NPORT-EX 2 unconstrainedbond-nport.htm NPORT-EX

Investment Portfolio
        
(UNAUDITED) | 07.31.2020
        
CARILLON REAMS UNCONSTRAINED BOND FUND
        
CORPORATE BONDS - 49.4%
  
Principal Amount
    
Value
  
Aerospace & defense - 1.5%
        
The Boeing Co.,
            
2.30%, 08/01/21
  
$
2,910,000
    
$
2,928,354
  
2.95%, 02/01/30
    
940,000
      
901,954
  
3.60%, 05/01/34
    
6,415,000
      
6,198,677
  
5.15%, 05/01/30
    
3,840,000
      
4,205,451
  
Air freight & logistics - 0.3%
          
United Parcel Service, Inc., 5.20%, 04/01/40
    
1,825,000
      
2,660,227
  
Airlines - 4.3%
          
American Airlines, Pass Through Trust,
                
Series 2013-1, Class A, 4.00%, 01/15/27
    
3,785,949
      
3,128,524
  
Series 2013-2, Class A, 4.95%, 07/15/24
    
2,315,560
      
1,878,630
  
Series 2014-1, Class A, 3.70%, 04/01/28
    
722,620
      
603,470
  
Series 2015-1, Class A, 3.38%, 11/01/28
    
733,568
      
613,508
  
Continental Airlines, Pass Through Trust, Series 2007-1, Class A, 5.98%, 10/19/23
    
1,529,989
      
1,464,768
  
Delta Air Lines, Pass Through Trust, Series 2020-1, Class AA, 2.00%, 12/10/29
    
14,940,000
      
14,289,326
  
Southwest Airlines Co.,
                
5.13%, 06/15/27
    
3,960,000
      
4,154,904
  
5.25%, 05/04/25
    
4,460,000
      
4,776,602
  
United Airlines, Pass Through Trust, Series 2014-1, Class A, 4.00%, 10/11/27
    
698,456
      
634,503
  
US Airways, Pass Through Trust,
                
Series 2010-1, Class A, 6.25%, 10/22/24
    
3,198,398
      
2,809,526
  
Series 2012-1, Class A, 5.90%, 04/01/26
    
2,847,602
      
2,651,184
  
Series 2012-2, Class A, 4.63%, 12/03/26
    
1,218,485
      
1,005,436
  
Series 2013-1, Class A, 3.95%, 05/15/27
    
1,677,589
      
1,401,232
  
Auto manufacturers - 11.1%
          
American Honda Finance Corp., 0.88%, 07/07/23
    
7,385,000
      
7,456,663
  
BMW US Capital LLC, 144A, 4.15%, 04/09/30
    
3,280,000
      
3,907,140
  
Daimler Finance North America LLC,
                
144A, 2.30%, 02/12/21
    
5,815,000
      
5,864,460
  
144A, 3.00%, 02/22/21
    
3,795,000
      
3,839,714
  
144A, 3.35%, 05/04/21
    
8,745,000
      
8,901,618
  
Ford Motor Credit Co., LLC,
                
3.20%, 01/15/21
    
7,780,000
      
7,780,000
  
3.81%, 10/12/21
    
3,680,000
      
3,717,683
  
4.27%, 01/09/27
    
2,570,000
      
2,609,321
  
General Motors Financial Co., Inc.,
                
2.90%, 02/26/25
    
2,525,000
      
2,612,699
  
3.55%, 04/09/21
    
7,110,000
      
7,220,371
  
4.00%, 01/15/25
    
4,680,000
      
4,980,727
  
4.30%, 07/13/25
    
2,675,000
      
2,914,037
  
4.35%, 04/09/25
    
3,790,000
      
4,092,783
  
4.35%, 01/17/27
    
4,125,000
      
4,465,804
  
5.10%, 01/17/24
    
10,165,000
      
11,154,191
  
5.25%, 03/01/26
    
2,800,000
      
3,167,777
  
Hyundai Capital America, 144A, 6.38%, 04/08/30
    
11,025,000
      
13,917,203
  
Volkswagen Group of America Finance LLC, 144A, 2.70%, 09/26/22
    
3,645,000
      
3,788,126
  
Banks - 12.2%
          
Bank of America Corp.,
                
(Fixed until 02/13/30, then 3 Month LIBOR USD + 0.99%), 2.50%, 02/13/31
    
14,320,000
      
15,214,506
  
(Fixed until 04/23/26, then3 Month LIBOR USD + 1.06%), 3.56%, 04/23/27
    
11,830,000
      
13,249,541
  
(Fixed until 03/20/50, then 3 Month LIBOR USD + 3.15%), 4.08%, 03/20/51
    
5,260,000
      
6,872,504
  
Citigroup, Inc.,
                
(3 Month LIBOR USD + 0.95%), 1.21%, 07/24/23
    
1,415,000
      
1,421,404
  
(Fixed until 01/29/30, then SOFR + 1.15%), 2.67%, 01/29/31
    
15,680,000
      
16,759,011
  
(Fixed until 03/31/30, then SOFR + 3.91%), 4.41%, 03/31/31
    
8,360,000
      
10,188,282
  
JPMorgan Chase & Co.,
                
(Fixed until 10/15/29, then SOFR + 1.51%), 2.74%, 10/15/30
    
13,390,000
      
14,606,498
  
(Fixed until 03/24/30, then SOFR + 3.79%), 4.49%, 03/24/31
    
5,525,000
      
6,851,018
  
Wells Fargo & Co.,
                
(Fixed until 02/11/30, then 3 Month LIBOR USD + 1.00%), 2.57%, 02/11/31
    
4,805,000
      
5,099,663
  
(Fixed until 04/04/30, then 3 Month LIBOR USD + 3.77%), 4.48%, 04/04/31
    
18,025,000
      
22,131,506
  
Beverages - 1.0%
          
Anheuser-Busch InBev Worldwide, Inc., 4.35%, 06/01/40
    
7,365,000
      
8,865,937
  
Capital markets - 0.8%
          
Morgan Stanley (Fixed until 04/01/30, then SOFR + 3.12%), 3.62%, 04/01/31
    
2,900,000
      
3,391,200
  
UBS Group AG (Fixed until 01/30/26, then 1 Year CMT Rate + 1.08%), 144A, 1.36%, 01/30/27
    
4,095,000
      
4,131,867
  
Chemicals - 0.3%
          
DuPont de Nemours, Inc., 2.17%, 05/01/23
    
2,815,000
      
2,871,463
  
Consumer finance - 1.0%
          
Ally Financial, Inc., 5.80%, 05/01/25
    
8,250,000
      
9,561,095
  
Diversfied financial services - 1.4%
          
AerCap Ireland Capital DAC, 4.63%, 10/30/20
    
2,910,000
      
2,922,697
  
GE Capital International Funding Co., 4.42%, 11/15/35
    
9,310,000
      
9,622,725
  
Diversified telecommunication services - 1.5%
          
AT&T, Inc.,
                
2.75%, 06/01/31
    
5,625,000
      
6,021,120
  
3.50%, 06/01/41
    
7,500,000
      
8,138,444
  

Electric - 0.8%
        
Consolidated Edison Co. of New York, Inc.,
            
3.35%, 04/01/30
    
1,230,000
      
1,440,498
  
3.95%, 04/01/50
    
1,625,000
      
2,083,689
  
Exelon Generation Co. LLC,  3.25%, 06/01/25
    
3,340,000
      
3,686,783
  
Electric utilities - 1.1%
          
Edison International, 4.95%, 04/15/25
    
750,000
      
834,113
  
Pacific Gas and Electric Co., 1.75%, 06/16/22
    
8,895,000
      
8,928,121
  
Hotels, restaurants & leisure - 1.1%
          
Carnival Corp., 144A, 11.50%, 04/01/23
    
9,360,000
      
10,185,271
  
Industrial conglomerates - 0.9%
          
General Electric Co.,
                
3.63%, 05/01/30
    
3,600,000
      
3,643,486
  
4.25%, 05/01/40
    
4,800,000
      
4,914,591
  
Insurance - 0.4%
          
Protective Life Global Funding, 144A, 1.08%, 06/09/23
    
3,905,000
      
3,964,855
  
Media - 0.7%
          
ViacomCBS, Inc., 4.95%, 01/15/31
    
5,150,000
      
6,220,155
  
Oil & gas - 1.2%
          
BP Capital Markets America, Inc., 3.63%, 04/06/30
    
9,690,000
      
11,241,750
  
Oil, gas & consumable fuels - 4.4%
          
Energy Transfer Operating LP, 4.05%, 03/15/25
    
4,562,000
      
4,806,373
  
Equinor ASA, 3.13%, 04/06/30
    
9,805,000
      
11,163,034
  
Exxon Mobil Corp., 3.48%, 03/19/30
    
7,230,000
      
8,487,842
  
Hess Corp., 4.30%, 04/01/27
    
1,120,000
      
1,179,618
  
Marathon Oil Corp., 2.80%, 11/01/22
    
2,505,000
      
2,536,583
  
Marathon Petroleum Corp.,
                
3.80%, 04/01/28
    
1,815,000
      
1,997,597
  
4.70%, 05/01/25
    
2,760,000
      
3,139,906
  
Suncor Energy, Inc., 3.10%, 05/15/25
    
2,120,000
      
2,307,184
  
TransCanada PipeLines Ltd., 4.10%, 04/15/30
    
4,630,000
      
5,468,360
  
Pipelines - 0.3%
          
Enterprise Products Operating LLC, 2.80%, 01/31/30
    
2,790,000
      
2,988,315
  
Software - 0.6%
          
Oracle Corp., 3.60%, 04/01/40
    
4,375,000
      
5,177,305
  
Tobacco - 1.8%
          
Altria Group, Inc., 4.80%, 02/14/29
    
9,810,000
      
11,821,758
  
Reynolds American, Inc., 4.45%, 06/12/25
    
4,230,000
      
4,811,160
  
Transportation - 0.7%
                
FedEx Corp., Pass Through Trust, Series 2020-1, Class AA, 1.88%, 08/20/35
    
6,620,000
      
6,686,200
  
Total corporate bonds (cost $412,851,132)
      
456,331,621
  
                 
MORTGAGE AND ASSET-BACKED SECURITIES - 9.9%
          
Asset-backed securities - 3.7%
          
Avis Budget Rental Car Funding AESOP LLC,
                
Series 2015-2A, Class A, 144A, 2.63%, 12/20/21
    
3,662,500
      
3,666,241
  
Series 2019-1A, Class A, 144A, 3.45%, 03/20/23
    
5,520,000
      
5,547,423
  
Countrywide Asset-Backed Certificates, Series 2006-S10, Class A3 (1 Month LIBOR USD + 0.32%), 0.49%, 10/25/36
    
809,979
      
725,244
  
Hertz Vehicle Financing II LP,
                
Series 2015-3A, Class A, 144A, 2.67%, 09/25/21
    
1,847,135
      
1,846,743
  
Series 2016-2A, Class A, 144A, 2.95%, 03/25/22
    
4,288,422
      
4,291,560
  
Series 2016-4A, Class A, 144A, 2.65%, 07/25/22
    
2,628,739
      
2,632,824
  
Series 2017-1A, Class A, 144A, 2.96%, 10/25/21
    
8,849,020
      
8,856,025
  
Series 2018-1A, Class A, 144A, 3.29%, 02/25/24
    
621,276
      
621,464
  
Series 2019-1A, Class A, 144A, 3.71%, 03/25/23
    
4,546,094
      
4,542,402
  
Home Equity Loan Trust, Series 2006-HSA2, Class AI3, VR, 5.55%, 11/25/27
    
2,929,698
      
1,215,066
  
Commercial mortgage-backed securities - 5.1%
          
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class A-3, 2.94%, 04/10/48
    
1,025,000
      
1,077,807
  
COMM Mortgage Trust,
                
Series 2012-CCRE4, Class ASB, 2.44%, 10/17/45
    
4,622,396
      
4,683,868
  
Series 2013-CCRE10, Class ASB, 3.80%, 08/10/46
    
1,156,746
      
1,203,797
  
GS Mortgage Securities Trust,
                
Series 2013-GCJ12, Class A3, 2.86%, 06/12/46
    
2,120,000
      
2,153,822
  
Series 2013-GCJ14, Class AAB, 3.82%, 08/10/46
    
2,872,424
      
2,972,532
  
J.P. Morgan Chase Commercial Mortgage Securities Trust,
                
Series 2012-C6, Class A-3, 3.51%, 05/17/45
    
4,329,780
      
4,481,018
  
Series 2012-LC9, Class ASB, 2.44%, 12/17/47
    
6,429,613
      
6,517,488
  
Series 2019-MFP, Class A, (1 Month LIBOR USD + 0.96%), 144A, 1.13%, 07/15/36
    
3,945,000
      
3,831,167
  
JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class A4, 3.80%, 09/17/47
    
825,000
      
903,004
  
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class ASB, VR, 3.93%, 07/17/46
    
7,416,899
      
7,749,575
  
WFRBS Commercial Mortgage Trust,
                
Series 2012-C10, Class ASB, 2.45%, 12/15/45
    
3,341,859
      
3,391,242
  
Series 2013-C13, Class A3, 2.75%, 05/17/45
    
4,831,700
      
4,991,655
  
Series 2013-C15, Class ASB, 3.72%, 08/17/46
    
2,506,551
      
2,594,126
  
Series 2014-C21, Class A3, 3.43%, 08/16/47
    
952,588
      
960,828
  
Federal agency mortgage-backed obligations - 1.1%
          
Fannie Mae Pool,
                
Series 5796, Class AN, 3.03%, 06/01/27
    
4,095,000
      
4,444,937
  
Series 387770, 3.63%, 07/01/28
    
4,760,000
      
5,401,990
  
Total mortgage and asset-backed securities (cost $90,445,198)
      
91,303,848
  

FOREIGN GOVERNMENT BONDS - 0.6%
        
Israel Government International Bond, 3.88%, 07/03/50
    
4,560,000
      
5,674,920
  
Total foreign government bonds (cost $4,560,000)
      
5,674,920
  
                 
U.S. TREASURIES - 0.1%
          
U.S. Treasury Notes, 0.63%, 05/15/30
    
1,140,000
      
1,149,218
  
Total U.S. Treasuries (cost $1,140,089)
      
1,149,218
  
                 
SHORT-TERM INVESTMENTS - 22.9%
          
U.S. Treasury Bills,
          
ZCI, 0.12%, 10/15/20
    
186,400,000
      
186,365,037
  
ZCI, 0.16%, 09/17/20
    
25,000,000
      
24,997,226
  
Total short-term investments (cost $211,348,197)
      
211,362,263
  
Total investment portfolio (cost $720,344,616) - 82.9%
      
765,821,870
  
Other assets in excess of liabilities - 17.1%
      
157,943,528
  
Total net assets - 100.0%
    
$
923,765,398
  

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.
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, forward contracts, and credit default swap contracts are categorized as Level 2 as of the date of this report.  The futures contracts are categorized as Level 1 with a total unrealized depreciation $4,069,785. The total value of Level 2 investments and credit default swaps as of the date of this report is $770,877,034. The forward contracts are categorized as Level 2 with a total unrealized appreciation of $195,786.
         
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 - SHORT
          
(UNAUDITED) | 07.31.2020
 
 
 
Description
Expiration
Date
  
Number of
Contracts
    
Notional Value
at Trade Date
    
Notional Value
at July 31, 2020
    
Unrealized
Appreciation
(Depreciation)
  
5-Year U.S. Treasury Note
9/30/2020
    
(2,094)  

 
$
(262,827,453
)
  
$
(264,105,750
)
  
$
(1,278,297
)
10-Year U.S. Treasury Note
9/21/2020
    
(2,049)  

   
(284,228,590
)
    
(287,020,078
)
    
(2,791,488
)
                                   
Total futures contracts
                            
$
(4,069,785
)
                                   
                                   
There is $291,646 of variation margin due to the broker from the Fund as of the date of this report.
  

 
CARILLON REAMS UNCONSTRAINED 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
 $
   258,400,000  
$
      3,779,255  
$
     3,063,827  
$
       715,428
 Intercontinental Exchange
CDX North American High Yield Index Series 34
B2/B
Sell
Receive
5%/Quarterly
6/20/2025
  
      43,005,000  
 
       1,275,909  
 
          191,793  
 
      1,084,116
 Total swap contracts
             $
   301,405,000  
$
      5,055,164  
$
      3,255,620  
$
    1,799,544
                             

There is $235,500 of variation margin due from the broker to the Fund 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
    
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
      
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
    
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.
                

 
CARILLON REAMS UNCONSTRAINED BOND FUND
 
 
 
 
 
  
 
FORWARD CONTRACTS
                      
(UNAUDITED) | 07.31.2020
 
 
 
 
          
 Currency to be Received
  
 Currency to be Delivered
  
 Settlement Date
 
 Counterparty
 
  
 Unrealized
Appreciation (Depreciation)
 Mexican Peso
      631,874,800
  
 U.S. Dollar
        28,017,067
  
9/17/2020
  
 J.P. Morgan
   $
          195,786
 Total forward contracts
                   $
          195,786