Investment Portfolio | |||||||
(UNAUDITED) | 07.31.2023 | |||||||
CARILLON REAMS UNCONSTRAINED BOND FUND | |||||||
CORPORATE BONDS - 27.7% | Principal Amount | Value | |||||
Aerospace & defense - 0.4% | |||||||
The Boeing Co., 3.60%, 05/01/34 | $ | 6,415,000 | $ | 5,504,222 | |||
Agriculture - 0.5% | |||||||
BAT Capital Corp., 3.56%, 08/15/27 | 7,975,000 | 7,406,874 | |||||
Airlines - 2.0% | |||||||
Air Canada, Pass Through Trust, Series 2020-2, Class A, 144A, 5.25%, 10/01/30 | 1,457,202 | 1,418,459 | |||||
British Airways, Pass Through Trust, | |||||||
Series 2020-1, Class A, 144A, 4.25%, 05/15/34 | 2,399,027 | 2,196,042 | |||||
Series 2021-1, Class A, 144A, 2.90%, 09/15/36 | 4,821,535 | 4,062,886 | |||||
Delta Air Lines, Pass Through Trust, Series 2020-1, Class AA, 2.00%, 12/10/29 | 12,260,036 | 10,779,235 | |||||
JetBlue, Pass Through Trust, Series 2020-1, Class A, 4.00%, 05/15/34 | 2,367,033 | 2,164,581 | |||||
United Airlines, Pass Through Trust, | |||||||
Series 2014-1, Class A, 4.00%, 10/11/27 | 2,154,539 | 2,037,075 | |||||
Series 2015-1, Class AA, 3.45%, 06/01/29 | 558,993 | 513,655 | |||||
Series 2016-2, Class AA, 2.88%, 04/07/30 | 2,354,741 | 2,083,713 | |||||
Series 2018-1, Class AA, 3.50%, 09/01/31 | 576,483 | 520,603 | |||||
Series 2019-1, Class AA, 4.15%, 02/25/33 | 3,034,085 | 2,779,518 | |||||
Auto manufacturers - 4.7% | |||||||
Ford Motor Credit Co. LLC, | |||||||
3.38%, 11/13/25 | 2,570,000 | 2,402,892 | |||||
4.27%, 01/09/27 | 4,420,000 | 4,126,143 | |||||
5.58%, 03/18/24 | 5,055,000 | 5,019,293 | |||||
6.95%, 03/06/26 | 6,950,000 | 7,018,527 | |||||
7.35%, 11/04/27 | 9,358,000 | 9,589,854 | |||||
General Motors Financial Co., Inc., | |||||||
2.90%, 02/26/25 | 365,000 | 348,996 | |||||
4.30%, 07/13/25 | 2,675,000 | 2,606,836 | |||||
4.35%, 01/17/27 | 6,125,000 | 5,898,071 | |||||
5.25%, 03/01/26 | 2,800,000 | 2,770,683 | |||||
6.00%, 01/09/28 | 18,025,000 | 18,296,159 | |||||
6.05%, 10/10/25 | 7,355,000 | 7,415,121 | |||||
Banks - 9.1% | |||||||
Bank of America Corp., | |||||||
(Fixed until 02/04/32, then SOFR + 1.33%), 2.97%, 02/04/33 | 13,530,000 | 11,302,590 | |||||
(Fixed until 04/23/26, then 3 Month Term SOFR USD + 1.32%), 3.56%, 04/23/27 | 5,835,000 | 5,538,340 | |||||
(Fixed until 04/27/32, then SOFR + 1.83%), 4.57%, 04/27/33 | 1,675,000 | 1,574,667 | |||||
(Fixed until 07/22/27, then SOFR + 2.04%), 4.95%, 07/22/28 | 2,925,000 | 2,874,795 | |||||
(Fixed until 07/22/32, then SOFR + 2.16%), 5.02%, 07/22/33 | 9,240,000 | 9,021,688 | |||||
Citigroup, Inc. | |||||||
(Fixed until 10/27/27, 3 Month Term SOFR USD + 1.41%), 3.52%, 10/27/28 | 3,170,000 | 2,938,739 | |||||
(Fixed until 03/17/32, then SOFR + 1.94%), 3.79%, 03/17/33 | 12,970,000 | 11,461,140 | |||||
(Fixed until 03/31/30, then SOFR + 3.91%), 4.41%, 03/31/31 | 5,770,000 | 5,423,195 | |||||
(Fixed until 11/17/32, then SOFR + 2.34%), 6.27%, 11/17/33 | 8,160,000 | 8,663,604 | |||||
JPMorgan Chase & Co., | |||||||
(Fixed until 01/25/32, then SOFR + 1.26%), 2.96%, 01/25/33 | 12,030,000 | 10,151,141 | |||||
(Fixed until 07/25/32, the SOFR + 2.08%), 4.91%, 07/25/33 | 9,580,000 | 9,360,890 | |||||
(Fixed until 06/01/33, then SOFR + 1.85%), 5.35%, 06/01/34 | 6,325,000 | 6,370,501 | |||||
Mitsubishi UFJ Financial Group, Inc. (Fixed until 07/20/26, then 1 Year CMT Rate + 0.75%), 1.54%, 07/20/27 | 5,470,000 | 4,870,867 | |||||
The PNC Financial Services Group, Inc. (Fixed until 10/28/32 SOFR Index + 2.14%), 6.04%, 10/28/33 | 7,180,000 | 7,381,577 | |||||
Wells Fargo & Co., | |||||||
(Fixed until 03/02/32, then SOFR + 1.50%), 3.35%, 03/02/33 | 14,330,000 | 12,268,124 | |||||
(Fixed until 04/25/25, then SOFR + 1.32%), 3.91%, 04/25/26 | 5,045,000 | 4,882,716 | |||||
(Fixed until 04/04/30, then 3 Month Term SOFR USD + 4.03%), 4.48%, 04/04/31 | 5,390,000 | 5,109,456 | |||||
(Fixed until 07/25/32, then SOFR + 2.10%), 4.90%, 07/25/33 | 7,865,000 | 7,538,782 | |||||
(Fixed until 04/24/33, then SOFR + 2.02%), 5.39%, 04/24/34 | 850,000 | 843,315 | |||||
Biotechnology - 0.4% | |||||||
Amgen, Inc., | |||||||
5.15%, 03/02/28 | 3,500,000 | 3,502,306 | |||||
5.25%, 03/02/33 | 2,190,000 | 2,185,684 | |||||
Capital markets - 5.2% | |||||||
Morgan Stanley, | |||||||
(Fixed until 01/21/32, then SOFR + 1.29%), 2.94%, 01/21/33 | 7,765,000 | 6,462,468 | |||||
(Fixed until 04/01/30, then SOFR + 3.12%), 3.62%, 04/01/31 | 2,900,000 | 2,606,386 | |||||
(Fixed until 07/20/32, then SOFR + 2.08%), 4.89%, 07/20/33 | 10,085,000 | 9,706,836 | |||||
(Fixed until 10/18/32, then SOFR + 2.56%), 6.34%, 10/18/33 | 10,360,000 | 11,015,537 | |||||
The Bank of New York Mellon Corp. (Fixed until 04/26/33, then SOFR + 1.61%), 4.97%, 04/26/34 | 7,760,000 | 7,555,507 | |||||
The Goldman Sachs Group, Inc. (Fixed until 02/24/32, then SOFR + 1.41%), 3.10%, 02/24/33 | 19,755,000 | 16,646,407 | |||||
UBS Group AG, | |||||||
(Fixed until 01/30/26, then 1 Year CMT Rate + 1.08%), 144A, 1.36%, 01/30/27 | 5,095,000 | 4,522,368 | |||||
(Fixed until 08/10/26, then 1 Year CMT Rate + 0.85%), 144A, 1.49%, 08/10/27 | 2,325,000 | 2,038,271 | |||||
(Fixed until 01/12/33, then1 Year CMT Rate + 2.20%), 144A, 5.96%, 01/12/34 | 13,055,000 | 13,239,353 | |||||
Commercial services - 0.4% | |||||||
ERAC USA Finance LLC, 144A, 4.60%, 05/01/28 | 6,075,000 | 5,926,615 | |||||
Consumer finance - 0.7% | |||||||
Ally Financial, Inc., | |||||||
4.63%, 03/30/25 | 2,000,000 | 1,935,645 | |||||
5.80%, 05/01/25 | 8,370,000 | 8,251,214 | |||||
Diversified telecommunication services - 0.2% | |||||||
Verizon Communications, Inc., 2.55%, 03/21/31 | 3,275,000 | 2,718,505 | |||||
Electric - 1.0% | |||||||
Appalachian Power Co., 2.70%, 04/01/31 | 6,235,000 | 5,226,152 | |||||
Consolidated Edison Co. of New York, Inc., 3.35%, 04/01/30 | 510,000 | 463,184 | |||||
Entergy Louisiana LLC, 2.35%, 06/15/32 | 3,940,000 | 3,162,639 | |||||
Public Service Electric and Gas Co., 4.65%, 03/15/33 | 5,240,000 | 5,127,627 | |||||
Electric utilities - 0.7% | |||||||
Duke Energy Corp., 5.00%, 12/08/27 | 4,405,000 | 4,392,458 | |||||
Edison International, 4.95%, 04/15/25 | 750,000 | 738,664 | |||||
Southern California Edison Co., 1.20%, 02/01/26 | 4,890,000 | 4,422,288 | |||||
Health care equipment & supplies - 0.5% | |||||||
GE HealthCare Technologies, Inc., 5.86%, 03/15/30 | 6,775,000 | 6,952,258 | |||||
Healthcare services - 0.3% | |||||||
HCA, Inc., 5.00%, 03/15/24 | 4,025,000 | 4,004,501 | |||||
Insurance - 0.4% | |||||||
Jackson National Life Global Funding, 144A, 1.75%, 01/12/25 | 3,100,000 | 2,893,274 | |||||
Metropolitan Life Global Funding I, 144A, 4.30%, 08/25/29 | 2,720,000 | 2,586,998 | |||||
Multi-utilities - 0.4% | |||||||
Dominion Energy, Inc., 3.38%, 04/01/30 | 6,140,000 | 5,477,243 | |||||
Oil, gas & consumable fuels - 0.3% | |||||||
TransCanada PipeLines Ltd., 4.10%, 04/15/30 | 4,926,000 | 4,562,456 | |||||
Tobacco - 0.5% | |||||||
Altria Group, Inc., 4.80%, 02/14/29 | 7,575,000 | 7,389,229 | |||||
Total corporate bonds (cost $406,677,430) | 390,247,638 | ||||||
MORTGAGE AND ASSET-BACKED SECURITIES - 43.6% | |||||||
Asset-backed securities - 10.2% | |||||||
Ally Auto Receivables Trust, Series 2022-3, Class A3, 5.07%, 04/15/27 | 12,220,000 | 12,136,324 | |||||
Avis Budget Rental Car Funding AESOP LLC, | |||||||
Series 2020-2A, Class A, 144A, 2.02%, 02/20/27 | 22,585,000 | 20,515,372 | |||||
Series 2022-5A, Class A, 144A, 6.12%, 04/20/27 | 26,245,000 | 26,243,433 | |||||
Capital One Prime Auto Receivables Trust, Series 2022-1, Class A3, 3.17%, 04/15/27 | 5,760,000 | 5,557,856 | |||||
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 144A, 1.21%, 12/26/25 | 23,075,000 | 21,708,978 | |||||
Hertz Vehicle Financing III LLC, | |||||||
Series 2022-1A, Class A, 144A, 1.99%, 06/25/26 | 7,590,000 | 7,074,326 | |||||
Series 2023-1A, Class A, 144A, 5.49%, 06/25/27 | 12,295,000 | 12,110,826 | |||||
Honda Auto Receivables Owner Trust, Series 2022-2, Class A3, 3.73%, 07/20/26 | 4,520,000 | 4,405,504 | |||||
Mercedes-Benz Auto Receivable Trust, Series 2023-A, Class A3, 4.74%, 01/15/27 | 7,585,000 | 7,495,346 | |||||
Mercedes-Benz Auto Lease Trust, | |||||||
Series 2022-1, Class A2, 5.26%, 10/15/25 | 9,411,896 | 9,389,471 | |||||
Series 2023-A, Class A2, 5.24%, 11/17/25 | 11,970,000 | 11,914,835 | |||||
Toyota Auto Receivables Owner Trust, Series 2022-D, Class A2A, 5.27%, 01/15/26 | 5,348,025 | 5,332,516 | |||||
Commercial mortgage-backed securities - 13.4% | |||||||
BANK, Series 2021-BNK35, Class A2, 1.87%, 06/15/64 | 6,280,000 | 5,599,116 | |||||
BBCMS Mortgage Trust, Series 2022-C18, Class A2, VR, 5.50%, 12/15/55 | 7,380,000 | 7,352,747 | |||||
Benchmark Mortgage Trust, Series 2021-B28, Class A2, 1.79%, 08/15/54 | 4,640,000 | 4,155,845 | |||||
BRAVO Residential Funding Trust, Series 2023-NQM4, Class A1, 144A, SB, 6.44%, 05/25/63 | 3,331,792 | 3,322,621 | |||||
Citigroup Commercial Mortgage Trust, | |||||||
Series 2015-GC29, Class A2, 2.98%, 11/10/52 | 4,529,000 | 4,260,384 | |||||
Series 2015-GC29, Class A3, 2.94%, 04/10/48 | 962,184 | 926,440 | |||||
Citigroup Mortgage Loan Trust, Series 2021-J2, Class A7A, 144A, VR, 2.50%, 07/25/51 | 1,995,606 | 1,711,155 | |||||
DBJPM Mortgage Trust, Series 2020-C9, Class A2, 1.90%, 08/15/53 | 4,255,000 | 3,858,366 | |||||
Deephaven Residential Mortgage Trust, Series 2021-3, Class A1, 144A, VR, 1.19%, 08/25/66 | 3,399,834 | 2,820,297 | |||||
Flagstar Mortgage Trust, Series 2021-8INV, Class A3, 144A, VR, 2.50%, 09/25/51 | 1,633,398 | 1,309,598 | |||||
GCAT Trust, Series 2023-NQM2, Class A1, 144A, SB, 5.84%, 11/25/67 | 3,206,953 | 3,173,189 | |||||
GS Mortgage-Backed Securities Trust, | |||||||
Series 2020-INV1, Class A14, 144A, VR, 2.93%, 10/25/50 | 1,722,447 | 1,438,042 | |||||
Series 2021-GR2, Class A2, 144A, VR, 2.50%, 02/25/52 | 2,243,197 | 1,799,903 | |||||
Series 2021-MM1, Class A2, 144A, VR, 2.50%, 04/25/52 | 7,279,050 | 5,840,586 | |||||
Series 2021-PJ10, Class A2, 144A, VR, 2.50%, 03/25/52 | 4,692,691 | 3,765,336 | |||||
Series 2022-LTV2, Class A2, 144A, VR, 4.00%, 12/25/52 | 4,268,990 | 3,875,442 | |||||
Series 2022-PJ5, Class A6, 144A, VR, 3.00%, 10/25/52 | 6,005,762 | 5,014,108 | |||||
Series 2022-PJ6, Class A4, 144A, VR, 3.00%, 01/25/53 | 2,068,449 | 1,726,913 | |||||
Hundred Acre Wood Trust, | |||||||
Series 2021-INV1, Class A29, 144A, VR, 3.00%, 07/25/51 | 3,004,926 | 2,467,795 | |||||
Series 2021-INV2, Class A29, 144A, VR, 3.00%, 10/25/51 | 5,082,776 | 4,186,509 | |||||
Series 2021-INV3, Class A29, 144A, VR, 3.00%, 12/25/51 | 3,039,826 | 2,495,416 | |||||
Imperial Fund Mortgage Trust, Series 2023-NQM1, Class A1, 144A, SB, 5.94%, 02/25/68 | 2,475,790 | 2,447,601 | |||||
J.P. Morgan Mortgage Trust, | |||||||
Series 2021-1, Class A2, 144A, VR, 2.50%, 06/25/51 | 1,309,763 | 1,050,932 | |||||
Series 2021-4, Class A3, 144A, VR, 2.50%, 08/25/51 | 2,901,637 | 2,328,224 | |||||
Series 2021-6, Class A3, 144A, VR, 2.50%, 10/25/51 | 3,130,701 | 2,517,891 | |||||
Series 2021-8, Class A3, 144A, VR, 2.50%, 12/25/51 | 2,709,904 | 2,174,381 | |||||
Series 2022-1, Class A2, 144A, VR, 3.00%, 07/25/52 | 2,054,220 | 1,715,033 | |||||
Series 2022-3, Class A2, 144A, VR, 3.00%, 08/25/52 | 9,132,927 | 7,602,094 | |||||
Series 2022-4, Class A3, 144A, VR, 3.00%, 10/25/52 | 7,568,590 | 6,318,887 | |||||
Series 2022-8, Class A3, 144A, VR, 4.00%, 01/25/53 | 1,717,266 | 1,535,813 | |||||
Series 2023-3, Class A3A, 144A, VR, 5.00%, 10/25/53 | 3,047,432 | 2,907,917 | |||||
Series 2021-INV6, Class A2, 144A, VR, 3.00%, 04/25/52 | 4,474,488 | 3,755,362 | |||||
Series 2021-INV8, Class A2, 144A, VR, 3.00%, 05/25/52 | 6,058,264 | 5,057,941 | |||||
Series 2022-INV3, Class A3B, 144A, VR, 3.00%, 09/25/52 | 7,233,804 | 6,030,337 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class A4, 3.80%, 09/15/47 | 825,000 | 799,303 | |||||
Morgan Stanley Residential Mortgage Loan Trust, Series 2023-1, Class A1, 144A, VR, 4.00%, 02/25/53 | 9,601,875 | 8,551,295 | |||||
OBX Trust, Series 2023-INV1, Class A1, 144A, VR, 3.00%, 01/25/52 | 10,131,230 | 8,325,419 | |||||
PRMI Securitization Trust, Series 2021-1, Class A2, 144A, VR, 2.50%, 04/25/51 | 2,476,864 | 1,987,394 | |||||
RATE Mortgage Trust, | |||||||
Series 2021-HB1, Class A1, 144A, VR, 2.50%, 12/25/51 | 2,299,624 | 1,845,180 | |||||
Series 2021-J3, Class A1, 144A, VR, 2.50%, 10/25/51 | 4,056,895 | 3,255,184 | |||||
Series 2021-J4, Class A1, 144A, VR, 2.50%, 11/25/51 | 4,654,102 | 3,734,372 | |||||
Sequoia Mortgage Trust, | |||||||
Series 2021-3, Class A1, 144A, VR, 2.50%, 05/25/51 | 4,145,437 | 3,326,228 | |||||
Series 2021-4, Class A1, 144A, VR, 2.50%, 06/25/51 | 5,380,691 | 4,323,832 | |||||
Series 2021-6, Class A1,144A, VR, 2.50%, 10/25/51 | 2,683,829 | 2,153,459 | |||||
Velocity Commercial Capital Loan Trust, Series 2023-1, Class A, 144A, VR, 6.47%, 01/25/53 | 4,529,948 | 4,465,343 | |||||
Verus Securitization Trust, | |||||||
Series 2023-INV1, Class A1, 144A, SB, 6.00%, 02/25/68 | 8,698,292 | 8,622,987 | |||||
Series 2023-INV2, Class A1, 144A, SB, 6.44%, 08/25/68 | 7,125,000 | 7,121,557 | |||||
Series 2023-2, Class A1, 144A, SB, 6.19%, 03/25/68 | 3,444,038 | 3,430,997 | |||||
Series 2023-4, Class A1, 144A, SB, 5.81%, 05/25/68 | 4,373,338 | 4,323,129 | |||||
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A1, 144A, VR, 2.50%, 12/25/50 | 6,725,117 | 5,412,933 | |||||
Federal agency mortgage-backed obligations - 20.0% | |||||||
Fannie Mae Pool, | |||||||
Series 4899, Class MA, 5.00%, 01/01/38 | 1,034,104 | 1,026,782 | |||||
Series 4992, Class MA, 5.00%, 04/01/38 | 10,224,606 | 10,152,207 | |||||
Series 5014, Class MA, 5.00%, 05/01/38 | 12,096,888 | 12,011,230 | |||||
TBA, 5.00%, 08/15/53 | 68,485,000 | 66,898,609 | |||||
TBA, 5.50%, 08/15/53 | 166,095,000 | 164,940,122 | |||||
Freddie Mac Pool, | |||||||
Series 8213, Class SB, 5.00%, 02/01/38 | 11,973,455 | 11,888,672 | |||||
Series 8223, Class SB, 5.00%, 04/01/38 | 6,295,065 | 6,250,490 | |||||
Series 8230, Class SB, 5.00%, 05/01/38 | 8,826,408 | 8,763,909 | |||||
Total mortgage and asset-backed securities (cost $624,179,463) | 614,037,641 | ||||||
MEDIUM-TERM NOTES - 0.0% | |||||||
Citigroup Global Markets Holdings, Inc., 144A, 12/22/23+ | 691,000 | 161,571 | |||||
Total medium-term notes (cost $691,000) | 161,571 | ||||||
U.S. TREASURIES - 29.5% | |||||||
U.S. Treasury Inflation Indexed Notes, | |||||||
0.50%, 01/15/28 | 15,011,166 | 14,097,303 | |||||
1.13%, 01/15/33 | 114,504,029 | 109,398,312 | |||||
1.25%, 04/15/28 | 29,718,288 | 28,857,212 | |||||
U.S. Treasury Notes, | |||||||
0.50%, 02/28/26 | 100,190,000 | 90,210,136 | |||||
1.13%, 02/28/25 | 63,550,000 | 59,724,588 | |||||
2.75%, 08/15/32 | 125,790,000 | 114,198,648 | |||||
Total U.S. Treasuries (cost $422,443,379) | 416,486,199 | ||||||
SHORT-TERM INVESTMENTS - 11.1% | |||||||
U.S. Treasury Bills - 11.1% | |||||||
U.S. Treasury Bills, ZCI, 5.31%, 07/11/24 | 165,025,000 | 156,951,233 | |||||
Total short-term investments (cost $157,016,708) | 156,951,233 | ||||||
Total investment portfolio (cost $1,611,007,980) - 111.9% | 1,577,884,282 | ||||||
Liabilities in excess of other assets - (11.9)% | (167,635,505) | ||||||
Total net assets - 100.0% | $ | 1,410,248,777 |
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. | ||||
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. | ||||
+ This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the stated principal amount, depending on the performance of the S&P 500 Index (“SPX”) from its initial underlying value to its final underlying value. | ||||
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. | ||||
TBA - To-be-announced security. Securities are being used in dollar roll transactions. | ||||
ZCI - Zero coupon instrument. Rate disclosed is yield to maturity as of the date of this report. | ||||
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. | ||||
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 UNCONSTRAINED 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) | ||||||||||||
Euro BUND Future^ | 09/07/23 | 1,221 | $ | 179,670,731 | $ | 178,551,952 | $ | (1,118,779) | |||||||||
2-Year U.S. Treasury Note | �� | 09/29/23 | 2,782 | 567,885,796 | 564,832,938 | (3,052,858) | |||||||||||
FUTURES CONTRACTS - SHORT | |||||||||||||||||
Unrealized | |||||||||||||||||
Expiration | Number of | Notional Value | Notional Value | Appreciation | |||||||||||||
Description | Date | Contracts | at Trade Date | at July 31, 2023 | (Depreciation) | ||||||||||||
Euro BOBL Future^ | 09/07/23 | (1,264) | $ | (161,904,925 | ) | $ | (161,060,979 | ) | $ | 843,946 | |||||||
10-Year U.S. Treasury Note | 09/20/23 | (1,771) | (202,244,190 | ) | (197,300,469 | ) | 4,943,721 | ||||||||||
U.S. Treasury Long Bond Future | 09/20/23 | (69) | (8,749,184 | ) | (8,586,187 | ) | 162,997 | ||||||||||
Ultra 10-Year U.S. Treasury Note | 09/20/23 | (1,416) | (169,361,522 | ) | (165,649,875 | ) | 3,711,647 | ||||||||||
Total futures contracts | $ | 5,490,674 | |||||||||||||||
There is $74,503 of variation margin due from the Fund to the broker as of the date of this report. Futures Contracts are categorized as Level 1 as of the date of this report. | |||||||||||||||||
^ These futures contracts are denominated in Euro. Notional Value at Trade Date, Notional Value at July 31, 2023 and Unrealized Appreciation (Depreciation) have been translated into U.S. Dollars as of July 31, 2023. | |||||||||||||||||
CARILLON REAMS UNCONSTRAINED 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 Bond Futures, Expires 08/25/23, Exercise price $127 | 753 | $ | 93,703,320 | $ | (364,734) | ||||||
Exchange traded put options | |||||||||||
U.S. Treasury Bond Futures, Expires 08/25/23, Exercise price $127 | 753 | 93,703,320 | (2,294,297) | ||||||||
Total written options (premiums received $3,287,122) | $ | (2,659,031) | |||||||||
Written options are categorized as Level 1 as of the date of this report. | |||||||||||
CARILLON REAMS UNCONSTRAINED BOND FUND | ||||||||||
SWAP CONTRACTS | ||||||||||
(UNAUDITED) | 07.31.2023 | ||||||||||
CREDIT DEFAULT SWAPS | ||||||||||
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 Investment Grade Index Series 40 | Baa2/BBB | Sell | Receive | 1%/Quarterly | 06/20/28 | $ 97,210,000 | $ 1,669,841 | $ 972,121 | $ 697,720 |
Intercontinental Exchange | CDX North American High Yield Index Series 40 | B2/B | Sell | Receive | 5%/Quarterly | 06/20/28 | 138,230,000 | 5,721,099 | 849,482 | 4,871,617 |
Intercontinental Exchange | iTraxx Australia Series 39 Version 1 Index | Baa2/BBB | Buy | Pay | 1%/Quarterly | 06/20/28 | 97,210,000 | (1,299,666) | (567,439) | (732,227) |
Total credit default swap contracts | $ 332,650,000 | $ 6,091,274 | $ 1,254,164 | $ 4,837,110 | ||||||
(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. | ||||||||||
INFLATION RATE SWAPS | ||||||||||
Unrealized | ||||||||||
Pay/Receive | Floating | Fixed | Payment | Termination | Notional | Appreciation/ | ||||
Central Clearing Party | Floating Rate | Rate Index | Rate | Frequency | Date | Amount | (Depreciation) | |||
LCH Ltd^ | Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | 2.72% | At Termination | 06/30/53 | EUR 17,646,000 | $ (619,846) | |||
LCH Ltd | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 0.00% | At Termination | 06/30/53 | $ 25,507,000 | 475,377 | |||
Total inflation rate swap contracts | $ (144,469) | |||||||||
CPI - Consumer Price Index | ||||||||||
^ This interest rate swap is denominated in Euro. Unrealized Appreciation (Depreciation) has been translated into U.S. Dollars as of July 31, 2023. | ||||||||||
There is $267,781 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts and Inflation Rate Swap Contracts are categorized as Level 2 as of the date of this report. |
CARILLON REAMS UNCONSTRAINED BOND FUND | ||||||||||
FORWARD CONTRACTS | ||||||||||
(UNAUDITED) | 07.31.2023 | ||||||||||
Currency to be Received | Currency to be Delivered | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
Australian Dollar | 21,705,000 | U.S. Dollar | 14,429,701 | 09/06/23 | Goldman Sachs | $ 169,752 | ||||
Australian Dollar | 41,600,000 | U.S. Dollar | 28,158,000 | 10/30/23 | J.P. Morgan | (128,053) | ||||
U.S. Dollar | 14,767,865 | Australian Dollar | 21,705,000 | 09/06/23 | Goldman Sachs | 168,412 | ||||
U.S. Dollar | 25,054,010 | Euro | 22,809,820 | 09/11/23 | Goldman Sachs | (79,864) | ||||
Euro | 22,809,820 | U.S. Dollar | 24,559,903 | 09/11/23 | Goldman Sachs | 573,970 | ||||
Indian Rupee | 1,400,550,313 | U.S. Dollar | 16,986,456 | 10/17/23 | Goldman Sachs | (2,008) | ||||
Indian Rupee | 1,400,540,000 | U.S. Dollar | 16,982,211 | 10/17/23 | J.P. Morgan | 2,111 | ||||
Japanese Yen | 5,964,985,105 | U.S. Dollar | 43,632,717 | 10/24/23 | Goldman Sachs | (1,130,343) | ||||
Norwegian Krone | 157,694,254 | U.S. Dollar | 14,390,000 | 09/06/23 | Goldman Sachs | 1,190,117 | ||||
U.S. Dollar | 15,031,671 | Norwegian Krone | 157,694,254 | 09/06/23 | Goldman Sachs | (548,445) | ||||
Total forward contracts | $ 215,649 | |||||||||
Forward Contracts are categorized as Level 2 as of the date of this report. | ||||||||||