NPORT-EX 2 corebond-nport.htm NPORT-EX

Investment Portfolio
       
(UNAUDITED) | 07.31.2020
       
CARILLON REAMS CORE BOND FUND
       
CORPORATE BONDS - 33.9%
 
Principal Amount
   
Value
 
Aerospace & defense - 1.3%
       
BAE Systems PLC, 144A, 3.40%, 04/15/30
 
$
3,505,000
   
$
3,951,179
 
The Boeing Co.,
               
2.95%, 02/01/30
   
175,000
     
167,917
 
5.15%, 05/01/30
   
1,430,000
     
1,566,093
 
Agriculture - 1.1%
         
BAT Capital Corp., 4.91%, 04/02/30
   
3,845,000
     
4,641,330
 
Air freight & logistics - 0.7%
         
FedEx Corp., 3.80%, 05/15/25
   
2,085,000
     
2,356,403
 
United Parcel Service, Inc., 5.20%, 04/01/40
   
335,000
     
488,316
 
Airlines - 1.8%
         
Alaska Airlines, Pass Through Trust, Series 2020-1, Class A, 144A, 4.80%, 02/15/29
   
2,835,000
     
2,936,974
 
American Airlines, Pass Through Trust,
               
Series 2011-1, Class A, 5.25%, 07/31/22
   
163,748
     
142,052
 
Series 2013-1, Class A, 4.00%, 01/15/27
   
656,413
     
542,427
 
Series 2013-2, Class A, 4.95%, 07/15/24
   
241,390
     
195,842
 
Delta Air Lines, Pass Through Trust,
               
Series 2007-1, Class A, 6.82%, 02/10/24
   
426,191
     
417,841
 
Series 2020-1, Class AA, 2.00%, 12/10/29
   
1,725,000
     
1,649,872
 
JetBlue, Pass Through Trust, Series 2019-1, Class AA, 2.75%, 11/15/33
   
1,521,223
     
1,430,422
 
US Airways, Pass Through Trust, Series 2012-1, Class A, 5.90%, 04/01/26
   
540,300
     
503,032
 
Auto manufacturers - 3.6%
         
American Honda Finance Corp., 0.88%, 07/07/23
   
2,550,000
     
2,574,745
 
BMW U.S. Capital LLC, 144A, 4.15%, 04/09/30
   
1,195,000
     
1,423,485
 
Daimler Finance North America LLC, 144A, 3.35%, 05/04/21
   
1,200,000
     
1,221,491
 
Ford Motor Credit Co. LLC, 3.81%, 10/12/21
   
235,000
     
237,406
 
General Motors Financial Co., Inc.,
               
2.75%, 06/20/25
   
2,525,000
     
2,603,938
 
4.20%, 11/06/21
   
495,000
     
511,981
 
5.10%, 01/17/24
   
800,000
     
877,851
 
Hyundai Capital America, 144A, 6.38%, 04/08/30
   
2,580,000
     
3,256,815
 
Volkswagen Group of America Finance LLC,
               
144A, 2.70%, 09/26/22
   
350,000
     
363,744
 
144A, 3.75%, 05/13/30
   
1,995,000
     
2,272,722
 
Banks - 8.0%
         
Bank of America Corp.,
               
(Fixed until 02/13/30, then 3 Month LIBOR USD + 0.99%), 2.50%, 02/13/31
   
4,515,000
     
4,797,032
 
3.50%, 04/19/26
   
295,000
     
334,527
 
(Fixed until 04/23/26, then 3 Month LIBOR USD + 1.06%), 3.56%, 04/23/27
   
905,000
     
1,013,596
 
(Fixed until 07/23/28, then 3 Month LIBOR USD + 1.31%), 4.27%, 07/23/29
   
1,520,000
     
1,809,983
 
Citigroup, Inc.,
               
(Fixed until 06/03/30, then SOFR + 2.11%), 2.57%, 06/03/31
   
760,000
     
807,101
 
(Fixed until 01/29/30, then SOFR + 1.15%), 2.67%, 01/29/31
   
2,260,000
     
2,415,521
 
(Fixed until 04/23/28, then 3 Month LIBOR USD + 1.19%), 4.08%, 04/23/29
   
1,000,000
     
1,167,100
 
(Fixed until 03/31/30, then SOFR + 3.91%), 4.41%, 03/31/31
   
1,500,000
     
1,828,041
 
(Fixed until 03/26/40, then SOFR + 4.55%), 5.32%, 03/26/41
   
1,225,000
     
1,766,984
 
Fifth Third Bancorp, 2.55%, 05/05/27
   
3,445,000
     
3,745,859
 
HSBC Holdings PLC, 4.95%, 03/31/30
   
2,545,000
     
3,114,788
 
JPMorgan Chase & Co.,
               
(Fixed until 10/15/29, then SOFR + 1.51%), 2.74%, 10/15/30
   
525,000
     
572,697
 
(Fixed until 12/05/28, then 3 Month LIBOR USD + 1.33%), 4.45%, 12/05/29
   
2,000,000
     
2,434,272
 
(Fixed until 03/24/30, then SOFR + 3.79%), 4.49%, 03/24/31
   
3,110,000
     
3,856,410
 
Truist Financial Corp., 2.20%, 03/16/23
   
830,000
     
867,088
 
Wells Fargo & Co. (Fixed until 04/04/30, then 3 Month LIBOR USD + 3.77%), 4.48%, 04/04/31
   
3,195,000
     
3,922,894
 
Beverages - 0.4%
         
Anheuser-Busch InBev Worldwide, Inc., 4.35%, 06/01/40
   
1,455,000
     
1,751,519
 


Capital markets - 2.9%
       
Morgan Stanley,
           
(Fixed until 01/22/30, then SOFR + 1.14%), 2.70%, 01/22/31
   
1,295,000
     
1,411,016
 
(Fixed until 04/01/30, then SOFR + 3.12%), 3.62%, 04/01/31
   
2,660,000
     
3,110,549
 
The Goldman Sachs Group, Inc.,
               
2.60%, 02/07/30
   
4,495,000
     
4,822,517
 
3.50%, 04/01/25
   
1,215,000
     
1,346,050
 
UBS Group AG, (Fixed until 01/30/26, then 1 Year CMT  Rate + 1.08%), 144A, 1.36%, 01/30/27
   
1,770,000
     
1,785,935
 
Chemicals - 0.1%
         
DuPont de Nemours, Inc., 2.17%, 05/01/23
   
510,000
     
520,229
 
Containers & packaging - 0.3%
         
Sonoco Products Co.,  3.13%, 05/01/30
   
1,175,000
     
1,293,073
 
Diversfied financial services - 0.5%
         
GE Capital International Funding Co., 4.42%, 11/15/35
   
2,060,000
     
2,129,196
 
Diversified telecommunication services - 0.4%
         
AT&T, Inc.,
               
3.80%, 03/01/24
   
180,000
     
199,177
 
4.25%, 03/01/27
   
350,000
     
409,771
 
4.30%, 02/15/30
   
960,000
     
1,152,983
 
Electric - 0.9%
         
Consolidated Edison Co. of New York, Inc., 3.35%, 04/01/30
   
210,000
     
245,939
 
Duke Energy Florida LLC, 1.75%, 06/15/30
   
2,055,000
     
2,146,262
 
Exelon Generation Co. LLC, 3.25%, 06/01/25
   
735,000
     
811,313
 
San Diego Gas & Electric Co., 3.32%, 04/15/50
   
450,000
     
537,426
 
Electric utilities - 1.8%
         
IPALCO Enterprises, Inc., 144A, 4.25%, 05/01/30
   
3,220,000
     
3,553,042
 
Pacific Gas and Electric Co., 1.75%, 06/16/22
   
2,960,000
     
2,971,022
 
Wisconsin Power & Light Co.,  3.65%, 04/01/50
   
850,000
     
1,070,944
 
Equity real estate investment trusts (REITs) - 0.9%
         
Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30
   
665,000
     
850,205
 
Ventas Realty LP, 4.75%, 11/15/30
   
2,675,000
     
3,101,015
 
Food & staples retailing - 0.7%
         
Sysco Corp.,  5.95%, 04/01/30
   
2,490,000
     
3,159,579
 
Hotels, restaurants & leisure - 0.5%
         
Starbucks Corp., 2.55%, 11/15/30
   
2,000,000
     
2,144,781
 
Industrial conglomerates - 0.6%
         
General Electric Co.,
               
3.63%, 05/01/30
   
1,290,000
     
1,305,582
 
4.25%, 05/01/40
   
1,170,000
     
1,197,932
 
Insurance - 0.7%
         
American International Group, Inc., 4.25%, 03/15/29
   
1,705,000
     
2,013,997
 
Equitable Financial Life Global Funding, 144A, 1.40%, 07/07/25
   
1,150,000
     
1,163,081
 
Media - 0.5%
         
ViacomCBS, Inc., 4.95%, 01/15/31
   
1,770,000
     
2,137,801
 
Multi-utilities - 0.2%
         
Dominion Energy, Inc., 3.38%, 04/01/30
   
690,000
     
797,644
 
Oil & gas - 0.5%
         
BP Capital Markets America, Inc., 3.63%, 04/06/30
   
1,845,000
     
2,140,457
 
Oil, gas & consumable fuels - 3.1%
         
Equinor ASA,
               
2.38%, 05/22/30
   
3,175,000
     
3,410,842
 
3.13%, 04/06/30
   
1,815,000
     
2,066,385
 
Exxon Mobil Corp., 3.48%, 03/19/30
   
1,035,000
     
1,215,065
 
Suncor Energy, Inc., 3.10%, 05/15/25
   
525,000
     
571,354
 
TransCanada PipeLines Ltd., 4.10%, 04/15/30
   
4,970,000
     
5,869,924
 
Pipelines - 0.9%
         
Colonial Enterprises, Inc., 144A, 3.25%, 05/15/30
   
3,000,000
     
3,320,266
 
Enterprise Products Operating LLC, 2.80%, 01/31/30
   
320,000
     
342,746
 
Tobacco - 0.6%
         
Altria Group, Inc., 3.40%, 05/06/30
   
425,000
     
474,539
 
Reynolds American, Inc., 4.45%, 06/12/25
   
1,855,000
     
2,109,859
 
Transportation - 0.9%
         
Burlington Northern and Santa Fe Railway Co., Pass Through Trust,
               
Series 2001-2, 6.46%, 01/15/21
   
5,352
     
5,395
 
Series 2004-1, 4.58%, 01/15/21
   
37,436
     
37,983
 


CSX Transportation, Inc., 6.25%, 01/15/23
   
185,252
     
209,541
 
FedEx Corp., Pass Through Trust, Series 2020-1, Class AA, 1.88%, 08/20/35
   
2,695,000
     
2,721,950
 
Union Pacific Railroad Co., Pass Through Trust,
               
Series 2004,  5.40%, 07/02/25
   
151,806
     
157,419
 
Series 2005,  5.08%, 01/02/29
   
382,906
     
428,178
 
Series 2006,  5.87%, 07/02/30
   
343,019
     
403,060
 
Total corporate bonds (cost $134,752,177)
     
145,412,314
 
                 
MORTGAGE AND ASSET-BACKED SECURITIES - 40.9%
         
Asset-backed securities - 0.3%
         
Hertz Vehicle Financing II LP,
               
Series 2016-4A, Class A, 144A, 2.65%, 07/25/22
   
452,184
     
452,886
 
Series 2017-1A, Class A, 144A, 2.96%, 10/25/21
   
351,639
     
351,918
 
Series 2019-1A, Class A, 144A. 3.71%, 03/25/23
   
566,981
     
566,521
 
Commercial mortgage-backed securities - 4.6%
         
BANK, Series 2018-BN10, Class A1, 2.62%, 02/17/61
   
889,414
     
904,118
 
CFCRE Commercial Mortgage Trust,
               
Series 2011-C2, Class A4, 3.83%, 12/17/47
   
2,092,642
     
2,122,759
 
Series 2016-C3, Class A3, 3.87%, 01/10/48
   
1,855,000
     
2,073,803
 
Citigroup Commercial Mortgage Trust, Series 2014-GC21, 3.48%, 05/10/47
   
760,753
     
791,586
 
COMM Mortgage Trust,
               
Series 2013-CCRE9, Class ASB,  3.83%, 07/12/45
   
393,007
     
408,240
 
Series 2013-CCRE11, Class ASB,  3.66%, 08/12/50
   
547,388
     
567,874
 
Series 2014-UBS5, Class A4, 3.84%, 09/12/47
   
1,100,000
     
1,202,408
 
Series 2015-LC19, Class A4, 3.18%, 02/10/48
   
1,200,000
     
1,298,138
 
GS Mortgage Securities Trust,
               
Series 2012-GCJ7, Class A4, 3.38%, 05/12/45
   
1,980,892
     
2,012,565
 
Series 2013-GCJ14, Class AAB,  3.82%, 08/10/46
   
214,676
     
222,158
 
Series 2014-GCJ22, Class A5, 3.86%, 06/10/47
   
355,000
     
387,375
 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4,  3.48%, 06/16/45
   
1,938,709
     
1,981,967
 
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A3, 3.05%, 10/17/50
   
1,385,000
     
1,470,296
 
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A3, 144A,  2.81%, 03/12/49
   
460,000
     
476,377
 
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class A3, 3.21%, 10/19/48
   
1,043,820
     
1,100,250
 
Morgan Stanley Capital I Trust 2017-H1, Class A1, 1.95%, 06/17/50
   
888,710
     
892,653
 
Wells Fargo Commercial Trust, Series 2016-C36, Class A-3, 2.81%, 11/18/59
   
1,100,000
     
1,162,666
 
WFRBS Commercial Mortgage Trust,
               
Series 2014-C21, Class A3, 3.43%, 08/16/47
   
28,471
     
28,718
 
Series 2014-C21, Class A4, 3.41%, 08/16/47
   
465,000
     
496,919
 
Federal agency mortgage-backed obligations - 36.0%
         
Fannie Mae Pool,
               
Series 0913, Class AE, VR, 4.15%, 09/01/20
   
88,782
     
88,763
 
Series 1614, Class AN, 2.47%, 06/01/26
   
2,785,000
     
2,985,659
 
Series 1671, Class AM, 2.10%, 12/01/27
   
807,235
     
846,758
 
Series 2793, Class AL, VR, 4.58%, 01/01/21
   
388,962
     
388,934
 
Series 4018, Class MA, 2.00%, 05/01/50
   
4,352,845
     
4,505,810
 
Series 4047, Class MA, 2.00%, 06/01/50
   
2,113,683
     
2,194,526
 
Series 5796, Class AN, 3.03%, 06/01/27
   
355,000
     
385,336
 
Series 387770, 3.63%, 07/01/28
   
455,000
     
516,367
 
TBA 1.50%, 10/15/35
   
12,460,000
     
12,733,049
 
TBA 2.00%, 10/15/35
   
40,585,000
     
42,081,572
 
TBA 2.00%, 10/15/50
   
35,475,000
     
36,613,443
 
TBA 2.50%, 10/15/50
   
39,320,000
     
41,170,098
 
Fannie Mae-Aces,
               
Series 2016-M3, Class ASQ2,  2.26%, 02/25/23
   
572,407
     
581,880
 
Series 2016-M6, Class AB2,  2.40%, 05/25/26
   
593,649
     
627,006
 
Series 2020-M17, Class A1, 1.25%, 01/25/28
   
7,320,261
     
7,507,332
 
Freddie Mac REMIC, Series 3609, Class LA, 4.00%, 12/15/24
   
199
     
200
 
Ginnie Mae I Pool,
               
Series 0091, Class AD,  2.73%, 06/15/32
   
1,209,338
     
1,283,287
 
Series 2583, Class AB,  2.14%, 08/15/23
   
386,850
     
390,829
 
Total mortgage and asset-backed securities (cost $174,300,216)
     
175,873,044
 


FOREIGN GOVERNMENT BONDS - 0.2%
       
Israel Government International Bond,  2.75%, 07/03/30
   
915,000
     
1,011,075
 
Total foreign government bonds (cost $915,000)
     
1,011,075
 
                 
U.S. TREASURIES - 1.8%
         
U.S. Treasury Bond,  1.25%, 05/15/50
   
7,600,000
     
7,690,844
 
Total U.S. Treasuries (cost $7,053,082)
     
7,690,844
 
                 
SHORT-TERM INVESTMENTS - 32.2%
         
U.S. Treasury Bills,
         
ZCI, 0.07%, 10/15/20
   
40,275,000
     
40,267,446
 
ZCI, 0.13%, 09/17/20
   
40,895,000
     
40,890,463
 
ZCI, 0.13%, 10/06/20
   
56,975,000
     
56,966,390
 
Total short-term investments (cost $138,116,683)
     
138,124,299
 
Total investment portfolio (cost $455,137,158) - 109.0%
     
468,111,576
 
Liabilities in excess of other assets - (9.0)%
     
(38,569,019
)
Total net assets - 100.0%
   
$
429,542,557
 
   

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.
     
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.
REMIC - Real estate mortgage investment conduit
     
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 and credit default swap contracts 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 CORE BOND FUND
 
 
 
 
 
 
 
SWAP CONTRACTS - CREDIT DEFAULT SWAPS
                 
(UNAUDITED) | 07.31.2020
 
 
 
 
 
 
 
                     
                     
   
 Rating of
           
Premiums
 Unrealized
 
Reference
Reference Entity
Buy/Sell(a)
Pay/Receive
 Fixed
 Expiration
Notional
 
Paid
 Appreciation
 Exchange
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 34
Baa2/BBB
Sell
Receive
1%/Quarterly
6/20/2025
$
   121,620,000  
$
      1,805,038  
$
      1,261,725   
$
       543,313
 Total swap contracts
            $
   121,620,000  
$  
      1,805,038  
$
      1,261,725   
$
       543,313
                             

There is $77,027 of variation margin due from the Fund to the broker 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 make 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.