<PAGE> 1
PAYDEN & RYGEL INVESTMENT GROUP [Full page graphic with corporate
ANNUAL REPORT logo for Payden and Rygel.]
OCTOBER 31, 1996
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[Graphic of triangle
with sun rising.]
CONTENTS
Letter to Shareholders
===========================================
1
Management Discussion
The Year in Review
Fund Strategies
Looking Forward
===========================================
9
Portfolio Highlights
===========================================
20
Statements of Assets
and Liabilities
===========================================
22
Statements of Operations
===========================================
24
Statements of Changes
in Net Assets
===========================================
28
Schedules of Portfolio
Investments
===========================================
63
Notes to Financial Statements
===========================================
78
Financial Highlights
===========================================
84
Independent Auditor's Report
===========================================
<PAGE> 3
Dear Shareholders:
A commitment to our long-term investment strategy and an expanding product line
has been the focus at Payden & Rygel during the past year.
Our long-standing view that inflation would be controlled remained true in 1996,
but it took the bond market a long time to iron out the rough spots. The
shutdown of the government in January sent the first big shock waves through the
bond market, followed by a startling announcement that 705,000 new jobs were
created in the month of February. Speculation on the accuracy of the number was
not enough to stop a nervous market from pushing 30-year Treasury yields to
steadily higher levels. A volatile summer followed. Employment levels continued
to grow at a higher-than-expected pace. Not until mid-fall did inflation fears
subside and long-term rates drift back down to levels where we thought they had
belonged at the end of 1995. While we began the year holding securities with
longer durations than our benchmarks, we did shorten our portfolios somewhat in
the summer to protect against further downside volatility. The move worked in
our favor, as rates rose in September and then dropped in October and November.
On the domestic fixed-income front, our shorter-duration Funds posted the best
results because they were the least affected by the volatility in rates. The
returns for our longer-duration funds were more affected by the volatility of
the rate changes, but have recovered since the decline in October.
On the international fixed-income front, the Global Fixed Income Fund has
continued to post strong numbers. Although funds that invested in
emerging-markets debt and other lower credit-quality issues reported strong
performances for the year, the Global Fixed Income Fund's returns remained
competitive without courting the same kind of high risks. In this regard, it is
worth noting that the average credit quality of the Global Fixed Income Fund's
portfolio is rated AAA. This year's solid performance only adds to a fine
long-term record. For the three-year period ending November 1996, the Fund was
given a 4-star rating by Morningstar.
Several new funds have been added to the Payden & Rygel Investment Group line-up
in the past year. Among the new offerings are the Growth & Income Fund,
International Equity Fund, Global Balanced Fund, Global Short Bond Fund, and the
Total Return Fund. The Growth & Income Fund is based on the Dow Dogs strategy.
It invests in the ten highest-yielding stocks in the Dow Jones Industrial
Average and uses Standard & Poor's Depositary Receipts to provide added
diversification for the portfolio. The International Equity Fund employs a
fundamental approach to stocks in the developed European, North American, and
Asian markets. The Global Balanced Fund gives investors an opportunity to
participate in both domestic and foreign
<PAGE> 4
equities and domestic and foreign bonds. Our new Global Short Bond Fund provides
money market and short-bond fund investors with a way to diversify into foreign
bonds with limited interest-rate, credit quality, and currency risks. Finally,
the Total Return Fund expands the Payden & Rygel line-up of mutual funds by
giving investors exposure to a wide range of fixed income markets, including
high-yield bonds, mortgages, asset-backed securities, and emerging-markets debt.
[PHOTO OF JOAN PAYDEN]
We believe that these additional offerings provide investors with an opportunity
to diversify among a broad range of mutual funds that adhere to their investment
styles and that follow Payden & Rygel's philosophy of low cost global investing.
Our view of moderate growth and low inflation, and our new line-up of Fund
offerings, gives us a very positive outlook for next year. We appreciate your
investment in our Funds and we look forward to a profitable 1997.
Best Wishes,
/s/ Joan A. Payden
Joan A. Payden
President and Chairman of the Board
Payden & Rygel Investment Group
The Global Fixed Income Fund's Four-Star rating is based on its risk-adjusted
performance against 1,075 fixed income funds for the period ending 11/30/96.
Morningstar's proprietary ratings reflect historical risk-adjusted performance,
are subject to change monthly and are calculated from the Fund's three-year
average annual returns in excess of 90-day T-bill returns with appropriate fee
adjustments. Ten percent of the funds in the category receive five stars with
four stars awarded to the next 22.5%.
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MANAGEMENT DISCUSSION AND ANALYSIS
THE YEAR IN REVIEW
Over the past year, an emergent theme in the global marketplace has been
deregulation and increased competition. This trend has forced improved
efficiency in the management of both countries and companies. The slowly
unfolding effect in the developed countries of the world is lower inflation and
increased productivity. Emerging economies offer low-wage labor and low-cost
production facilities, and have changed the direction of global capital flows.
Each major economic power has such a region for a neighbor: U.S. with Mexico and
Latin America, Japan with China and South East Asia, and Germany with Central
Europe. The World Bank recently reported that the emerging markets produce 75%
of the growth in the world's economy. The economic viability of the developed
countries depends on increasing competitiveness.
As Europe moves toward economic coordination to improve competitiveness, a
drastic change is taking place in many European economies. From Sweden to
Finland, Spain to Italy, government budgets have been slashed and inflation has
ratcheted lower. Interest rates were lowered in nearly all major countries this
year, in response to fiscal prudence and economic reality.
[ BAR CHARTS ]
<TABLE>
<CAPTION>
Average Inflation Rate
1973 - 1983 1984 - 1994 Current 1996
<S> <C> <C> <C> <C> <C>
Italy 16.1% Italy 6.2% US 3.3%
UK 13.3% Sweden 5.9% UK 2.7%
Australia 11.2% Australia 5.3% Italy 2.6%
France 10.9% UK 5.0% Denmark 2.4%
Denmark 10.5% US 3.7% Australia 2.1%
Sweden 9.9% Canada 3.6% Canada 1.8%
Canada 9.3% France 3.5% France 1.5%
US 8.2% Denmark 3.5% Germany 1.3%
Japan 8.2% Germany 2.3% Japan 0.5%
Germany 5.0% Japan 1.5% Sweden -0.3%
AVERAGE 10.3% 4.1% 1.8%
</TABLE>
In the Far East, Japan has been a somewhat different story. Japan continues to
find itself in the midst of an historic transition. A highly-regulated business
environment and controlling government bureaucracies have crippled economic
expansion in Japan. Despite heavy doses of fiscal stimulation to the economy,
the country remains in economic doldrums. Only through deregulation will Japan
be able to regain its prominence in the world's economic community.
ANNUAL REPORT [LOGO] 1
<PAGE> 6
MANAGEMENT DISCUSSION AND ANALYSIS (CONTINUED)
In the U.S., the year began with the view that the economy would continue its
slow growth pattern and inflation would remain low. The market had adjusted to
reflect the idea that the Federal Reserve would lower interest rates. The Fed
did lower interest rates, both in December 1995 and again in late January 1996.
This moved the index of short-term interest rates, the Federal Funds rate, to
5.25%. The Federal government shutdowns in December and January made
interpretation of economic data released in the early months of 1996 difficult.
The reliability of economic data was further muddled by the blizzards in the
East and a strike at General Motors.
Instead, the market turned its focus on the prospect of economic strength, and
the yield curve steepened. Over the course of subsequent months, a sense that
the economy was gaining strength took hold causing market sentiment to shift
from an outlook of lower interest rates to one of tightening credit. This led to
a decline in prices in fixed-income securities as investors feared that interest
rates would rise in the near future. This rise in interest rates was accompanied
by increased volatility, particularly around data release dates. The swings in
the market that took place on the release of the monthly employment data, were
often two to three times the normal volatility during the year. This created a
treacherous environment for bonds, and signaled increased speculation in the
market.
Higher interest rates enticed foreign buyers to the U.S. market, and provided
support to the dollar. The growth of Treasury holdings by non-U.S. investors has
been dramatic this year. That source of demand, coupled with emerging signs of a
slowdown in economic strength in the second half of the year led to a shift in
market sentiment. Employment growth reflected strength in the economy, however,
and the unemployment rate declined to a low of 5.1%, before rising slightly to
5.2% at the end of October. Despite this low level of unemployment, wage costs
have not escalated dramatically. When the Federal Reserve held interest rates
steady after their August and September meetings, and economic data was released
reflecting a slowdown in growth and continued low inflation, interest rates
changed direction, and began to decline from their overly high levels.
The tax-exempt bond market was impacted by the fear of tax reform brought to the
fore in proposals by several Congressional leaders, as well as Steve Forbes in
his race to win the Republican presidential nomination. Tax reform fears began
to abate as the flat tax proposed by Mr. Forbes came under attack, and the
National Commission on Economic Growth and Tax Reform, appointed by Sen. Dole
and Rep. Gingrich, failed to make specific recommendations for reform. Municipal
bond prices reacted positively as the issue of tax reform was put on the back
burner. The rise in price relative to alternative
2 [LOGO] PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 7
investments enabled municipal bonds to sidestep most of the rise in overall
yields that occurred during the year.
Higher interest rates seemed to have little impact on the equity market,
however. Blue chip stocks rallied throughout the year, with the Dow Jones
Industrial Average (DJIA) posting it's highest levels ever. As of the close of
the Funds' fiscal year, the DJIA stood at 6029, up 29.7% for the trailing 12
months. The technology stocks, which had led the rally in 1995, faded somewhat
through the year, reflected in the NASDAQ gain of only 17.9%. The stock market
rally has continued even as corporate profits, as measured by year-over-year
growth in operating earnings per share on S&P 500 stocks, have increased only
about 6%.
FUND STRATEGIES AND PERFORMANCE
Global and International Funds
Global bond investments have provided higher returns than U.S. bonds over the
last year. Slower economic growth and falling inflation left room for central
banks in each major economy, except Japan, to lower interest rates in the last
12 months. This has provided capital gains to the Funds, in addition to the
interest income earned on securities.
A strengthening U.S. dollar during this time had the potential to erode the
value of investments denominated in foreign currencies. Aggressive hedging of
currency exposure in the both the Global Fixed Income Fund and Global Short Bond
Fund offset most of this potential loss, protecting gains on bonds. The
International Bond Fund, on average, hedges less of its currency exposure, and
losses on foreign exchange did affect portfolio performance.
[ LINE CHART ]
U.S. Dollar Appreciation -- Last 12 Months
<TABLE>
<S> <C> <C>
10/02/95 100.5500 1.4317
10/03/95 101.2500 1.4374
10/04/95 101.0000 1.4364
10/05/95 100.4000 1.4315
10/06/95 100.2500 1.4225
10/10/95 100.3500 1.4147
10/11/95 100.9000 1.4235
10/12/95 100.1500 1.4223
10/13/95 100.7000 1.4315
10/16/95 100.3000 1.4196
10/17/95 100.4000 1.4200
10/18/95 100.6900 1.4227
10/19/95 100.6500 1.4153
10/20/95 100.3100 1.4000
10/23/95 99.7500 1.3843
10/24/95 100.1300 1.3927
10/25/95 101.3000 1.3948
10/26/95 101.7500 1.4012
10/27/95 101.2000 1.3936
10/30/95 101.6000 1.4067
10/31/95 102.2400 1.4090
11/01/95 102.8300 1.4145
11/02/95 103.3800 1.4170
11/03/95 103.7000 1.4172
11/06/95 102.9000 1.4110
11/07/95 102.9500 1.4140
11/08/95 102.3300 1.4151
11/09/95 101.7200 1.4183
11/10/95 100.2700 1.4086
11/13/95 101.4400 1.4155
11/14/95 101.5800 1.4158
11/15/95 101.0500 1.4030
11/16/95 101.8600 1.4070
11/17/95 102.0500 1.4026
11/20/95 101.8100 1.4141
11/21/95 101.3800 1.4095
11/22/95 101.3800 1.4097
11/24/95 101.3500 1.4154
11/27/95 101.7000 1.4328
11/28/95 101.1500 1.4351
11/29/95 101.5100 1.4363
11/30/95 101.2700 1.4360
12/01/95 101.4900 1.4458
12/04/95 100.9200 1.4358
12/05/95 101.2600 1.4337
12/06/95 101.3800 1.4382
12/07/95 101.2600 1.4393
12/08/95 101.3500 1.4533
12/11/95 100.9500 1.4431
12/12/95 101.7000 1.4462
12/13/95 101.6300 1.4504
12/14/95 101.4000 1.4419
12/15/95 101.8500 1.4424
12/18/95 101.6200 1.4341
12/19/95 101.8400 1.4363
12/20/95 101.6200 1.4351
12/21/95 101.7800 1.4394
12/22/95 102.5700 1.4410
12/26/95 102.4500 1.4315
12/27/95 102.7300 1.4322
12/28/95 102.4000 1.4309
12/29/95 103.2100 1.4334
01/02/96 103.7300 1.4320
01/03/96 104.3800 1.4410
01/04/96 106.0400 1.4538
01/05/96 104.6500 1.4361
01/08/96 105.4900 1.4405
01/09/96 105.0500 1.4421
01/10/96 104.6900 1.4369
01/11/96 104.7000 1.4375
01/12/96 105.3700 1.4450
01/16/96 105.7200 1.4560
01/17/96 105.4800 1.4625
01/18/96 105.2500 1.4689
01/19/96 105.3500 1.4793
01/22/96 105.8700 1.4793
01/23/96 105.7700 1.4768
01/24/96 106.7700 1.4823
01/25/96 106.5100 1.4758
01/26/96 106.5700 1.4905
01/29/96 106.5500 1.4881
01/30/96 107.3200 1.4912
01/31/96 106.9100 1.4869
02/01/96 107.0900 1.4936
02/02/96 106.7500 1.4879
02/05/96 104.8900 1.4685
02/06/96 105.2000 1.4682
02/07/96 106.0500 1.4777
02/08/96 106.9200 1.4777
02/09/96 106.8200 1.4755
02/12/96 106.6800 1.4731
02/13/96 106.8100 1.4750
02/14/96 106.7900 1.4703
02/15/96 105.8800 1.4686
02/16/96 105.1500 1.4608
02/20/96 105.7700 1.4514
02/21/96 105.1700 1.4518
02/22/96 105.1100 1.4540
02/23/96 105.0800 1.4564
02/26/96 104.3400 1.4494
02/27/96 104.5800 1.4529
02/28/96 104.3500 1.4586
02/29/96 105.1800 1.4705
03/01/96 105.4000 1.4765
03/04/96 104.9400 1.4717
03/05/96 105.1400 1.4794
03/06/96 105.2800 1.4765
03/07/96 105.3200 1.4784
03/08/96 105.8000 1.4805
03/11/96 105.2200 1.4808
03/12/96 105.6900 1.4817
03/13/96 105.3000 1.4729
03/14/96 105.2500 1.4708
03/15/96 105.7300 1.4717
03/18/96 106.0000 1.4746
03/19/96 106.3200 1.4770
03/20/96 106.6000 1.4782
03/21/96 106.6400 1.4767
03/22/96 106.7500 1.4779
03/25/96 106.0700 1.4764
03/26/96 106.2700 1.4759
03/27/96 106.6800 1.4857
03/28/96 104.9400 1.4717
03/29/96 106.3700 1.4732
04/01/96 107.5000 1.4815
04/02/96 107.4000 1.4813
04/03/96 106.8700 1.4787
04/04/96 107.0000 1.4800
04/05/96 107.4500 1.4824
04/08/96 107.3500 1.4750
04/09/96 108.0900 1.4905
04/10/96 108.3600 1.4974
04/11/96 108.4700 1.4995
04/12/96 108.5600 1.5036
04/15/96 108.3100 1.5080
04/16/96 108.1000 1.5083
04/17/96 108.1200 1.5067
04/18/96 107.4000 1.5101
04/19/96 106.9100 1.5026
04/22/96 106.6000 1.5168
04/23/96 106.4000 1.5159
04/24/96 106.6900 1.5211
04/25/96 106.5500 1.5304
04/26/96 105.6500 1.5305
04/29/96 104.1700 1.5188
04/30/96 104.5700 1.5317
05/01/96 105.0500 1.5319
05/02/96 104.6200 1.5360
05/03/96 104.5600 1.5255
05/06/96 104.7400 1.5262
05/07/96 104.9800 1.5232
05/08/96 105.2800 1.5201
05/09/96 104.7300 1.5172
05/10/96 105.1700 1.5245
05/13/96 104.8600 1.5318
05/14/96 105.4500 1.5355
05/15/96 106.5800 1.5330
05/16/96 106.5300 1.5361
05/17/96 106.7500 1.5281
05/20/96 107.2000 1.5361
05/21/96 107.0500 1.5417
05/22/96 106.9500 1.5400
05/23/96 106.7600 1.5413
05/24/96 107.6800 1.5430
05/28/96 108.4400 1.5478
05/29/96 108.7100 1.5485
05/30/96 107.4200 1.5310
05/31/96 108.1000 1.5300
06/03/96 108.0000 1.5232
06/04/96 108.8300 1.5280
06/05/96 108.8500 1.5286
06/06/96 108.9800 1.5263
06/07/96 109.0400 1.5335
06/10/96 109.0300 1.5354
06/11/96 109.3500 1.5338
06/12/96 109.3200 1.5360
06/13/96 109.1200 1.5339
06/14/96 108.5800 1.5228
06/17/96 108.9200 1.5177
06/18/96 107.9500 1.5140
06/19/96 107.7500 1.5183
06/20/96 108.1100 1.5250
06/21/96 108.9400 1.5278
06/24/96 109.0000 1.5306
06/25/96 109.0500 1.5327
06/26/96 109.5800 1.5295
06/27/96 109.0800 1.5209
06/28/96 109.7200 1.5230
07/01/96 109.5700 1.5243
07/02/96 109.9500 1.5257
07/03/96 110.5100 1.5259
07/05/96 110.7000 1.5260
07/08/96 110.7000 1.5270
07/09/96 110.4600 1.5230
07/10/96 110.1500 1.5247
07/11/96 110.2500 1.5242
07/12/96 110.5300 1.5217
07/15/96 110.4300 1.5207
07/16/96 109.4400 1.4969
07/17/96 108.9200 1.4852
07/18/96 108.4000 1.4892
07/19/96 108.3500 1.4916
07/22/96 107.7000 1.4876
07/23/96 108.0100 1.4903
07/24/96 107.8500 1.4860
07/25/96 108.1600 1.4773
07/26/96 108.2500 1.4811
07/29/96 108.3000 1.4801
07/30/96 108.0400 1.4797
07/31/96 106.7000 1.4710
08/01/96 106.7400 1.4718
08/02/96 107.1000 1.4783
08/05/96 106.5500 1.4796
08/06/96 106.9500 1.4850
08/07/96 107.6000 1.4841
08/08/96 108.0500 1.4841
08/09/96 108.1000 1.4785
08/12/96 107.6500 1.4748
08/13/96 107.5500 1.4765
08/14/96 107.8000 1.4835
08/15/96 107.9000 1.4856
08/16/96 107.7700 1.4915
08/19/96 107.9100 1.4875
08/20/96 108.2500 1.4900
08/21/96 108.2000 1.4812
08/22/96 108.4500 1.4942
08/23/96 108.4400 1.4875
08/26/96 107.6000 1.4771
08/27/96 107.8100 1.4767
08/28/96 108.2100 1.4771
08/29/96 108.3600 1.4779
08/30/96 108.6400 1.4773
09/03/96 109.2500 1.4834
09/04/96 108.8300 1.4841
09/05/96 108.9900 1.4840
09/06/96 109.1900 1.4865
09/09/96 108.9900 1.4900
09/10/96 109.5800 1.5061
09/12/96 110.0100 1.5120
09/13/96 110.3900 1.5132
09/16/96 110.4000 1.5102
09/17/96 110.1700 1.5138
09/18/96 108.9600 1.5073
09/19/96 109.2400 1.5113
09/20/96 109.8000 1.5150
09/23/96 109.8000 1.5142
09/24/96 109.7200 1.5122
09/25/96 110.2500 1.5084
09/26/96 110.3500 1.5206
09/27/96 110.7900 1.5221
09/30/96 111.4600 1.5258
10/01/96 111.1400 1.5233
10/02/96 111.8800 1.5272
10/03/96 111.5200 1.5315
10/04/96 111.5700 1.5289
10/07/96 111.4000 1.5302
10/08/96 111.1900 1.5265
10/09/96 111.4100 1.5275
10/10/96 111.2800 1.5300
10/11/96 111.6000 1.5308
10/14/96 111.6000 1.5288
10/15/96 112.2400 1.5381
10/16/96 112.2200 1.5385
10/17/96 112.1000 1.5412
10/18/96 112.5000 1.5418
10/21/96 112.8100 1.5360
10/22/96 112.8000 1.5340
10/23/96 112.6600 1.5205
10/24/96 112.7800 1.5216
10/25/96 113.3000 1.5218
10/28/96 114.1900 1.5197
10/29/96 113.6000 1.5114
10/30/96 113.7700 1.5088
10/31/96 113.8800 1.5132
</TABLE>
ANNUAL REPORT [LOGO] 3
<PAGE> 8
MANAGEMENT DISCUSSION AND ANALYSIS (CONTINUED)
Regarding country allocations, Fund strategies focused on a higher weighting to
non-U.S. markets early in the year, as we felt European bonds offered superior
return potential. With the Bundesbank in Germany lowering interest rates in
response to an economic slowdown over the winter months, bond markets were
expected to rally. In addition, as the European nations prepared for the start
of European Monetary Union in 1999, stringent economic policies drove the yields
in Italy, Spain, and Sweden towards convergence with yields in Germany and
France. European bonds posted high total returns for the year, especially where
convergence provided high capital gains.
Japanese bond holdings were reduced early in the year as stronger economic
growth in the first quarter had the potential to cause higher interest rates.
Late in the spring as interest rates had moved higher in Japan, we began to add
back positions as economic growth looked likely to again slow. By the end of
October, bond yields had moved back to historic lows, earning significant
capital gains for the Funds. The Global Fixed Income Fund earned a total return
of 7.41% for the fiscal year with the International Bond Fund producing a 4.47%
total return. The Global Short Bond Fund, which was opened September 18, 1996,
earned a total return of 1.10% through the end of the fiscal year.
Taxable Funds
The Limited Maturity Fund had a total return of 5.41 % for the fiscal year
ending October 31,1996. The Fund was well positioned throughout the year, with a
short average maturity. The Fund's focus on short maturity assets enabled it to
capture attractive yield opportunities without the price risk of longer maturity
assets. The Limited Maturity Fund maintained significant exposure to corporate
and mortgage backed bonds throughout the year in order to add yield and
performance to the portfolio.
The Short Bond Fund posted a 4.86% return for the fiscal year ending October 31,
1996. The Fund's focus on maturities of less than 5 years generally resulted in
less volatile price fluctuations. The Fund was structured with an outlook for
lower interest rates in the first half of the year which limited its return as
interest rates rose sharply during the first quarter of 1996. The onset of lower
interest rates, due to a slow-down in economic activity in the 3rd quarter,
helped the Fund's performance rebound in the latter half of the year.
Intermediate interest rates, as measured by 2-year through 5-year Treasuries,
rose slightly over the past 12 months. Investors basically received only coupon
income for the period, without any price appreciation. The Short Bond Fund's
exposure to corporate and mortgage backed securities enhanced the portfolio
4 [LOGO] PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 9
return by providing extra yield. The additional yield available on these
instruments offset some of the price declines due to rising interest rates.
The Intermediate Bond Fund returned 4.06% for the 12 months ending October 31,
1996. The Fund was structured to benefit from a decline in interest rates,
caused by continued slow economic growth. The unexpected sharp increase in
yields that occurred in the first two quarters of 1996 accounted for a sharp
drop in bond prices. The Fund took steps after the second quarter to become more
defensively postured by investing in corporate, mortgage and asset backed
securities. These instruments helped provide valuable coupon income to offset
the decline in bond prices. The Intermediate Bond Fund's defensive nature
focused much of the non-Treasury investments toward securities which were at the
higher end of the quality spectrum. The Fund has avoided lowering quality
criteria to capture marginal yield in return for the safety and extra liquidity
of higher rated issuers.
The Opportunity Fund returned 4.86% for the 12 months ending October 31, 1996.
Intermediate-term interest rates moved over 1.5%, peak to trough, during the
fiscal year. When interest rates were rising, the Fund was structured to take
advantage of a stable interest rate environment. The unexpected rise in rates
caused the Fund's performance to lag as the sharp drop in bond prices offset any
coupon income accrued over the period. The Fund undertook various strategies
over the year to diminish the impact of volatile swings in interest rates. The
most prominent strategy was to increase the allocation to the mortgage and
corporate sectors. Both sectors tend to provide extra coupon income which acts
to cushion the impact of falling bond prices. High quality incremental yield was
added without exposing the Fund to credit or prepayment risk. The second
strategy was to shorten the average maturity of the Fund during periods of high
volatility. Shortening the average maturity of the Fund decreased the impact of
swings in interest rates.
On December 9, 1996 the name of the Opportunity Fund was changed to the
Investment Quality Bond Fund. This was done to provide investors with a name
that would offer a brief description of the Fund's objectives much the same way
that the "Short Bond Fund" and "Intermediate Bond Fund" names do currently. The
strategies and objectives of the Fund have not changed.
The U.S. Treasury Fund returned 5.20% over the 12 months ending October 31,
1996. The Fund invested 100% of its assets in U.S. Treasury securities. At the
beginning of the year, the Fund was structured with a longer average maturity to
benefit from a continuation of the declining interest rate trend set in 1995.
When
ANNUAL REPORT [LOGO] 5
<PAGE> 10
MANAGEMENT DISCUSSION AND ANALYSIS (CONTINUED)
this trend was broken, and interest rates rose almost 1.5% through the first
half of 1996, the Fund stayed the course and was rewarded as interest rates
eventually fell to within 0.25% of where they began the fiscal year. The Fund
invested primarily in intermediate-term Treasury securities over the past 12
months. Intermediate-term Treasuries worked to the Fund's advantage as longer
maturity Treasuries underperformed.
The Market Return Fund began on December 1, 1995. The objective of the Fund is
to outperform the S&P 500 Index by replicating the return of the Index using
index futures, and enhancing that return by actively managing a bond portfolio
with the assets of the Fund. The bond portion of the Fund was structured for a
continued decline in interest rates at the beginning of 1996. The sharp rise in
rates that occurred during the first half of 1996 forced bond prices sharply
lower. The short time frame in which bond prices dropped offset the coupon
income that was accrued on the bond positions. The Fund has returned 14.06%
since inception. Over the past six months, despite continued interest rate
volatility, the Market Return Fund has outperformed the S&P 500 Index by over
1.0%.
Tax Exempt Bond Funds
At the end of 1995, municipal bond prices reflected concern over lower tax
rates, and long-term municipal bond yields were unusually high compared to the
general level of interest rates. During the first six months of the fiscal year,
the portfolios were positioned with the outlook that interest rates would
decline due to low inflation. Fund durations were longer than those of their
peers because of this outlook. A longer duration will result in greater exposure
to a change in interest rates.
[ BAR CHART ]
Municipal Yields as Percent of Treasury Yields
Maturity in Years Nov. '95 Oct. '96
3 70 69
5 73 72
10 79 77
15 86 82
20 87 80
30 88 83
Source: Payden & Rygel
6 [LOGO] PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 11
The Funds continue to focus on high quality municipal debt securities having
strong legal support for debt service payment. Additional yield available from
lower quality credits has diminished as more investors compete for those
securities, reducing their overall value. Given the growing trend of state
voters to restrict municipal entities from raising taxes to provide services, we
believe that our focus on only the strongest credits with solid support is
beneficial to shareholders.
As economic numbers began to portray a moderately growing economy during the
second quarter of 1996, Fund durations were shortened to reduce the negative
price impact of rising interest rates. The Short Duration Tax Exempt Fund
returned 3.28% for the year, and the Tax Exempt Bond Fund had a return of 3.52%.
LOOKING FORWARD
As we look forward, we see a continuation of the trend towards increased
competitiveness. Global inflation should stay low, keeping interest rates at the
lower end of recent ranges. The U.S. dollar should also remain well supported,
as this suits the economic agenda in Europe and Japan.
In the U.S., we continue to believe the economic environment will be one of
slow, non-inflationary growth. The outlook for a restatement of the CPI by the
Boskin Commission, expected to report in December, could have a dramatic impact
on inflation expectations, real (i.e. inflation adjusted) rates of return, and
the federal budget deficit. Both cost of living increases and increases in
entitlement programs are based on this widely used index. The efforts to balance
the Federal Budget and tackle entitlement reform will affect the direction and
level of U.S. interest rates. However given our outlook for non-inflationary
economic growth in the 2.5-3.0% range, we expect the Federal Reserve to keep
short-term rates on hold in the immediate future.
The issue of tax reform has not gone away, it has simply changed shape.
President Clinton will want to make good on his election promises of reducing
the tax burden of the middle class. Rather than large scale tax reform, we
anticipate smaller code changes that will provide general relief. This type of
tax reform should not negatively impact municipal bond prices. The emergence of
taxpayer revolts regarding increases in local taxation will have an impact on
municipal credits. Whereas corporate restructuring and increasing international
competition has forced higher efficiency in the public market place, perhaps it
is time for municipal government to begin restructuring. The increase of
public/private partnerships and greater accountability for public spending may
have a positive impact on the tax exempt market.
ANNUAL REPORT [LOGO] 7
<PAGE> 12
MANAGEMENT DISCUSSION AND ANALYSIS (CONTINUED)
Equities, as measured by traditional measures such as price/earnings multiples
and profit growth projections, are at expensive levels. It is difficult to
project where the stock market may go from here. Whereas it is naive to insist
that the economic paradigm has changed this time, it is interesting to note the
increased participation in the market as a source of its strength. To the extent
that 401(k) participants allocate their assets to stock funds, this will
continue to provide a stream of demand that could propel the market further.
Lower interest rates may continue to provide a positive for equity valuations,
however the upside may be limited.
8 [LOGO] PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 13
GLOBAL SHORT BOND FUND
Maturity Composition
[bar chart]
1 2 4 6
U.S 1.3
Canada 1.3
Sweden 2.2
Ireland 2.4
Germany 2.8
U.K. 3.0
Denmark 4.1
Country Allocation
- ------------------
U.S. 25%
U.K. 24%
Denmark 17%
Germany 13%
Sweden 11%
Canada 5%
Ireland 5%
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $28,913,000 Fund
Number of Issues: 13 Not
Average Maturity: 2.4 years In
SEC Yield: 5.12% Operation
</TABLE>
Investment Performance
[line chart]
Global Short Bond Merrill Lynch
10 10
10.06 10.04
10.11 10.16
Total Return
------------
Since Inception*
----------------
Global Short Bond Fund: 1.10%
Merrill Lynch 1-3 Years Treasury Index: 1.57%
*Fund Inception was 9/18/96
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
ANNUAL REPORT [LOGO] 9
<PAGE> 14
GLOBAL FIXED INCOME FUND
Maturity Composition
[bar chart]
<TABLE>
<CAPTION>
Years
<S> <C>
Spain 3.4
U.S. 5.0
U.K. 5.0
Sweden 6.0
Japan 6.3
Germany 6.4
Denmark 6.9
Australia 8.7
</TABLE>
<TABLE>
<CAPTION>
Country Allocation
------------------
<S> <C>
U.S. 31%
U.K. 17%
Japan 14%
Denmark 11%
Germany 10%
Sweden 7%
Australia 5%
Spain 5%
</TABLE>
<TABLE>
<CAPTION>
October 31, 1996 October 31,1995
---------------- ---------------
<S> <C> <C>
Net Assets: $651,165,000 $540,040,000
Number of Issues: 21 20
Average Maturity: 5.7 years 6.7 years
SEC Yield: 5.40% 5.85%
</TABLE>
Investment Performance
[line chart]
<TABLE>
<CAPTION>
Global Fixed Income Fund JP Morgan Hedged Global Bond Index
<S> <C>
10 10
10.05 10.14
10.03 10.17
10 10.14
10.08 10.29
10.2 10.44
10.39 10.63
10.52 10.66
10.59 10.7
10.62 10.72
10.73 10.94
10.83 11.03
11.14 11.26
11.14 11.3
11.22 11.4
11.2 11.39
11.4 11.54
11.47 11.57
11.09 11.33
10.89 11.17
10.82 11.09
10.79 11.02
10.85 10.95
10.94 11.07
10.94 11.01
10.9 10.96
10.99 10.98
11.05 11.06
11.06 11.07
11.24 11.22
11.47 11.41
11.77 11.57
11.94 11.74
12.24 12.14
12.25 12.16
12.3 12.24
12.28 12.35
12.47 12.52
12.65 12.67
12.91 12.91
13.05 13.05
13.11 13.18
12.82 12.99
12.83 13.02
12.83 13.09
12.82 13.14
12.97 13.27
13.03 13.34
13.16 13.45
13.39 13.7
13.59 13.95
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return
- ---------------------------
1-Year Since Inception*
------ ----------------
<S> <C> <C>
Global Fixed Income Fund: 7.41% 7.63%
JP Morgan Hedged Global Bond Index: 10.09% 8.31%
*Fund Inception was 9/1/92
</TABLE>
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
10 [LOGO] PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 15
INTERNATIONAL BOND FUND
Maturity Composition
[Bar Chart]
<TABLE>
<CAPTION>
Years Country Allocation
- ----- ------------------
<S> <C> <C>
6.3 U.K. 21%
6.5 Japan 18%
6.3 Germany 12%
8.3 Sweden 10%
8.1 Denmark 9%
5.0 Spain 8%
4.5 Italy 8%
8.0 Ireland 5%
8.7 Australia 4%
8.3 Netherlands 3%
0.8 U.S. 2%
</TABLE>
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $18,364,000 $19,194,000
Number of Issues: 23 28
Average Maturity: 6.6 years 6.8 years
SEC Yield: 5.31% 5.54%
</TABLE>
Investment Performance
[Line Chart]
<TABLE>
<CAPTION>
International Bond JP Morgan Non-US Bond
- ------------------ ---------------------
<S> <C>
10 10
10.21 10.18
10.4 10.41
10.42 10.46
10.44 10.56
9.96 10.02
10.18 10.33
10.24 10.4
10.37 10.5
10.44 10.62
10.29 10.39
10.13 10.42
10.17 10.44
10.15 10.41
10.14 10.44
10.22 10.51
10.44 10.81
10.49 10.88
10.55 10.89
10.7 11.1
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return
---------------------------
1-Year Since Inception*
------ ----------------
<S> <C> <C>
International Bond Fund 4.47% 4.36%
JP Morgan Non-US Bond Index 6.66% 6.78%
*Fund Inception was 4/1/95
</TABLE>
Note: Past performance is not predicitive of future performance. This
information is not part of the audited financial statements.
ANNUAL REPORT [ LOGO ] 11
<PAGE> 16
SHORT DURATION TAX EXEMPT FUND
[Pie Chart]
Portfolio Composition
Revenue Bonds 28%
General Obligation 26%
Insured Bonds 26%
Pre-refunded Bonds 17%
Cash 3%
[Pie Chart]
Credit
Quality
-------
AAA 52%
AA 26%
A 17%
BBB 5%
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $36,336,000 $16,019,000
Number of Issues: 35 24
Average Maturity: 2.1 years 3.5 years
SEC Yield: 3.76% 3.80%
</TABLE>
Investment Performance
[Line Chart]
<TABLE>
<CAPTION>
Short Duration Lehman 1 yr General Obligation
<S> <C>
10 10
9.97 10
9.97 10
9.96 10.03
9.99 10.04
10.04 10.08
10.12 10.15
10.18 10.22
10.21 10.26
10.33 10.36
10.34 10.4
10.44 10.48
10.48 10.53
10.5 10.56
10.55 10.6
10.63 10.65
10.68 10.69
10.76 10.76
10.74 10.79
10.68 10.8
10.68 10.82
10.68 10.85
10.74 10.9
10.78 10.95
10.8 10.97
10.84 11.02
10.9 11.07
11.15 11.2
11.13 11.21
11.15 11.23
11.23 11.31
11.26 11.36
11.3 11.4
11.39 11.5
11.52 11.63
</TABLE>
Average Annual Total Return
- ---------------------------
<TABLE>
<CAPTION>
1-Year Since Inception*
------ ----------------
<S> <C> <C>
Short Duration Tax Exempt Fund: 3.28% 4.04%
Lehman 1 Year General Obligation Index: 4.49% 4.81%
*Fund Inception was 9/1/94
</TABLE>
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
12 [LOGO] PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 17
TAX EXEMPT FUND
Portfolio Composition
[Pie chart]
Revenue Bonds 22%
Cash 2%
Pre-refunded Bonds 4%
Insured Bonds 37%
General Obligation 35%
Credit
Quality
- -------
AAA 51%
AA 35%
A 10%
BBB 4%
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $49,862,000 $40,052,000
Number of Issues: 43 43
Average Maturity: 9.3 years 9.4 years
SEC Yield: 4.75% 4.75%
</TABLE>
Investment Performance
[Line Chart]
Lehman Quality Intermediate Tax Exempt Bond
10.03 10
10.09 10.1
9.76 9.89
9.37 9.62
9.45 9.7
9.5 9.75
9.38 9.73
9.53 9.86
9.56 9.91
9.39 9.82
9.22 9.72
9.07 9.6
9.24 9.73
9.48 9.91
9.72 10.12
9.84 10.24
9.81 10.26
10.11 10.52
9.98 10.51
10.09 10.64
10.23 10.76
10.28 10.81
10.44 10.89
10.62 11.01
10.7 11.07
10.8 11.18
10.72 11.15
10.54 11.04
10.49 11.02
10.46 11.01
10.54 11.09
10.62 11.18
10.63 11.18
10.7 11.28
10.81 11.4
Average Annual Total Return
---------------------------
1-Year Since Inception*
------ ----------------
Tax Exempt Bond Fund: 3.52% 2.74%
Lehman Quality Intermediate Index: 4.60% 4.72**
*Fund Inception was 12/21/93
**Since January 1, 1994
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
ANNUAL REPORT [LOGO] 13
<PAGE> 18
U.S. TREASURY FUND
Portfolio Composition
Treasury/Agency 100%
[Pie Chart]
Credit
Quality
-------
AAA 100%
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $22,114,000 $10,894,000
Number of Issues: 13 13
Average Maturity: 4.7 years 4.9 years
SEC Yield: 5.85% 5.60%
</TABLE>
Investment Performance
[LINE CHART]
<TABLE>
<CAPTION>
Lehman Intermediate Treasury US Treasury
<S> <C>
10 10
10.16 10.13
10.36 10.29
10.41 10.34
10.53 10.46
10.83 10.79
10.9 10.86
10.91 10.84
10.99 10.95
11.07 11.02
11.19 11.16
11.33 11.33
11.44 11.47
11.54 11.57
11.42 11.37
11.36 11.25
11.33 11.19
11.32 11.17
11.43 11.28
11.47 11.33
11.48 11.33
11.63 11.5
11.82 11.74
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return
---------------------------
1-Year Since Inception*
------ ----------------
<S> <C> <C>
U.S. Treasury Fund: 5.20% 9.15%
Lehman Intermediate Treasury Index: 5.61% 9.54%
</TABLE>
*Fund Inception was 1/1/95
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
14 [LOGO] PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 19
LIMITED MATURITY FUND
Portfolio Composition
[Pie Chart]
<TABLE>
<CAPTION>
<S> <C>
Treasury/Agency 26%
Commercial Paper 38%
Mortgage Backed 5%
Cash 1%
Asset Backed 3%
Corporate 27%
</TABLE>
Credit
Quality
-------
<TABLE>
<CAPTION>
<S> <C>
AAA 36%
AA 29%
A 26%
B 9%
</TABLE>
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $50,771,000 $18,414,000
Number of Issues: 27 23
Average Maturity: 0.7 years 0.7 years
SEC Yield: 5.63% 5.52%
</TABLE>
Investment Performance
[Line Chart]
<TABLE>
<CAPTION>
Limited Maturity Fund Merrill Lynch 90-day Treasury Bill Index
<S> <C>
10 10
10.03 10.024
10.071 10.063
10.107 10.119
10.142 10.155
10.179 10.158
10.223 10.184
10.263 10.199
10.314 10.24
10.366 10.308
10.416 10.395
10.469 10.447
10.518 10.497
10.572 10.584
10.626 10.634
10.677 10.684
10.731 10.739
10.778 10.774
10.828 10.84
10.877 10.9
10.936 10.965
10.986 11.032
11.03 11.047
11.071 11.066
11.118 11.099
11.167 11.139
11.213 11.193
11.264 11.242
11.315 11.289
11.368 11.345
11.417 11.427
11.3 11.4
11.39 11.5
11.52 11.63
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return
- ---------------------------
1-Year Since Inception*
------ ----------------
<S> <C> <C>
Limited Maturity Fund: 5.41% 5.47%
Merrill Lynch 90-day Treasury Bill Index: 5.43% 5.43%
*Fund Inception was 5/1/94
</TABLE>
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
ANNUAL REPORT [LOGO] 15
<PAGE> 20
SHORT BOND FUND
Portfolio Composition
[Pie Chart]
<TABLE>
<CAPTION>
<S> <C>
Treasury/Agency 50%
Corporate 32%
Mortgage Backed 12%
Asset Backed 3%
Commercial Paper 1%
Cash 2%
</TABLE>
Credit
Quality
-------
<TABLE>
<CAPTION>
<S> <C>
AAA 66%
AA 2%
A 22%
BBB 10%
</TABLE>
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Asset: $97,966,000 $19,157,000
Number of Issues: 34 27
Average Maturity: 1.9 years 2.6 years
SEC Yield: 5.80% 5.62%
</TABLE>
Investment Performance
[Line Chart]
<TABLE>
<CAPTION>
Short Bond Merrill Lynch 1-3 year Treasury
<S> <C>
10 10
10.05 10.06
10 10
9.94 9.95
9.88 9.91
9.9 9.93
9.93 9.96
10 10.04
10.04 10.08
10 10.06
10.02 10.08
10.01 10.03
10.04 10.06
10.16 10.2
10.3 10.34
10.37 10.39
10.46 10.49
10.67 10.67
10.73 10.73
10.75 10.77
10.83 10.84
10.89 10.89
10.98 10.98
11.09 11.08
11.18 11.16
11.28 11.26
11.21 11.21
11.15 11.2
11.13 11.21
11.15 11.23
11.23 11.31
11.26 11.36
11.3 11.4
11.39 11.5
11.52 11.63
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return
- ---------------------------
1-Year Since Inception*
------ ----------------
<S> <C> <C>
Short Bond Fund: 4.86% 5.10%
Merrill Lynch 1-3 year Treasury Index: 5.89% 5.47%
*Fund Inception was 1/1/94
</TABLE>
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
16 [LOGO] PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 21
INTERMEDIATE BOND FUND
Portfolio Composition
<TABLE>
<CAPTION>
[pie chart]
<S> <C>
Treasury/Agency 35%
Corporate 32%
Mortgage Backed 18%
Commercial Paper 11%
Asset Backed 4%
</TABLE>
Credit
Quality
- -------
AAA 61%
AA 10%
A 18%
BBB 11%
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $52,767,000 $34,391,000
Number of Issues: 31 28
Average Maturity: 3.1 years 5.9 years
SEC Yield: 5.74% 5.93%
</TABLE>
Investment Performance
[line chart]
Intermediate Bond Lehman Intermediate Govt/Corp
10 10
10.11 10.12
9.96 9.91
9.8 9.73
9.73 9.64
9.74 9.65
9.74 9.6
9.88 9.72
9.91 9.74
9.82 9.66
9.82 9.65
9.77 9.64
9.81 9.67
9.97 9.82
10.18 10.01
10.24 10.07
10.36 10.18
10.68 10.49
10.75 10.56
10.75 10.53
10.85 10.64
10.93 10.72
11.05 10.85
11.19 11.01
11.31 11.15
11.41 11.24
11.27 11.06
11.22 10.97
11.18 10.9
11.17 10.87
11.29 10.98
11.32 10.99
11.33 11.02
11.49 11.14
11.69 11.29
<TABLE>
<CAPTION>
Average Annual Total Return
- ---------------------------
1-Year Since Inception*
------ ----------------
<S> <C> <C>
Intermediate Bond Fund: 4.06% 4.37%
Lehman Intermediate
Government/Corporate Index: 5.79% 5.66%
*Fund Inception was 1/1/94
</TABLE>
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
ANNUAL REPORT [LOGO] 17
<PAGE> 22
OPPORTUNITY FUND
Portfolio Composition
[pie chart]
<TABLE>
<CAPTION>
Credit
Quality
-------
<S> <C> <C> <C>
AAA 66% Mortgage Backed 32%
AA1 5% Cash 1%
A 16% Corporate 30%
BBB 3% Commercial Paper 12%
Treasury / Agency 26%
</TABLE>
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $32,304,000 $25,822,000
Number of Issues: 32 32
Average Maturity: 6.8 years 9.5 years
SEC Yield: 6.63% 5.91%
</TABLE>
Investment Performance
[line chart]
<TABLE>
<CAPTION>
Opportunity Fund Lehman Aggregate
- ---------------- ----------------
<S> <C>
10 10
10.14 10.19
9.96 9.88
9.71 9.64
9.64 9.55
9.63 9.54
9.61 9.51
9.8 9.67
9.82 9.63
9.67 9.48
9.66 9.45
9.64 9.48
9.71 9.53
9.9 9.71
10.14 9.92
10.2 9.99
10.34 10.11
10.74 10.56
10.82 10.62
10.8 10.55
10.93 10.7
11.03 10.83
11.18 11
11.34 11.21
11.5 11.41
11.58 11.47
11.38 11.14
11.3 11
11.23 10.89
11.21 10.85
11.36 10.98
11.39 10.98
11.37 11.11
11.57 11.22
11.83 11.54
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return
---------------------------
1-Year Since Inception*
------ ----------------
<S> <C> <C>
Opportunity Fund: 4.86% 5.17%
Lehman Aggregate Index: 5.39% 5.87%
*Fund Inception was 1/1/94
</TABLE>
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
18 [ LOGO ] Payden & Rygel Investment Group
<PAGE> 23
MARKET RETURN FUND
Portfolio Composition
[pie chart]
<TABLE>
<CAPTION>
Equity
Exposure
--------
<S> <C> <C> <C>
S&P Futures 98% Corporate 17%
S&P Depository 2% Mortgage Backed 14%
Receipts S & P Depository Receipts 2%
Cash 9%
Treasury / Agency 58%
</TABLE>
<TABLE>
<CAPTION>
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Net Assets: $5,789,000 Fund
Number of Issues: 20 Not
Average Maturity: 2.1 years In
SEC Yield: 6.03% Operation
</TABLE>
<TABLE>
<CAPTION>
Investment Performance
[line chart]
Standard & Poors Market Return Fund
- ---------------- ------------------
<S> <C>
10 10
10.19 10.16
10.54 10.55
10.64 10.36
10.74 10.37
10.9 10.36
11.18 10.49
11.22 10.7
10.73 10.17
10.95 10.34
11.57 10.98
11.89 11.41
</TABLE>
<TABLE>
<CAPTION>
Total Return
------------
Since Inception*
----------------
<S> <C>
Market Return Fund: 14.06%
Standard & Poor's 500 Index: 18.88%
*Fund Inception was 12/1/95
</TABLE>
Note: Past performance is not predictive of future performance. This information
is not part of the audited financial statements.
ANNUAL REPORT [ LOGO ] 19
<PAGE> 24
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1996
<TABLE>
<CAPTION>
GLOBAL GLOBAL INTERNATIONAL SHORT DURATION
SHORT BOND FIXED INCOME BOND TAX EXEMPT
FUND FUND FUND FUND
============== ============== ============== ==============
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value*.............. $ 27,199,566 $633,674,501 $ 17,956,091 $ 35,731,987
Interest receivable................. 1,089,359 20,719,527 500,193 610,894
Open forward currency contracts..... 10,145 3,482,088 90,984
Closed forward currency contracts... 154,261
Receivable for investments sold.....
Receivable for open futures
contracts.........................
Receivable for fund shares sold..... 1,000,000
Unamortized organization costs
Note 4)........................... 1,027 15,212 3,654 3,105
Deferred expense subsidy (Note 5)... 50,458 118,517 182,710
Other assets........................ 201 20
------------- -------------- ------------- -------------
Total Assets................... 29,350,555 658,045,790 18,669,459 36,528,696
------------- -------------- ------------- -------------
LIABILITIES:
Open forward currency contracts..... 383,890 6,465,142 179,850
Closed forward currency contracts... 28,389
Payable for investments purchased...
Payable for open futures
contracts.........................
Payable for fund shares redeemed....
Deposit for fund shares sold........
Payable to Payden & Rygel
(Note 5).......................... 6,684
Accrued expenses:
Investment advisory fees.......... 7,843 128,447 76,423 140,450
Administration fees............... 1,569 33,430 9,273 14,675
Other expenses.................... 37,154 225,804 39,509 37,942
Other liabilities
------------- -------------- ------------- -------------
Total Liabilities.............. 437,140 6,881,212 305,055 193,067
------------- -------------- ------------- -------------
NET ASSETS..................... $ 28,913,415 $651,164,578 $ 18,364,404 $ 36,335,629
============= ============== ============= =============
NET ASSETS:
Paid in capital..................... $ 28,785,368 $644,593,521 $ 18,027,254 $ 36,324,093
Undistributed net investment
income............................ 25,713 2,668,546 2,225
Accumulated net realized gains
(losses) from:
Investments....................... (11,848,733) 65,275
Futures contracts................. 170,675 (108,515)
Accumulated distributions in excess
of realized gains (losses) on
investments....................... (110,019)
Net unrealized appreciation
(depreciation) from:
Investments....................... 78,846 16,591,370 592,947 52,551
Translation of assets and
liabilities in foreign
currencies..................... 23,488 (1,010,801) (145,778)
Open futures contracts............
------------- -------------- ------------- -------------
NET ASSETS..................... $ 28,913,415 $651,164,578 $ 18,364,404 $ 36,335,629
============= ============== ============= =============
Outstanding shares of beneficial
interest.......................... 2,871,151 62,918,935 1,766,919 3,630,620
============= ============== ============= =============
NET ASSET VALUE -- offering and
redemption price per share........ $ 10.07 $ 10.35 $ 10.39 $ 10.01
============= ============== ============= =============
- ------------
* Investments, at cost.............. $ 26,739,594 $615,229,208 $ 17,420,954 $ 35,679,436
</TABLE>
See notes to financial statements.
20 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 25
<TABLE>
<CAPTION>
TAX EXEMPT U.S. LIMITED SHORT INTERMEDIATE MARKET
BOND TREASURY MATURITY BOND BOND OPPORTUNITY RETURN
FUND FUND FUND FUND FUND FUND FUND
============ ============ ============ ============ ============ ============ ============
<S> <C> <C> <C> <C> <C> <C> <C>
$49,160,419 $23,807,464 $54,827,184 $97,021,839 $57,624,705 $34,656,903 $6,024,222
752,013 307,280 415,150 1,393,857 677,503 361,314 60,181
5,054,738 2,517,960
54,800
1,000,000 2,498,119
6,561 2,345 880 41,427
266,058 134,344 260,697 228,740 188,283 318,100 119,282
----------- ----------- ----------- ----------- ----------- ----------- ----------
50,185,051 24,251,433 55,503,911 104,699,174 61,008,451 37,834,436 6,299,912
----------- ----------- ----------- ----------- ----------- ----------- ----------
5,000,000 6,978,762 5,212,599
14,219
28,500 2,000,000 4,470,377 1,500,000 1,069,775
350,000
29,130 37,318 30 159,294 112,195
215,573 62,862 154,408 132,091 134,774 111,424 8,031
25,600 9,263 20,752 30,253 20,422 15,112 1,721
37,221 36,536 50,249 67,297 36,341 32,270 38,763
1,835 3,261 1,648
----------- ----------- ----------- ----------- ----------- ----------- ----------
322,948 2,137,791 4,733,104 6,732,932 8,241,722 5,530,699 510,710
----------- ----------- ----------- ----------- ----------- ----------- ----------
$49,862,103 $22,113,642 $50,770,807 $97,966,242 $52,766,729 $32,303,737 $5,789,202
=========== =========== =========== =========== =========== =========== ==========
$50,821,640 $22,004,727 $50,706,798 $97,680,510 $52,355,817 $32,248,275 $5,510,368
6,235 7,296 12,828 22,497 11,959 67,182 1,537
(1,316,984) (134,232) (63,043) (356,543) (51,401) (434,882) (96,145)
(157,832) 165,973 112,669
677,482 235,851 114,224 619,778 450,354 257,189 34,998
(168,438) 225,775
----------- ----------- ----------- ----------- ----------- ----------- ----------
$49,862,103 $22,113,642 $50,770,807 $97,966,242 $52,766,729 $32,303,737 $5,789,202
=========== =========== =========== =========== =========== =========== ==========
5,266,366 2,098,931 5,047,881 9,829,447 5,497,972 3,294,124 532,943
=========== =========== =========== =========== =========== =========== ==========
$ 9.47 $ 10.54 $ 10.06 $ 9.97 $ 9.60 $ 9.81 $ 10.86
=========== =========== =========== =========== =========== =========== ==========
$48,482,937 $23,571,613 $54,712,960 $96,402,061 $57,174,351 $34,399,714 $5,989,224
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 21
<PAGE> 26
STATEMENTS OF OPERATIONS
For the period ended October 31, 1996
<TABLE>
<CAPTION>
GLOBAL GLOBAL INTERNATIONAL SHORT DURATION
SHORT BOND FIXED INCOME BOND TAX EXEMPT
FUND (A) FUND FUND FUND
========== ============ ============= ==============
<S> <C> <C> <C> <C>
INVESTMENT INCOME - INTEREST....... $142,485 $39,656,546 $ 1,179,617 $1,188,946
---------- ----------- ------------ -------------
EXPENSES:
Investment advisory fees (Note
5)............................... 7,843 1,982,809 65,046 89,100
Administration fees (Note 5)....... 1,569 397,116 11,676 17,181
Custodian fees..................... 3,375 182,796 27,074 6,162
Accounting fees (Note 5)........... 1,939 179,198 14,821 18,153
Legal fees......................... 359 50,211 2,432 1,576
Audit fees......................... 19,184 60,599 17,675 17,658
Organization expenses (Note 4)..... 534 18,246 1,035 1,098
Trustees' fees and expenses........ 183 70,071 2,095 2,733
Transfer agent fees (Note 5)....... 3,676 60,717 13,114 13,388
Registration and filing fees....... 22,645 167,350 21,591 15,793
Printing costs..................... 805 44,856 1,209 2,935
Other expenses..................... 111 147,409 5,042 8,668
Expense subsidy (Note 5)........... (50,458) (51,952) (69,070)
---------- ----------- ------------ -------------
Net Expenses..................... 11,765 3,361,378 130,858 125,375
---------- ----------- ------------ -------------
Net Investment Income......... 130,720 36,295,168 1,048,759 1,063,571
---------- ----------- ------------ -------------
REALIZED AND UNREALIZED GAINS
(LOSSES):
Net realized gains (losses) from:
Investments...................... 9,061,739 481,273* 65,273
Foreign currency transactions.... (8) (8,756,285 ) (1,437,710)
Futures contracts................ 170,675 (108,515)
Change in net unrealized
appreciation (depreciation) from:
Investments...................... 78,846 (1,190,846 ) 280,999 (83,247)
Translation of assets and
liabilities in foreign
currencies.................... 23,488 8,722,865 333,018
Futures contracts................
---------- ----------- ------------ -------------
Net realized and unrealized
gains (losses).............. 102,326 8,008,148 (342,420) (126,489)
---------- ----------- ------------ -------------
CHANGE IN NET ASSETS RESULTING FROM
OPERATIONS....................... $233,046 $44,303,316 $ 706,339 $ 937,082
========== ============ ============= ==============
- ------------
(a) The Fund commenced operations on September 18, 1996.
(b) The Fund commenced operations on December 1, 1995.
* Included net realized loss of $79,924 on option contracts purchased.
</TABLE>
See notes to financial statements.
22 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 27
<TABLE>
<CAPTION>
TAX EXEMPT U.S. LIMITED SHORT INTERMEDIATE MARKET
BOND TREASURY MATURITY BOND BOND OPPORTUNITY RETURN
FUND FUND FUND FUND FUND FUND FUND(B)
========== ========== ========== ========== ============ =========== =========
<S> <C> <C> <C> <C> <C> <C> <C>
$2,577,975 $1,072,381 $2,161,797 $3,271,853 $2,523,749 $1,904,675 $ 171,576
--------- ---------- ---------- ---------- ------------ ---------- ---------
159,206 49,630 104,879 150,282 111,179 83,067 8,031
30,854 10,950 22,883 32,665 24,631 18,435 1,721
6,494 6,082 6,198 6,275 6,162 6,114 5,570
24,200 13,489 19,896 24,109 19,239 16,438 8,882
2,946 1,243 2,595 3,300 2,234 2,119 11,443
18,008 16,904 17,849 17,803 17,774 17,108 20,373
2,900 756 340 7,711
5,092 2,242 3,716 5,070 3,697 3,267 285
14,680 11,736 14,213 16,067 13,053 13,429 9,986
17,294 21,542 27,347 39,981 18,284 16,810 41,079
6,950 (115) 3,422 5,594 5,001 4,024 1,250
14,822 4,677 8,124 8,368 10,518 8,342 2,951
(79,465) (59,308) (119,112) (94,820) (53,096) (189,153) (119,282)
--------- ---------- ---------- ---------- ---------- ---------- ---------
223,981 79,828 112,350 214,694 178,676 0 0
--------- ---------- ---------- ---------- ---------- ---------- ---------
2,353,994 992,553 2,049,447 3,057,159 2,345,073 1,904,675 171,576
--------- ---------- ---------- ---------- ---------- ---------- ---------
(9,692) (130,766) (60,491) (353,688) (52,914) (434,892) (96,145)
(157,832) 165,973 112,669
(414,168) (94,523) 53,290 439,764 (479,438) (342,583) 34,998
(292,875) 225,775
--------- ---------- ---------- ---------- ---------- ---------- ---------
(874,567) (225,289) (7,201) 86,076 (532,352) (611,502) 277,297
--------- ---------- ---------- ---------- ---------- ---------- ---------
$1,479,427 $ 767,264 $2,042,246 $3,143,235 $1,812,721 $1,293,173 $ 448,873
========== ========== ========== ========== ========== ========== =========
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 23
<PAGE> 28
STATEMENTS OF CHANGES IN NET ASSETS
October 31, 1996
<TABLE>
<CAPTION>
GLOBAL SHORT
BOND FUND GLOBAL FIXED INCOME FUND
================ ===============================
PERIOD ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 1996 OCTOBER 31, OCTOBER 31,
(A) 1996 1995
================ ============= =============
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income.................... $ 130,720 $ 36,295,168 $ 28,703,456
Net realized gains (losses).............. (8) 476,129 27,506,560
Change in net unrealized appreciation
(depreciation)......................... 102,334 7,532,019 9,681,400
----------- ------------- -------------
Change in net assets resulting
from operations..................... 233,046 44,303,316 65,891,416
----------- ------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.................... (104,999) (44,142,948) (41,196,930)
Net realized gains from investments......
In excess of net realized gains from
investments............................
----------- ------------- -------------
Change in net assets from distributions
to shareholders..................... (104,999) (44,142,948) (41,196,930)
----------- ------------- -------------
FROM CAPITAL TRANSACTIONS:
Proceeds from fund shares sold........... 28,680,369 230,552,397 111,729,616
Reinvestment of distributions............ 104,999 40,665,055 38,712,586
Cost of fund shares redeemed............. (160,254,143) (65,305,726)
----------- ------------- -------------
Change in net assets from capital
transactions........................ 28,785,368 110,963,309 85,136,476
----------- ------------- -------------
Total Change in Net Assets.......... 28,913,415 111,123,677 109,830,962
NET ASSETS:
Beginning of period...................... 0 540,040,901 430,209,939
----------- ------------- -------------
End of period............................ $28,913,415 $ 651,164,578 $ 540,040,901
=========== ============= =============
FUND SHARES OF BENEFICIAL
INTEREST:
Outstanding shares at beginning of
period................................. 0 52,327,237 44,045,982
----------- ------------- -------------
Shares sold.............................. 2,860,724 22,249,887 10,968,947
Shares issued in reinvestment of
distributions.......................... 10,427 4,006,005 3,831,846
Shares redeemed.......................... 0 (15,664,194) (6,519,538)
----------- ------------- -------------
Change in shares outstanding............. 2,871,151 10,591,698 8,281,255
----------- ------------- -------------
Outstanding shares at end of period...... 2,871,151 62,918,935 52,327,237
=========== ============= =============
</TABLE>
- ------------
(a) The Fund commenced operations on September 18, 1996.
(b) The Fund commenced operations on April 1, 1995.
See notes to financial statements.
24 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 29
<TABLE>
<CAPTION>
INTERNATIONAL BOND
FUND SHORT DURATION TAX EXEMPT TAX EXEMPT BOND
====================================== FUND FUND
YEAR ENDED PERIOD ENDED ==================================== ====================================
OCTOBER 31, OCTOBER 31, 1995 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
1996 (B) OCTOBER 31, 1996 OCTOBER 31, 1995 OCTOBER 31, 1996 OCTOBER 31, 1995
=============== ================== ================ ================ ================ ================
<S> <C> <C> <C> <C> <C> <C>
$ 1,048,759 $ 370,386 $ 1,063,571 $ 738,428 $ 2,353,994 $ 1,545,633
(956,437) (98,063) (43,242) 33,670 (167,524) (216,473)
614,017 (166,848) (83,247) 227,515 (707,043) 2,443,288
------------- --------------- -------------- -------------- -------------- --------------
706,339 105,475 937,082 999,613 1,479,427 3,772,448
------------- --------------- -------------- -------------- -------------- --------------
(51,924) (219,289) (1,063,018) (743,140) (2,352,923) (1,550,994)
(23,827) (53,034) (32,675)
(110,019) (16,571)
------------- --------------- -------------- -------------- -------------- --------------
(185,770) (288,894) (1,095,693) (743,140) (2,352,923) (1,550,994)
------------- --------------- -------------- -------------- -------------- --------------
4,234,969 19,111,194 28,660,093 17,480,222 19,067,316 14,684,139
180,026 268,449 826,992 678,179 1,985,629 1,467,907
(5,765,447) (1,937) (9,011,463) (22,546,345) (10,369,014) (3,795,557)
------------- --------------- -------------- -------------- -------------- --------------
(1,350,452) 19,377,706 20,475,622 (4,387,944) 10,683,931 12,356,489
------------- --------------- -------------- -------------- -------------- --------------
(829,883) 19,194,287 20,317,011 (4,131,471) 9,810,435 14,577,943
19,194,287 0 16,018,618 20,150,089 40,051,668 25,473,725
------------- --------------- -------------- -------------- -------------- --------------
$18,364,404 $19,194,287 $ 36,335,629 $ 16,018,618 $ 49,862,103 $ 40,051,668
============= =============== ============== ============== ============== ==============
1,912,673 0 1,589,820 2,029,728 4,177,567 2,861,275
------------- --------------- -------------- -------------- -------------- --------------
421,938 1,886,243 2,854,221 1,745,760 1,986,272 1,570,000
17,707 26,628 82,428 67,925 208,658 158,441
(585,399) (198) (895,849) (2,253,593) (1,106,131) (412,149)
------------- --------------- -------------- -------------- -------------- --------------
(145,754) 1,912,673 2,040,800 (439,908) 1,088,799 1,316,292
------------- --------------- -------------- -------------- -------------- --------------
1,766,919 1,912,673 3,630,620 1,589,820 5,266,366 4,177,567
============= =============== ============== ============== ============== ==============
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 25
<PAGE> 30
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
U.S. TREASURY FUND LIMITED MATURITY FUND
========================== ==========================
YEAR ENDED PERIOD ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995 (C) 1996 1995
=========== ============ ============ ===========
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income.................... $ 992,553 $ 355,690 $ 2,049,447 $ 879,148
Net realized gains (losses).............. (130,766) 34,473 (60,491) 999
Change in net unrealized appreciation
(depreciation)......................... (94,523) 330,374 53,290 91,216
----------- ----------- ------------ -----------
Change in net assets resulting from
operations.......................... 767,264 720,537 2,042,246 971,363
----------- ----------- ------------ -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.................... (988,707) (352,240) (2,041,488) (881,648)
Net realized gains from investments...... (37,939)
In excess of net realized gains from
investments............................
----------- ----------- ------------ -----------
Change in net assets from distributions
to shareholders..................... (1,026,646) (352,240) (2,041,488) (881,648)
----------- ----------- ------------ -----------
FROM CAPITAL TRANSACTIONS:
Proceeds from fund shares sold........... 21,850,747 11,528,561 111,950,760 30,816,505
Reinvestment of distributions............ 821,001 351,159 2,027,495 866,908
Cost of fund shares redeemed............. (11,192,992) (1,353,749) (81,622,509) (27,606,714)
----------- ----------- ------------ -----------
Change in net assets from capital
transactions........................ 11,478,756 10,525,971 32,355,746 4,076,699
----------- ----------- ------------ -----------
Total Change in Net Assets.......... 11,219,374 10,894,268 32,356,504 4,166,414
NET ASSETS:
Beginning of period...................... 10,894,268 0 18,414,303 14,247,889
----------- ----------- ------------ -----------
End of period............................ $22,113,642 $10,894,268 $ 50,770,807 $18,414,303
=========== =========== ============ ===========
FUND SHARES OF BENEFICIAL INTEREST:
Outstanding shares at beginning of
period................................. 1,026,380 0 1,830,050 1,424,310
----------- ----------- ------------ -----------
Shares sold.............................. 2,071,280 1,121,118 11,140,482 3,067,449
Shares issued in reinvestment of
distributions.......................... 78,390 33,655 201,954 86,480
Shares redeemed.......................... (1,077,119) (128,393) (8,124,605) (2,748,189)
----------- ----------- ------------ -----------
Change in shares outstanding............. 1,072,551 1,026,380 3,217,831 405,740
----------- ----------- ------------ -----------
Outstanding shares at end of period...... 2,098,931 1,026,380 5,047,881 1,830,050
=========== =========== ============ ===========
</TABLE>
- ------------
(c) The Fund commenced operations on January 1, 1995.
(d) The Fund commenced operations on December 1, 1995.
See notes to financial statements.
26 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 31
<TABLE>
<CAPTION>
INTERMEDIATE MARKET
SHORT BOND BOND OPPORTUNITY RETURN
FUND FUND FUND FUND
=========================== ============================ ============================ ============
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995 1996 1995 1996 1995 1996 (D)
=========== =========== ============ =========== ============ =========== ============
<S> <C> <C> <C> <C> <C> <C> <C>
$ 3,057,159 $ 573,521 $ 2,345,073 $ 1,549,919 $ 1,904,675 $ 530,941 $ 171,576
(353,688) 59,994 (52,914) 471,047 (268,919) 202,864 16,524
439,764 201,029 (479,438) 1,010,731 (342,583) 600,568 260,773
----------- ----------- ------------ ----------- ------------ ----------- -----------
3,143,235 834,544 1,812,721 3,031,697 1,293,173 1,334,373 448,873
----------- ----------- ------------ ----------- ------------ ----------- -----------
(3,039,378) (570,116) (2,340,379) (1,549,848) (1,843,583) (526,378) (170,039)
(16,883) (255,413) (13,424)
----------- ----------- ------------ ----------- ------------ ----------- -----------
(3,056,261) (570,116) (2,595,792) (1,549,848) (1,857,007) (526,378) (170,039)
----------- ----------- ------------ ----------- ------------ ----------- -----------
95,063,381 22,625,118 32,977,552 19,805,492 25,161,170 25,177,485 5,468,086
2,857,489 570,116 1,610,996 926,921 1,728,421 524,801 141,367
(19,198,388) (6,894,440) (15,429,671) (2,135,210) (19,843,931) (3,718,336) (99,085)
----------- ----------- ------------ ----------- ------------ ----------- -----------
78,722,482 16,300,794 19,158,877 18,597,203 7,045,660 21,983,950 5,510,368
----------- ----------- ------------ ----------- ------------ ----------- -----------
78,809,456 16,565,222 18,375,806 20,079,052 6,481,826 22,791,945 5,789,202
19,156,786 2,591,564 34,390,923 14,311,871 25,821,911 3,029,966 0
----------- ----------- ------------ ----------- ------------ ----------- -----------
$97,966,242 $19,156,786 $ 52,766,729 $34,390,923 $ 32,303,737 $25,821,911 $5,789,202
=========== =========== ============ =========== ============ =========== ===========
1,907,327 267,604 3,490,147 1,538,681 2,591,405 333,492 0
----------- ----------- ------------ ----------- ------------ ----------- -----------
9,562,749 2,270,630 3,433,330 2,074,179 2,556,961 2,588,864 528,431
287,635 57,274 166,498 96,175 177,262 54,154 13,760
(1,928,264) (688,181) (1,592,003) (218,888) (2,031,504) (385,105) (9,248)
----------- ----------- ------------ ----------- ------------ ----------- -----------
7,922,120 1,639,723 2,007,825 1,951,466 702,719 2,257,913 532,943
----------- ----------- ------------ ----------- ------------ ----------- -----------
9,829,447 1,907,327 5,497,972 3,490,147 3,294,124 2,591,405 532,943
=========== =========== ============ =========== ============ =========== ===========
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 27
<PAGE> 32
GLOBAL SHORT BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE IN
IN LOCAL CURRENCY SECURITY DESCRIPTION U.S. DOLLARS
----------------- ------------------------------------------------ ---------------
<S> <C> <C>
CANADA (CANADIAN DOLLAR) (4.2%):
Government Bonds (4.2%):
1,600,000 6.25%, 2/1/98................................... $ 1,227,088
--------------
Total Canada (Cost -- $1,191,177)................................... 1,227,088
--------------
DENMARK (DANISH KRONE) (16.3%):
Government Bonds (16.3%):
24,300,000 9.00%, 11/15/00................................. 4,715,637
--------------
Total Denmark (Cost -- $4,667,115).................................. 4,715,637
--------------
GERMANY (GERMAN MARK) (12.7%):
Government Bonds (8.6%):
3,525,000 Bundeschatze, 6.88%, 10/15/03................... 2,479,175
--------------
Total Government Bonds.............................................. 2,479,175
--------------
U.S. Government Agencies (4.1%):
Federal National Mortgage Association (4.1%):
1,720,000 Global Bond, 6.00%, 8/23/00..................... 1,187,751
--------------
Total U.S. Government Agencies...................................... 1,187,751
--------------
Total Germany (Cost -- $3,648,917).................................. 3,666,926
--------------
GREAT BRITAIN (BRITISH POUND) (23.0%):
Corporate Bonds (12.7%):
Financial (12.7%):
790,000 Abbey National Treasury, 6.00%, 8/10/99......... 1,249,723
725,000 Baden Wurt L-Finance, 7.75%, 12/14/00........... 1,198,949
770,000 General Electric Capital Corporation, 6.25%,
12/7/99......................................... 1,223,851
--------------
Total Corporate Bonds............................................... 3,672,523
--------------
Government Bonds (6.1%):
1,075,000 UK Gilt, 7.25%, 3/30/98......................... 1,767,601
--------------
Total Government Bonds.............................................. 1,767,601
--------------
</TABLE>
See notes to financial statements.
28 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 33
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE IN
IN LOCAL CURRENCY SECURITY DESCRIPTION U.S. DOLLARS
----------------- ------------------------------------------------ ---------------
<S> <C> <C>
Supranational Bonds (4.2%):
700,000 European Investment Bank Euro, 8.75%, 12/7/00... $ 1,196,580
--------------
Total Supranational Bonds........................................... 1,196,580
--------------
Total Great Britain (Cost -- $6,378,861)............................ 6,636,704
--------------
IRELAND (IRISH PUNT) (4.3%):
Government Bonds (4.3%):
750,000 6.25%, 4/1/99................................... 1,220,860
--------------
Total Ireland (Cost -- $1,201,085).................................. 1,220,860
--------------
SWEDEN (SWEDISH KRONA) (10.1%):
Government Bonds (10.1%):
17,300,000 11.00%, 1/21/99................................. 2,932,785
--------------
Total Sweden (Cost -- $2,881,596)................................... 2,932,785
--------------
UNITED STATES (UNITED STATES DOLLAR) (23.5%):
U.S. Treasury Notes (17.7%):
2,150,000 7.25%, 2/15/98.................................. 2,190,984
2,950,000 5.13%, 3/31/98.................................. 2,928,797
--------------
Total U.S. Treasury Notes........................................... 5,119,781
--------------
Cash Equivalents (5.8%):
1,679,785 First Chicago Credit Interest................... 1,679,785
--------------
Total United States (Cost -- $6,770,843)............................ 6,799,566
--------------
TOTAL (COST -- $26,739,594)(a) (94.1%).............................. $27,199,566
==============
</TABLE>
- ------------
Percentages indicated are based on net assets of $28,913,415.
(a) This represents cost for federal income tax purposes and differs from value
by unrealized appreciation (depreciation) of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................... $459,972
Unrealized depreciation............................................... 0
--------
Net unrealized appreciation........................................... $459,972
========
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 29
<PAGE> 34
GLOBAL SHORT BOND FUND
FORWARD CURRENCY CONTRACTS
October 31, 1996
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT CONTRACT VALUE APPRECIATION DELIVERY
CURRENCY PRICE (U.S. DOLLARS) (DEPRECIATION) DATE
- ------------------------------------------------ -------- -------------- -------------- --------
<S> <C> <C> <C> <C>
ASSETS:
German Mark (sold).............................. 1.50600 $ 2,845,101 $ 10,145 11/14/96
------------- ------------
$ 2,845,101 $ 10,145
============ ============
LIABILITIES:
British Pound (sold)............................ 0.64519 $ 2,929,946 $ (140,054) 11/07/96
British Pound (sold)............................ 0.64267 1,952,520 (85,320) 11/25/96
British Pound (sold)............................ 0.63867 1,464,973 (55,789) 11/07/96
British Pound (sold)............................ 0.63123 488,324 (13,064) 11/07/96
Canadian Dollar (sold).......................... 1.35889 298,579 (4,221) 11/14/96
Canadian Dollar (sold).......................... 1.36400 895,736 (15,971) 11/14/96
Danish Krone (sold)............................. 5.81050 3,822,867 (2,198) 11/12/96
Danish Krone (sold)............................. 5.85700 1,205,409 (10,258) 11/12/96
German Mark (sold).............................. 1.52646 893,229 (8,830) 11/14/96
Irish Punt (sold)............................... 0.62500 325,353 (5,353) 11/14/96
Irish Punt (sold)............................... 0.62383 894,722 (13,072) 11/14/96
Swedish Krona (sold)............................ 6.61640 594,695 (5,251) 11/13/96
Swedish Krona (sold)............................ 6.61960 1,921,322 (17,884) 11/13/96
Swedish Krona (sold)............................ 6.63000 609,944 (6,625) 11/13/96
------------- ------------
$ 18,297,619 $ (383,890)
============= ============
</TABLE>
See notes to financial statements.
30 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 35
GLOBAL FIXED INCOME FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE IN
IN LOCAL CURRENCY SECURITY DESCRIPTION U.S. DOLLARS
----------------- ------------------------------------------------ ---------------
<S> <C> <C>
AUSTRALIA (AUSTRALIAN DOLLAR) (4.9%):
Government Bonds (4.9%):
39,700,000 7.50%, 7/15/05.................................. $ 31,738,543
--------------
Total Australia (Cost -- $29,291,879)............................... 31,738,543
--------------
DENMARK (DANISH KRONE) (10.3%):
Government Bonds (10.3%):
146,300,000 8.00%, 11/15/01................................. 27,554,938
225,000,000 7.00%, 12/15/04................................. 39,729,116
--------------
Total Denmark (Cost -- $65,372,012)................................. 67,284,054
--------------
GERMANY (GERMAN MARK) (10.2%):
Government Bonds (10.2%):
43,500,000 German Unity Fund, 8.00%, 1/21/02............... 32,428,737
16,000,000 Treuhandanstalt, 6.25%, 3/4/04.................. 10,880,677
33,000,000 Treuhandanstalt, 6.75%, 5/13/04................. 23,050,043
--------------
Total Germany (Cost -- $67,307,621)................................. 66,359,457
--------------
GREAT BRITAIN (BRITISH POUND) (16.5%):
Government Bonds (16.5%):
50,800,000 UK Gilt, 8.00%, 12/7/00......................... 85,261,006
14,230,000 UK Gilt, 6.75%, 11/26/04........................ 22,094,992
--------------
Total Great Britain (Cost -- $101,075,578).......................... 107,355,998
--------------
JAPAN (JAPANESE YEN) (13.9%):
Corporate Bonds (3.2%):
Banking (3.2%):
2,100,000,000 Export -- Import Bank of Japan, 4.38%,
10/1/03........................................ 20,964,905
--------------
Total Corporate Bonds............................................... 20,964,905
--------------
Government Bonds (4.6%):
3,000,000,000 Republic of Austria, 5.00%, 1/22/01............. 30,121,383
--------------
Total Government Bonds.............................................. 30,121,383
--------------
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 31
<PAGE> 36
GLOBAL FIXED INCOME FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE IN
IN LOCAL CURRENCY SECURITY DESCRIPTION U.S. DOLLARS
----------------- ------------------------------------------------ ---------------
<S> <C> <C>
JAPAN (CONTINUED):
Supranational Bonds (6.1%):
1,000,000,000 Asian Development Bank, 5.00%, 2/5/03........... $ 10,254,200
300,000,000 IBRD -- Global Bond, 4.50%, 3/20/03............. 3,016,624
2,560,000,000 IBRD -- Global Bond, 4.75%, 12/20/04............ 26,325,059
--------------
Total Supranational Bonds........................................... 39,595,883
--------------
Total Japan (Cost -- $91,843,100)................................... 90,682,171
--------------
SPAIN (SPANISH PESETA) (4.6%):
Government Bonds (4.6%):
3,320,000,000 12.25%, 3/25/00................................. 30,186,079
--------------
Total Spain (Cost -- $28,916,300)................................... 30,186,079
--------------
SWEDEN (SWEDISH KRONA) (6.5%):
Government Bonds (6.5%):
90,200,000 11.00%, 1/21/99................................. 15,291,165
192,700,000 6.00%, 2/9/05................................... 27,038,811
--------------
Total Sweden (Cost -- $38,267,539).................................. 42,329,976
--------------
UNITED STATES (UNITED STATES DOLLAR) (30.4%):
U.S. Treasury Notes (28.3%):
41,000,000 5.88%, 6/30/00.................................. 40,820,625
32,000,000 6.25%, 8/31/00.................................. 32,235,000
12,000,000 7.88%, 8/15/01.................................. 12,868,125
30,000,000 7.50%, 5/15/02.................................. 31,893,750
68,200,000 5.75%, 8/15/03 (a).............................. 66,356,469
--------------
Total U.S. Treasury Notes........................................... 184,173,969
--------------
Cash Equivalents (2.1%):
13,564,254 First Chicago Credit Interest................... 13,564,254
--------------
Total United States (Cost -- $193,155,179).......................... 197,738,223
--------------
TOTAL (COST -- $615,229,208)(b) (97.3%)............................. $ 633,674,501
==============
</TABLE>
- ------------
Percentages indicated are based on net assets of $651,164,578.
See notes to financial statements.
32 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 37
(a) A portion of the security is held by the custodian in a segregated account
as collateral for open short positions.
(b) This represents cost for federal income tax purposes and differs from value
by unrealized appreciation (depreciation) of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................. $20,574,884
Unrealized depreciation............................................. (2,129,591)
-----------
Net unrealized appreciation......................................... $18,445,293
===========
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 33
<PAGE> 38
GLOBAL FIXED INCOME FUND
FORWARD CURRENCY CONTRACTS
October 31, 1996
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT CONTRACT VALUE APPRECIATION DELIVERY
CURRENCY PRICE (U.S. DOLLARS) (DEPRECIATION) DATE
- ----------------------------------------------- --------- -------------- -------------- --------
<S> <C> <C> <C> <C>
ASSETS:
German Mark (sold)............................. 1.50810 $ 65,503,484 $ 142,031 11/14/96
Japanese Yen (sold)............................ 105.30000 29,043,068 1,821,130 02/20/97
Japanese Yen (sold)............................ 109.25000 62,554,299 1,518,927 02/20/97
------------ ------------
$157,100,851 $ 3,482,088
============ ============
LIABILITIES:
Australian Dollar (sold)....................... 1.26470 $ 30,891,900 $ (54,600) 11/21/96
British Pound (sold)........................... 0.64280 107,388,600 (4,712,400) 11/25/96
Danish Krone (sold)............................ 5.83870 68,985,341 (476,940) 12/11/96
German Mark (sold)............................. 1.53525 2,778,936 (43,225) 11/14/96
Spanish Peseta (sold).......................... 129.80000 30,553,089 (506,864) 12/05/96
Swedish Krona (sold)........................... 6.65760 44,230,354 (671,113) 11/25/96
------------ ------------
$284,828,220 $ (6,465,142)
============ ============
</TABLE>
See notes to financial statements.
34 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 39
INTERNATIONAL BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE IN
IN LOCAL CURRENCY SECURITY DESCRIPTION U.S. DOLLARS
----------------- ------------------------------------------------ ---------------
<S> <C> <C>
AUSTRALIA (AUSTRALIAN DOLLAR) (4.4%):
Government Bonds (4.4%):
1,000,000 7.50%, 7/15/05.................................. $ 799,460
--------------
Total Australia (Cost -- $737,831).................................. 799,460
--------------
DENMARK (DANISH KRONE) (8.8%):
Government Bonds (8.8%):
9,200,000 7.00%, 12/15/04................................. 1,624,479
--------------
Total Denmark (Cost -- $1,614,958).................................. 1,624,479
--------------
GERMANY (GERMAN MARK) (11.6%):
Corporate Bonds (4.2%):
Finance (4.2%):
1,125,000 KFW International Finance, 6.25%, 10/15/03...... 766,609
--------------
Total Corporate Bonds............................................... 766,609
--------------
Government Bonds (4.1%):
1,075,000 Treuhandanstalt, 6.75%, 5/13/04................. 750,873
--------------
Total Government Bonds.............................................. 750,873
--------------
U.S. Government Agencies (3.3%):
Federal National Mortgage Association (3.3%):
870,000 Global Bond, 6.00%, 8/23/00..................... 600,781
--------------
Total U.S. Government Agencies...................................... 600,781
--------------
Total Germany (Cost -- $2,068,742).................................. 2,118,263
--------------
GREAT BRITAIN (BRITISH POUND) (20.6%):
Corporate Bonds (4.3%):
Finance (4.3%):
475,000 General Electric Capital Corporation, 8.00%,
12/29/00....................................... 790,854
--------------
Total Corporate Bonds............................................... 790,854
--------------
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 35
<PAGE> 40
INTERNATIONAL BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE IN
IN LOCAL CURRENCY SECURITY DESCRIPTION U.S. DOLLARS
----------------- ------------------------------------------------ ---------------
<S> <C> <C>
GREAT BRITAIN (CONTINUED):
Government Bonds (12.0%):
250,000 UK Gilt, 6.75%, 11/26/04........................ $ 388,176
1,000,000 UK Gilt, 9.50%, 4/18/05......................... 1,817,764
--------------
Total Government Bonds.............................................. 2,205,940
--------------
Supranational Bonds (4.3%):
500,000 Abbey National Treasury, 6.00%, 8/10/99......... 790,964
--------------
Total Supranational Bonds........................................... 790,964
--------------
Total Great Britain (Cost -- $3,623,352)............................ 3,787,758
--------------
IRELAND (IRISH PUNT) (4.2%):
Government Bonds (4.2%):
485,000 6.25%, 10/18/04................................. 766,211
--------------
Total Ireland (Cost -- $716,520).................................... 766,211
--------------
ITALY (ITALIAN LIRA) (8.1%):
Government Bonds (8.1%):
1,150,000,000 Buoni Poliennali Del Tes, 9.50%, 4/15/99........ 800,053
1,000,000,000 Buoni Poliennali Del Tes, 9.00%, 10/1/03........ 695,764
--------------
Total Italy (Cost -- $1,415,583).................................... 1,495,817
--------------
JAPAN (JAPANESE YEN) (17.6%):
Corporate Bonds (3.9%):
Banking (3.9%):
80,000,000 Export -- Import Bank of Japan, 2.88%,
7/28/05........................................ 717,952
--------------
Total Corporate Bonds............................................... 717,952
--------------
Government Bonds (4.2%):
60,000,000 Republic of Austria, 5.00%, 1/22/01............. 602,428
15,000,000 Republic of Austria, 6.25%, 10/16/03............ 165,344
--------------
Total Government Bonds.............................................. 767,772
--------------
</TABLE>
See notes to financial statements.
36 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 41
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT MARKET VALUE IN
IN LOCAL CURRENCY SECURITY DESCRIPTION U.S. DOLLARS
----------------- ------------------------------------------------ ---------------
<C> <S> <C>
JAPAN (CONTINUED):
Supranational Bonds (9.5%):
70,000,000 Asian Development Bank, 5.00%, 2/5/03........... $ 717,794
40,000,000 European Investment Bank, 4.63%, 2/26/03........ 403,061
63,000,000 IBRD -- Global Bond, 4.50%, 3/20/03............. 633,491
--------------
Total Supranational Bonds........................................... 1,754,346
--------------
Total Japan (Cost -- $3,339,245).................................... 3,240,070
--------------
NETHERLANDS (DUTCH GUILDER) (3.2%):
Government Bonds (3.2%):
875,000 7.75%, 3/1/05................................... 581,407
--------------
Total Netherlands (Cost -- $579,706)................................ 581,407
--------------
SPAIN (SPANISH PESETA) (7.4%):
Government Bonds (7.4%):
50,000,000 10.00%, 2/28/05................................. 445,390
100,000,000 12.25%, 3/25/00................................. 909,219
--------------
Total Spain (Cost -- $1,282,743).................................... 1,354,609
--------------
SWEDEN (SWEDISH KRONA) (9.6%):
Government Bonds (9.6%):
12,600,000 6.00%, 2/9/05................................... 1,767,976
--------------
Total Sweden (Cost -- $1,624,116)................................... 1,767,976
--------------
UNITED STATES (UNITED STATES DOLLAR) (2.3%):
U.S. Treasury Notes (1.2%):
225,000 6.13%, 5/15/98.................................. 226,442
--------------
Cash Equivalents (1.1%):
193,599 First Chicago Credit Interest................... 193,599
--------------
Total United States (Cost -- $418,158).............................. 420,041
--------------
TOTAL (COST -- $17,420,954)(a) (97.8%).............................. $17,956,091
==============
</TABLE>
- ------------
Percentages indicated are based on net assets of $18,364,404.
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 37
<PAGE> 42
INTERNATIONAL BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
(a) For federal income tax purposes, cost is $17,507,073, and net unrealized
appreciation (depreciation) of securities is as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................... $548,603
Unrealized depreciation............................................... (909,585)
--------
Net unrealized appreciation........................................... $449,018
========
</TABLE>
See notes to financial statements.
38 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 43
INTERNATIONAL BOND FUND
FORWARD CURRENCY CONTRACTS
October 31, 1996
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT CONTRACT VALUE APPRECIATION DELIVERY
CURRENCY PRICE (U.S. DOLLARS) (DEPRECIATION) DATE
- --------------------------------------------- ----------- -------------- -------------- --------
<S> <C> <C> <C> <C>
ASSETS:
Canadian Dollar (buy)........................ 1.36069 $2,834,975 $ 42,273 11/05/96
Dutch Guilder (sold)......................... 1.68300 590,294 3,883 11/13/96
Japanese Yen (sold).......................... 105.30000 714,906 44,828 02/20/97
------------- ------------
$4,140,175 $ 90,984
============= ============
LIABILITIES:
Australian Dollar (sold)..................... 1.26470 $ 792,100 $ (1,400) 11/21/96
British Pound (sold)......................... 0.64280 1,952,520 (85,680) 11/25/96
Danish Krone (sold).......................... 5.83870 776,085 (5,366) 12/11/96
German Mark (buy)............................ 1.50810 1,455,633 (3,156) 11/14/96
Irish Punt (sold)............................ 0.62305 813,350 (10,850) 11/18/96
Italian Lira (sold).......................... 1536.05000 148,302 (1,822) 11/15/96
Japanese Yen (buy)........................... 109.25000 1,921,311 (46,653) 02/20/97
Spanish Peseta (sold)........................ 129.80000 470,048 (7,798) 12/05/96
Swedish Krona (sold)......................... 6.65760 1,128,637 (17,125) 11/25/96
------------- ------------
$9,457,986 $ (179,850)
============= ============
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 39
<PAGE> 44
SHORT DURATION TAX EXEMPT FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
GENERAL OBLIGATIONS (47.0%):
Limited (5.6%):
2,000,000 Massachusetts State, 4.75%, 9/1/98................ $ 2,022,500
-----------
Unlimited (41.4%)
1,000,000 California State, 11.00%, 3/1/97.................. 1,023,740
1,650,000 Gwinnett County Georgia, 1/1/00, 7.10%,
Pre-Refunded, 1/1/97............................. 1,691,925
700,000 Illinois State, 5.50%, 2/1/99..................... 715,750
1,000,000 Illinois State, 6.38%, 8/1/00..................... 1,057,500
1,000,000 Lewisville, Texas Independent School District,
6.25%, 8/15/02, Insd: PSF........................ 1,073,750
2,000,000 Milwaukee County, Wisconsin, 5.13%, 12/1/97, Insd:
MBIA............................................. 2,022,260
700,000 Minnesota State, 6.80%, 8/1/00, Pre-Refunded,
8/1/98........................................... 732,375
1,000,000 Montgomery County, Maryland, 6.80%, 11/1/08, Pre-
Refunded, 11/1/99................................ 1,090,000
1,000,000 New York, New York, Series G, 5.60%, 2/1/02....... 1,013,750
1,500,000 Tennessee State, 5.90%, 6/1/98.................... 1,545,000
1,000,000 Virginia State, 5.50%, 12/1/98.................... 1,021,150
1,000,000 Washington Suburban Sanitation District, Maryland,
5.00%, 6/1/97.................................... 1,008,150
1,000,000 Wisconsin State, 6.00%, 5/1/03, Pre-Refunded,
5/1/02........................................... 1,065,000
-----------
15,060,350
-----------
Total General Obligations............................................. 17,082,850
-----------
REVENUE (47.8%):
Airport (2.8%):
1,000,000 Washoe County, Nevada Airport Authority, 5.25%,
7/1/00, Insd: MBIA............................... 1,017,500
-----------
Correctional Facility (3.0%):
1,000,000 Ohio State Building Authority, 7.35%, 8/1/04,
Pre-Refunded, 8/1/99, Insd: MBIA................. 1,098,750
-----------
</TABLE>
See notes to financial statements.
40 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 45
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
REVENUE (CONTINUED):
Education (5.6%):
1,000,000 University of Texas, 5.00%, 8/15/97............... $ 1,008,820
1,000,000 Virginia State Public School Authority Series C,
5.00%, 8/1/98.................................... 1,012,500
-----------
2,021,320
-----------
Electric (5.8%):
700,000 Georgia Municipal Electric Authority, 4.50%,
1/1/98........................................... 700,875
500,000 San Antonio Electric & Gas, 6.00%, 2/1/98, Insd:
FGIC............................................. 510,000
900,000 Tacoma, Washington Electric System, 4.90%, 1/1/98,
Insd: AMBAC...................................... 907,875
-----------
2,118,750
-----------
Health (2.7%):
1,000,000 Missouri State Health & Educational Facilities,
Sisters of Mercy, 4.25%, 12/1/99................. 996,250
-----------
Housing (3.0%):
450,000 Alaska State Housing Finance Corporation, 4.35%,
12/1/98, Insd: MBIA.............................. 450,563
655,000 Maryland State Community Development, 4.45%,
4/1/99........................................... 651,725
-----------
1,102,288
-----------
Lease (1.3%):
450,000 Phoenix, Arizona Civic Plaza Building Corporation
Excise Tax, 4.70%, 7/1/98........................ 454,500
-----------
Power (4.3%):
1,500,000 Intermountain Power Agency Utah Power Supply,
8.63%, 7/1/21, Pre-Refunded, 7/1/97.............. 1,577,580
-----------
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 41
<PAGE> 46
SHORT DURATION TAX EXEMPT FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<C> <S> <C>
REVENUE (CONTINUED):
Sales Tax (8.3%):
1,000,000 Contra Costa, California Transportation Auth,
5.00%, 3/1/98, Insd: FGIC........................ $ 1,011,250
2,000,000 Municipal Assistance Corporation for New York, New
York, 4.00%, 7/1/97.............................. 2,004,340
-----------
3,015,590
-----------
Sewer (4.1%):
1,000,000 Portland, Oregon Sewer System, 7.00%, 6/1/97...... 1,016,420
435,000 Portland, Oregon Sewer System, 6.50%, 6/1/00...... 465,994
-----------
1,482,414
-----------
Transportation (1.9%):
675,000 New Jersey State Turnpike Authority, 6.00%,
1/1/98........................................... 686,813
-----------
Water (5.0%):
755,000 Ohio State Water Development Authority, 4.95%,
12/1/98, Insd: MBIA.............................. 769,156
1,000,000 Orlando, Florida Utilities Commission, 5.70%,
10/1/0........................................... 1,056,250
-----------
1,825,406
-----------
Total Revenue......................................................... 17,397,161
-----------
VARIABLE RATE DEMAND NOTES (0.3%):
Airport (0.3%):
100,000 Salt Lake City, Utah Airport, 3.60%(a), 6/1/98.... 100,000
-----------
Total Variable Rate Demand Notes...................................... 100,000
-----------
INVESTMENT COMPANIES (3.2%):
1,151,976 Prairie Municipal Money Market Fund............... 1,151,976
-----------
Total Investment Companies............................................ 1,151,976
-----------
TOTAL (COST -- $35,679,436)(b) (98.3%)............................... $35,731,987
===========
</TABLE>
- ------------
AMBAC: AMBAC Indemnity Corporation
FGIC: Financial Guaranty Insurance Company
MBIA: MBIA Insurance Corp.
PSF: Permanent School Fund
See notes to financial statements.
42 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 47
Percentages indicated are based on net assets of $36,335,629.
(a) This is a variable rate investment and the rate reflected on the Schedule of
Portfolio Investments is the rate in effect at October 31, 1996.
(b) This represents cost for federal income tax purposes and differs from value
by unrealized appreciation (depreciation) of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation................................................ $95,235
Unrealized depreciation................................................ (42,684)
-------
Net unrealized appreciation............................................ $52,551
=======
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 43
<PAGE> 48
TAX EXEMPT BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<C> <S> <C>
GENERAL OBLIGATIONS (42.5):
Limited (3.8%):
700,000 Clark County, Nevada School District, 5.88%,
6/15/13, Insd: MBIA.............................. $ 70,750
1,100,000 Dallas, Texas, 5.90%, 2/15/03..................... 1,164,625
-----------
1,873,375
-----------
Unlimited (38.7%):
1,325,000 California State, 7.00%, 8/1/05, Insd: FGIC....... 1,525,403
1,500,000 Charleston County, South Carolina, 5.75%,
6/1/08........................................... 1,567,500
1,200,000 Chicago, Illinois Metropolitan Water Reclamation
District, 6.30%, 12/1/09 (a)..................... 1,282,500
765,000 Du Page County, Illinois Stormwater, 5.60%,
1/1/21........................................... 763,088
1,000,000 Florida State Board of Education, 5.00%, 6/1/08... 983,750
1,000,000 Fort Worth, Texas Independent School District,
0.00%, 2/15/06, Insd: PSF........................ 618,750
1,000,000 Georgia State, 5.50%, 7/1/07...................... 1,041,250
1,000,000 Honolulu, Hawaii City & County, 5.00%, 10/1/02.... 1,013,750
1,235,000 Massachusetts State Turnpike Authority, 5.00%,
6/1/99........................................... 1,255,069
750,000 Mecklenburg County, North Carolina, 6.20%,
1/1/01........................................... 801,563
1,000,000 Mississippi State, 5.80%, 6/1/09.................. 1,032,500
1,250,000 Montgomery County, Maryland, 6.88%, 10/1/99....... 1,342,188
1,000,000 New York, New York, 6.20%, 8/1/07................. 1,018,750
1,000,000 Pennsylvania State, 5.20%, 6/15/04, Insd: MBIA.... 1,020,000
1,000,000 Texas Public Finance Authority, 5.38%, 10/1/03.... 1,040,000
1,000,000 Texas State College Student Loan, 5.00%, 8/1/21 910,000
1,000,000 Virginia State, 6.10%, 6/1/06..................... 1,078,750
1,000,000 Washington State, 5.25%, 9/1/05................... 1,018,750
-----------
19,313,561
-----------
Total General Obligations............................................. 21,186,936
-----------
REVENUE (51.6%):
Airport (4.4%):
1,200,000 Los Angeles, California City Dept. of Airports,
5.50%, 5/15/07, Insd: FGIC....................... 1,219,500
</TABLE>
See notes to financial statements.
44 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 49
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<C> <S> <C>
REVENUE (CONTINUED):
1,010,000 San Francisco, California City & County Airport
Commission, Int'l Airport, 5.00%, 5/01/06, Insd:
FGIC............................................. $ 994,850
-----------
2,214,350
-----------
Education (7.4%):
1,250,000 New York State Dorm Authority, 6.13%, 7/1/07,
Insd: AMBAC...................................... 1,342,188
1,100,000 Pennsylvania State Higher Educational Facilities
Authority, 5.85%, 9/1/13......................... 1,117,875
1,160,000 University of Texas Permanent University Fund,
5.90%, 7/1/02.................................... 1,232,500
-----------
3,692,563
-----------
Electric (5.3%):
2,000,000 Georgia Municipal Electric & Power Authority,
5.55%, 1/1/07, Insd: FGIC (a).................... 2,057,500
575,000 Indiana Municipal Power Agency Power Supply,
5.13%, 1/1/01, Insd: MBIA........................ 586,500
-----------
2,644,000
-----------
Housing (3.7%):
3,000,000 Perris, California Single Family, 0.00%, 6/1/23... 648,180
1,000,000 Virginia State Housing Development Authority,
6.30%, 7/1/11.................................... 1,028,750
170,000 Wisconsin Housing & Economic Development,
5.30%, 11/1/05 (a)............................... 168,938
-----------
1,845,868
-----------
Lease (1.9%):
1,000,000 Avon Indiana Community School Building
Corporation, 5.25%, 1/1/22, Insd: AMBAC.......... 938,750
-----------
Sales Tax (4.9%):
5,000,000 Metropolitan Pier & Exposition Authority Illinois
State, 0.00%, 6/15/09, Insd: FGIC................ 2,468,750
-----------
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 45
<PAGE> 50
TAX EXEMPT BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<C> <S> <C>
REVENUE (CONTINUED):
Sewer (1.1%):
500,000 Portland, Oregon Sewer, 6.50%, 6/1/00............. $ 535,625
-----------
Transportation (13.0%):
2,800,000 Los Angeles, California Harbor, 5.00%, 8/1/01..... 2,835,000
1,000,000 Massachusetts Bay Transportation Authority, 5.60%,
3/1/08........................................... 1,038,750
1,465,000 Port Authority New York & New Jersey, 5.80%,
12/1/12.......................................... 1,497,963
1,000,000 Puerto Rico Commonwealth Highway Authority, 6.75%,
7/1/05, Pre-Refunded, 7/1/00..................... 1,095,000
-----------
6,466,713
-----------
Utility (0.6%):
300,000 City of Knoxville, Tennessee Gas System, 4.85%,
3/1/06 (a)....................................... 289,875
-----------
Water (9.3%):
1,400,000 California State Department of Water Resources,
6.00%, 12/1/06, Insd: MBIA (a)................... 1,522,500
2,000,000 Cleveland, Ohio Waterworks, 5.50%, 1/1/08, Insd:
MBIA (a)......................................... 2,057,500
1,000,000 Ohio State Water Development Authority, 5.70%,
6/1/09, Insd: AMBAC.............................. 1,041,250
-----------
4,621,250
-----------
Total Revenue......................................................... 25,717,744
-----------
SPECIAL TAX (2.1%):
Transportation (2.1%):
1,000,000 Connecticut State Special Tax Obligation, 6.25%,
10/1/09, Pre-Refunded, 10/1/01................... 1,066,250
-----------
Total Special Tax..................................................... 1,066,250
-----------
</TABLE>
See notes to financial statements.
46 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 51
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
VARIABLE RATE DEMAND NOTES (0.4%):
Health (0.4%):
200,000 St. Mary Hospital Authority Langhorne,
Pennsylvania Hospital Revenue, 3.50%(b),
12/1/24.......................................... $ 200,000
-----------
Total Variable Rate Demand Notes...................................... 200,000
-----------
INVESTMENT COMPANIES (2.0%):
989,489 Prairie Municipal Money Market Fund............... 989,489
-----------
Total Investment Companies............................................ 989,489
-----------
TOTAL (COST -- $48,482,937)(c) (98.6%)............................... $49,160,419
===========
</TABLE>
- ------------
AMBAC: AMBAC Indemnity Corporation
FGIC: Financial Guaranty Insurance Company
MBIA: MBIA Insurance Corp.
PSF: Permanent School Fund
Percentages indicated are based on net assets of $49,862,103.
(a) A portion of the security is held by the custodian in a segregated account
as collateral for open futures contracts.
At October 31, 1996, the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of Expiration Current Unrealized
Contracts Contract Type Date Market Value Depreciation
- --------- --------------------------------- ---------- ------------ ------------
<S> <C> <C> <C> <C>
35 30 Year U.S. Treasury Bond Future 12/19/96 $3,955,001 168,438
</TABLE>
(b) This is a variable rate investment and the rate reflected on the Schedule of
Portfolio Investments is the rate in effect at October 31, 1996.
(c) This represents cost for federal income tax purposes and differs from value
by unrealized appreciation (depreciation) of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................... $ 960,616
Unrealized depreciation............................................... (283,134)
---------
Net unrealized appreciation........................................... $ 677,482
=========
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 47
<PAGE> 52
U.S. TREASURY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<C> <S> <C>
U.S. TREASURY NOTES (83.9%):
2,000,000 5.88%, 4/30/98.................................... $ 2,006,340
3,000,000 5.88%, 8/15/98.................................... 3,006,960
1,000,000 7.50%, 10/31/99................................... 1,041,730
1,440,000 7.75%, 12/31/99................................... 1,513,627
765,000 7.75%, 1/31/00.................................... 804,803
2,200,000 7.75%, 2/15/01.................................... 2,339,414
4,000,000 5.75%, 8/15/03.................................... 3,896,320
3,580,000 7.88%, 11/15/04................................... 3,928,943
-----------
Total U.S. Treasury Notes............................................. 18,538,137
-----------
U.S. TREASURY STRIPS (19.4%):
1,200,000 8/15/99........................................... 1,021,188
550,000 8/15/01........................................... 413,424
2,200,000 8/15/05........................................... 1,259,258
3,000,000 8/15/06........................................... 1,600,860
-----------
Total U.S. Treasury Strips............................................ 4,294,730
-----------
INVESTMENT COMPANIES (4.4%):
974,597 Pegasus U.S. Government Securities Cash Management
Fund............................................. 974,597
-----------
Total Investment Companies............................................ 974,597
-----------
TOTAL (COST -- $23,571,613)(a) (107.7%).............................. $23,807,464
-----------
</TABLE>
- ------------
Percentages indicated are based on net assets of $22,113,642.
(a) For federal income tax purposes, cost is $23,584,396, and net unrealized
appreciation (depreciation) of securities is as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................... $280,116
Unrealized depreciation............................................... (57,048)
--------
Net unrealized appreciation........................................... $223,068
========
</TABLE>
See notes to financial statements.
48 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 53
LIMITED MATURITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES (2.9%):
581,100 Chase Manhattan Grantor Trust 1995-A, 6.00%,
9/17/01.......................................... $ 582,100
128,721 Honda 94-A Auto Receivables, 4.80%, 8/15/99....... 128,522
750,000 MBNA Master Credit Card Trust 1992-1A, 7.25%,
6/15/99.......................................... 755,303
-----------
Total Asset Backed Securities......................................... 1,465,925
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.7%):
2,892,029 Residential Funding Mortgage Securities 1995-S18,
7.00%, 11/25/10.................................. 2,892,521
-----------
Total Collateralized Mortgage Obligations............................. 2,892,521
-----------
COMMERCIAL PAPER (41.2%):
Banking (10.8%):
2,500,000 Toronto Dominion, 5.36%, 11/5/96.................. 2,498,511
3,000,000 Union Bank of California, 5.31%, 11/12/96......... 2,995,133
-----------
5,493,644
-----------
Financial (9.8%):
2,500,000 American Express Credit, 5.25%, 11/8/96........... 2,497,448
2,500,000 General Electric Capital Corp, 5.28%, 11/21/96.... 2,492,667
-----------
4,990,115
-----------
Industrial (20.6%):
2,500,000 Chevron Oil Finance Company, 5.20%, 11/25/96...... 2,491,333
3,000,000 E.I. du Pont de Nemours Company, 5.40%, 1/13/97... 2,967,150
2,500,000 Toyota Motor Credit Corporation, 5.27%,
11/13/96......................................... 2,495,608
2,500,000 Walt Disney Co, 5.25%, 11/8/96.................... 2,497,448
-----------
10,451,539
-----------
Total Commercial Paper................................................ 20,935,298
-----------
CORPORATE BONDS (28.9%):
Banking (3.0%):
1,500,000 Bank One Corp, 7.80%, 12/30/96.................... 1,504,605
-----------
Computer Hardware (5.9%):
3,000,000 IBM Credit Corp, 6.09%, 9/16/97................... 3,009,960
-----------
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 49
<PAGE> 54
LIMITED MATURITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<C> <S> <C>
CORPORATE BONDS (CONTINUED):
Defense (6.0%):
3,000,000 Lockheed Martin Corporation, 6.63%, 6/15/98....... $ 3,030,000
-----------
Financial (5.8%):
225,000 American General Finance, 7.15%, 5/15/97.......... 226,829
2,000,000 AT&T Capital Corp, 7.65%, 1/30/97................. 2,009,160
700,000 Commercial Credit, 6.75%, 1/15/97................. 701,827
-----------
2,937,816
-----------
Industrial Equipment (5.0%):
1,500,000 Ingersoll-Rand, 6.54%, 8/24/98.................... 1,513,125
1,000,000 Paccar Financial Corporation, 8.03%, 4/15/98...... 1,028,750
-----------
2,541,875
-----------
Industrial Food and Beverage (2.0%):
1,000,000 PepsiCo, Inc., 6.13%, 1/15/98..................... 1,002,500
-----------
Industrial Goods and Services (1.2%):
600,000 Rockwell International, 7.63%, 2/17/98............ 612,750
-----------
Total Corporate Bonds................................................. 14,639,506
-----------
U.S. GOVERNMENT AGENCIES (13.4%):
Federal Home Loan Mortgage Corporation (4.9%):
2,500,000 Discount Note, 5.37%, 11/13/96.................... 2,495,525
-----------
Federal National Mortgage Association (8.5%):
2,000,000 6.00%, 8/25/13.................................... 1,996,660
2,153,747 9.50%, 9/1/24..................................... 2,318,638
-----------
4,315,298
-----------
Total U.S. Government Agencies........................................ 6,810,823
-----------
U.S. TREASURY NOTES (14.8%):
2,000,000 5.38%, 11/30/97................................... 1,996,040
5,500,000 6.13%, 8/31/98.................................... 5,536,684
-----------
Total U.S. Treasury Notes............................................. 7,532,724
-----------
</TABLE>
See notes to financial statements.
50 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 55
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
INVESTMENT COMPANIES (1.1%):
550,387 Pegasus U.S. Government Securities Cash Management
Fund............................................. $ 550,387
-----------
Total Investment Companies............................................ 550,387
-----------
TOTAL (COST -- $54,712,960)(a) (108.0%).............................. $54,827,184
===========
</TABLE>
- ------------
Percentages indicated are based on net assets of $50,770,808.
(a) This represents cost for federal income tax purposes and differs from value
by unrealized appreciation (depreciation) of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................... $128,648
Unrealized depreciation............................................... (14,424)
--------
Net unrealized appreciation........................................... $114,224
========
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 51
<PAGE> 56
SHORT BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES (2.9%):
581,100 Chase Manhattan Grantor Trust 1995-A, 6.00%,
9/17/01.......................................... $ 582,100
1,299,221 Fleetwood Credit Corporation Grantor Trust 1996-A,
6.75%, 10/17/11.................................. 1,310,251
900,000 MBNA Master Credit Card Trust 1992-1A, 7.25%,
6/15/99.......................................... 906,363
-----------
Total Asset Backed Securities......................................... 2,798,714
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS (8.0%):
1,000,000 Federal Home Loan Mortgage Corporation 1394 D,
5.50%, 4/15/13................................... 997,360
2,500,000 Federal National Mortgage Association 93-37 PD,
6.00%, 8/25/13................................... 2,495,825
4,338,044 Residential Funding Mortgage Securities 1995-S18,
7.00%, 11/25/10.................................. 4,338,782
-----------
Total Collateralized Mortgage Obligations............................. 7,831,967
-----------
COMMERCIAL PAPER (1.0%):
Industrial (1.0%):
1,000,000 Chevron Oil Finance Company, 5.20%, 11/25/96...... 996,533
-----------
Total Commercial Paper................................................ 996,533
-----------
CORPORATE BONDS (31.6%):
Banking (8.6%):
250,000 Citicorp, 6.65%, 5/15/00.......................... 251,563
500,000 Citicorp, 6.60%, 8/1/00........................... 501,875
3,600,000 First Chicago NBD, 8.50%, 6/1/98.................. 3,735,000
4,000,000 First USA Bank, 5.75%, 1/15/99.................... 3,955,000
-----------
8,443,438
-----------
Computer Hardware (0.4%):
400,000 IBM Corp, 6.38%, 6/15/00.......................... 400,500
-----------
</TABLE>
See notes to financial statements.
52 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 57
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED):
Consumer Goods and Services (1.2%):
1,000,000 Walt Disney Co, Global Note, 6.38%, 3/30/01....... $ 998,750
200,000 Wal-Mart Stores, 5.50%, 3/1/98.................... 199,250
-----------
1,198,000
-----------
Defense (4.6%):
4,500,000 Lockheed Martin Corporation, 6.63%, 6/15/98....... 4,545,000
-----------
Financial (4.8%):
225,000 American General Finance, 7.15%, 5/15/97.......... 226,829
900,000 AT&T Capital Corp, 5.90%, 7/10/98................. 895,500
3,500,000 CIT Group Holdings, 6.75%, 4/30/98................ 3,543,750
-----------
4,666,079
-----------
Industrial Equipment (7.1%):
3,500,000 Caterpillar Financial Services, 6.41%, 6/11/98.... 3,521,875
2,500,000 Ingersoll-Rand, 6.47%, 8/24/98.................... 2,518,750
900,000 Ingersoll-Rand, 6.55%, 8/7/00..................... 903,375
-----------
6,944,000
-----------
Industrial Goods and Services (4.4%):
4,000,000 Honeywell Incorporated, 7.70%, 4/1/98............. 4,100,000
200,000 Rockwell International, 7.63%, 2/17/98............ 204,250
-----------
4,304,250
-----------
Media (0.5%):
500,000 R.R. Donnelley, 6.03%, 6/22/98.................... 501,250
-----------
Total Corporate Bonds................................................. 31,002,517
-----------
Mortgage Backed Securities (4.2%):
3,773,962 Federal National Mortgage Association, 10.00%,
7/1/21........................................... 4,140,716
-----------
Total Mortgage Backed Securities...................................... 4,140,716
-----------
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 53
<PAGE> 58
SHORT BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES (5.1%):
Federal Farm Credit Bank (5.1%):
5,000,000 6.44%, 11/5/99 (a)................................ $ 5,001,200
-----------
Total U.S. Government Agencies........................................ 5,001,200
-----------
U.S. TREASURY NOTES (44.4%):
380,000 6.75%, 5/31/97.................................... 382,838
250,000 5.88%, 7/31/97.................................... 250,780
12,500,000 7.88%, 1/15/98.................................... 12,828,250
4,000,000 5.13%, 2/28/98.................................... 3,973,200
9,000,000 5.88%, 8/15/98.................................... 9,020,880
1,000,000 5.50%, 11/15/98................................... 994,830
10,000,000 6.00%, 8/15/99.................................... 10,024,300
6,000,000 5.88%, 6/30/00.................................... 5,974,980
-----------
Total U.S. Treasury Notes............................................. 43,450,058
-----------
INVESTMENT COMPANIES (1.8%):
1,800,134 Pegasus U.S. Government Securities
Cash Management Fund............................. 1,800,134
-----------
Total Investment Companies............................................ 1,800,134
-----------
TOTAL (COST -- $96,402,061)(b) (99.0%)................................ $97,021,839
===========
</TABLE>
- ------------
Percentages indicated are based on net assets of $97,966,242.
(a) Security was purchased on a delayed delivery basis and cost is $5,000,000
(note 2).
(b) For federal income tax purposes, cost is $96,416,673 and net unrealized
appreciation (depreciation) of securities is as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................... $632,353
Unrealized depreciation............................................... (27,187)
--------
Net unrealized appreciation........................................... $605,166
========
</TABLE>
See notes to financial statements.
54 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 59
INTERMEDIATE BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
ASSET BACKED SECURITIES (4.4%):
581,100 Chase Manhattan Grantor Trust 1995-A, 6.00%,
9/17/01........................................... $ 582,100
217,836 Honda 94-A Auto Receivables, 4.80%, 8/15/99....... 217,498
1,500,000 Premier Auto Trust 94-3A6, 6.85%, 3/2/99.......... 1,519,410
-----------
Total Asset Backed Securities......................................... 2,319,008
-----------
COMMERCIAL PAPER (12.3%):
Financial (8.5%):
2,500,000 American Express Credit, 5.24%, 11/14/96.......... 2,495,269
2,000,000 General Electric Capital Corp, 5.25%, 11/13/96.... 1,996,500
-----------
4,491,769
-----------
Industrial (3.8%):
2,000,000 Amoco Corporation, 5.21%, 11/4/96................. 1,999,132
-----------
Total Commercial Paper................................................ 6,490,901
-----------
CORPORATE BONDS (35.0%):
Banking (13.1%):
1,500,000 ABN-Amro Bank, Global Bond, 7.25%, 5/31/05........ 1,533,750
850,000 Citicorp, 6.65%, 5/15/00.......................... 855,313
2,000,000 First USA Bank, 5.75%, 1/15/99.................... 1,977,500
1,000,000 Old Kent Bank, 6.88%, 4/15/98..................... 1,012,500
1,500,000 Swiss Bank Corporation -- New York, 7.25%,
9/1/06............................................ 1,537,500
-----------
6,916,563
-----------
Consumer Goods and Services (1.9%):
1,000,000 Walt Disney Co, Global Note, 6.38%, 3/30/01....... 998,750
-----------
Defense (4.8%):
2,500,000 Lockheed Martin Corporation, 6.63%, 6/15/98....... 2,525,000
-----------
Electric Utility (2.9%):
1,500,000 Puget Sound Power & Light, 6.50%, 9/14/99......... 1,507,500
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 55
<PAGE> 60
INTERMEDIATE BOND FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
Financial (5.6%):
600,000 American General Finance, 7.15%, 5/15/97.......... $ 604,878
1,500,000 AT&T Capital Corp, 5.90%, 7/10/98................. 1,492,500
850,000 Transamerica Financial Corp, 7.40%, 7/29/99....... 872,313
-----------
2,969,691
-----------
Industrial Equipment (4.8%):
2,500,000 Caterpillar Financial Services, 6.76%, 3/15/99.... 2,528,125
-----------
Industrial Goods and Services (1.9%):
1,000,000 Hanson Overseas, PLC, 6.75%, 9/15/05.............. 981,250
-----------
Total Corporate Bonds................................................. 18,426,879
-----------
MORTGAGE BACKED SECURITIES (19.7%):
Federal Home Loan Mortgage Corporation (8.6%):
2,500,000 7.00%, 15 Year, TBA (a)........................... 2,504,675
2,000,000 8.00%, 30 Year, TBA (a)........................... 2,041,240
-----------
4,545,915
-----------
Federal National Mortgage Association (5.5%):
788,497 8.50%, 10/1/19.................................... 822,994
1,886,981 10.00%, 7/1/21.................................... 2,070,358
-----------
2,893,352
-----------
Government National Mortgage Association (5.6%):
1,074,011 6.50%, 4/15/24.................................... 1,027,023
2,012,633 6.50%, 5/15/26.................................... 1,924,580
-----------
2,951,603
-----------
Total Mortgage Backed Securities...................................... 10,390,870
-----------
</TABLE>
See notes to financial statements.
56 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 61
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES (7.3%):
Federal Farm Credit Bank (4.7%):
2,500,000 6.44%, 11/5/99 (a)................................ $ 2,500,600
-----------
Tennessee Valley Authority (2.6%):
1,400,000 6.38%, 6/15/05.................................... 1,377,250
-----------
Total U.S. Government Agencies........................................ 3,877,850
-----------
U.S. TREASURY NOTES (30.4%):
3,000,000 6.00%, 8/31/97.................................... 3,011,279
10,000,000 6.00%, 11/30/97................................... 10,042,700
2,000,000 6.00%, 9/30/98.................................... 2,009,500
1,000,000 6.13%, 7/31/00.................................... 1,003,350
-----------
Total U.S. Treasury Notes............................................. 16,066,829
-----------
INVESTMENT COMPANIES (0.1%):
52,368 Pegasus U.S. Government Securities Cash Management
Fund.............................................. 52,368
-----------
Total Investment Companies............................................ 52,368
-----------
TOTAL (COST -- $57,174,351)(b) (109.2%)............................... $57,624,705
===========
</TABLE>
- ------------
Percentages indicated are based on net assets of $52,766,729.
(a) Security was purchased on a delayed delivery basis. Total cost of delayed
transactions is $6,978,762 (Note 2).
(b) For federal income tax purposes, cost is $57,181,773 and net unrealized
appreciation (depreciation) of securities is as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................... $476,238
Unrealized depreciation............................................... (33,306)
--------
Net unrealized appreciation........................................... $442,932
========
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 57
<PAGE> 62
OPPORTUNITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
ASSET BACKED SECURITIES (0.4%):
119,240 General Motors Acceptance Corp, 7.15%, 3/15/00.... $ 120,665
-----------
Total Asset Backed Securities......................................... 120,665
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.5%):
1,715,249 General Electric Capital Mortgage Services, 8.30%,
7/25/23.......................................... 1,781,406
-----------
Total Collateralized Mortgage Obligations............................. 1,781,406
-----------
COMMERCIAL PAPER (12.1%):
Industrial (12.1%):
1,300,000 Amoco Corporation, 5.20%, 11/13/96................ 1,297,747
1,300,000 Chevron Oil Finance Company, 5.20%, 11/13/96...... 1,297,747
1,300,000 Emerson Electric Corporation, 5.22%, 11/14/96..... 1,297,550
-----------
Total Commercial Paper................................................ 3,893,044
-----------
CORPORATE BONDS (28.4%):
Auto (1.6%):
500,000 General Motors Acceptance Corporation, 8.63%,
6/15/99.......................................... 528,125
-----------
Banking (6.5%):
400,000 ABN-Amro Bank, Global Bond, 7.25%, 5/31/05........ 409,000
200,000 Citicorp, 6.65%, 5/15/00.......................... 201,250
1,000,000 First USA Bank, 5.75%, 1/15/99.................... 988,750
500,000 Swiss Bank Corporation -- New York, 7.25%,
9/1/06........................................... 512,500
-----------
2,111,500
-----------
Consumer Goods and Services (4.0%):
1,000,000 Walt Disney Co, Global Note, 6.38%, 3/30/01....... 998,750
300,000 Wal-Mart Stores, 5.50%, 3/1/98.................... 298,875
-----------
1,297,625
-----------
Electric Utility (3.2%):
500,000 Union Electric, 6.88%, 8/1/04..................... 505,000
500,000 Virginia Electric Power Co, 7.38%, 7/1/02......... 519,375
-----------
1,024,375
-----------
</TABLE>
See notes to financial statements.
58 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 63
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED):
Financial (5.7%):
1,500,000 General Electric Capital Corp, 8.13%, 5/15/12..... $ 1,655,625
190,000 Transamerica Financial Corp, 7.40%, 7/29/99....... 194,988
-----------
1,850,613
-----------
Industrial Goods and Services (7.4%):
1,500,000 Grand Metropolitan Investment, 8.63%, 8/15/01..... 1,629,375
500,000 Hanson Overseas, PLC, 6.75%, 9/15/05.............. 490,625
250,000 Rockwell International, 7.63%, 2/17/98............ 255,313
-----------
2,375,313
-----------
Total Corporate Bonds................................................. 9,187,551
-----------
FOREIGN GOVERNMENT BONDS (2.9%):
1,000,000 British Columbia, 6.50%, 1/15/26.................. 927,500
-----------
Total Foreign Government Bonds........................................ 927,500
-----------
MORTGAGE BACKED SECURITIES (29.3%):
Federal Home Loan Mortgage Corporation (29.3%):
1,237,156 8.50%, 6/1/17..................................... 1,292,432
2,879,636 7.50%, 3/1/26..................................... 2,889,513
1,700,000 7.00%, 15 Year, TBA (a)........................... 1,703,179
1,500,000 7.50%, 30 Year, TBA (a)........................... 1,523,895
2,000,000 8.00%, 30 Year, TBA (a)........................... 2,041,240
-----------
Total Mortgage Backed Securities...................................... 9,450,259
-----------
U.S. GOVERNMENT AGENCIES (11.1%):
Federal Home Loan Mortgage Association (9.3%):
3,000,000 Discount Note, 5.15%, 11/13/96.................... 2,994,850
-----------
Tennessee Valley Authority (1.8%):
600,000 6.38%, 6/15/05.................................... 590,250
-----------
Total U.S. Government Agencies........................................ 3,585,100
-----------
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 59
<PAGE> 64
OPPORTUNITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
U.S. TREASURY NOTES (9.2%):
1,500,000 6.00%, 11/30/97................................... $ 1,506,405
500,000 6.38%, 3/31/01.................................... 505,680
1,000,000 5.75%, 8/15/03.................................... 974,080
-----------
Total U.S. Treasury Notes............................................. 2,986,165
-----------
U.S. TREASURY BONDS (7.6%):
500,000 8.13%, 8/15/19.................................... 579,019
2,000,000 6.25%, 8/15/23.................................... 1,877,719
-----------
Total U.S. Treasury Bonds............................................. 2,456,738
-----------
INVESTMENT COMPANIES (0.8%):
268,475 Pegasus U.S. Government Securities Cash Management
Fund............................................. 268,475
-----------
Total Investment Companies............................................ 268,475
-----------
TOTAL (COST -- $34,399,714)(b) (107.3%)............................... $34,656,903
===========
</TABLE>
- ------------
Percentages indicated are based on net assets of $32,303,737.
(a) Security was purchased on a delayed delivery basis. Total cost of delayed
transactions is $5,212,599 (Note 2).
(b) For federal income tax purposes, cost is $34,408,227 and net unrealized
appreciation (depreciation) of securities is as follows:
<TABLE>
<S> <C>
Unrealized appreciation............................................... $375,161
Unrealized depreciation............................................... (126,485)
--------
Net unrealized appreciation........................................... $248,676
========
</TABLE>
See notes to financial statements.
60 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 65
MARKET RETURN FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (0.4%):
22,732 Salomon Brothers Mortgage Securities 1994-9 A1,
7.00%, 7/25/24 (a)............................... $ 22,824
------------
Total Collateralized Mortgage Obligations............................. 22,824
------------
CORPORATE BONDS (17.5%):
Auto (1.9%):
100,000 Ford Motor Credit, 8.20%, 2/15/02 (a)............. 107,125
------------
Banking (2.5%):
150,000 Nationsbank Corporation, 5.75%, 1/17/01 (a)....... 145,125
------------
Financial (11.4%):
250,000 AT&T Capital Corp, 7.65%, 1/30/97 (a)............. 251,145
100,000 CIT Group Holdings, 6.63%, 6/15/05 (a)............ 98,500
100,000 Commercial Credit, 5.55%, 2/15/01 (a)............. 96,500
100,000 General Motors Acceptance Corp, 9.13%, 7/15/01
(a)............................................... 109,875
100,000 Lehman Brothers Holdings, Inc, 8.38%, 2/15/99
(a)............................................... 104,125
------------
660,145
------------
Industrial Goods and Services (1.7%):
100,000 Hanson Overseas, PLC, 6.75%, 9/15/05 (a).......... 98,125
------------
Total Corporate Bonds................................................. 1,010,520
------------
MORTGAGE BACKED SECURITIES (14.6%):
Federal Home Loan Mortgage Corporation (14.6%):
327,353 8.50%, 3/1/23 (a)................................. 342,388
383,702 7.50%, 1/1/26 (a)................................. 385,018
117,125 7.50%, 2/1/26 (a)................................. 117,527
------------
Total Mortgage Backed Securities...................................... 844,933
------------
U.S. GOVERNMENT AGENCIES (17.2%):
Federal National Mortgage Association (17.2%):
1,000,000 Discount Note, 5.16%, 11/15/96 (a)................ 997,993
------------
Total U.S. Government Agencies........................................ 997,993
------------
</TABLE>
See notes to financial statements.
ANNUAL REPORT PAYDEN LOGO 61
<PAGE> 66
MARKET RETURN FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMOUNT SECURITY DESCRIPTION MARKET VALUE
----------------- -------------------------------------------------- ------------
<S> <C> <C>
U.S. TREASURY NOTES (42.4%):
320,000 5.50%, 7/31/97 (a)................................ $ 320,176
350,000 5.38%, 11/30/97 (a)............................... 349,307
350,000 5.25%, 12/31/97 (a)............................... 348,723
365,000 5.63%, 1/31/98 (a)................................ 365,029
600,000 5.00%, 2/15/99 (a)................................ 589,662
70,000 6.38%, 7/15/99 (a)................................ 70,882
400,000 7.13%, 2/29/00 (a)................................ 413,704
------------
Total U.S. Treasury Notes............................................. 2,457,483
------------
INVESTMENT COMPANIES (12.0%):
555,925 Pegasus U.S. Government Securities Cash Management
Fund.............................................. 555,925
1,900 Standard & Poors Depositary Receipts (a).......... 134,544
------------
Total Investment Companies............................................ 690,469
------------
TOTAL (COST -- $5,989,224)(b) (104.1%)................................ $6,024,222
============
</TABLE>
- ------------
Percentages indicated are based on net assets of $5,789,202.
(a) A portion of the security is held by the custodian in a segregated account
as collateral for open futures contracts.
At October 31, 1996, the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION CURRENT UNREALIZED
CONTRACTS CONTRACT TYPE DATE MARKET VALUE APPRECIATION
- ---------- -------------------------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
16 S&P 500 Future Dec 1996... 12/19/96 $5,677,200 $225,775
</TABLE>
(b) This represents cost for federal income tax purposes and differs from value
by unrealized appreciation (depreciation) of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation................................................ $36,246
Unrealized depreciation................................................ (1,248)
-------
Net unrealized appreciation............................................ $34,998
=======
</TABLE>
See notes to financial statements.
62 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 67
NOTES TO FINANCIAL STATEMENTS
October 31, 1996
1. ORGANIZATION
Payden & Rygel Global Short Bond Fund, Payden & Rygel Global Fixed
Income Fund, Payden & Rygel International Bond Fund, Payden & Rygel
Short Duration Tax Exempt Fund, Payden & Rygel Tax Exempt Bond Fund,
Payden & Rygel U.S. Treasury Fund, Payden & Rygel Limited Maturity
Fund, Payden & Rygel Short Bond Fund, Payden & Rygel Intermediate Bond
Fund, Payden & Rygel Opportunity Fund and Payden & Rygel Market Return
Fund (the Equity Market Tracking Fund prior to February 7, 1996) (the
"Funds") are non-diversified series of Payden & Rygel Investment Group
("Group"), a no-load, open-end management investment company organized
as a Massachusetts business trust on January 22, 1992 and registered
under the Investment Company Act of 1940, as amended.
The objective of the Global Short Bond, Global Fixed Income,
International Bond, U.S. Treasury, Limited Maturity, Short Bond,
Intermediate Bond and Opportunity Funds is to realize a high level of
total return consistent with preservation of capital. The Limited
Maturity Fund further seeks to earn a total return that, over time, is
greater than that available from money market funds. In order to
achieve these objectives, each Fund invests primarily in debt
obligations. The Limited Maturity, Short Bond, Intermediate Bond and
Opportunity Funds invest in debt obligations of the U.S. Treasury, U.S.
government agencies, U.S. dollar-denominated foreign and domestic
public corporations and mortgage-backed securities. The U.S. Treasury
Fund primarily invests in U.S. Treasury securities guaranteed by the
full faith and credit of the United States Government.
The Global Short Bond, Global Fixed Income and International Bond Funds
invest primarily in U.S. and foreign government notes and bonds and
U.S. and foreign corporate debt securities. The Global Short Bond,
Global Fixed Income and International Bond Funds can also have
substantial investments in foreign currency contracts. The objective of
the Short Duration Tax Exempt and Tax Exempt Bond Funds is to earn
federal tax-free income by investing in debt obligations which are
exempt from federal income tax and consistent with preservation of
capital. The objective of the Market Return Fund is to provide a total
return in excess of the Standard & Poor's 500 Stock Index. To achieve
this objective, the Market Return Fund invests primarily in
equity-based investments, such as stock index futures contracts and
equity swap contracts, as well as in fixed income securities. There
can, however, be no assurance that any of the Funds' investment
objectives will be achieved.
ANNUAL REPORT PAYDEN LOGO 63
<PAGE> 68
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1996
The Funds offer both Class A and Class B shares; however, as of October
31, 1996, there have been no Class B shares issued. Class B shares are
subject to certain fees under a shareholder service plan (the "Plan");
Class A shares do not participate in the Plan. Both classes of shares
have identical rights and privileges except with respect to the
shareholder service fees borne by Class B and voting rights on matters
affecting a single class. The Group is authorized to issue an unlimited
number of shares of each class which are units of beneficial interest
with a par value of $.001 per share.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
by the Funds:
Securities Valuation
Portfolio securities are valued on the basis of quotations obtained
from dealers or from a pricing service with consideration of such
factors as institutional-sized trading in similar groups of securities,
quality, yield, coupon rate, maturity, type of issue, trading
characteristics and other market data. Options, futures, swaps and
other similar assets are valued at the last available bid price in the
case of listed securities or on the basis of information provided by
brokers in the case of other securities. Securities for which market
quotations are not readily available are valued at fair value as
determined in good faith pursuant to guidelines established by the
Board of Trustees. Debt securities with remaining maturities of sixty
days or less are valued on an amortized cost basis unless Payden &
Rygel (the "Adviser") determines that such basis does not represent
fair value.
Investment Transactions and Related Income
Investment transactions are accounted for on the date the security is
purchased or sold (trade date). Interest income is recognized on the
accrual basis. All premiums and discounts are amortized or accreted for
both financial statement and tax reporting purposes as required by
Federal income tax regulations. Dividend income is recorded on the
ex-dividend date. Realized gains or losses on investment transactions
are determined on the identified cost basis.
Foreign Currency Translation
The accounting records of the Funds are maintained in U.S. dollars. The
Global Short Bond, Global Fixed Income and International Bond Funds may
purchase debt obligations that are payable in a foreign currency. For
these three Funds, investment securities, other assets and liabilities
denominated in a foreign currency are translated
64 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 69
into U.S. dollars at the current exchange rate. Purchases and sales of
securities, income receipts and expense payments are translated into
U.S. dollars at the exchange rate on the dates of the transactions.
Each of these three Funds isolates that portion of the results of
operations resulting from changes in foreign exchange rates on
investments from the fluctuation arising from changes in market prices
of securities held.
Reported net realized foreign exchange gains or losses arise from sales
and maturities of securities, purchases and sales of foreign
currencies, currency gains or losses realized between the trade and
settlement dates of securities transactions, and the difference between
the amount of interest or expenses recorded on each of these Fund's
books and the U.S. dollar equivalent of the amounts actually received
or paid. Net unrealized foreign exchange gains and losses arise from
changes in the value of assets and liabilities, including investments
in securities, resulting from changes in the exchange rates.
Repurchase Agreements
Any of the Funds may enter into repurchase agreements (agreements to
purchase U.S. Treasury notes and bills, subject to the seller's
agreement to repurchase them at a specified time and price) with
well-established registered securities dealers or banks. Repurchase
agreements are the equivalent of loans by the Funds. With respect to
such agreements, it is each Fund's policy to take possession of the
underlying securities and, on a daily basis, mark-to-market such
securities to ensure that the value, including accrued interest, is at
least equal to the amount to be repaid to each Fund under each
agreement.
Options Transactions
When any of the Funds (except the U.S. Treasury Fund which does not
invest in any option transactions) writes a covered call or put option,
an amount equal to the premium received is included in that Fund's
statement of assets and liabilities as a liability. The amount of the
liability is subsequently marked-to-market to reflect the current
market value of the option. If an option expires on its stipulated
expiration date or if the Fund enters into a closing purchase
transaction, a gain or loss is realized. If a written call option is
exercised, a gain or loss is realized for the sale of the underlying
security and the proceeds from the sale are increased by the premium
originally received. If a written put option is exercised, the cost of
the security acquired is decreased by the premium originally received.
ANNUAL REPORT PAYDEN LOGO 65
<PAGE> 70
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1996
When any of the Funds (except the U.S. Treasury Fund which does not
invest in any option transactions) purchases a call or put option, an
amount equal to the premium paid is included in that Fund's statement
of assets and liabilities as an investment, and is subsequently
marked-to-market to reflect the current market value of the option. If
an option expires on the stipulated expiration date or if a Fund enters
into a closing sale transaction, a gain or loss is realized. If a Fund
exercises a call option, the cost of the security acquired is increased
by the premium paid for the call. If a Fund exercises a put option, a
gain or loss is realized from the sale of the underlying security, and
the proceeds from such sale are decreased by the premium originally
paid. Written and purchased options are non-income producing
securities.
The option techniques utilized are to hedge against changes in interest
rates, foreign currency exchange rates or securities prices in order to
establish more definitely the effective return on securities or
currencies held or intended to be acquired by a Fund, to reduce the
volatility of the currency exposure associated with investment in non-
U.S. securities, or as an efficient means of adjusting exposure to the
bond, equity and currency markets and not for speculation.
FUTURES CONTRACTS
Any Fund (except the U.S. Treasury Fund) may purchase or sell futures
contracts and options on futures contracts which provide for the future
sale by one party and purchase by another party of a specified quantity
of a financial instrument or foreign currency at a fixed price on a
future date. Upon entering into such a contract, a Fund is required to
deposit and maintain as collateral such initial margin as required by
the exchange on which the contract is traded. Pursuant to the contract,
that Fund agrees to receive from or pay to the broker an amount equal
to the daily fluctuations in the value of the contract. Such receipts
or payments are known as variation margin and are recorded as
unrealized gains or losses by that Fund. When the contract is closed,
that Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the
value at the time it was closed. The Funds invest in futures contracts
to hedge against anticipated future changes in interest or exchange
rates or security prices. The potential risk to the Funds is that the
change in value of the underlying securities may not correlate to the
change in value of the contracts.
The Market Return Fund may invest in stock index futures contracts
which are an agreement pursuant to which two parties agree to take or
make delivery of an amount of cash equal to the difference between the
value of the index at the close of the last trading day of the contract
and the price at which the index contract was originally written.
Variation margin accounting procedures as discussed above apply
66 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 71
to these index futures contracts. This Fund invests in these futures
contracts, combined with a fixed income portfolio, to permit the Fund
to meet its objectives at a lower cost than investing directly in
equity securities, while permitting the equivalent of an investment in
a portfolio of equity securities. The potential risk to the Fund is
that the change in value of the underlying index may not correlate to
the change in value of the contracts.
EQUITY SWAP CONTRACTS
The Market Return Fund may enter into equity swap transactions which
involve an agreement between the Fund and another party to exchange
payments calculated as if they were interest on a fictitious
("notional") principal amount. The Fund will typically pay a floating
rate of interest and receive the total return of a specified equity
index. The Fund usually enters into such transactions on a "net" basis,
with the Fund receiving or paying, as the case may be, only the net
amounts of the two payment streams. The net amount of the excess or
deficiency, if any, of the Fund's obligations over its entitlements
with respect to each swap is accrued on a daily basis and is recorded
as an unrealized gain or loss by the Fund.
The Fund invests in these swap transactions to permit the Fund to meet
its objectives at a lower cost than investing directly in equity
securities, while permitting the equivalent of an investment in a
portfolio of equity securities. The potential risk to the Fund is that
the swap position may correlate imperfectly with the markets or the
asset or liability being hedged.
FORWARD CURRENCY CONTRACTS
The Global Short Bond, Global Fixed Income and International Bond Funds
each may enter into forward foreign currency exchange contracts for the
purchase or sale of a specific foreign currency at a fixed price on a
future date. Risks may arise upon entering these contracts from the
potential inability of counter parties to meet the terms of their
contracts and from unanticipated movements in the value of a foreign
currency relative to the U.S. dollar. These three Funds will enter into
forward contracts as a hedge against specific transactions or portfolio
positions to protect against adverse currency movements. The forward
foreign currency exchange contracts are adjusted by the daily exchange
rate of the underlying currency and any gains or losses are recorded
for financial statement purposes as unrealized until the contract
settlement date, at which time a Fund records a realized gain or loss
equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
ANNUAL REPORT PAYDEN LOGO 67
<PAGE> 72
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1996
DELAYED DELIVERY TRANSACTIONS
Any of the Funds may purchase securities on a when issued or delayed
delivery basis and sell securities on a delayed delivery basis. These
transactions involve a commitment by a Fund to purchase or sell
securities for a predetermined price or yield with payment and delivery
taking place more than three days in the future, or after a period
longer than the customary settlement period for that type of security.
No interest will be earned by a Fund on such purchases until the
securities are delivered; however, the market value may change prior to
delivery.
DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the ex-dividend date.
Dividends from net investment income and net realized gains on foreign
currency transactions are declared and paid monthly, except for the
International Bond Fund which are paid quarterly, and net realized
gains on investments, if any, are declared and distributed at least
annually. All distributions are paid in the form of additional shares
unless cash payment is requested.
Distributions to shareholders are determined in accordance with income
tax regulations which may differ from generally accepted accounting
principles.
FEDERAL INCOME TAXES
It is the policy of each Fund to meet the requirements for
qualification as a regulated investment company as defined in
applicable sections of the Internal Revenue Code (the "Code"), and to
make distributions of net investment income and net realized gains
sufficient to relieve it from all Federal income or excise taxes.
Accordingly, no provision for Federal income or excise tax is
necessary.
Each Fund files a tax return annually using tax accounting methods
required under provisions of the Code which may differ from generally
accepted accounting principles, the basis on which these financial
statements are prepared. The differences arise primarily from the
treatment of foreign currency transactions and futures contracts and
the deferral of certain losses under Federal income tax regulations.
Accordingly, the amount of net investment income and net realized gains
or losses reported in these financial statements may differ from that
reported in each Fund's tax return and, consequently, the character of
distributions to shareholders reported in the financial highlights may
differ from that reported to shareholders for Federal income tax
purposes. Distributions which exceed net investment income and net
realized gains for financial reporting purposes but not for tax
purposes, if any, are
68 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 73
shown as distributions in excess of net investment income and net
realized gains from investments in the accompanying statements.
ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from
those estimates.
OTHER
Shared expenses incurred by the Group are allocated among the series of
the Group on the basis of relative net assets. Series-specific expenses
are charged to each series as incurred. Fund expenses not specific to
any class will be allocated between the classes based upon net assets
of each class. Class-specific expenses will be charged to each class as
incurred.
3. PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of investments (excluding short-term investments
and long-term U.S. Government securities) for the period ended October
31, 1996 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Global Short Bond Fund..................... $ 20,002,009 $ 0
Global Fixed Income Fund................... 817,909,345 708,810,602
International Bond Fund.................... 37,287,866 37,717,301
Short Duration Tax Exempt Fund............. 28,270,756 9,919,341
Tax Exempt Bond Fund....................... 20,580,962 11,064,351
U.S. Treasury Fund......................... 0 0
Limited Maturity Fund...................... 19,669,852 3,047,496
Short Bond Fund............................ 39,048,043 7,072,767
Intermediate Bond Fund..................... 6,059,421 5,201,329
Opportunity Fund........................... 19,375,423 12,105,449
Market Return Fund......................... 1,827,622 671,758
</TABLE>
ANNUAL REPORT PAYDEN LOGO 69
<PAGE> 74
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1996
Purchases and sales of long-term U.S. Government securities for the
period ended October 31, 1996 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Global Short Bond Fund.................... $ 5,093,426 $ 0
Global Fixed Income Fund.................. 355,079,410 324,826,000
International Bond Fund................... 1,426,473 1,763,441
Short Duration Tax Exempt Fund............ 0 0
Tax Exempt Bond Fund...................... 0 0
U.S. Treasury Fund........................ 38,348,065 25,675,243
Limited Maturity Fund..................... 55,558,175 55,049,845
Short Bond Fund........................... 142,080,289 97,233,282
Intermediate Bond Fund.................... 83,162,961 64,812,767
Opportunity Fund.......................... 39,289,439 42,520,837
Market Return Fund........................ 6,452,203 3,001,970
</TABLE>
None of the Funds had activity in written options for the period ended
October 31, 1996.
4. UNAMORTIZED ORGANIZATION COSTS
The organization costs incurred on behalf of the Funds listed below are
being reimbursed to Payden & Rygel and are being amortized on a
straight-line basis over a period not exceeding five years. The
organization costs and the amounts reimbursed as of October 31, 1996
are as follows:
<TABLE>
<CAPTION>
CUMULATIVE AMORTIZED
ORGANIZATION ORGANIZATION
COSTS EXPENSES
------------ ------------
<S> <C> <C>
Global Short Bond Fund...................... $ 1,561 $ 534
Global Fixed Income Fund.................... 90,199 74,987
International Bond Fund..................... 5,322 1,668
Short Duration Tax Exempt Fund.............. 6,170 3,065
Tax Exempt Bond Fund........................ 15,168 8,607
U.S. Treasury Fund.......................... 3,926 1,581
Limited Maturity Fund....................... 4,939 4,059
Market Return Fund.......................... 49,138 7,711
</TABLE>
Any redemption by Payden & Rygel of its initial investment of $100,000
will reduce the reimbursement by a prorata portion of any of the then
unamortized organization costs.
70 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 75
5. RELATED PARTY TRANSACTIONS
Investment advisory services are provided to the Funds by Payden &
Rygel. Under the terms of the investment advisory agreement, amended on
June 28, 1996 at a special meeting of Shareholders, the Adviser is
entitled to receive fees monthly, computed on the average daily net
assets of each of the Funds separately at an annualized rate. The rate
for the Global Short Bond, Global Fixed Income and International Bond
Funds is .30% on net assets up to $2 billion, decreasing to .25% on net
assets over $2 billion. The rate for the Short Duration Tax Exempt and
Tax Exempt Bond Funds is .32% on net assets up to $500 million,
decreasing in increments to .25% on net assets over $1 billion. The
rate for the U.S. Treasury, Limited Maturity, Short Bond, Intermediate
Bond, Opportunity and Market Return Funds is .28% on net assets up to
$1 billion, decreasing to .25% on net assets over $1 billion. Prior to
the June 28, 1996 amendment to the investment advisory agreement, the
rate for the Global Fixed Income and International Bond Funds was .37%
on net assets up to $200 million and decreased in increments to .18% on
net assets over $1.5 billion.
Payden & Rygel has agreed to guarantee that, for so long as it acts as
investment adviser to a Fund, the expenses of a Fund attributable to
Class A Shares, including advisory fees (but excluding interest, taxes,
portfolio transaction expenses, blue sky fees, 12b-1 plan fees [if any
such plan is adopted in the future] and extraordinary expenses) will
not exceed the percentage indicated below of that Fund's average daily
net assets on an annualized basis. In addition, Payden & Rygel has
voluntarily agreed to temporarily limit each Fund's total expenses,
including advisory fees, to the percentage indicated below of that
Fund's average daily net assets on an annualized basis through October
31, 1996 (exclusive of interest, taxes, portfolio transaction expenses,
blue sky fees, 12b-1 plan fees [if any such plan is adopted in the
future] and extraordinary expenses).
ANNUAL REPORT PAYDEN LOGO 71
<PAGE> 76
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
VOLUNTARY
EXPENSE EXPENSE
GUARANTEE LIMIT
--------- ---------
<S> <C> <C>
Global Short Bond Fund.......................... 0.70% 0.45%
Global Fixed Income Fund........................ 0.70% 0.70%
International Bond Fund......................... 0.70% 0.70%
Short Duration Tax Exempt Fund.................. 0.60% 0.45%
Tax Exempt Bond Fund............................ 0.60% 0.45%
U.S. Treasury Fund.............................. 0.60% 0.45%
Limited Maturity Fund........................... 0.60% 0.30%
Short Bond Fund................................. 0.60% 0.40%
Intermediate Bond Fund.......................... 0.60% 0.45%
Opportunity Fund................................ 0.60% 0.00%
Market Return Fund.............................. 0.60% 0.00%
</TABLE>
Each Fund remains liable to Payden & Rygel for expenses subsidized in
any fiscal year so long as any reimbursement will not cause the annual
expense ratio for the year in which it is made to exceed the amount of
the expense guarantee or expense limit (whichever is in effect at the
time of reimbursement). The deferred expense subsidies, as identified
in the statements of assets and liabilities, represent the cumulative
amount of expenses subsidized for the Funds and will be recognized as
net expense in the statements of operations in future periods, if
expense limits permit.
Payden & Rygel has incurred certain expenses in connection with the
offering of multiple class shares that will be charged to the Group
upon the initial sale of Class B shares to the public. Such expenses,
approximately $41,000 as of October 31, 1996, will be allocated to all
series of the Group that offer Class B shares on the basis of relative
net assets at the time of the initial sale of Class B shares, and will
be prorated between the classes on the basis of eligible net assets of
each class over a five year period.
Payden & Rygel Distributors, a subsidiary of Payden & Rygel, serves as
the distributor for the Funds and is not entitled to receive any fees
from the Group under the distribution agreement.
Through December 31, 1995, BISYS Fund Services ("BISYS"), a subsidiary
of the BISYS Group, Inc., served as administrator to the Group.
Effective January 1, 1996, Treasury Plus, Inc., a subsidiary of Payden
& Rygel, serves as administrator to the Group. Treasury Plus, Inc. has
served as administrator for the Market Return Fund since December 1,
1995 (commencement of operations). Under the terms of the
72 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 77
administration agreement, Treasury Plus, Inc. receives fees monthly,
computed on the average daily net assets of the Group at an annualized
rate of .06%.
Through November 10, 1995, BISYS served as transfer agent to the Group.
BISYS also served as fund accountant through December 31, 1995.
Effective November 11, 1995, Investors Fiduciary Trust Company ("IFTC")
serves as transfer agent to the Funds. Under the terms of the transfer
agency agreement, IFTC is entitled to receive fees based upon a
specified amount per shareholder with specified minimum-per-Fund
amounts and surcharges, plus certain out-of-pocket expenses. Effective
January 1, 1996 (December 1, 1995 [commencement of operations] for the
Market Return Fund), IFTC also serves as fund accountant. Under the
terms of the fund accounting agreement, IFTC receives fees based on
specified minimum-per-Group amounts, plus certain out-of-pocket
expenses.
All expenses incurred by the Funds are paid directly by Payden & Rygel
subject to subsequent reimbursement by the Funds. For Funds which have
not fully reimbursed Payden & Rygel for expenses paid on their behalf
as of October 31, 1996, the cumulative amounts of expenses paid by
Payden & Rygel and the reimbursement of expenses by the Funds are as
follows:
<TABLE>
<CAPTION>
CUMULATIVE TOTAL OF CUMULATIVE TOTAL OF
EXPENSES PAID BY REIMBURSEMENT
PAYDEN & RYGEL OF EXPENSES
------------------- -------------------
<S> <C> <C>
Global Short Bond Fund......... $ 16,684 $ 10,000
U.S. Treasury Fund............. 133,218 104,088
Limited Maturity Fund.......... 211,855 174,537
Short Bond Fund................ 262,480 262,450
Opportunity Fund............... 206,807 47,513
Market Return Fund............. 112,195 0
</TABLE>
Certain officers and/or trustees of the Group are affiliated with
Payden & Rygel, Payden & Rygel Distributors and/or Treasury Plus, Inc.
Such officers and trustees receive no fees from the Funds for serving
as officers and/or trustees of the Group.
ANNUAL REPORT PAYDEN LOGO 73
<PAGE> 78
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1996
6. FEDERAL INCOME TAXES
At October 31, 1996, the following Funds had capital loss carryforwards
in the amounts indicated for Federal income tax purposes. These
carryforwards are available to offset future capital gains, if any.
<TABLE>
<CAPTION>
LOSS LOSS LOSS
CARRYFORWARDS CARRYFORWARDS CARRYFORWARDS
EXPIRING IN 2002 EXPIRING IN 2003 EXPIRING IN 2004
---------------- ---------------- ----------------
<S> <C> <C> <C>
Global Fixed Income
Fund................ $2,622,551 $3,994,157
Short Duration Tax
Exempt Fund......... 43,242
Tax Exempt Bond Fund... 1,090,819 $ 92,036 460,399
U.S. Treasury Fund..... 121,452
Limited Maturity
Fund................ 1,971 61,072
Short Bond Fund........ 341,923
Intermediate Bond
Fund................ 45,492
Opportunity Fund....... 260,406
</TABLE>
7. EXEMPT-INTEREST INCOME DESIGNATION (UNAUDITED)
The Group designates the following exempt-interest income for the
taxable year ended October 31, 1996:
<TABLE>
<CAPTION>
EXEMPT-INTEREST
EXEMPT-INTEREST DIVIDENDS
DIVIDENDS PER SHARE
--------------- ---------------
<S> <C> <C>
Short Duration Tax Exempt Fund....... $ 1,063,018 0.38
Tax Exempt Bond Fund................. 2,352,923 0.45
</TABLE>
The amounts noted above include exempt-interest income from alternative
minimum tax paper in the amounts indicated below:
<TABLE>
<CAPTION>
EXEMPT-INTEREST INCOME
FROM ALTERNATIVE
MINIMUM TAX PAPER
----------------------
<S> <C>
Short Duration Tax Exempt Fund................ $ 12,982
Tax Exempt Bond Fund.......................... 113,725
</TABLE>
74 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 79
The percentage break-down of the exempt-interest income by state for
the Funds' taxable year ended October 31, 1996 was as follows:
<TABLE>
<CAPTION>
SHORT DURATION TAX EXEMPT
TAX EXEMPT FUND BOND FUND
--------------- ----------
<S> <C> <C>
Alabama.............................. 0.1% 0.1%
Alaska............................... 1.8 0.0
Arizona.............................. 3.5 0.0
California........................... 6.2 17.7
Colorado............................. 0.9 0.0
Connecticut.......................... 0.0 1.7
Delaware............................. 0.1 0.0
Florida.............................. 6.7 2.9
Georgia.............................. 4.4 6.0
Hawaii............................... 0.0 1.9
Illinois............................. 6.9 9.1
Indiana.............................. 1.0 1.6
Louisiana............................ 0.1 0.1
Maryland............................. 7.2 3.3
Massachusetts........................ 0.8 5.4
Michigan............................. 0.3 0.0
Minnesota............................ 2.3 0.0
Mississippi.......................... 0.0 2.3
Missouri............................. 3.4 0.0
Nebraska............................. 1.3 0.0
Nevada............................... 4.3 1.6
New Jersey........................... 2.3 0.0
New York............................. 9.8 8.9
North Carolina....................... 0.0 1.4
Ohio................................. 6.9 6.4
Oregon............................... 2.3 0.0
Pennsylvania......................... 0.9 4.6
Puerto Rico.......................... 3.0 4.5
South Carolina....................... 0.2 3.4
Tennessee............................ 5.5 0.6
Texas................................ 4.9 7.7
Utah................................. 2.2 0.0
Virginia............................. 3.8 4.9
Washington........................... 3.3 2.0
</TABLE>
ANNUAL REPORT PAYDEN LOGO 75
<PAGE> 80
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1996
<TABLE>
<CAPTION>
SHORT DURATION TAX EXEMPT
TAX EXEMPT FUND BOND FUND
--------------- ----------
<S> <C> <C>
Wisconsin............................ 3.2 1.7
Wyoming.............................. 0.4 0.2
----------- --------
TOTAL................................ 100.0 100.0
----------- --------
=========== ========
</TABLE>
76 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 81
(This page intentionally left blank)
ANNUAL REPORT PAYDEN LOGO 77
<PAGE> 82
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
<TABLE>
<CAPTION>
GLOBAL SHORT
BOND FUND GLOBAL FIXED
============ =========================================
PERIOD YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996(A) 1996 1995 1994
============ =========== =========== ===========
<S> <C> <C> <C> <C>
Net asset value -- beginning of
period............................... $ 10.00 $ 10.32 $ 9.77 $ 10.62
---------- ---------- ---------- ----------
Income (loss) from investment
activities:
Net investment income................ 0.05 0.54 0.89 0.44
Net realized and unrealized gains
(losses).......................... 0.06 0.19 0.53 (0.65)
---------- ---------- ---------- ----------
Total from investment
activities................... 0.11 0.73 1.42 (0.21)
---------- ---------- ---------- ----------
Distributions to shareholders:
From net investment income........... (0.04) (0.70) (0.87) (0.42)
In excess of net investment income...
From net realized gains.............. (0.22)
In excess of net realized gains......
---------- ---------- ---------- ----------
Total distributions to
shareholders................. (0.04) (0.70) (0.87) (0.64)
---------- ---------- ---------- ----------
Net asset value -- end of period....... $ 10.07 $ 10.35 $ 10.32 $ 9.77
========== ========== ========== ==========
Total return........................... 1.10%* 7.41% 15.10% -2.09%
========== ========== ========== ==========
Ratios/supplemental data:
Net assets, end of period (000)...... $ 28,913 $ 651,165 $ 540,041 $ 430,210
Ratio of expenses to average net
assets............................ 0.45%** 0.53% 0.50% 0.55%
Ratio of net investment income to
average net assets................ 4.86%** 5.67% 8.94% 4.24%
Ratio of expenses to average net
assets prior to subsidies......... 2.31%** 0.53% 0.50% 0.55%
Ratio of net investment income to
average net assets prior to
subsidies......................... 3.00%** 5.67% 8.94% 4.24%
Portfolio turnover rate.............. 0.00%** 175.68% 226.72% 348.12%
- ------------
(a) The Fund commenced operations on September 18, 1996.
(b) The Fund commenced operations on September 1, 1992.
(c) The Fund commenced operations on April 1, 1995.
(d) The Fund commenced operations on September 1, 1994.
* Not annualized
** Annualized
</TABLE>
78 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 83
<TABLE>
<CAPTION>
INCOME FUND INTERNATIONAL BOND FUND SHORT DURATION TAX EXEMPT FUND
============================ ============================ ============================================
YEAR PERIOD YEAR PERIOD YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1993 1992(B) 1996 1995(C) 1996 1995 1994(D)
=========== ============ =========== ============ =========== =========== ============
<S> <C> <C> <C> <C> <C> <C> <C>
$ 9.96 $ 10.00 $ 10.04 $ 10.00 $ 10.08 $ 9.93 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------- ----------
0.46 0.05 0.03 0.15 0.38 0.42 0.04
0.69 (0.02) 0.42 0.09 (0.06) 0.15 (0.07)
---------- ---------- ---------- ---------- ---------- ---------- ----------
1.15 0.03 0.45 0.24 0.32 0.57 (0.03)
---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.46) (0.05) (0.03) (0.15) (0.38) (0.42) (0.04)
(0.02)
(0.03) (0.01) (0.04) (0.01)
(0.06) (0.01)
---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.49) (0.07) (0.10) (0.20) (0.39) (0.42) (0.04)
---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 10.62 $ 9.96 $ 10.39 $ 10.04 $ 10.01 $ 10.08 $ 9.93
========== ========== ========== ========== ========== ========== ==========
11.88% 0.31%* 4.47% 2.43%* 3.28% 5.88% -0.35%*
========== ========== ========== ========== ========== ========== ==========
$ 296,958 $ 20,097 $18,364 $ 19,194 $36,336 $16,019 $ 20,150
0.70% 0.70%** 0.70% 0.70%** 0.45% 0.45% 0.45%**
4.22% 4.62%** 5.61% 5.24%** 3.81% 4.12% 3.20%**
0.68% 2.29%** 0.98% 1.64%** 0.70% 0.91% 2.87%**
4.24% 3.03%** 5.33% 4.30%** 3.56% 3.66% 0.78%**
252.97% 53.98%** 216.80% 96.62%** 34.72% 79.81% 0.00%**
</TABLE>
ANNUAL REPORT PAYDEN LOGO 79
<PAGE> 84
FINANCIAL HIGHLIGHTS (CONTINUED)
(For a share outstanding throughout the period)
<TABLE>
<CAPTION>
TAX EXEMPT BOND FUND
===========================================
YEAR YEAR PERIOD
ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995 1994(E)
=========== =========== ===========
<S> <C> <C> <C>
Net asset value -- beginning of period............ $ 9.59 $ 8.90 $ 10.00
---------- ---------- ----------
Income (loss) from investment activities:
Net investment income........................... 0.45 0.46 0.33
Net realized and unrealized gains (losses)...... (0.12) 0.69 (1.10)
---------- ---------- ----------
Total from investment activities........... 0.33 1.15 (0.77)
---------- ---------- ----------
Distributions to shareholders:
From net investment income...................... (0.45) (0.46) (0.33)
In excess of net investment income..............
From net realized gains.........................
In excess of net realized gains.................
---------- ---------- ----------
Total distributions to shareholders........ (0.45) (0.46) (0.33)
---------- ---------- ----------
Net asset value -- end of period.................. $ 9.47 $ 9.59 $ 8.90
========== ========== ==========
Total return...................................... 3.52% 13.25% -7.85%*
========== ========== ==========
Ratios/supplemental data:
Net assets, end of period (000)................. $49,862 $40,052 $25,474
Ratio of expenses to average net assets......... 0.45% 0.45% 0.50%**
Ratio of net investment income to average net
assets....................................... 4.73% 4.97% 4.47%**
Ratio of expenses to average net assets prior to
subsidies.................................... 0.61% 0.74% 1.07%**
Ratio of net investment income to average net
assets prior to subsidies.................... 4.57% 4.69% 3.90%**
Portfolio turnover rate......................... 23.04% 41.87% 97.53%**
- ------------
(e) The Fund commenced operations on December 21, 1993.
(f) The Fund commenced operations on January 1, 1995.
(g) The Fund commenced operations on May 1, 1994.
* Not annualized
** Annualized
</TABLE>
80 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 85
<TABLE>
<CAPTION>
U.S. TREASURY FUND LIMITED MATURITY FUND
=========================== ===========================================
YEAR PERIOD YEAR PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995(F) 1996 1995 1994(G)
=========== =========== =========== =========== ===========
<S> <C> <C> <C> <C> <C>
$ 10.61 $ 10.00 $ 10.06 $ 10.00 $ 10.00
---------- ---------- ---------- ---------- ----------
0.58 0.53 0.53 0.56 0.19
(0.04) 0.61 0.07 (0.01)
---------- ---------- ---------- ---------- ----------
0.54 1.14 0.53 0.63 0.18
---------- ---------- ---------- ---------- ----------
(0.58) (0.53) (0.53) (0.57) (0.18)
(0.03)
---------- ---------- ---------- ---------- ----------
(0.61) (0.53) (0.53) (0.57) (0.18)
---------- ---------- ---------- ---------- ----------
$ 10.54 $ 10.61 $ 10.06 $ 10.06 $ 10.00
========== ========== ========== ========== ==========
5.20% 11.61%* 5.41% 6.43% 1.84%*
========== ========== ========== ========== ==========
$22,114 $10,894 $50,771 $18,414 $14,248
0.45% 0.45%** 0.30% 0.33% 0.41%**
5.59% 6.31%** 5.45% 5.59% 4.74%**
0.78% 1.84%** 0.62% 0.83% 2.92%**
5.26% 4.92%** 5.13% 5.09% 2.23%**
151.83% 87.10%** 216.68% 166.07% 86.35%**
</TABLE>
ANNUAL REPORT PAYDEN LOGO 81
<PAGE> 86
FINANCIAL HIGHLIGHTS (CONTINUED)
(For a share outstanding throughout the period)
<TABLE>
<CAPTION>
SHORT BOND FUND
===========================================
YEAR YEAR PERIOD
ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995 1994(H)
=========== =========== ===========
<S> <C> <C> <C>
Net asset value -- beginning of period........... $ 10.04 $ 9.68 $ 10.00
---------- ---------- ----------
Income (loss) from investment activities:
Net investment income.......................... 0.54 0.54 0.34
Net realized and unrealized gains (losses)..... (0.06) 0.36 (0.32)
---------- ---------- ----------
Total from investment activities.......... 0.48 0.90 0.02
---------- ---------- ----------
Distributions to shareholders:
From net investment income..................... (0.54) (0.54) (0.34)
In excess of net investment income.............
From net realized gains........................ (0.01)
In excess of net realized gains................
---------- ---------- ----------
Total distributions to shareholders....... (0.55) (0.54) (0.34)
---------- ---------- ----------
Net asset value -- end of period................. $ 9.97 $ 10.04 $ 9.68
========== ========== ==========
Total return..................................... 4.86% 9.56% 0.21%*
========== ========== ==========
Ratios/supplemental data:
Net assets, end of period (000)................ $97,966 $19,157 $ 2,592
Ratio of expenses to average net assets........ 0.40% 0.40% 0.48%**
Ratio of net investment income to average net
assets...................................... 5.67% 5.72% 4.47%**
Ratio of expenses to average net assets prior
to subsidies................................ 0.57% 1.03% 4.56%**
Ratio of net investment income to average net
assets prior to subsidies................... 5.50% 5.09% 0.39%**
Portfolio turnover rate........................ 212.44% 170.27% 186.85%**
- ------------
(h) The Fund commenced operations on January 1, 1994.
(i) The Fund commenced operations on December 1, 1995.
* Not annualized
** Annualized
</TABLE>
82 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 87
<TABLE>
<CAPTION>
MARKET
RETURN
INTERMEDIATE BOND FUND OPPORTUNITY FUND FUND
=========================================== =========================================== ===========
YEAR YEAR PERIOD YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995 1994(H) 1996 1995 1994(H) 1996(I)
=========== =========== =========== =========== =========== =========== ===========
<S> <C> <C> <C> <C> <C> <C> <C>
$ 9.85 $ 9.30 $ 10.00 $ 9.96 $ 9.09 $ 10.00 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------- ----------
0.56 0.57 0.35 0.63 0.57 0.37 0.50
(0.17) 0.55 (0.70) (0.17) 0.87 (0.91) 0.86
---------- ---------- ---------- ---------- ---------- ---------- ----------
0.39 1.12 (0.35) 0.46 1.44 (0.54) 1.36
---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.56) (0.57) (0.35) (0.61) (0.57) (0.37) (0.50)
(0.08)
---------- ---------- ---------- ---------- ---------- ---------- ----------
(0.64) (0.57) (0.35) (0.61) (0.57) (0.37) (0.50)
---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 9.60 $ 9.85 $ 9.30 $ 9.81 $ 9.96 $ 9.09 $ 10.86
========== ========== ========== ========== ========== ========== ==========
4.06% 12.43% -3.52%* 4.86% 16.39% -5.49%* 14.06%*
---------- ---------- ---------- ---------- ---------- ---------- ----------
$52,767 $34,391 $14,312 $32,304 $25,822 $ 3,030 $ 5,789
0.45% 0.45% 0.46%** 0.00% 0.45% 0.49%** 0.00%**
5.90% 6.10% 5.39%** 6.41% 6.20% 5.25%** 5.95%**
0.58% 0.68% 2.03%** 0.64% 1.11% 4.52%** 4.14%**
5.77% 5.87% 3.82%** 5.77% 5.55% 1.22%** 1.81%**
195.63% 189.00% 358.23%** 196.78% 252.09% 513.35%** 146.31%**
</TABLE>
ANNUAL REPORT PAYDEN LOGO 83
<PAGE> 88
INDEPENDENT AUDITOR'S REPORT
To The Board of Trustees and Shareholders of
Payden & Rygel Investment Group
We have audited the accompanying statements of assets and liabilities, including
the schedules of Portfolio investments, of Payden & Rygel Investment Group (the
"Funds"), including Global Short Bond Fund, Global Fixed Income Fund,
International Bond Fund, Short Duration Tax Exempt Fund, Tax Exempt Bond Fund,
U.S. Treasury Fund, Limited Maturity Fund, Short Bond Fund, Intermediate Bond
Fund, Opportunity Fund and Market Return Fund, as of October 31, 1996, the
related statements of operations for the period then ended, and the statements
of changes in net assets and the financial highlights for the periods presented.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 1996, by correspondence with the Funds' custodian and brokers. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the Funds at October
31, 1996, the results of their operations, the changes in their net assets, and
the financial highlights for the respective stated periods, in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Dayton, Ohio
December 6, 1996
84 PAYDEN LOGO PAYDEN & RYGEL INVESTMENT GROUP
<PAGE> 89
PAYDEN & RYGEL INVESTMENT GROUP
333 SOUTH GRAND AVENUE, LOS ANGELES, CALIFORNIA 90071
1-800-5-PAYDEN
IMPORTANT INFORMATION: The information contained in this report is intended for
shareholders of the Payden & Rygel Funds only. It is not authorized for
distribution to prospective investors unless accompanied or preceded by a
current prospectus which provides further details.
The performance numbers presented in this report are derived from historical
market data. There is no guarantee of future performance nor are Fund shares
guaranteed. Investment return and principal value of an investment in a Fund
will fluctuate so that an investor's shares, when redeemed, may be worth more or
less than original cost. Fund shares are sold through Payden & Rygel
Distributors, member NASD.
