Investment Portfolio | |||||||
(UNAUDITED) | 07.31.2023 | |||||||
CARILLON REAMS CORE PLUS BOND FUND | |||||||
CORPORATE BONDS - 22.4% | Principal Amount | Value | |||||
Aerospace & defense - 0.2% | |||||||
The Boeing Co., | |||||||
2.80%, 03/01/27 | $ | 935,000 | $ | 855,897 | |||
3.60%, 05/01/34 | 3,595,000 | 3,084,595 | |||||
Airlines - 1.8% | |||||||
Air Canada, Pass Through Trust, Series 2020-2, Class A, 144A, 5.25%, 10/01/30 | 1,717,783 | 1,672,112 | |||||
Alaska Airlines, Pass Through Trust, Series 2020-1, Class A, 144A, 4.80%, 02/15/29 | 8,095,771 | 7,850,596 | |||||
British Airways, Pass Through Trust, Series 2020-1, Class A, 144A, 4.25%, 05/15/34 | 2,196,730 | 2,010,862 | |||||
Delta Air Lines, Pass Through Trust, Series 2020-1, Class AA, 2.00%, 12/10/29 | 8,472,883 | 7,449,505 | |||||
JetBlue, Pass Through Trust, | |||||||
Series 2019-1, Class AA, 2.75%, 11/15/33 | 4,687,115 | 3,980,778 | |||||
Series 2020-1, Class A, 4.00%, 05/15/34 | 1,718,818 | 1,571,807 | |||||
United Airlines, Pass Through Trust, | |||||||
Series 2015-1, Class AA, 3.45%, 06/01/29 | 482,917 | 443,749 | |||||
Series 2016-2, Class AA, 2.88%, 04/07/30 | 1,439,796 | 1,274,078 | |||||
Series 2018-1, Class AA, 3.50%, 09/01/31 | 2,027,496 | 1,830,964 | |||||
Auto manufacturers - 2.8% | |||||||
Ford Motor Credit Co. LLC, | |||||||
3.38%, 11/13/25 | 3,530,000 | 3,300,471 | |||||
5.58%, 03/18/24 | 985,000 | 978,042 | |||||
6.95%, 03/06/26 | 3,270,000 | 3,302,242 | |||||
7.35%, 11/04/27 | 6,945,000 | 7,117,070 | |||||
General Motors Financial Co., Inc., | |||||||
1.25%, 01/08/26 | 9,130,000 | 8,227,596 | |||||
6.00%, 01/09/28 | 15,955,000 | 16,195,019 | |||||
6.05%, 10/10/25 | 2,555,000 | 2,575,885 | |||||
Volkswagen Group of America Finance LLC, 144A, 3.75%, 05/13/30(a) | 3,760,000 | 3,417,433 | |||||
Automobiles - 0.2% | |||||||
Ford Motor Co., 3.25%, 02/12/32 | 4,540,000 | 3,589,478 | |||||
Banks - 7.8% | |||||||
Bank of America Corp., | |||||||
(Fixed until 10/20/31, then SOFR + 1.21%), 2.57%, 10/20/32 | 7,823,000 | 6,349,021 | |||||
(Fixed until 04/23/26, then 3 Month Term SOFR + 1.32%), 3.56%, 04/23/27 | 7,000,000 | 6,644,109 | |||||
(Fixed until 04/27/32, then SOFR + 1.83%), 4.57%, 04/27/33 | 9,925,000 | 9,330,492 | |||||
(Fixed until 07/22/32, then SOFR + 2.16%), 5.02%, 07/22/33 | 9,095,000 | 8,880,114 | |||||
Citigroup, Inc., | |||||||
(Fixed until 01/25/32, then SOFR + 1.35%), 3.06%, 01/25/33 | 6,440,000 | 5,377,037 | |||||
(Fixed until 03/17/32, then SOFR + 1.94%), 3.79%, 03/17/33 | 8,875,000 | 7,842,531 | |||||
(Fixed until 03/31/30, then SOFR + 3.91%), 4.41%, 03/31/31 | 3,890,000 | 3,656,192 | |||||
(Fixed until 05/24/32, then SOFR + 2.09%), 4.91%, 05/24/33 | 11,785,000 | 11,396,400 | |||||
HSBC Holdings PLC, 4.95%, 03/31/30 | 5,315,000 | 5,203,585 | |||||
JPMorgan Chase & Co., | |||||||
(Fixed until 01/25/32, then SOFR + 1.26%), 2.96%, 01/25/33 | 8,710,000 | 7,349,663 | |||||
(Fixed until 03/24/30, then 3 Month Term SOFR + 3.79%), 4.49%, 03/24/31 | 5,375,000 | 5,146,491 | |||||
(Fixed until 04/26/32, then SOFR + 1.80%), 4.59%, 04/26/33 | 5,060,000 | 4,828,014 | |||||
(Fixed until 07/25/32, then SOFR + 2.08%), 4.91%, 07/25/33 | 8,200,000 | 8,012,453 | |||||
The PNC Financial Services Group, Inc. (Fixed until 10/28/32, then SOFR Index + 2.14%), 6.04%, 10/28/33 | 4,025,000 | 4,138,001 | |||||
Wells Fargo & Co., | |||||||
(Fixed until 03/02/32, then SOFR + 1.50%), 3.40%, 03/02/33 | 8,490,000 | 7,268,414 | |||||
(Fixed until 04/04/30, then 3 Month Term SOFR + 4.03%), 4.48%, 04/04/31 | 9,780,000 | 9,270,962 | |||||
(Fixed until 07/25/32, then SOFR + 2.10%), 4.90%, 07/25/33 | 6,145,000 | 5,890,122 | |||||
(Fixed until 04/24/33, then SOFR + 2.02%), 5.39%, 04/24/34 | 6,470,000 | 6,419,114 | |||||
Biotechnology - 0.1% | |||||||
Amgen, Inc., 5.25%, 03/02/33 | 1,815,000 | 1,811,423 | |||||
Capital markets - 3.6% | |||||||
Morgan Stanley, | |||||||
(Fixed until 01/21/32, then SOFR + 1.29%), 2.94%, 01/21/33 | 10,430,000 | 8,680,430 | |||||
(Fixed until 04/01/30, then SOFR + 3.12%), 3.62%, 04/01/31 | 5,740,000 | 5,158,848 | |||||
(Fixed until 10/18/32, then SOFR + 2.56%), 6.34%, 10/18/33 | 7,360,000 | 7,825,709 | |||||
The Bank of New York Mellon Corp. (Fixed until 04/26/33, then SOFR + 1.61%), 4.97%, 04/26/34 | 8,165,000 | 7,949,834 | |||||
The Goldman Sachs Group, Inc. (Fixed until 02/24/32, then SOFR + 1.41%), 3.10%, 02/24/33 | 8,670,000 | 7,305,713 | |||||
UBS Group AG, | |||||||
(Fixed until 01/30/26, then 1 Year CMT Rate + 1.08%), 144A, 1.36%, 01/30/27 | 4,805,000 | 4,264,961 | |||||
(Fixed until 08/13/29, then 3 Month LIBOR USD + 1.47%), 144A, 3.13%, 08/13/30 | 1,190,000 | 1,020,127 | |||||
(Fixed until 01/12/33, then 1 Year CMT Rate + 2.20%), 144A, 5.96%, 01/12/34 | 13,885,000 | 14,081,074 | |||||
Containers & packaging - 0.4% | |||||||
Sonoco Products Co., 3.13%, 05/01/30 | 6,620,000 | 5,739,814 | |||||
Electric - 2.8% | |||||||
Appalachian Power Co., 2.70%, 04/01/31 | 7,310,000 | 6,127,213 | |||||
DTE Electric Co., 5.20%, 04/01/33 | 6,825,000 | 6,920,270 | |||||
Duke Energy Florida LLC, 5.65%, 04/01/40 | 5,606,000 | 5,701,325 | |||||
Duke Energy Progress LLC, 5.25%, 03/15/33 | 7,275,000 | 7,371,979 | |||||
Entergy Arkansas LLC, 3.35%, 06/15/52 | 4,350,000 | 3,100,212 | |||||
Florida Power & Light Co., 2.88%, 12/04/51 | 9,930,000 | 6,761,767 | |||||
Indianapolis Power & Light Co., 144A, 5.65%, 12/01/32 | 6,445,000 | 6,545,578 | |||||
Wisconsin Public Service Corp., 2.85%, 12/01/51 | 3,455,000 | 2,259,526 | |||||
Electric utilities - 1.3% | |||||||
IPALCO Enterprises, Inc., 4.25%, 05/01/30 | 7,720,000 | 7,035,081 | |||||
Wisconsin Power and Light Co., | |||||||
1.95%, 09/16/31 | 4,760,000 | 3,768,951 | |||||
3.95%, 09/01/32 | 6,150,000 | 5,676,509 | |||||
4.95%, 04/01/33 | 4,855,000 | 4,787,470 | |||||
Insurance - 0.5% | |||||||
MetLife, Inc., 5.38%, 07/15/33 | 7,400,000 | 7,477,552 | |||||
Multi-utilities - 0.2% | |||||||
Dominion Energy, Inc., 3.38%, 04/01/30 | 3,815,000 | 3,403,205 | |||||
Oil, gas & consumable fuels - 0.4% | |||||||
TransCanada PipeLines Ltd., 4.10%, 04/15/30 | 7,040,000 | 6,520,440 | |||||
Tobacco - 0.3% | |||||||
Altria Group, Inc., 2.45%, 02/04/32 | 5,560,000 | 4,376,304 | |||||
Total corporate bonds (cost $379,704,305) | 355,402,209 | ||||||
MORTGAGE AND ASSET-BACKED SECURITIES - 58.4% | |||||||
Asset-backed securities - 14.9% | |||||||
Ally Auto Receivables Trust, | |||||||
Series 2022-3, Class A2, 5.29%, 06/16/25 | 4,802,864 | 4,795,474 | |||||
Series 2023-1, Class A2, 5.76%, 11/15/26 | 11,655,000 | 11,666,127 | |||||
Avis Budget Rental Car Funding AESOP LLC, | |||||||
Series 2022-1A, Class A, 144A, 3.83%, 08/21/28 | 13,485,000 | 12,518,289 | |||||
Series 2023-1A, Class A, 144A, 5.25%, 04/20/29 | 11,080,000 | 10,804,641 | |||||
Bank of America Auto Trust, Series 2023-1A, Class A2, 144A, 5.83%, 05/15/26 | 16,825,000 | 16,827,694 | |||||
BMW Vehicle Lease Trust, | |||||||
Series 2022-1, Class A3, 1.10%, 03/25/25 | 3,733,337 | 3,677,125 | |||||
Series 2023-1, Class A2, 5.27%, 02/25/25 | 4,467,647 | 4,458,882 | |||||
BMW Vehicle Owner Trust, Series 2022-A, Class A2A, 2.52%, 12/26/24 | 2,178,994 | 2,165,959 | |||||
Capital One Prime Auto Receivables Trust, Series 2023-1, Class A2, 5.20%, 05/15/26 | 12,370,000 | 12,325,720 | |||||
Ford Credit Auto Owner Trust, | |||||||
Series 2023-A, Class A2A, 5.14%, 03/15/26 | 5,985,000 | 5,958,134 | |||||
Series 2023-B, Class A2B, (SOFR 30 Day Average + 0.49%), 5.56%, 06/15/26 | 10,650,000 | 10,654,208 | |||||
GM Financial Consumer Automobile Receivables Trust, | |||||||
Series 2020-3, Class A3, 0.45%, 04/16/25 | 2,846,417 | 2,831,994 | |||||
Series 2023-3, Class A2A, 5.74%, 09/16/26 | 6,330,000 | 6,331,624 | |||||
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 144A, 1.21%, 12/26/25 | 14,675,000 | 13,806,252 | |||||
Hertz Vehicle Financing III LLC, | |||||||
Series 2022-1A, Class A, 144A, 1.99%, 06/25/26 | 5,785,000 | 5,391,960 | |||||
Series 2023-1A, Class A, 144A, 5.49%, 06/25/27 | 12,310,000 | 12,125,601 | |||||
Honda Auto Receivables Owner Trust, Series 2023-1, Class A2, 5.22%, 10/21/25 | 10,185,000 | 10,148,856 | |||||
Hyundai Auto Receivables Trust, | |||||||
Series 2023-B, Class A2A, 5.77%, 05/15/26 | 8,375,000 | 8,375,495 | |||||
Series 2023-A, Class A2A, 5.19%, 12/15/25 | 10,380,000 | 10,340,143 | |||||
Invitation Homes Trust, Series 2018-SFR4, Class A (1 Month Term SOFR + 1.21%), 144A, 6.44%, 01/17/38 | 8,509,046 | 8,466,509 | |||||
Mercedes-Benz Auto Lease Trust, Series 2023-A, Class A2, 5.24%, 11/17/25 | 12,185,000 | 12,128,844 | |||||
Mercedes-Benz Auto Receivables Trust, | |||||||
Series 2022-1, Class A2, 5.26%, 10/15/25 | 8,386,216 | 8,366,235 | |||||
Series 2023-1, Class A2, 5.09%, 01/15/26 | 6,510,766 | 6,487,133 | |||||
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A2A, 5.34%, 02/17/26 | 7,475,000 | 7,448,993 | |||||
RFMSII Trust, Series 2006-HSA1, Class A4, SB, 5.49%, 02/25/36 | 156,346 | 150,361 | |||||
STAR Trust, Series 2021-SFR1, Class A (1 Month Term SOFR + 0.71%), 144A, 5.94%, 04/17/38 | 5,253,302 | 5,138,723 | |||||
Toyota Auto Receivables Owner Trust, | |||||||
Series 2022-D, Class A2A, 5.27%, 01/15/26 | 5,099,385 | 5,084,597 | |||||
Series 2023-A, Class A2, 5.05%, 01/15/26 | 5,755,000 | 5,731,259 | |||||
Series 2023-B, Class A2A, 5.28%, 05/15/26 | 8,775,000 | 8,741,540 | |||||
World Omni Auto Receivables Trust, Series 2020-C, Class A3, 0.48%, 11/17/25 | 3,215,829 | 3,151,687 | |||||
Commercial mortgage-backed securities - 12.4% | |||||||
BANK, | |||||||
Series 2020-BNK30, Class A2, 1.36%, 12/15/53 | 2,016,000 | 1,769,155 | |||||
Series 2022-BNK44, Class A5, VR, 5.75%, 11/15/55 | 2,485,000 | 2,560,604 | |||||
BBCMS Mortgage Trust, | |||||||
Series 2023-C19, Class A5, 5.45%, 04/15/56 | 2,895,000 | 2,929,294 | |||||
Series 2023-C20, Class A5, VR, 5.58%, 07/15/56 | 2,865,000 | 2,941,643 | |||||
Benchmark Mortgage Trust, | |||||||
Series 2018-B5, Class A2, 4.08%, 07/15/51 | 1,787,732 | 1,725,684 | |||||
Series 2021-B23, Class A2, 1.62%, 02/15/54 | 4,555,000 | 4,018,221 | |||||
Series 2021-B24, Class A2, 1.95%, 03/15/54 | 4,028,000 | 3,519,838 | |||||
Series 2021-B29, Class A5, 2.39%, 09/15/54 | 1,755,000 | 1,416,732 | |||||
Series 2022-B32, Class A5, VR, 3.00%, 01/15/55 | 1,345,000 | 1,093,974 | |||||
Series 2022-B33, Class A2, 3.32%, 03/15/55 | 8,420,000 | 7,589,093 | |||||
Series 2023-B38, Class A4, 5.52%, 04/15/56 | 3,755,000 | 3,818,733 | |||||
BMO Mortgage Trust, | |||||||
Series 2022-C2, Class A5, VR, 4.81%, 07/15/54 | 2,255,000 | 2,195,424 | |||||
Series 2022-C3, Class A5, 5.31%, 09/15/54 | 1,320,000 | 1,316,026 | |||||
Series 2023-C5, Class A5, 5.77%, 06/15/56 | 3,025,000 | 3,124,460 | |||||
BX Commercial Mortgage Trust, Series 2019-XL, Class A (1 Month Term SOFR + 1.03%), 144A, 6.26%, 10/15/36 | 2,405,953 | 2,397,572 | |||||
Citigroup Commercial Mortgage Trust, Series 2022-GC48, Class A5, VR, 4.58%, 05/15/54 | 2,065,000 | 1,973,772 | |||||
Citigroup Mortgage Loan Trust, Series 2021-INV1, Class A3A, 144A, VR, 2.50%, 05/25/51 | 5,632,927 | 4,533,847 | |||||
COLT Mortgage Loan Trust, Series 2023-1, Class A1, 144A, SB, 6.05%, 04/25/68 | 2,375,635 | 2,360,908 | |||||
DBJPM Mortgage Trust, Series 2020-C9, Class A2, 1.90%, 08/15/53 | 5,540,000 | 5,023,583 | |||||
Deephaven Residential Mortgage Trust, Series 2021-3, Class A1, 144A, VR, 1.19%, 08/25/66 | 3,496,147 | 2,900,193 | |||||
Flagstar Mortgage Trust, | |||||||
Series 2021-3INV, Class A2, 144A, VR, 2.50%, 06/25/51 | 4,294,302 | 3,445,675 | |||||
Series 2021-3INV, Class A18, 144A, VR, 5.00%, 06/25/51 | 2,331,192 | 2,231,109 | |||||
Series 2021-4, Class A5, 144A, VR, 2.50%, 06/01/51 | 1,572,250 | 1,344,179 | |||||
Series 2021-13INV, Class A2, 144A, VR, 3.00%, 12/30/51 | 5,455,502 | 4,554,706 | |||||
GS Mortgage-Backed Securities Trust, | |||||||
Series 2021-INV1, Class A2, 144A, VR, 2.50%, 12/25/51 | 1,652,660 | 1,326,066 | |||||
Series 2021-PJ2, Class A2, 144A, VR, 2.50%, 07/25/51 | 2,830,855 | 2,271,430 | |||||
Series 2022-LTV2, Class A21, 144A, VR, 4.00%, 12/25/52 | 7,947,244 | 7,214,607 | |||||
Series 2022-MM1, Class A2, 144A, VR, 2.50%, 07/25/52 | 3,901,675 | 3,115,811 | |||||
Series 2022-PJ3, Class A4, 144A, VR, 2.50%, 08/25/52 | 5,086,914 | 4,068,936 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20, Class ASB, 3.46%, 07/15/47 | 570,855 | 564,049 | |||||
JP Morgan Mortgage Trust, | |||||||
Series 2017-2, Class A7, 144A, VR, 3.50%, 05/25/47 | 2,687,295 | 2,399,653 | |||||
Series 2021-1, Class A3, 144A, VR, 2.50%, 06/25/51 | 1,748,454 | 1,402,930 | |||||
Series 2021-3, Class A3, 144A, VR, 2.50%, 07/25/51 | 3,663,899 | 2,944,430 | |||||
Series 2021-4, Class A3, 144A, VR, 2.50%, 08/25/51 | 2,843,604 | 2,281,660 | |||||
Series 2021-7, Class A3, 144A, VR, 2.50%, 11/25/51 | 2,198,965 | 1,764,412 | |||||
Series 2021-8, Class A3, 144A, VR, 2.50%, 12/25/51 | 2,656,202 | 2,131,291 | |||||
Series 2021-11, Class A3, 144A, VR, 2.50%, 01/25/52 | 3,758,441 | 3,015,709 | |||||
Series 2021-14, Class A12, 144A, VR, 5.00%, 05/25/52 | 3,012,380 | 2,892,545 | |||||
Series 2022-1, Class A2, 144A, VR, 3.00%, 07/25/52 | 6,257,470 | 5,224,255 | |||||
Series 2022-3, Class A2, 144A, VR, 3.00%, 08/25/52 | 6,457,072 | 5,374,757 | |||||
Series 2022-4, Class A2A, 144A, VR, 3.00%, 10/25/52 | 2,216,319 | 1,850,367 | |||||
Series 2022-4, Class A3, 144A, VR, 3.00%, 10/25/52 | 1,788,689 | 1,493,346 | |||||
Series 2022-6, Class A3, 144A, VR, 3.00%, 11/25/52 | 1,094,216 | 913,542 | |||||
Series 2023-1, Class A3A, 144A, VR, 5.00%, 06/25/53 | 3,861,011 | 3,686,644 | |||||
Series 2023-3, Class A3A, 144A, VR, 5.00%, 10/25/53 | 3,018,637 | 2,880,441 | |||||
Series 2021-INV4, Class A2A, 144A, VR, 2.50%, 01/25/52 | 3,451,426 | 2,769,366 | |||||
Series 2021-INV6, Class A2, 144A, VR, 3.00%, 04/25/52 | 4,408,988 | 3,700,389 | |||||
Series 2021-INV8, Class A2, 144A, VR, 3.00%, 05/25/52 | 8,628,306 | 7,203,626 | |||||
Series 2022-INV1, Class A3, 144A, VR, 3.00%, 03/25/52 | 2,920,367 | 2,438,165 | |||||
Mello Mortgage Capital Acceptance Trust, Series 2021-MTG1, Class A1, 144A, VR, 2.50%, 04/25/51 | 7,228,715 | 5,800,198 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3, 3.77%, 11/15/46 | 833,284 | 829,653 | |||||
Morgan Stanley Residential Mortgage Loan Trust, Series 2023-1, Class A1, 144A, VR, 4.00%, 02/25/53 | 4,010,224 | 3,571,449 | |||||
MSWF Commercial Mortgage Trust, Series 2023-1, Class A5, 5.75%, 05/15/56 | 3,435,000 | 3,533,739 | |||||
OBX Trust, | |||||||
Series 2021-INV2, Class A5, 144A, VR, 3.00%, 10/25/51 | 3,071,643 | 2,564,462 | |||||
Series 2023-INV1, Class A1, 144A, VR, 3.00%, 01/25/52 | 9,913,354 | 8,146,378 | |||||
Series 2023-J1, Class A1, 144A, VR, 4.50%, 01/25/53 | 2,895,005 | 2,660,417 | |||||
PRMI Securitization Trust, Series 2021-1, Class A2, 144A, VR, 2.50%, 04/25/51 | 7,031,920 | 5,642,293 | |||||
Provident Funding Mortgage Trust, Series 2021-INV2, Class 1A4, 144A, VR, 2.00%, 11/25/51 | 1,853,734 | 1,542,217 | |||||
RATE Mortgage Trust, Series 2021-HB1, Class A1, 144A, VR, 2.50%, 12/25/51 | 2,205,800 | 1,769,896 | |||||
UWM Mortgage Trust, Series 2021-INV4, Class A10, 144A, VR, 5.00%, 12/25/51 | 2,421,041 | 2,332,030 | |||||
Verus Securitization Trust, Series 2023-4, Class A1, 144A, SB, 5.81%, 05/25/68 | 4,469,880 | 4,418,562 | |||||
Wells Fargo Commercial Mortgage Trust, | |||||||
Series 2020-C56, Class A2, 2.50%, 06/15/53 | 4,895,000 | 4,629,039 | |||||
Series 2021-C59, Class A5, 2.63%, 04/15/54 | 1,645,000 | 1,358,336 | |||||
Series 2022-C62, Class A4, VR, 4.00%, 04/15/55 | 1,785,000 | 1,612,137 | |||||
Wells Fargo Mortgage Backed Securities Trust, Series 2021-1, Class A1, 144A, VR, 2.50%, 12/25/50 | 1,114,537 | 897,072 | |||||
Federal agency mortgage-backed obligations - 31.1% | |||||||
Fannie Mae Pool, | |||||||
TBA, 3.50%, 08/15/53 | 32,290,000 | 29,254,614 | |||||
TBA, 4.00%, 08/15/53 | 37,145,000 | 34,673,987 | |||||
TBA, 4.50%, 08/15/53 | 49,130,000 | 47,036,217 | |||||
TBA, 5.00%, 08/15/53 | 198,700,000 | 194,097,301 | |||||
TBA, 5.00%, 09/15/53 | 40,870,000 | 39,936,057 | |||||
TBA, 5.50%, 08/15/53 | 147,810,000 | 146,782,259 | |||||
Fannie Mae-Aces, Series 2016-M7, Class AV2, 2.16%, 10/25/23 | 316,743 | 314,683 | |||||
Ginnie Mae I Pool, Series 2583, Class AB, 2.14%, 08/15/23 | 28,067 | 27,948 | |||||
Total mortgage and asset-backed securities (cost $937,375,318) | 925,243,855 | ||||||
U.S. TREASURIES - 34.3% | |||||||
U.S. Treasury Bonds, | |||||||
2.25%, 02/15/52 | 102,380,000 | 71,821,970 | |||||
2.38%, 02/15/42 | 14,785,000 | 11,278,183 | |||||
3.00%, 08/15/52 | 122,865,000 | 101,526,804 | |||||
U.S. Treasury Inflation Indexed Bond, 1.13%, 01/15/33 | 45,908,815 | 43,861,749 | |||||
U.S. Treasury Notes, | |||||||
0.13%, 12/15/23 | 94,455,000 | 92,661,830 | |||||
2.75%, 08/15/32 | 142,380,000 | 129,259,905 | |||||
4.00%, 06/30/28 | 25,690,000 | 25,483,276 | |||||
4.63%, 03/15/26 | 68,155,000 | 68,162,987 | |||||
Total U.S. Treasuries (cost $554,358,146) | 544,056,704 | ||||||
SHORT-TERM INVESTMENTS - 11.2% | |||||||
U.S. Treasury Bills - 11.2% | |||||||
U.S. Treasury Bills, ZCI, 5.31%, 07/11/24 | 186,310,000 | 177,194,874 | |||||
Money market funds - 0.0% | |||||||
First American Government Obligations Fund—Class X, 5.18%# | 175,310 | 175,310 | |||||
Total short-term investments (cost $177,441,982) | 177,370,184 | ||||||
Total investment portfolio (cost $2,048,879,751) - 126.3% | 2,002,072,952 | ||||||
Liabilities in excess of other assets - (26.3)% | (416,362,293) | ||||||
Total net assets - 100.0% | $ | 1,585,710,659 |
(a) All or a portion of this security was on loan as of the date of this report. The total fair market value of loaned securities was $172,399 or 0.0% of net assets as of the date of this report. | ||||
144A - Securities are purchased under Rule 144A of the Securities Act of 1933 or are private placements and, unless registered under the Securities Act of 1933 or exempted from registration, generally may only be sold to qualified institutional buyers. | ||||
TBA - To-be-announced security. Securities are being used in dollar roll transactions. | ||||
SB - Step bond. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown is the rate in effect as of the date of this report. | ||||
VR - Variable rate security. Interest rate adjusts periodically based on changes in current interest rates. Rate shown is the rate in effect as of the date of this report. | ||||
ZCI - Zero coupon instrument. Rate disclosed is yield to maturity as of the date of this report | ||||
# Annualized seven-day yield as of the date of this report. Investment made with cash collateral received for securities on loan. | ||||
Fair value measurements | The Fund utilizes a three-level hierarchy of inputs to establish a classification of fair value measurements. The three levels are defined as: | ||||
Level 1—Valuations based on unadjusted quoted prices for identical securities in active markets; | ||||
Level 2—Valuations based on inputs other than quoted prices that are observable, either directly or indirectly, including inputs in markets that are not considered active; and | ||||
Level 3—Valuations based on inputs that are unobservable and significant to the fair value measurement, and may include the Valuation Committee’s own assumptions on determining fair value of investments. | ||||
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments and is affected by various factors such as the type of investment and the volume and/or level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Valuation Committee, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the valuation date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy. Investments falling into the Level 3 category may be classified as such due to a lack of market transparency and corroboration to support the quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Valuation Committee. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable entity data. | ||||
All investments are categorized as Level 2 as of the date of this report, other than First American Government Obligations Fund - Class X, which is categorized as Level 1. The total value of Level 1 and Level 2 investments as of the date of this report is $175,310 and $2,001,897,642, respectively. | ||||
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual report. | ||||
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of Morgan Stanley Capital International, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC. |
CARILLON REAMS CORE PLUS BOND FUND | ||||||||||||||||
FUTURES CONTRACTS | ||||||||||||||||
(UNAUDITED) | 07.31.2023 | ||||||||||||||||
FUTURES CONTRACTS - LONG | ||||||||||||||||
| Unrealized | |||||||||||||||
Expiration | Number of | Notional Value | Notional Value | Appreciation | ||||||||||||
Description | Date | Contracts | at Trade Date | at July 31, 2023 | (Depreciation) | |||||||||||
2-Year U.S. Treasury Note | 09/29/23 | 1,120 | $ | 228,650,528 | $ | 227,395,000 | $ | (1,255,528) | ||||||||
FUTURES CONTRACTS - SHORT | ||||||||||||||||
| Unrealized | |||||||||||||||
Expiration | Number of | Notional Value | Notional Value | Appreciation | ||||||||||||
Description | Date | Contracts | at Trade Date | at July 31, 2023 | (Depreciation) | |||||||||||
Long Bond U.S. Treasury Note | 09/20/23 | (313) | $ | (39,745,127 | ) | $ | (38,948,938 | ) | $ | 796,189 | ||||||
Total futures contracts | $ | (459,339) | ||||||||||||||
There is $90,679 of variation margin due from the broker to the Fund as of the date of this report. Futures contracts are categorized as Level 1 as of the date of this report. |
CARILLON REAMS CORE PLUS BOND FUND | |||||||||||
SCHEDULE OF WRITTEN OPTIONS | |||||||||||
(UNAUDITED) | 07.31.2023 | |||||||||||
Number of | Notional | ||||||||||
WRITTEN OPTIONS | Contracts | Amount | Value | ||||||||
Exchange traded call options | |||||||||||
U.S. Treasury Long Bond Futures, Expires 08/25/23, Exercise price $127 | 361 | $ | 44,922,840 | $ | (174,859) | ||||||
Exchange traded put options | |||||||||||
U.S. Treasury Long Bond Futures, Expires 08/25/23, Exercise price $127 | 361 | 44,922,840 | (1,099,922) | ||||||||
Total written options (premiums received $1,575,503) | $ | (1,274,781) | |||||||||
Written options are categorized as Level 1 as of the date of this report. | |||||||||||
CARILLON REAMS CORE PLUS BOND FUND | ||||||||||
SWAP CONTRACTS - CREDIT DEFAULT SWAPS | ||||||||||
(UNAUDITED) | 07.31.2023 | ||||||||||
Rating of | Premiums | Unrealized | ||||||||
Reference | Reference Entity | Buy/Sell(a) | Pay/Receive | Fixed | Expiration | Notional | Paid | Appreciation | ||
Central Clearing Party | Entity | (Moody's/S&P) | Protection | Fixed Rate | Rate | Date | Value(b) | Value (c) | (Received) | (Depreciation) |
Intercontinental Exchange | CDX North American High Yield Index Series 40 | B2/B | Sell | Receive | 5%/Quarterly | 06/20/28 | $ 86,885,000 | $ 3,545,086 | $ 223,838 | $ 3,321,248 |
Total swap contracts | $ 86,885,000 | $ 3,545,086 | $ 223,838 | $ 3,321,248 | ||||||
There is $433,870 of variation margin due from the Fund to the broker as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | ||||||||||
(a) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation of underlying securities comprising the referenced index. | ||||||||||
(b) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | ||||||||||
(c) The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement |
CARILLON REAMS CORE PLUS BOND FUND | ||||||||||||||
FORWARD CONTRACTS | ||||||||||||||
(UNAUDITED) | 07.31.2023 | ||||||||||||||
Currency to be Received | Currency to be Delivered | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||
Australian Dollar | 10,970,000 | U.S. Dollar | 7,425,319 | 10/30/23 | J.P. Morgan | $ | (33,768) | |||||||
Euro | 11,575,000 | U.S. Dollar | 12,463,092 | 09/11/23 | Goldman Sachs | 291,265 | ||||||||
Indian Rupee | 572,608,478 | U.S. Dollar | 6,944,834 | 10/17/23 | Goldman Sachs | (821) | ||||||||
Indian Rupee | 572,600,000 | U.S. Dollar | 6,943,047 | 10/17/23 | J.P. Morgan | 863 | ||||||||
Japanese Yen | 1,961,642,270 | U.S. Dollar | 14,349,035 | 10/24/23 | Goldman Sachs | (371,724) | ||||||||
U.S. Dollar | 12,715,267 | Euro | 11,575,000 | 09/11/23 | Goldman Sachs | (39,090) | ||||||||
Total forward contracts | $ | (153,275) | ||||||||||||
Forward Contracts are categorized as Level 2 as of the date of this report. | ||||||||||||||