NPORT-EX 2 coreplusbond-nport.htm NPORT-EX

Investment Portfolio
            
(UNAUDITED) | 01.31.2022
            
CARILLON REAMS CORE PLUS BOND FUND
            
CORPORATE BONDS - 35.4%
  
Principal Amount
    
Value
  
Domestic - 30.8%
            
Aerospace & defense - 1.8%
            
Raytheon Technologies Corp.,
            
2.38%, 03/15/32
  
$
2,660,000
    
$
2,551,156
  
4.13%, 11/16/28
    
11,535,000
      
12,588,321
  
The Boeing Co.,
                
2.80%, 03/01/27
    
935,000
      
937,206
  
3.60%, 05/01/34
    
3,320,000
      
3,319,418
  
5.04%, 05/01/27
    
3,092,000
      
3,412,650
  
Agriculture - 0.8%
                
BAT Capital Corp.,
                
3.56%, 08/15/27
    
2,780,000
      
2,843,512
  
4.91%, 04/02/30
    
6,465,000
      
7,048,653
  
Airlines - 2.3%
                
Alaska Airlines, Pass Through Trust, Series 2020-1, Class A, 144A, 4.80%, 02/15/29
    
9,279,708
      
10,118,451
  
British Airways, Pass Through Trust, Series 2020-1, Class A, 144A, 4.25%, 05/15/34
    
2,431,689
      
2,540,794
  
Delta Air Lines, Pass Through Trust, Series 2020-1, Class AA, 2.00%, 12/10/29
    
8,693,452
      
8,482,192
  
JetBlue, Pass Through Trust,
                
Series 2019-1, Class AA, 2.75%, 11/15/33
    
5,094,601
      
5,006,810
  
Series 2020-1, Class A, 4.00%, 05/15/34
    
1,920,527
      
2,041,306
  
United Airlines, Pass Through Trust,
                
Series 2015-1, Class AA, 3.45%, 06/01/29
    
535,863
      
553,495
  
Series 2016-2, Class AA, 2.88%, 04/07/30
    
335,135
      
335,983
  
Series 2018-1, Class AA, 3.50%, 09/01/31
    
807,158
      
835,920
  
Auto manufacturers - 4.6%
                
American Honda Finance Corp., 1.20%, 07/08/25
    
1,845,000
      
1,799,079
  
Ford Motor Credit Co. LLC,
                
3.37%, 11/17/23
    
21,295,000
      
21,344,085
  
3.38%, 11/13/25
    
3,530,000
      
3,533,954
  
5.58%, 03/18/24
    
985,000
      
1,029,325
  
General Motors Financial Co., Inc.,
                
1.25%, 01/08/26
    
10,080,000
      
9,637,568
  
2.75%, 06/20/25
    
5,145,000
      
5,209,999
  
Hyundai Capital America,
                
144A, 0.80%, 01/08/24
    
9,770,000
      
9,555,716
  
144A, 1.25%, 09/18/23
    
2,320,000
      
2,298,745
  
Volkswagen Group of America Finance LLC, 144A, 3.75%, 05/13/30
    
3,760,000
      
3,985,111
  
Automobiles - 0.2%
                
Ford Motor Co., 3.25%, 02/12/32
    
3,240,000
      
3,082,342
  
Banks - 3.2%
                
Bank of America Corp.,
                
(Fixed until 10/20/31, then SOFR + 1.21%), 2.57%, 10/20/32
    
2,605,000
      
2,524,368
  
3.50%, 04/19/26
    
100,000
      
105,506
  
(Fixed until 04/23/26, then 3 Month LIBOR USD + 1.06%), 3.56%, 04/23/27
    
7,000,000
      
7,324,337
  
Citigroup, Inc.,
                
(Fixed until 01/29/30, then SOFR + 1.15%), 2.67%, 01/29/31
    
3,910,000
      
3,834,293
  
(Fixed until 01/25/32, then SOFR + 1.35%), 3.06%, 01/25/33
    
2,605,000
      
2,631,098
  
(Fixed until 03/31/30, then SOFR + 3.91%), 4.41%, 03/31/31
    
3,890,000
      
4,280,447
  
Fifth Third Bancorp, 2.55%, 05/05/27
    
5,020,000
      
5,079,036
  
JPMorgan Chase & Co.,
                
(Fixed until 01/25/32, then SOFR + 1.26%), 2.96%, 01/25/33
    
2,605,000
      
2,622,122
  
(Fixed until 03/24/30, then SOFR + 3.79%), 4.49%, 03/24/31
    
5,375,000
      
6,008,207
  
Wells Fargo & Co. (Fixed until 04/04/30, then SOFR + 4.03%), 4.48%, 04/04/31
    
5,440,000
      
6,108,335
  
Beverages - 0.2%
                
Anheuser-Busch InBev Worldwide, Inc., 3.50%, 06/01/30
    
2,680,000
      
2,841,323
  
Capital markets - 2.9%
                
Morgan Stanley,
                
(Fixed until 01/21/32, then SOFR + 1.29%), 2.94%, 01/21/33
    
2,605,000
      
2,608,248
  
(Fixed until 04/01/30, then SOFR + 3.12%), 3.62%, 04/01/31
    
6,340,000
      
6,702,056
  
The Goldman Sachs Group, Inc.,
                
1.22%, 12/06/23
    
7,345,000
      
7,306,672
  
(Fixed until 01/24/24, then SOFR + 0.73%), 1.76%, 01/24/25
    
13,510,000
      
13,457,704
  
(Fixed until 02/24/32, then SOFR + 1.41%), 3.10%, 02/24/33
    
2,605,000
      
2,619,904
  
3.50%, 04/01/25
    
4,525,000
      
4,698,137
  
Consumer finance - 0.9%
                
Ally Financial, Inc.,
                
1.45%, 10/02/23
    
3,210,000
      
3,197,345
  
3.05%, 06/05/23
    
7,790,000
      
7,931,478
  
Containers & packaging - 0.3%
                
Sonoco Products Co., 3.13%, 05/01/30
    
4,070,000
      
4,126,023
  
Diversified telecommunication services - 0.9%
                
AT&T, Inc.,
                
2.55%, 12/01/33
    
3,637,000
      
3,418,552
  
2.75%, 06/01/31
    
2,605,000
      
2,569,785
  
Verizon Communications, Inc.,
                
2.10%, 03/22/28
    
935,000
      
911,269
  
2.55%, 03/21/31
    
5,205,000
      
5,082,641
  
Electric - 3.7%
                
Appalachian Power Co., 2.70%, 04/01/31
    
7,495,000
      
7,404,937
  
Consolidated Edison Co. of New York, Inc., 3.35%, 04/01/30
    
465,000
      
487,524
  
Duke Energy Florida LLC, 5.65%, 04/01/40
    
6,191,000
      
7,965,866
  
Duke Energy Progress LLC, 3.70%, 09/01/28
    
2,315,000
      
2,478,527
  
Entergy Arkansas LLC, 3.35%, 06/15/52
    
4,350,000
      
4,339,061
  
Entergy Louisiana LLC, 2.35%, 06/15/32
    
5,035,000
      
4,829,635
  
Exelon Generation Co. LLC, 3.25%, 06/01/25
    
4,885,000
      
5,055,273
  
Florida Power & Light Co., 2.88%, 12/04/51
    
8,680,000
      
8,236,032
  
Oncor Electric Delivery Co. LLC, 2.95%, 04/01/25
    
1,130,000
      
1,161,418
  
The Cleveland Electric Illuminating Co., 5.50%, 08/15/24
    
1,855,000
      
2,033,496
  
Wisconsin Public Service Corp., 2.85%, 12/01/51
    
3,455,000
      
3,168,916
  
Electric utilities - 2.9%
                
Duke Energy Corp., 0.90%, 09/15/25
    
6,860,000
      
6,567,341
  
IPALCO Enterprises, Inc., 4.25%, 05/01/30
    
8,845,000
      
9,360,827
  
Pacific Gas and Electric Co., 1.75%, 06/16/22
    
8,175,000
      
8,172,185
  
Southern California Edison Co., 1.20%, 02/01/26
    
5,920,000
      
5,691,489
  
Virginia Electric and Power Co., 2.30%, 11/15/31
    
3,450,000
      
3,365,702
  
Wisconsin Power and Light Co., 1.95%, 09/16/31
    
3,995,000
      
3,774,483
  
Electrical Equipment - 0.2%
                
Emerson Electric Co., 2.20%, 12/21/31
    
2,660,000
      
2,562,275
  
Equity real estate investment trusts (REITs) - 0.6%
                
Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30
    
670,000
      
781,908
  
Ventas Realty LP, 4.75%, 11/15/30
    
5,925,000
      
6,724,149
  
Food & staples retailing - 0.3%
                
Sysco Corp., 2.45%, 12/14/31
    
4,490,000
      
4,339,886
  
Health care providers & services - 0.4%
                
Cigna Corp., 2.38%, 03/15/31
    
2,605,000
      
2,495,043
  
CVS Health Corp., 2.13%, 09/15/31
    
2,670,000
      
2,516,030
  
Healthcare services - 0.4%
                
HCA, Inc., 5.00%, 03/15/24
    
5,170,000
      
5,476,673
  
Insurance - 1.0%
                
Equitable Financial Life Global Funding, 144A, 1.40%, 07/07/25
    
4,185,000
      
4,078,859
  
Jackson National Life Global Funding, 144A, 1.75%, 01/12/25
    
3,260,000
      
3,231,875
  
Northwestern Mutual Global Funding, 144A, 0.80%, 01/14/26
    
5,365,000
      
5,146,843
  
Media - 0.3%
                
Charter Communications Operating LLC, 4.91%, 07/23/25
    
3,030,000
      
3,269,574
  
Multi-utilities - 0.7%
                
CenterPoint Energy, Inc. (SOFR + 0.65%), 0.70%, 05/13/24
    
3,020,000
      
3,020,031
  
Dominion Energy, Inc., 3.38%, 04/01/30
    
2,135,000
      
2,213,257
  
Public Service Enterprise Group, Inc., 0.84%, 11/08/23
    
3,645,000
      
3,587,876
  
Oil & Gas - 0.2%
                
BP Capital Markets America, Inc., 2.72%, 01/12/32
    
2,605,000
      
2,577,414
  
Oil, gas & consumable fuels - 0.3%
                
Chevron Corp., 1.55%, 05/11/25
    
3,310,000
      
3,287,809
  
Pharmaceuticals - 0.2%
                
Merck & Co, Inc., 2.15%, 12/10/31
    
2,605,000
      
2,516,417
  
Specialty retail - 0.2%
                
Lowe's Cos, Inc., 2.63%, 04/01/31
    
2,605,000
      
2,565,765
  
Telecommunications - 0.6%
                
T-Mobile USA, Inc.,
                
144A, 2.70%, 03/15/32
    
2,780,000
      
2,661,906
  
3.50%, 04/15/25
    
4,895,000
      
5,079,608
  
Tobacco - 0.7%
                
Altria Group, Inc., 2.45%, 02/04/32
    
4,010,000
      
3,646,340
  
Reynolds American, Inc., 4.45%, 06/12/25
    
4,485,000
      
4,756,102
  
Transportation - 0.0%
                
Burlington Northern and Santa Fe Railway Co., Pass Through Trust, Series 2005-4, 4.97%, 04/01/23
    
120,211
      
122,545
  
Total domestic corporate bonds (cost $392,287,989)
            
392,831,574
  
Foreign - 4.6%
                
Airlines - 0.2%
                
Air Canada, Pass Through Trust, Series 2020-2, Class A, 144A, 5.25%, 10/01/30
    
2,190,113
      
2,365,584
  
Banks - 2.7%
                
Barclays PLC, (Fixed until 12/10/23, then 1 Year CMT Rate + 0.80%), 1.01%, 12/10/24
    
6,165,000
      
6,058,212
  
HSBC Holdings PLC, 4.95%, 03/31/30
    
5,715,000
      
6,508,261
  
Mitsubishi UFJ Financial Group, Inc.,
                
(Fixed until 09/15/23, then 1 Year CMT Rate + 0.68%), 0.85%, 09/15/24
    
4,685,000
      
4,617,296
  
(Fixed until 07/19/24, then 1 Year CMT Rate + 0.55%), 0.95%, 07/19/25
    
6,380,000
      
6,219,072
  
(Fixed until 07/20/26, then 1 Year CMT Rate + 0.75%), 1.54%, 07/20/27
    
6,380,000
      
6,137,674
  
Sumitomo Mitsui Trust Bank Ltd., 144A, 0.80%, 09/16/24
    
5,450,000
      
5,292,784
  
Capital markets - 0.8%
                
UBS Group AG,
                
(Fixed until 01/30/26, then 1 Year CMT  Rate + 1.08%), 144A, 1.36%, 01/30/27
    
6,005,000
      
5,758,405
  
(Fixed until 08/10/26, then 1 Year CMT  Rate + 0.85%), 144A, 1.49%, 08/10/27
    
2,750,000
      
2,621,082
  
(Fixed until 08/13/29, then 3 Month LIBOR USD + 1.47%), 144A, 3.13%, 08/13/30
    
1,190,000
      
1,201,472
  
Miscellaneous manufacturing - 0.4%
                
GE Capital International Funding Co., 4.42%, 11/15/35
    
4,555,000
      
5,195,156
  
Oil, gas & consumable fuels - 0.5%
                
TransCanada PipeLines Ltd., 4.10%, 04/15/30
    
5,595,000
      
6,028,185
  
Total foreign corporate bonds (cost $58,020,067)
            
58,003,183
  
Total corporate bonds (cost $450,308,056)
            
450,834,757
  
                 
MORTGAGE AND ASSET-BACKED SECURITIES - 25.6%
                
Asset-backed securities - 5.9%
                
American Express Credit Account Master Trust, Series 2018-3, Class A (1 Month LIBOR USD + 0.32%), 0.42%, 10/15/25
    
8,475,000
      
8,496,796
  
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 144A, 3.45%, 03/20/23
    
2,168,333
      
2,174,036
  
BMW Vehicle Lease Trust, Series 2022-1, Class A2, 0.67%, 05/28/24
    
4,485,000
      
4,476,694
  
Capital One Multi-Asset Execution Trust, Series 2018-A2, Class A2 (1 Month LIBOR USD + 0.35%), 0.46%, 03/16/26
    
3,905,000
      
3,918,031
  
Discover Card Execution Note Trust,
                
Series 2017-A7, Class A7 (1 Month LIBOR USD + 0.36%), 0.47%, 04/15/25
    
6,110,000
      
6,123,293
  
Series 2018-A2, Class A2 (1 Month LIBOR USD + 0.33%), 0.44%, 08/15/25
    
7,475,000
      
7,496,283
  
GM Financial Consumer Automobile Receivables Trust, Series 2020-3, Class A3, 0.45%, 04/16/25
    
14,080,000
      
14,026,703
  
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 144A, 1.21%, 12/25/25
    
13,900,000
      
13,611,999
  
Hertz Vehicle Financing III LLC, Series 2022-1A, Class A, 144A, 1.99%, 06/25/26
    
5,695,000
      
5,672,015
  
RFMSII Trust, Series 2006-HSA1, Class A4, SB, 5.99%, 02/25/36
    
211,209
      
207,256
  
World Omni Auto Receivables Trust, Series 2020-C, Class A3, 0.48%, 11/17/25
    
9,415,000
      
9,359,322
  
Commercial mortgage-backed securities - 4.3%
                
BANK, Series 2020-BNK30, Class A2, 1.36%, 12/17/53
    
2,016,000
      
1,950,681
  
Benchmark Mortgage Trust,
                
Series 2020-B21, Class A2, 1.74%, 12/17/53
    
1,565,000
      
1,542,067
  
Series 2021-B23, Class A2, 1.62%, 02/15/54
    
4,555,000
      
4,451,969
  
Series 2021-B24, Class A2, 1.95%, 03/17/54
    
4,028,000
      
3,987,862
  
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48
    
5,525,000
      
5,859,222
  
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class A3, 2.94%, 04/10/48
    
3,263,635
      
3,312,783
  
COMM Mortgage Trust,
                
Series 2013-CCRE9, Class ASB, 3.83%, 07/12/45
    
1,127,222
      
1,147,515
  
Series 2014-LC17, Class A4, 3.65%, 10/11/47
    
4,485,756
      
4,618,041
  
Series 2014-UBS5, Class A4, 3.84%, 09/12/47
    
4,215,000
      
4,402,993
  
Series 2015-LC19, Class A4, 3.18%, 02/10/48
    
1,855,000
      
1,916,575
  
DBJPM Mortgage Trust, Series 2020-C9, Class A2, 1.90%, 08/15/53
    
9,445,000
      
9,368,942
  
GS Mortgage Securities Trust,
                
Series 2012-GCJ7, Class A4, 3.38%, 05/12/45
    
247,770
      
247,590
  
Series 2013-GCJ14, Class AAB, 3.82%, 08/10/46
    
614,346
      
625,130
  
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20, Class ASB, 3.46%, 07/17/47
    
1,505,975
      
1,541,639
  
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A3, 3.05%, 10/17/50
    
3,415,000
      
3,479,107
  
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class A3, 3.21%, 10/19/48
    
1,615,310
      
1,650,596
  
Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A2, 2.50%, 06/17/53
    
4,895,000
      
4,920,224
  
Federal agency mortgage-backed obligations - 15.4%
                
Fannie Mae Pool,
                
Series 1614, Class AN, 2.47%, 06/01/26
    
4,500,000
      
4,572,135
  
Series 1671, Class AM, 2.10%, 12/01/27
    
1,281,794
      
1,295,089
  
Series 5796, Class AN, 3.03%, 06/01/27
    
2,026,965
      
2,095,313
  
Series 387770, 3.63%, 07/01/28
    
2,495,000
      
2,655,957
  
TBA, 2.00%, 03/15/52
    
56,365,000
      
54,825,719
  
TBA, 2.50%, 03/15/52
    
68,085,000
      
67,800,122
  
TBA, 3.00%, 03/15/52
    
50,150,000
      
51,105,984
  
Fannie Mae-Aces,
                
Series 2016-M3, Class ASQ2, 2.26%, 02/25/23
    
503,897
      
504,054
  
Series 2016-M7, Class AV2, 2.16%, 10/25/23
    
3,865,279
      
3,892,061
  
Freddie Mac REMIC, Series 3609, Class LA, 4.00%, 12/15/24
    
6
      
6
  
Ginnie Mae I Pool,
                
Series 0091, Class AD, 2.73%, 06/15/32
    
5,933,420
      
6,022,427
  
Series 2583, Class AB, 2.14%, 08/15/23
    
523,651
      
527,168
  
Total mortgage and asset-backed securities (cost $328,026,524)
            
325,881,399
  
                 
FOREIGN GOVERNMENT BONDS - 5.8%
                
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 01/01/23
    
11,965,000
      
22,310,553
  
Israel Government International Bond, 2.75%, 07/03/30
    
1,995,000
      
2,057,344
  
Malaysia Government Bond, 3.88%, 03/10/22
    
14,310,000
      
3,426,864
  
Mexico Bonos, 7.75%, 05/29/31
    
2,651,000
      
12,898,758
  
Mexico Government International Bond,
                
3.50%, 02/12/34
    
8,195,000
      
7,904,159
  
4.00%, 10/02/23
    
1,778,000
      
1,852,214
  
Petroleos Mexicanos, 7.69%, 01/23/50
    
2,915,000
      
2,700,747
  
Secretaria Tesouro Nacional, 10.00%, 01/01/31
    
115,000
      
20,362,295
  
Total foreign government bonds (cost $71,995,111)
            
73,512,934
  
                 
U.S. TREASURIES - 45.3%
                
U.S. Treasury Bonds,
                
1.75%, 08/15/41
    
36,860,000
      
34,325,875
  
2.00%, 11/15/41
    
27,740,000
      
26,964,147
  
2.00%, 08/15/51
    
95,135,000
      
92,801,220
  
U.S. Treasury Notes,
                
0.13%, 11/30/22
    
94,060,000
      
93,615,420
  
0.13%, 01/31/23
    
25,915,000
      
25,736,834
  
0.25%, 11/15/23
    
112,850,000
      
111,104,351
  
0.75%, 03/31/26
    
39,675,000
      
38,377,814
  
0.88%, 09/30/26
    
44,025,000
      
42,589,028
  
1.38%, 10/31/28
    
53,485,000
      
52,218,909
  
1.38%, 11/15/31
    
62,285,000
      
60,017,437
  
Total U.S. Treasuries (cost $582,444,549)
            
577,751,035
  
Total investment portfolio (cost $1,432,774,240) - 112.1%
            
1,427,980,125
  
Liabilities in excess of other assets - (12.1)%
            
(153,724,157)

Total net assets - 100.0%
          
$
1,274,255,968
  
                 
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-downbond) at regular intervals until maturity. Interest rate shown is the rate in effect as of the date of this report.
  
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 PLUS BOND FUND
                        
FUTURES CONTRACTS
                          
(UNAUDITED) | 01.31.2022
                          
FUTURES CONTRACTS - LONG
                        
                           
                       
Unrealized
  
                       Expiration
  
Number of
    
Notional Value
    
Notional Value
    
Appreciation
  
Description
Date
  
Contracts
    
at Trade Date
    
at January 31, 2022
    
(Depreciation)
  
Euro BOBL Future^
03/08/22
    
1,632
    
$
246,348,302
    
$
242,456,837
    
$
(3,891,465
)
                                   
FUTURES CONTRACTS - SHORT
                                
                                   
                             
Unrealized
  
                        Expiration
  
Number of
    
Notional Value
    
Notional Value
    
Appreciation
  
Description
Date
  
Contracts
    
at Trade Date
    
at January 31, 2022
    
(Depreciation)
  
Euro BUXL 30 Year Bond^
03/08/22
    
(250
)
  
$
(61,052,872
)
  
$
(57,099,043
)
  
$
3,953,829
  
Total futures contracts
                            
$
62,364
  
                                   
There is $329,075 of variation margin due to the broker from the Fund 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 January 31, 2022 and Unrealized Appreciation (Depreciation) have been translated into U.S. Dollars as of January 31, 2022.
  


CARILLON REAMS CORE PLUS 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
 $  209,940,000
 $       4,138,011
 $         4,737,306
 $           (599,295)
 Total swap contracts
          
 $  209,940,000
 $       4,138,011
 $         4,737,306
 $           (599,295)
                     
There is $132,549 of  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


CARILLON REAMS CORE PLUS BOND FUND
            
FORWARD CONTRACTS
                    
(UNAUDITED) | 01.31.2022
                    
Currency to be Received
  
Currency to be Delivered
  
 Settlement Date
 Counterparty
  
Unrealized
Appreciation (Depreciation)
  
 Brazilian Real
    
109,802,500
  
 U.S. Dollar
    
19,268,667
  
03/03/22
 J.P. Morgan
  
$
1,260,927
  
 U.S. Dollar
    
47,955,300
  
 Brazillian Real
    
273,949,405
  
03/03/22
 J.P. Morgan
    
(3,264,573
)
 Colombian Peso
    
36,646,790,000
  
 U.S. Dollar
    
9,030,307
  
04/13/22
 J.P. Morgan
    
170,291
  
 South Korean Won
    
11,350,000,000
  
 U.S. Dollar
    
9,459,910
  
04/26/22
 J.P. Morgan
    
(59,156
)
 U.S. Dollar
    
8,038,808
  
 Mexican Peso
    
167,732,147
  
02/22/22
 J.P. Morgan
    
(65,190
)
 Mexican Peso
    
98,575,000
  
 U.S. Dollar
    
4,684,122
  
02/22/22
 J.P. Morgan
    
78,540
  
Total forward contracts
                     
$
(1,879,161
)
                               
Forward Contracts are categorized as Level 2 as of the date of this report.