Apr-2056 200,000 245,480

Ford Motor Credit Co LLC 5.125% 16-Jun-2025 200,000 201,750

Ghana Government International Bond 8.750% 11-Mar-2061 200,000 201,600

HTA Group Ltd/Mauritius 7.000% 18-Dec-2025 200,000 201,250

Muthoot Finance Ltd 6.125% 31-Oct-2022 200,000 186,800

GEMS MENASA Cayman Ltd/GEMS Education Delaware LLC 7.125% 31-Jul-2026 200,000 180,500

EQT Corp 7.000% 01-Feb-2030 175,000 170,844


Piraeus Bank SA floating rate 19-Feb-2030 150,000 159,208

First Quantum Minerals Ltd 6.875% 01-Mar-2026 200,000 159,000

Dominican Republic International Bond 5.875% 30-Jan-2060 150,000 147,210


Egypt Government International Bond 6.375% 11-Apr-2031 100,000 119,481

eG Global Finance PLC 6.250% 30-Oct-2025 100,000 114,556

IHO Verwaltungs GmbH 3.625% 15-May-2025 100,000 113,038

Taylor Morrison Communities Inc/Taylor Morrison Holdings II Inc 5.625 01-Mar-2024 120,000 112,500

Eurofins Scientific SE floating rate Perpetual 100,000 109,375

Mauser Packaging Solutions Holding Co 4.750% 15-Apr-2024 100,000 107,377

Ashland Services BV 2.000% 30-Jan-2028 100,000 99,622

Dufry One BV 2.000% 15-Feb-2027 100,000 98,967

Telefonica Europe BV 0.000% 05-May-2169 100,000 98,944

NOVA Chemicals Corp 5.000% 01-May-2025 88,000 90,200

Petrobras Global Finance BV 6.900% 19-Mar-2049 80,000 86,725

Bombardier Inc 6.000% 15-Oct-2022 84,000 83,580

Marriott International Inc 5.750% 01-May-2025 80,000 82,728

JPMorgan Chase & Co floating rate 01-Aug-2168 75,000 76,250


Centene Corp 4.625% 15-Dec-2029 60,000 65,114

CCO Holdings LLC/CCO Holdings Capital Corp 5.000% 01-Feb-2028 60,000 63,058

Frontier Communications Corp 8.000% 01-Apr-2027 60,000 62,850

Antero Resources Corp 5.000% 01-Mar-2025 88,000 55,000

Energy Transfer Operating LP floating rate Perpetual 80,000 54,800



159



USDUnited States Treasury Inflation Indexed Bonds 2.500% 15-Jan-2029 4,966,860 6,177,040

Deutsche Bundesrepublik Inflation Linked Bond 0.500% 15-Apr-2030 1,160,494 1,491,424

United Kingdom Gilt Inflation Linked 0.750% 22-Nov-2047 450,180 1,177,866

United States Treasury Inflation Indexed Bonds 0.125% 15-Jan-2022 1,136,860 1,138,595


United Kingdom Gilt Inflation Linked 0.125% 22-Jul-2030 200,000 959,807

French Republic Government Bond OAT 0.100% 25-Jul-2047 612,503 746,112

United Kingdom Gilt Inflation Linked 0.125% 22-Mar-2026 452,408 661,400




United States Treasury Inflation Indexed Bonds 0.875% 15-Feb-2047 320,143 382,628

United Kingdom Gilt Inflation Linked 0.625% 22-Nov-2042 137,717 327,332



Italy Buoni Poliennali Del Tesoro 2.350% 15-Sep-2035 125,357 174,534



USDUnited States Treasury Inflation Indexed Bonds 0.125% 15-Jan-2022 5,974,672 5,958,837


United Kingdom Gilt Inflation Linked 0.750% 22-Nov-2047 758,828 1,997,455

United Kingdom Gilt Inflation Linked 4.125% 22-Jul-2030 300,000 1,459,045

Deutsche Bundesrepublik Inflation Linked Bond 0.500% 15-Apr-2030 1,057,590 1,399,329


United Kingdom Gilt Inflation Linked 2.500% 17-Jul-2024 233,000 1,078,634






Deutsche Bundesrepublik Inflation Linked Bond 0.100% 15-Apr-2026 485,176 586,518



United States Treasury Inflation Indexed Bonds 0.250% 15-Jan-2025 435,224 451,306


Canadian Government Real Return Bond 4.250% 01-Dec-2026 386,717 374,371

Deutsche Bundesrepublik Inflation Linked Bond 0.100% 15-Apr-2023 314,264 361,783




160




Japan Government Twenty Year Bond 2.100% 20-Dec-2021 2,150,000,000 20,808,062

United States Treasury Note/Bond 1.500% 31-Oct-2024 19,659,000 20,200,999

United States Treasury Inflation Indexed Bonds 0.125% 15-Oct-2024 19,200,556 19,415,062

French Republic Government Bond OAT 0.000% 25-Mar-2023 13,200,000 14,878,008



Japan Government Five Year Bond 0.100% 20-Mar-2023 1,050,000,000 9,788,044

French Republic Government Bond OAT 3.250% 25-Oct-2021 6,300,000 7,312,314

United States Treasury Note/Bond 1.750% 30-Jun-2024 6,300,000 6,347,496

Italy Buoni Ordinari del Tesoro BOT 0.000% 30-Nov-2020 4,000,000 4,512,901


Spain Government Bond 0.000% 30-Apr-2023 3,800,000 4,289,159

Japan Treasury Discount Bill 0.000% 14-Sep-2020 450,000,000 4,190,943

Italy Buoni Poliennali Del Tesoro 0.050% 15-Jan-2023 3,500,000 3,951,682

Goldman Sachs Group Inc 3.500% 01-Apr-2025 3,900,000 3,898,596

Republic of Austria Government Bond 0.000% 20-Sep-2022 3,000,000 3,381,132

Petrobras Global Finance BV 5.299% 27-Jan-2025 2,750,000 3,044,525

Mexican Bonos 6.500% 09-Jun-2022 45,450,000 2,436,640

Wells Fargo & Co floating rate 11-Feb-2026 2,250,000 2,250,000




United States Treasury Inflation Indexed Bonds 0.125% 15-Oct-2024 19,187,726 19,706,394

French Republic Government Bond OAT 3.250% 25-Oct-2021 15,500,000 18,183,518


United States Treasury Note/Bond 1.750% 30-Jun-2024 15,000,000 15,201,534


Fannie Mae Pool 3.000% 01-Jan-2033 4,165,485 4,363,508

Lloyds Banking Group PLC 2.250% 16-Oct-2024 2,100,000 2,653,568

Petrobras Global Finance BV 5.299% 27-Jan-2025 2,750,000 2,619,375

Fannie Mae Pool 2.500% 01-May-2028 2,383,731 2,474,239

Toronto-Dominion Bank 0.375% 25-Apr-2024 2,200,000 2,461,889

Wells Fargo & Co floating rate 11-Feb-2026 2,250,000 2,137,320

Fannie Mae Pool 2.500% 01-Dec-2034 1,967,015 2,041,700

Bombardier Inc 6.000% 15-Oct-2022 2,000,000 1,990,000

American Honda Finance Corp 0.550% 17-Mar-2023 1,850,000 1,953,876

Marriott International Inc 5.750% 01-May-2025 1,875,000 1,938,938

Antero Resources Corp 5.125% 01-Dec-2022 2,375,000 1,938,637

FCE Bank PLC 0.869% 13-Sep-2021 1,650,000 1,842,098

Sabine Pass Liquefaction LLC 5.625% 01-Feb-2021 1,700,000 1,744,183



161

Payden Sterling Corporate Bond Fund - Investment Grade*


GBPUnited Kingdom Gilt 1.500% 22-Jul-2026 870,000 926,585

Heathrow Funding Ltd 7.125% 14-Feb-2024 400,000 484,708

United Kingdom Gilt 0.750% 22-Jul-2023 450,000 454,068

Hutchison Whampoa Finance UK PLC 5.625% 24-Nov-2026 350,000 442,694

Western Power Distribution West Midlands PLC 0.000% 09-May-2025 350,000 430,077

Deutsche Telekom International Finance BV 2.250% 13-Apr-2029 400,000 415,984

GKN Holdings Ltd 5.375% 19-Sep-2022 350,000 381,374

innogy Finance BV 6.500% 20-Apr-2021 350,000 371,511

McKesson Corp 3.125% 17-Feb-2029 350,000 369,285

Annington Funding PLC 2.646% 12-Jul-2025 350,000 368,092

Bank of America Corp 2.300% 25-Jul-2025 350,000 366,013

United Utilities Water Finance PLC 2.000% 14-Feb-2025 350,000 363,878

Wells Fargo & Co 2.000% 28-Jul-2025 350,000 359,720

New York Life Global Funding 1.625% 15-Dec-2023 350,000 357,609

National Grid Electricity Transmission PLC 4.000% 08-Jun-2027 300,000 356,070

Severn Trent Utilities Finance PLC 1.625% 04-Dec-2022 350,000 355,719

FCE Bank PLC 2.727% 03-Jun-2022 350,000 355,618

BAT International Finance PLC 1.750% 05-Jul-2021 350,000 352,713

BMW International Investment BV 1.250% 11-Jul-2022 350,000 351,320

Gatwick Funding Ltd 5.250% 23-Jan-2024 300,000 346,014

Anheuser-Busch InBev SA/NV 4.000% 24-Sep-2025 300,000 343,626

Goldman Sachs Group Inc 4.250% 29-Jan-2026 300,000 342,588

ING Groep NV 3.000% 18-Feb-2026 300,000 323,751

Nestle Finance International Ltd 2.250% 30-Nov-2023 300,000 316,704

NIBC Bank NV 3.125% 15-Nov-2023 300,000 316,083

Rolls-Royce PLC 3.375% 18-Jun-2026 290,000 314,720

Orange SA 7.250% 10-Nov-2020 300,000 313,537

American Honda Finance Corp 2.625% 14-Oct-2022 300,000 312,651

Diageo Finance PLC 1.750% 12-Oct-2026 300,000 311,847

National Express Group PLC 2.500% 11-Nov-2023 300,000 311,481

Volkswagen Financial Services NV 2.750% 10-Jul-2023 300,000 311,199

BASF SE 1.375% 21-Jun-2022 300,000 303,825

General Motors Financial Co Inc 2.250% 06-Sep-2024 300,000 303,486

Toyota Motor Finance Netherlands BV 1.375% 23-May-2023 300,000 303,057

British Telecommunications PLC 8.625% 26-Mar-2020 300,000 302,370

Daimler International Finance BV 1.250% 05-Sep-2022 300,000 299,595

Engie SA 7.000% 30-Oct-2028 200,000 294,310

Amgen Inc 5.500% 07-Dec-2026 230,000 288,650

Petroleos Mexicanos 8.250% 02-Jun-2022 250,000 286,275

Southern Gas Networks PLC 4.875% 05-Oct-2023 250,000 283,458

Thames Water Utilities Finance PLC 4.000% 19-Jun-2025 250,000 281,593

Glencore Finance Europe Ltd 0.000% 03-Apr-2022 250,000 273,835

Clydesdale Bank PLC 2.250% 21-Apr-2020 270,000 270,581

Firstgroup PLC 8.750% 08-Apr-2021 250,000 269,810

Sky Ltd 6.000% 21-May-2027 200,000 264,120

Orsted A/S 2.125% 17-May-2027 250,000 263,055

Southern Water Services Finance Ltd 5.000% 31-Mar-2021 250,000 260,428

Lloyds Banking Group PLC 2.250% 16-Oct-2024 250,000 257,680

International Business Machines Corp 2.750% 21-Dec-2020 250,000 253,766

Bouygues SA 5.500% 06-Oct-2026 200,000 252,178

Iberdrola Finanzas SA 7.375% 29-Jan-2024 200,000 247,344

Cie de Saint-Gobain 5.625% 15-Nov-2024 200,000 240,996

CRH Finance UK PLC 4.125% 02-Dec-2029 200,000 239,782

Koninklijke KPN NV 5.000% 18-Nov-2026 200,000 234,078

Anglo American Capital PLC 3.375% 11-Mar-2029 200,000 213,464

Textron Inc 6.625% 07-Apr-2020 210,000 211,468

Tesco Corporate Treasury Services PLC 2.500% 02-May-2025 200,000 208,720

BP Capital Markets PLC 1.827% 08-Sep-2025 200,000 206,558

Henkel AG & Co KGaA 0.875% 13-Sep-2022 200,000 200,158

* See Note 1.



162



GBPUnited Kingdom Treasury Bill 0.000% 18-May-2020 6,000,000 5,989,845

Commonwealth Bank of Australia floating rate 16-Jan-2025 5,000,000 5,000,000

United Kingdom Treasury Bill 0.000% 27-Jul-2020 5,000,000 4,998,131

United Kingdom Treasury Bill 0.000% 09-Nov-2020 5,000,000 4,996,751

Japan Bank for International Cooperation 2.625% 15-Dec-2020 4,000,000 4,051,840

DNB Bank ASA 1.375% 12-Jun-2023 4,164,000 4,004,727

Nationwide Building Society 0.000% 10-Jan-2025 4,000,000 4,001,445

Lloyds Bank PLC floating rate 03-Feb-2023 4,000,000 4,000,115

United Kingdom Treasury Bill 0.000% 14-Sep-2020 4,000,000 3,999,732

United Kingdom Treasury Bill 0.000% 27-Apr-2020 4,000,000 3,994,238

E-Carat 11 PLC floating rate 18-May-2028 4,000,000 3,990,000

Finsbury Square 2020-1 PLC floating rate 16-Mar-2070 3,438,202 3,429,867

International Business Machines Corp 2.750% 21-Dec-2020 3,000,000 3,046,840

First Abu Dhabi Bank PJSC 1.375% 19-Feb-2023 3,000,000 2,998,750

CPPIB Capital Inc 0.375% 25-Jul-2023 3,000,000 2,991,570

CMF 2020-1 PLC floating rate 16-Jan-2057 2,500,000 2,500,000

Bavarian Sky UK 3 PLC floating rate 20-Apr-2028 2,400,000 2,400,000

National Australia Bank Ltd 5.125% 09-Dec-2021 2,070,000 2,230,094

BNG Bank NV 1.000% 15-Mar-2022 2,000,000 2,024,640

Dexia Credit Local SA 0.875% 07-Sep-2021 2,000,000 2,012,630

United Kingdom Treasury Bill 0.000% 11-May-2020 2,000,000 1,996,840

Orbita Funding 2020-1 PLC floating rate 17-Mar-2027 1,800,000 1,800,000

SNCF Reseau 5.500% 01-Dec-2021 1,500,000 1,612,470

Precise Mortgage Funding 2020-1B PLC floating rate 16-Oct-2056 1,500,000 1,500,000

Bumper UK 2019-1 Finance PLC floating rate 20-Dec-2028 1,500,000 1,495,500

Royal Bank of Canada floating rate 30-Jan-2025 1,500,000 1,495,230

Daimler International Finance BV 2.750% 04-Dec-2020 837,000 849,572


GBPBayerische Landesbank 1.250% 20-Dec-2021 4,000,000 4,030,320

Toyota Motor Finance Netherlands BV 1.375% 23-May-2023 4,000,000 4,013,390

Commonwealth Bank of Australia floating rate 12-Jul-2021 4,000,000 4,008,520

National Westminster Bank PLC floating rate 15-May-2020 4,000,000 3,995,685

DNB Bank ASA 1.625% 15-Dec-2023 4,014,000 3,871,985

Nationwide Building Society floating rate 02-Aug-2022 3,598,000 3,600,318

International Bank for Reconstruction & Development floating rate 13-Dec-2022 2,500,000 2,485,550

Dexia Credit Local SA 0.875% 07-Sep-2021 2,000,000 2,005,140

Lloyds Bank PLC floating rate 13-Sep-2021 2,000,000 2,004,820

National Australia Bank Ltd 1.875% 20-Feb-2020 2,000,000 2,002,280

United Kingdom Treasury Bill 0.000% 27-Apr-2020 2,000,000 1,999,397

SNCF Reseau 5.500% 01-Dec-2021 1,500,000 1,622,565

Kingdom of Belgium Government International Bond 9.375% 21-Feb-2020 1,500,000 1,507,385

Coventry Building Society 1.000% 05-May-2020 1,240,000 1,233,180

Svenska Handelsbanken AB 1.625% 18-Jun-2022 1,000,000 1,014,630

Commonwealth Bank of Australia floating rate 16-Jan-2025 1,000,000 1,000,290

New York Life Global Funding 1.625% 15-Dec-2023 500,000 511,300



163




United States Treasury Bill 0.000% 05-May-2020 3,970,000 3,967,014

United States Treasury Bill 0.000% 10-Mar-2020 3,960,000 3,953,161






United States Treasury Note/Bond 1.625% 15-Feb-2026 975,000 980,392

United States Treasury Note/Bond 2.500% 15-Jan-2022 887,000 903,208




Fannie Mae Pool UMBS 3.000% 01-Jun-2050 417,983 440,842

Fannie Mae Pool UMBS 3.500% 01-Aug-2046 310,431 335,557

Bank of America Corp floating rate 29-Apr-2031 305,000 314,516

Fannie Mae Pool UMBS 3.500% 01-Jan-2048 286,042 298,793

Ginnie Mae II Pool 3.000% 20-Jan-2050 288,601 298,071

Fannie Mae Pool UMBS 2.500% 01-Dec-2034 254,391 258,148

Wells Fargo & Co floating rate 02-Jun-2028 250,000 250,000


USDUnited States Treasury Note/Bond 1.500% 31-Oct-2024 4,667,000 4,807,981


United States Treasury Bill 0.000% 05-May-2020 2,540,000 2,539,780






United States Treasury Note/Bond 1.625% 15-Feb-2026 975,000 1,040,351

United States Treasury Note/Bond 2.750% 30-Sep-2020 840,000 846,366



Freddie Mac Multifamily Structured Pass Through Certificates floating rate 25-Aug-2024 470,000 496,700

Fannie Mae Pool UMBS 3.000% 01-Sep-2049 465,625 490,179




Fannie Mae Pool UMBS 4.000% 01-Nov-2048 338,855 361,785

Freddie Mac Multifamily Structured Pass Through Certificates 2.615% 25-Jan-2023 297,000 311,046




164



USDUnited States Treasury Bill 0.000% 06-Aug-2020 20,000,000 19,847,156




Federal Home Loan Bank Discount Notes 0.000% 13-Apr-2020 5,000,000 5,000,000

United States Treasury Bill 0.000% 25-Feb-2021 5,000,000 4,971,738

United States Treasury Bill 0.000% 08-Oct-2020 4,600,000 4,597,735


New York Life Global Funding floating rate 10-Jan-2023 2,750,000 2,750,000

Connecticut Avenue Securities Trust 2020-R01 floating rate 25-Jan-2040 2,745,518 2,744,196

Resolution Funding Corp Principal Strip 0.000% 15-Jul-2020 2,750,000 2,729,565

Resolution Funding Corp Principal Strip 0.000% 15-Oct-2020 2,540,000 2,510,460

STACR Trust 2018-DNA2 floating rate 25-Dec-2030 2,509,790 2,504,594

Komatsu Finance 0.000% 05-May-2020 2,500,000 2,490,547

Oversea-Chinese Banking Corp Ltd floating rate 21-Aug-2020 2,440,000 2,440,057

ABN AMRO Bank NV floating rate 19-Jan-2021 2,400,000 2,400,960

Verizon Owner Trust 2017-3 2.060% 20-Apr-2022 2,335,184 2,338,559

National Bank of Canada 2.200% 02-Nov-2020 2,000,000 2,001,080

Inter-American Investment Corp 0.750% 04-May-2022 2,000,000 1,999,940

Mull Asset Finance Corp 0.000% 01-Jun-2020 2,000,000 1,999,806

WEC Energy Group Inc 0.000% 10-Jun-2020 2,000,000 1,999,747


ABN AMRO Bank NV floating rate 19-Jan-2021 2,000,000 1,998,787

Macquarie Bank Ltd 0.000% 08-Sep-2020 2,000,000 1,998,707

General Dynamics Corp 0.000% 21-Jul-2020 2,000,000 1,991,100

Coca-Cola Co 0.000% 09-Nov-2020 2,000,000 1,985,069

National Australia Bank Ltd floating rate 13-Dec-2022 1,955,000 1,955,000

Instituto de Credito Oficial floating rate 15-Dec-2021 1,910,000 1,910,000

Freddie Mac STACR Remic Trust 2020-HQA2 floating rate 25-Mar-2050 1,890,000 1,890,000


USDUnited States Treasury Bill 0.000% 06-Aug-2020 20,000,000 19,871,113

United States Treasury Bill 0.000% 03-Dec-2020 20,000,000 19,848,658



BMW Floorplan Master Owner Trust 3.150% 15-May-2023 6,950,000 6,947,828

United States Treasury Floating Rate Note floating rate 31-Jan-2021 3,500,000 3,501,128

Resolution Funding Corp Principal Strip 0.000% 15-Jul-2020 2,750,000 2,740,880

Resolution Funding Corp Principal Strip 0.000% 15-Oct-2020 2,540,000 2,525,209

Komatsu Finance 0.000% 05-May-2020 2,500,000 2,493,559

Canadian Imperial Bank of Commerce floating rate 04-May-2020 1,500,000 1,499,974

Federal Farm Credit Banks Funding Corp floating rate 21-Dec-2020 1,200,000 1,202,366


Bristol-Myers Squibb Co 2.550% 14-May-2021 1,040,000 1,044,618

Nederlandse Waterschapsbank NV 1.500% 27-Aug-2021 1,020,000 1,030,353

CenterPoint Energy Resources Corp 4.500% 15-Jan-2021 1,000,000 1,014,560

Japan Bank for International Cooperation 2.125% 16-Nov-2020 1,000,000 1,006,500

Export Development Canada 1.625% 01-Jun-2020 1,000,000 1,000,690

Nederlandse Waterschapsbank NV floating rate 15-Dec-2021 1,000,000 998,398

Province of Quebec Canada floating rate 21-Sep-2020 940,000 939,992

AbbVie Inc 2.150% 19-Nov-2021 895,000 890,274



165



USDAmgen Inc 1.900% 21-Feb-2025 1,010,000 1,007,940

Intuit Inc 0.650% 15-Jul-2023 935,000 934,776

Comcast Corp 3.700% 15-Apr-2024 780,000 863,062

American Tower Corp 2.400% 15-Mar-2025 835,000 834,207

FS KKR Capital Corp II 4.250% 14-Feb-2025 830,000 830,000

Wells Fargo & Co floating rate 02-Jun-2024 830,000 830,000

Otis Worldwide Corp 2.056% 05-Apr-2025 740,000 739,993

Credit Suisse Group AG floating rate 05-Jun-2026 700,000 700,000

Merck & Co Inc 0.750% 24-Feb-2026 675,000 671,605

DuPont de Nemours Inc 2.169% 01-May-2023 660,000 660,000

Oracle Corp 2.500% 01-Apr-2025 650,000 649,760

TJX Cos Inc 3.500% 15-Apr-2025 645,000 642,394

Ontario Teachers' Finance Trust 1.375% 15-Apr-2025 635,000 633,292

CVS Health Corp 3.500% 20-Jul-2022 600,000 632,304

Pacific Gas & Electric Co 1.750% 16-Jun-2022 600,000 599,964

Federation des Caisses Desjardins du Quebec 2.050% 10-Feb-2025 600,000 599,262

National Securities Clearing Corp 1.200% 23-Apr-2023 595,000 594,441

eBay Inc 1.900% 11-Mar-2025 570,000 589,562

Owl Rock Capital Corp 3.750% 22-Jul-2025 575,000 572,850

Credit Agricole SA floating rate 16-Jun-2026 570,000 570,000

HSBC Holdings PLC floating rate 04-Jun-2026 565,000 565,000

Citigroup Inc floating rate 15-May-2024 560,000 560,000

UBS AG 1.750% 21-Apr-2022 555,000 554,273

Otis Worldwide Corp floating rate 05-Apr-2023 550,000 550,605

Standard Chartered PLC floating rate 30-Jan-2026 550,000 549,995

Nordea Bank Abp 1.000% 09-Jun-2023 550,000 549,434

BPCE SA 2.375% 14-Jan-2025 550,000 546,711

Air Lease Corp 2.300% 01-Feb-2025 550,000 544,297

Xilinx Inc 2.950% 01-Jun-2024 500,000 536,845

Carrier Global Corp 2.242% 15-Feb-2025 520,000 520,000

General Motors Financial Co Inc 4.200% 01-Mar-2021 520,000 516,100

KeyCorp 2.250% 06-Apr-2027 515,000 514,377

NIKE Inc 2.400% 27-Mar-2025 510,000 509,306

WEA Finance LLC 3.150% 05-Apr-2022 500,000 507,360

MassMutual Global Funding II 0.850% 09-Jun-2023 500,000 499,705

Intercontinental Exchange Inc 4.000% 15-Oct-2023 450,000 494,415

UnitedHealth Group Inc 1.250% 15-Jan-2026 495,000 493,084

Exxon Mobil Corp 2.992% 19-Mar-2025 460,000 484,389

Synovus Bank floating rate 10-Feb-2023 475,000 475,000

Bank of Montreal 1.850% 01-May-2025 465,000 464,647

Apple Inc 1.125% 11-May-2025 465,000 464,168

Health Care Service Corp A Mutual Legal Reserve Co 1.500% 01-Jun-2025 465,000 463,907

Exxon Mobil Corp 1.571% 15-Apr-2023 460,000 460,000

Plains All American Pipeline LP/PAA Finance Corp 5.000% 01-Feb-2021 455,000 455,000

McDonald's Corp 3.300% 01-Jul-2025 455,000 454,841

Equinix Inc 1.250% 15-Jul-2025 455,000 453,954

JPMorgan Chase & Co floating rate 22-Apr-2026 445,000 445,000

Equifax Inc 2.600% 15-Dec-2025 445,000 444,502

Ford Motor Credit Co LLC 3.087% 09-Jan-2023 440,000 440,000

Mondelez International Inc 2.125% 13-Apr-2023 440,000 438,984

Royal Bank of Canada 1.600% 17-Apr-2023 430,000 429,725

PepsiCo Inc 0.750% 01-May-2023 420,000 419,168

Kimco Realty Corp 3.200% 01-May-2021 410,000 414,682

Lloyds Banking Group PLC floating rate 05-Feb-2026 410,000 410,000

Pinnacle West Capital Corp 1.300% 15-Jun-2025 405,000 404,960

Swedbank AB 1.300% 02-Jun-2023 395,000 394,538

National Fuel Gas Co 5.500% 15-Jan-2026 390,000 392,222



166

Payden USD Low Duration Credit Fund (continued)


USDCubeSmart LP 3.125% 01-Sep-2026 1,100,000 1,080,277

JPMorgan Chase & Co floating rate 05-Dec-2024 1,000,000 1,023,570

Abu Dhabi National Energy Co PJSC 4.375% 23-Apr-2025 930,000 1,017,675

Anthem Inc 3.700% 15-Aug-2021 960,000 986,093

Bank of America Corp floating rate 20-Dec-2023 971,000 940,054

American Express Co 3.400% 27-Feb-2023 900,000 918,207

Australia & New Zealand Banking Group Ltd 4.400% 19-May-2026 800,000 852,200

Baidu Inc 4.375% 14-May-2024 790,000 842,108

Bank of Nova Scotia 3.400% 11-Feb-2024 750,000 814,673

Citigroup Inc floating rate 24-Apr-2025 815,000 786,809

American Tower Corp 2.400% 15-Mar-2025 835,000 752,869

BMW US Capital LLC 3.100% 12-Apr-2021 730,000 741,534

Keurig Dr Pepper Inc 3.200% 15-Nov-2021 718,000 738,413

Wells Fargo & Co floating rate 30-Oct-2025 750,000 730,920

Suncor Energy Inc 3.600% 01-Dec-2024 750,000 725,588

DR Horton Inc 2.500% 15-Oct-2024 800,000 725,256

Zimmer Biomet Holdings Inc 3.700% 19-Mar-2023 700,000 712,033

Huntington Bancshares Inc 2.625% 06-Aug-2024 700,000 693,798

Husky Energy Inc 3.950% 15-Apr-2022 700,000 689,877

Bank of New York Mellon Corp 3.450% 11-Aug-2023 600,000 651,756

Marsh & McLennan Cos Inc 3.875% 15-Mar-2024 640,000 631,194

Marriott International Inc 2.125% 03-Oct-2022 650,000 585,000

Broadcom Inc 3.625% 15-Oct-2024 550,000 583,506

BP Capital Markets America Inc 3.796% 21-Sep-2025 580,000 582,935

BPCE SA 2.375% 14-Jan-2025 550,000 545,199

Westpac Banking Corp 3.650% 15-May-2023 500,000 533,680

Carrier Global Corp 2.242% 15-Feb-2025 520,000 523,874

NIKE Inc 2.400% 27-Mar-2025 510,000 519,751

Bank of Montreal 0.000% 05-Oct-2028 500,000 506,665

Healthpeak Properties Inc 3.400% 01-Feb-2025 500,000 504,807

Wells Fargo Bank NA floating rate 23-Jul-2021 500,000 503,585

Coca-Cola Co 1.750% 06-Sep-2024 500,000 503,140

Standard Chartered PLC floating rate 30-Jan-2026 550,000 501,050

Exxon Mobil Corp 2.992% 19-Mar-2025 460,000 494,836

EQM Midstream Partners LP 4.750% 15-Jul-2023 710,000 493,237

Conagra Brands Inc 4.300% 01-May-2024 500,000 491,690

Huntington Bancshares Inc 3.150% 14-Mar-2021 480,000 486,624

United Parcel Service Inc 2.200% 01-Sep-2024 470,000 482,037

Tencent Holdings Ltd 3.280% 11-Apr-2024 455,000 479,747

Centene Corp 4.750% 15-Jan-2025 475,000 477,480

HCA Inc 5.250% 15-Apr-2025 500,000 474,560

Exxon Mobil Corp 1.571% 15-Apr-2023 460,000 468,837

Bank of America Corp 4.000% 22-Jan-2025 500,000 468,045

Morgan Stanley 4.100% 22-May-2023 500,000 465,290

McDonald's Corp 3.300% 01-Jul-2025 455,000 463,040

Walt Disney Co 1.650% 01-Sep-2022 460,000 460,161

American Honda Finance Corp 3.550% 12-Jan-2024 470,000 460,107

Sumitomo Mitsui Financial Group Inc 2.784% 12-Jul-2022 440,000 459,180

Toll Brothers Finance Corp 5.625% 15-Jan-2024 445,000 458,350

Enbridge Inc 2.500% 15-Jan-2025 470,000 442,853

AIG Global Funding 2.300% 01-Jul-2022 435,000 441,342

Lennar Corp 4.875% 15-Dec-2023 450,000 441,000

Comerica Bank 2.500% 23-Jul-2024 455,000 432,892

PepsiCo Inc 0.750% 01-May-2023 420,000 422,747

Alexandria Real Estate Equities Inc 4.000% 15-Jan-2024 400,000 421,264

Bank of New Zealand 3.500% 20-Feb-2024 400,000 412,780

payden global funds public limited company (an … · 2020. 8. 27. · payden & rygel brown...

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