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

Investment Portfolio
            
(UNAUDITED) | 01.31.2022
            
CARILLON REAMS CORE BOND FUND
            
CORPORATE BONDS - 41.7%
  
Principal Amount
    
Value
  
Aerospace & defense - 1.9%
            
Raytheon Technologies Corp.,
            
2.38%, 03/15/32
  
$
815,000
    
$
781,651
  
4.13%, 11/16/28
    
3,680,000
      
4,016,040
  
The Boeing Co.,
                
2.80%, 03/01/27
    
315,000
      
315,743
  
5.04%, 05/01/27
    
2,830,000
      
3,123,480
  
Agriculture - 0.8%
                
BAT Capital Corp., 4.91%, 04/02/30
    
3,260,000
      
3,554,309
  
Airlines - 3.0%
                
Air Canada, Pass Through Trust, Series 2020-2, Class A, 144A, 5.25%, 10/01/30
    
979,212
      
1,057,666
  
Alaska Airlines, Pass Through Trust, Series 2020-1, Class A, 144A, 4.80%, 02/15/29
    
5,336,132
      
5,818,436
  
British Airways, Pass Through Trust, Series 2020-1, Class A, 144A, 4.25%, 05/15/34
    
1,154,119
      
1,205,902
  
Delta Air Lines, Pass Through Trust, Series 2020-1, Class AA, 2.00%, 12/10/29
    
1,570,283
      
1,532,124
  
JetBlue, Pass Through Trust,
                
Series 2019-1, Class AA, 2.75%, 11/15/33
    
1,408,561
      
1,384,289
  
Series 2020-1, Class A, 4.00%, 05/15/34
    
1,294,370
      
1,375,771
  
United Airlines, Pass Through Trust,
                
Series 2015-1, Class AA, 3.45%, 06/01/29
    
260,591
      
269,165
  
Series 2016-2, Class AA, 2.88%, 04/07/30
    
161,653
      
162,062
  
Series 2018-1, Class AA, 3.50%, 09/01/31
    
394,992
      
409,067
  
Auto manufacturers - 2.9%
                
American Honda Finance Corp., 1.20%, 07/08/25
    
800,000
      
780,089
  
General Motors Financial Co., Inc.,
                
1.25%, 01/08/26
    
2,815,000
      
2,691,444
  
2.75%, 06/20/25
    
895,000
      
906,307
  
Hyundai Capital America,
                
144A, 0.80%, 01/08/24
    
3,190,000
      
3,120,034
  
144A, 1.25%, 09/18/23
    
1,385,000
      
1,372,311
  
Volkswagen Group of America Finance LLC, 144A, 3.75%, 05/13/30
    
3,750,000
      
3,974,512
  
Banks - 6.9%
                
Bank of America Corp.,
                
(Fixed until 10/20/31, then SOFR + 1.21%), 2.57%, 10/20/32
    
800,000
      
775,238
  
3.50%, 04/19/26
    
1,465,000
      
1,545,659
  
(Fixed until 04/23/26, then 3 Month LIBOR USD + 1.06%), 3.56%, 04/23/27
    
905,000
      
946,932
  
Barclays PLC, (Fixed until 12/10/23, then 1 Year CMT Rate + 0.80%), 1.01%, 12/10/24
    
2,015,000
      
1,980,097
  
Citigroup, Inc.,
                
(Fixed until 01/25/32, then SOFR + 1.35%), 3.06%, 01/25/33
    
800,000
      
808,015
  
(Fixed until 03/31/30, then SOFR + 3.91%), 4.41%, 03/31/31
    
2,690,000
      
2,960,000
  
Fifth Third Bancorp, 2.55%, 05/05/27
    
3,445,000
      
3,485,514
  
HSBC Holdings PLC, 4.95%, 03/31/30
    
2,770,000
      
3,154,485
  
JPMorgan Chase & Co.,
                
(Fixed until 01/25/32, then SOFR + 1.26%), 2.96%, 01/25/33
    
800,000
      
805,258
  
(Fixed until 03/24/30, then SOFR + 3.79%), 4.49%, 03/24/31
    
2,270,000
      
2,537,420
  
Mitsubishi UFJ Financial Group, Inc.,
                
(Fixed until 09/15/23, then 1 Year CMT Rate + 0.68%), 0.85%, 09/15/24
    
2,200,000
      
2,168,207
  
(Fixed until 07/19/24, then 1 Year CMT Rate + 0.55%), 0.95%, 07/19/25
    
1,400,000
      
1,364,687
  
(Fixed until 07/20/26, then 1 Year CMT Rate + 0.75%), 1.54%, 07/20/27
    
2,800,000
      
2,693,650
  
Sumitomo Mitsui Trust Bank Ltd., 144A, 0.80%, 09/16/24
    
2,325,000
      
2,257,931
  
Wells Fargo & Co., (Fixed until 04/04/30, then SOFR + 4.03%), 4.48%, 04/04/31
    
2,305,000
      
2,588,183
  
Beverages - 0.2%
                
Anheuser-Busch InBev Worldwide, Inc., 3.50%, 06/01/30
    
820,000
      
869,360
  
Capital markets - 3.6%
                
Morgan Stanley,
                
(Fixed until 01/21/32, then SOFR + 1.29%), 2.94%, 01/21/33
    
800,000
      
800,997
  
(Fixed until 04/01/30, then SOFR + 3.12%), 3.62%, 04/01/31
    
2,605,000
      
2,753,762
  
The Goldman Sachs Group, Inc.,
                
1.22%, 12/06/23
    
2,690,000
      
2,675,963
  
(Fixed until 01/24/24, then SOFR + 0.73%), 1.76%, 01/24/25
    
4,770,000
      
4,751,536
  
(Fixed until 02/24/32, then SOFR + 1.41%), 3.10%, 02/24/33
    
800,000
      
804,577
  
3.50%, 04/01/25
    
1,215,000
      
1,261,489
  
UBS Group AG,
                
(Fixed until 01/30/26, then 1 Year CMT Rate + 1.08%), 144A, 1.36%, 01/30/27
    
1,615,000
      
1,548,680
  
(Fixed until 08/10/26, then 1 Year CMT Rate + 0.85%), 144A, 1.49%, 08/10/27
    
1,215,000
      
1,158,042
  
Containers & packaging - 0.9%
                
Sonoco Products Co., 3.13%, 05/01/30
    
3,750,000
      
3,801,619
  
Diversified telecommunication services - 1.9%
                
AT&T, Inc.,
                
2.55%, 12/01/33
    
1,516,000
      
1,424,945
  
2.75%, 06/01/31
    
800,000
      
789,185
  
4.30%, 02/15/30
    
2,820,000
      
3,101,853
  
Verizon Communications, Inc.,
                
2.10%, 03/22/28
    
455,000
      
443,452
  
2.55%, 03/21/31
    
2,060,000
      
2,011,574
  
4.02%, 12/03/29
    
405,000
      
439,800
  
Electric - 4.8%
                
Appalachian Power Co., 2.70%, 04/01/31
    
2,190,000
      
2,163,684
  
Consolidated Edison Co. of New York, Inc., 3.35%, 04/01/30
    
485,000
      
508,493
  
DTE Electric Co., 1.90%, 04/01/28
    
3,170,000
      
3,077,682
  
Duke Energy Florida LLC,
                
1.75%, 06/15/30
    
2,055,000
      
1,912,027
  
5.65%, 04/01/40
    
2,085,000
      
2,682,738
  
Duke Energy Progress LLC, 3.70%, 09/01/28
    
1,125,000
      
1,204,468
  
Entergy Arkansas LLC, 3.35%, 06/15/52
    
2,110,000
      
2,104,694
  
Entergy Louisiana LLC, 2.35%, 06/15/32
    
2,415,000
      
2,316,498
  
Florida Power & Light Co., 2.88%, 12/04/51
    
2,660,000
      
2,523,945
  
Oncor Electric Delivery Co. LLC, 2.95%, 04/01/25
    
485,000
      
498,485
  
The Cleveland Electric Illuminating Co., 5.50%, 08/15/24
    
870,000
      
953,715
  
Wisconsin Public Service Corp., 2.85%, 12/01/51
    
1,190,000
      
1,091,465
  
Electric utilities - 4.6%
                
American Electric Power Co., Inc., 0.75%, 11/01/23
    
3,830,000
      
3,784,383
  
Duke Energy Corp., 0.90%, 09/15/25
    
3,345,000
      
3,202,297
  
IPALCO Enterprises, Inc., 4.25%, 05/01/30
    
3,635,000
      
3,846,988
  
Pacific Gas and Electric Co., 1.75%, 06/16/22
    
3,570,000
      
3,568,771
  
Southern California Edison Co., 1.20%, 02/01/26
    
2,845,000
      
2,735,183
  
Virginia Electric and Power Co., 2.30%, 11/15/31
    
1,185,000
      
1,156,045
  
Wisconsin Power and Light Co., 1.95%, 09/16/31
    
1,700,000
      
1,606,163
  
Electrical equipment - 0.2%
                
Emerson Electric Co., 2.20%, 12/21/31
    
815,000
      
785,058
  
Equity real estate investment trusts (REITs) - 1.5%
                
Agree LP, 2.00%, 06/15/28
    
3,460,000
      
3,314,529
  
Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30
    
140,000
      
163,384
  
Ventas Realty LP, 4.75%, 11/15/30
    
2,675,000
      
3,035,797
  
Food & staples retailing - 0.3%
                
Sysco Corp., 2.45%, 12/14/31
    
1,380,000
      
1,333,863
  
Health care providers & services - 0.3%
                
Cigna Corp., 2.38%, 03/15/31
    
800,000
      
766,232
  
CVS Health Corp., 2.13%, 09/15/31
    
820,000
      
772,713
  
Insurance - 1.1%
                
Equitable Financial Life Global Funding, 144A, 1.40%, 07/07/25
    
1,150,000
      
1,120,833
  
Jackson National Life Global Funding, 144A, 1.75%, 01/12/25
    
1,190,000
      
1,179,734
  
Northwestern Mutual Global Funding, 144A, 0.80%, 01/14/26
    
2,625,000
      
2,518,260
  
Miscellaneous manufacturing - 0.4%
                
GE Capital International Funding Co., 4.42%, 11/15/35
    
1,471,000
      
1,677,733
  
Multi-utilities - 2.1%
                
CenterPoint Energy, Inc.,
                
(SOFR + 0.65%), 0.70%, 05/13/24
    
1,390,000
      
1,390,014
  
2.50%, 09/01/24
    
2,685,000
      
2,722,417
  
Dominion Energy, Inc., 3.38%, 04/01/30
    
1,550,000
      
1,606,814
  
Public Service Enterprise Group, Inc.,
                
0.84%, 11/08/23
    
1,490,000
      
1,466,649
  
2.45%, 11/15/31
    
2,095,000
      
2,018,450
  
Oil & gas - 0.2%
                
BP Capital Markets America, Inc., 2.72%, 01/12/32
    
800,000
      
791,528
  
Oil, gas & consumable fuels - 0.9%
                
Chevron Corp., 1.55%, 05/11/25
    
1,420,000
      
1,410,480
  
TransCanada PipeLines Ltd., 4.10%, 04/15/30
    
2,280,000
      
2,456,526
  
Pharmaceuticals - 0.2%
                
Merck & Co, Inc., 2.15%, 12/10/31
    
800,000
      
772,796
  
Specialty retail - 0.2%
                
Lowe's Cos, Inc., 2.63%, 04/01/31
    
800,000
      
787,951
  
Telecommunications - 0.9%
                
T-Mobile USA, Inc.,
                
144A, 2.70%, 03/15/32
    
850,000
      
813,892
  
3.50%, 04/15/25
    
3,100,000
      
3,216,912
  
Tobacco - 0.9%
                
Altria Group, Inc., 2.45%, 02/04/32
    
1,230,000
      
1,118,453
  
Reynolds American, Inc., 4.45%, 06/12/25
    
2,770,000
      
2,937,437
  
Transportation - 1.0%
                
Burlington Northern Santa Fe LLC, 2.88%, 06/15/52
    
1,560,000
      
1,466,100
  
Canadian Pacific Railway Co., 1.75%, 12/02/26
    
2,265,000
      
2,222,467
  
CSX Transportation, Inc., 6.25%, 01/15/23
    
172,676
      
180,392
  
Union Pacific Railroad Co., Pass Through Trust,
                
Series 2004, 5.40%, 07/02/25
    
14,353
      
14,568
  
Series 2005, 5.08%, 01/02/29
    
195,162
      
215,357
  
Series 2006, 5.87%, 07/02/30
    
214,215
      
243,738
  
Total corporate bonds (cost $183,995,709)
            
182,017,313
  
                 
MORTGAGE AND ASSET-BACKED SECURITIES - 30.4%
                
Asset-backed securities - 7.8%
                
American Express Credit Account Master Trust, Series 2018-3, Class A (1 Month LIBOR USD + 0.32%), 0.42%, 10/15/25
    
4,270,000
      
4,280,982
  
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 144A, 3.45%, 03/20/23
    
1,048,333
      
1,051,090
  
BMW Vehicle Lease Trust, Series 2022-1, Class A2, 0.67%, 05/28/24
    
1,650,000
      
1,646,944
  
Capital One Multi-Asset Execution Trust, Series 2018-A2, Class A2 (1 Month LIBOR USD + 0.35%), 0.46%, 03/16/26
    
1,985,000
      
1,991,624
  
Discover Card Execution Note Trust,
                
Series 2017-A7, Class A7 (1 Month LIBOR USD + 0.36%), 0.47%, 04/15/25
    
3,105,000
      
3,111,755
  
Series 2018-A2, Class A2 (1 Month LIBOR USD + 0.33%), 0.44%, 08/15/25
    
3,770,000
      
3,780,734
  
GM Financial Consumer Automobile Receivables Trust, Series 2020-3, Class A3, 0.45%, 04/16/25
    
6,215,000
      
6,191,475
  
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 144A, 1.21%, 12/25/25
    
6,265,000
      
6,135,192
  
Hertz Vehicle Financing III LLC, Series 2022-1A, Class A, 144A, 1.99%, 06/25/26
    
2,100,000
      
2,091,525
  
World Omni Auto Receivables Trust, Series 2020-C, Class A3, 0.48%, 11/17/25
    
3,895,000
      
3,871,966
  
Commercial mortgage-backed securities - 7.3%
                
BANK,
                
Series 2018-BNK10, Class A1, 2.62%, 02/17/61
    
51,308
      
51,327
  
Series 2020-BNK30, Class A2, 1.36%, 12/17/53
    
1,170,000
      
1,132,091
  
Benchmark Mortgage Trust,
                
Series 2020-B21, Class A2, 1.74%, 12/17/53
    
780,000
      
768,570
  
Series 2020-B22, Class A2, 1.16%, 01/15/54
    
2,741,000
      
2,619,062
  
Series 2021-B23, Class A2, 1.62%, 02/15/54
    
2,160,000
      
2,111,142
  
Series 2021-B24, Class A2, 1.95%, 03/17/54
    
1,935,000
      
1,915,718
  
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48
    
1,855,000
      
1,967,214
  
Citigroup Commercial Mortgage Trust,
                
Series 2014-GC21, Class AAB, 3.48%, 05/10/47
    
424,904
      
434,625
  
Series 2015-GC29, Class A3, 2.94%, 04/10/48
    
1,409,169
      
1,430,390
  
COMM Mortgage Trust,
                
Series 2013-CCRE9, Class ASB, 3.83%, 07/12/45
    
177,538
      
180,734
  
Series 2013-CCRE11, Class ASB, 3.66%, 08/12/50
    
285,583
      
290,859
  
Series 2014-LC17, Class A4, 3.65%, 10/11/47
    
2,661,604
      
2,740,094
  
Series 2014-UBS5, Class A4, 3.84%, 09/12/47
    
2,100,000
      
2,193,662
  
Series 2015-LC19, Class A4, 3.18%, 02/10/48
    
1,200,000
      
1,239,833
  
DBJPM Mortgage Trust, Series 2020-C9, Class A2, 1.90%, 08/15/53
    
4,385,000
      
4,349,689
  
GS Mortgage Securities Trust,
                
Series 2012-GCJ7, Class A4, 3.38%, 05/12/45
    
128,232
      
128,138
  
Series 2013-GCJ14, Class AAB, 3.82%, 08/10/46
    
97,581
      
99,294
  
Series 2014-GCJ22, Class A5, 3.86%, 06/10/47
    
355,000
      
369,487
  
JP Morgan Chase Commercial Mortgage Securities Trust,
                
Series 2012-CBX, Class A4, 3.48%, 06/16/45
    
313,889
      
315,346
  
Series 2014-C20, Class ASB, 3.46%, 07/17/47
    
674,847
      
690,829
  
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A3, 3.05%, 10/17/50
    
1,385,000
      
1,410,999
  
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A3, 144A, 2.81%, 03/12/49
    
460,000
      
463,511
  
Wells Fargo Commercial Mortgage Trust,
                
Series 2016-C36, Class A3, 2.81%, 11/18/59
    
1,100,000
      
1,106,766
  
Series 2020-C56, Class A2, 2.50%, 06/17/53
    
3,409,000
      
3,426,567
  
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class A4, 3.41%, 08/16/47
    
392,116
      
401,425
  
Federal agency mortgage-backed obligations - 15.3%
                
Fannie Mae Pool,
                
Series 1614, Class AN, 2.47%, 06/01/26
    
2,785,000
      
2,829,643
  
Series 1671, Class AM, 2.10%, 12/01/27
    
661,571
      
668,433
  
Series 5796, Class AN, 3.03%, 06/01/27
    
351,869
      
363,734
  
Series 387770, 3.63%, 07/01/28
    
455,000
      
484,353
  
TBA, 2.00%, 03/15/52
    
19,770,000
      
19,230,098
  
TBA, 2.50%, 03/15/52
    
23,825,000
      
23,725,313
  
TBA, 3.00%, 03/15/52
    
17,540,000
      
17,874,356
  
Fannie Mae-Aces, Series 2016-M3, Class ASQ2, 2.26%, 02/25/23
    
131,293
      
131,334
  
Freddie Mac REMIC, Series 3609, Class LA, 4.00%, 12/15/24
    
1
      
1
  
Ginnie Mae I Pool,
                
Series 0091, Class AD, 2.73%, 06/15/32
    
1,079,642
      
1,095,838
  
Series 2583, Class AB, 2.14%, 08/15/23
    
202,282
      
203,641
  
Total mortgage and asset-backed securities (cost $133,948,695)
            
132,597,403
  
                 
FOREIGN GOVERNMENT BONDS - 0.3%
                
Israel Government International Bond, 2.75%, 07/03/30
    
380,000
      
391,875
  
Mexico Government International Bond, 4.00%, 10/02/23
    
931,000
      
969,860
  
Total foreign government bonds (cost $1,357,232)
            
1,361,735
  
                 
U.S. TREASURIES - 39.4%
                
U.S. Treasury Bonds,
                
1.75%, 08/15/41
    
11,815,000
      
11,002,719
  
2.00%, 11/15/41
    
10,100,000
      
9,817,515
  
2.00%, 08/15/51
    
34,100,000
      
33,263,484
  
U.S. Treasury Notes,
                
0.13%, 11/30/22
    
39,755,000
      
39,567,096
  
0.13%, 01/31/23
    
5,250,000
      
5,213,906
  
0.25%, 11/15/23
    
34,635,000
      
34,099,240
  
0.75%, 03/31/26
    
12,210,000
      
11,810,790
  
1.38%, 10/31/28
    
13,735,000
      
13,409,867
  
1.38%, 11/15/31
    
14,440,000
      
13,914,294
  
Total U.S. Treasuries (cost $173,382,060)
            
172,098,911
  
Total investment portfolio (cost $492,683,696) - 111.8%
            
488,075,362
  
Liabilities in excess of other assets - (11.8)%
            
(51,677,129)

Total net assets - 100.0%
          
$
436,398,233
  
 
                
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.
                
REMIC - Real estate mortgage investment conduit
                
                 
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 CORE BOND FUND
                
SWAP CONTRACTS - CREDIT DEFAULT SWAPS
            
(UNAUDITED) | 01.31.2022
                  
                     
                     
   
 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 37
Baa2/BBB
Sell
Receive
1%/Quarterly
12/20/26
 $     12,930,000
 $          254,856
 $      301,758
 $           (46,902)
 Total swap contracts
          
 $     12,930,000
 $          254,856
 $      301,758
 $           (46,902)
                     
There is $8,164 variation margin due from the broker to the Fund 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