I had the same issue a year ago during an audit, where the credit memo and what invoices they were applied to was information needed and I couldn't find a report. 

I then found an answer on these message boards, it works and the instructions, which I saved, also work for payments. below is what I saved from last year. I was just able to do this report to give me all the payments by customers and the invoices they were applied to. 

"I think I may have found the answer to your question:

1.  Go to Reports>Banking>Check Detail

2.  Select Customize Report

3.  Click on Filter Tab

4.  Modify Report as follows:

     Account:  All Accounts

     Date:  Specify the date you desire

     Detail Level:  All

     Transaction Type:  Credit Memo

5.  Select OK

This should show you the Credit Memos for the date specified and the invoices and items it applied to.  You can also run this for PAYMENTS.  Just change the Transaction Type to PAYMENT. "