N-CSR 1 d414408dncsr.htm N-CSR N-CSR

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-07470

 

 

CARILLON SERIES TRUST

(Exact Name of Registrant as Specified in Charter)

 

 

880 Carillon Parkway

St. Petersburg, FL 33716

(Address of Principal Executive Office) (Zip Code)

 

 

SUSAN L. WALZER, PRINCIPAL EXECUTIVE OFFICER

880 Carillon Parkway

St. Petersburg, FL 33716

(Name and Address of Agent for Service)

Copy to:

KATHY KRESCH INGBER, ESQ.

K&L Gates, LLP

1601 K Street, NW

Washington, D.C. 20006

Registrant’s Telephone Number, including Area Code: (727) 567-1000

Date of fiscal year end: December 31

Date of reporting period: December 31, 2022

 

 

 


Item 1. Reports to Shareholders

(a) The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

Item 1. Reports to Shareholders (Continued)

(b) Not applicable.


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Annual Report

and Investment Performance Review for the fiscal year ended December 31, 2022

Carillon Chartwell Income Fund

Carillon Chartwell Mid Cap Value Fund

Carillon Chartwell Small Cap Value Fund

Carillon Chartwell Short Duration High Yield Fund

Carillon Chartwell Small Cap Growth Fund

Carillon Chartwell Short Duration Bond Fund

 

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Table of Contents

 

President’s Letter1
Performance Summary and Commentary 2
Growth of a $10,000 Investment 6
Description of Indices8
Investment Portfolios
Carillon Chartwell Income Fund9
Carillon Chartwell Mid Cap Value Fund 13
Carillon Chartwell Small Cap Value Fund14
Carillon Chartwell Short Duration High Yield Fund15
Carillon Chartwell Small Cap Growth Fund17
Carillon Chartwell Short Duration Bond Fund18
Statements of Assets and Liabilities21
Statements of Operations22
Statements of Changes in Net Assets 23
Financial Highlights25
Notes to Financial Statements26
Report of Independent Registered Public Accounting Firm35
Understanding Your Ongoing Costs37
Investment Advisory and Subadvisory Agreements38
Principal Risks41
Trustees and Officers 47
Privacy Notice49

 

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President’s Letter

 

Dear Fellow Shareholders:

I hope this letter finds you healthy and well. The annual report of the Carillon Family of Funds for the 12-month period ending December 31, 2022, follows.

As you are aware, on July 1, 2022, the Chartwell Family of Funds was acquired by the Carillon Series Trust as a part of a larger transaction between Raymond James Financial, Inc. and TriState Capital Holdings. Your fund family continues to operate efficiently and effectively as we have transitioned from being physically distanced to working more in the office while minding current guidelines to keep associates healthy and safe.

The past year has been quite challenging across global markets with both bonds and equities declining by double digits. Global central banks embarked on a monetary tightening campaign in response to the highest levels of inflation in decades. Continued supply-chain disruptions and a war between Russia and Ukraine exacerbated inflationary pressures brought on by supply-demand dislocations from the COVID-19 pandemic, resulting in painful price increases globally. The U.S. Federal Reserve was late to act, and consequently the path of rate hikes has been the steepest in decades ... and there is still room for more this year.

The rapid tightening of financial conditions led to significant valuation compression across equity markets. Higher-duration companies, including information technology, biotechnology, and communication services companies were impacted the most. Many of the best-performing companies during the COVID-19 pandemic have been among the worst performers over the past 12 months. Tighter financial conditions also have led to increased recessionary risks, which have weighed on the performance of more cyclical companies, particularly those exposed to the consumer. Additionally, increased recession probabilities have pressured shares of smaller companies, contributing to one of the worst periods for the Russell 2000® Index since its inception.

While it has been a very challenging 12-month stretch, it is worth pointing out that many broad-market equity indices

remain at or above where they were two years ago. Bond rates also have moved higher, which has been a mixed blessing for fixed income investors and managers. But for the first time in more than 12 years, investors do not need to assume additional risk to find attractive yields. Dispersion also has increased considerably across equity and fixed income markets, creating an opportunity for active managers to add value for clients via security selection.

Volatility and a continued focus on inflation may force investors to be more selective in choosing the companies that they believe can thrive in this environment. Carillon Fund Managers, including the Chartwell Portfolio Managers, believe they continue to see opportunity in the current market environment for their research-driven strategies.

As with all investments, investing in any mutual fund carries certain risks. The principal risk factors for each fund are described at the end of this report. Carefully consider the investment objectives, risks, charges, and expenses of any fund before you invest. Contact us at 888.995.5505 or rjinvestmentmanagement.com or call your financial professional for a prospectus, or summary prospectus, which contains this and other important information about the Carillon Family of Funds. Read the prospectus, or summary prospectus, carefully before you invest or send money.

We are grateful for your continued support of the Carillon and Chartwell Family of Funds and hope we can continue to be a partner in helping you achieve your financial goals. I hope you will read the commentaries that follow, in which our Portfolio Managers discuss their specific funds.

Sincerely,

 

LOGO

Susan Walzer

President, Carillon Series Trust

February 16, 2023

 

 

This commentary reflects the President’s views as of this report’s period end and are subject to change at any time. Diversification does not guarantee investment returns and does not eliminate risk of loss. All investments entail risks, including the possible loss of principal. For more up-to-date information, you can visit our website at rjinvestmentmanagement.com.

 

               1  


Performance Summary and Commentary

 

Carillon Chartwell Income Fund           

 

Portfolio Managers  |  David C. Dalrymple, CFA®, T. Ryan Harkins, CFA®, Andrew S. Toburen, CFA®, Thomas R. Coughlin, CFA®, CMT, Jeffrey D. Bilsky, John M. Hopkins, CFA® and Christine F. Williams, , are Portfolio Managers of the Carillon Chartwell Income Fund (the “Fund”) and are jointly and primarily

responsible for the day-to-day management of the Fund. Each of the

portfolio managers, other than Mr. Hopkins and Ms. Williams, served as a

member of the predecessor fund’s portfolio management team from

March 1, 2019 to June 2022. Mr. Hopkins and Ms. Williams each served

as a member of the predecessor fund’s portfolio management team from

March 1, 2021 to June 2022. Each of the portfolio managers has served

as a portfolio manager of the Fund since July 2022.

Performance discussion  |  The Fund (“BERIX”) returned -10.14% in 2022, closing out the year with a net asset value of $12.29. During the 1-year period ended December 31, 2022, BERIX outperformed, on a relative basis, the Bloomberg U.S. Aggregate Bond (“Bloomberg U.S. Aggregate”) and ICE BofA High Yield Cash Pay Indices, which returned -13.01% and -11.06%, respectively. Closing out 2022, stocks and bonds rallied, recouping most or all of the losses seen in Q3, however it wasn’t enough to recoup losses incurred earlier in the year. For the BERIX portfolio, the largest contributors to performance came from the Fund’s positions in precious metals and precious metal mining equities. Financial equities, along with some individual high-yield credits within the portfolio, lagged the market and were the largest detractors to performance. As of December 31, 2022, roughly 27% of the BERIX portfolio was invested in high-grade and high-yield corporate credit, while the BERIX equity allocation was approximately 21%. Additionally, BERIX held an average weight of 4.45% in cash during 2022, which helped buffer market volatility.

Within our fixed income sleeve, most of the outperformance was the result of better security selection with respect to corporate securities, which were only down -11.87% as compared to -15.53% for Bloomberg U.S. Aggregate Bond. Our allocation to preferred shares within the Fund was a minor benefit, as preferred shares were down -11.52% while the Bloomberg U.S. Aggregate had no exposure. Additionally, BERIX benefited by not having any exposure to municipal bonds, which were down -20.63% in the Bloomberg U.S. Aggregate.

Outlook & Positioning  |  Inflation pressures ebbed as we closed out 2022. During the months of October and November, the month-over-month core Consumer Price Index (“CPI”) dropped to readings of 0.3% and 0.2%, respectively. Prior to the October release, the month-over-month core CPI had averaged 0.5% for the previous nine months. We believe that these numbers paint a picture of waning inflation pressures, particularly in the consumer goods sectors, but also in the services sector, the latter of which is more closely watched by the Fed.

Unemployment continues to remain low as job openings exceed unemployment across most sectors. There are several factors contributing to the lack of labor supply, but we believe that the two most glaring factors are labor participation and a lack of immigration. As of November 2022, the labor participation rate in the U.S. stood at 62.1%, nearly a full percentage point below the pre-COVID 5-year average. Increasing retirement among Baby Boomers is clearly a secular force pushing this number lower and should continue to be a headwind. Due to immigration restrictions in place during 2020 and 2021, growth in the working-age, foreign-born population remains well below its 5-year trend. On the bright side, net international migration seems to have bounced back in 2022. The Census Bureau estimates that the trailing 12-month number reached levels in June 2022 not seen since 2017. It should be noted that border policy and travel restrictions were not lifted until late 2021 in the U.S., leaving room for the 2023 number (calculated between July 2022 and June 2023) to rise further. We think that, in time, this could help offset some of the headwinds to labor supply.

With inflation pressures waning, it appears that the U.S. Federal Reserve (Fed) will not continue to raise interest rates as aggressively as in 2022. That said, Fed officials continue to indicate that short-term interest rates are likely to rise over the coming months in order to balance the job market. The federal funds

futures market is pricing in two additional interest rate increases of 0.25% each in advance of the March 2023 meeting, which aligns well with projections. The market seems to believe these hikes will quickly be reversed, as it is also pricing in a year-end federal funds interest rate of approximately 4.3%. However, members of the Fed have proactively negated this speculation, indicating that the federal funds rate will not be decreased prior to 2024.

The yield curve, as measured by the difference between the yield on the 10-Year U.S. Treasury Note and 3 Month U.S. Treasury Bill, became inverted this fall. Historically, such inversions have been a precursor to recessions, though the timing of the subsequent recession has varied. As of this writing, the curve has pressed lower to levels not seen since December 2000.

We thank you for your ongoing support of the Fund and the trust placed in the investment management team. As you review this summary and the table below, please keep in mind that an index is not available for direct investment; therefore, its performance does not reflect the expenses associated with the management of an actual portfolio.

Performance data represented is historical and does not guarantee future results. The investment return and principal value of an investment will fluctuate, and you may have a gain or loss when you sell shares. Current performance may be higher or lower than the performance data quoted. To obtain more current performance data as of the most recent month-end, please visit our website at rjinvestmentmanagement.com.

Carillon Chartwell Mid Cap Value Fund

Portfolio Managers  |  David C. Dalrymple, CFA® and T. Ryan Harkins, CFA® are Portfolio Managers of the Carillon Chartwell Mid Cap Value Fund (the “Fund”) and are jointly and primarily responsible for the day-to-day management of the Fund. Mr. Dalrymple served as Senior Portfolio Manager of the predecessor fund from 1997 to June 2022. Mr. Harkins has served as a member of the predecessor fund’s portfolio management team from March 1, 2020 to June 2022. Each of the portfolio managers has served as a portfolio manager of the Fund since July 2022.

Performance discussion  |  The Fund (“BERCX”) on a relative basis, outpaced the Russell Mid Cap Value Index (“Index”) by approximately 40 bps in 2022, returning -11.63% as compared to the index return of -12.03%. BERCX’s closing net asset value was $16.50. Allocation effects cancelled out one another, and stock selection was mixed. A modest cash position in a down market accounted for most of the outperformance. The biggest contributor was in Consumer Services, where auto parts retailer AutoZone benefited from increased discretionary demand. In Business Services, chemicals distributor Univar reported strong results and was rumored to be an acquisition target. In Consumer Staples, valued-added potato processor Lamb Weston was rewarded by investors for demonstrating pricing power in an inflationary environment.

The biggest detractor was Healthcare, where weakening orders raised concerns about competitive positioning for Contract Research Organization services provider Syneos. In Financial Services, life insurer Lincoln Financial announced a sizable reserve charge. In Energy, the best performing sector, E&P Pioneer, lagged companies with less defensive characteristics.

Outlook & Positioning  |  The market rebounded in Q4 2022 as investors anticipated moderating inflation, less restrictive monetary policy, and a soft landing for the economy. As we head into 2023, we remain hopeful, but inflation has proven to be very sticky in the past, and the Federal Reserve may not ease fiscal policies as much or as quickly as investors currently expect. Regardless, we do not expect another round of speculation in risky assets to materialize in the near term. Investors have been badly burned by “meme” stocks, SPACs, and other speculative investments, and we suspect they will continue to differentiate companies by their fundamental performance and favor those with durable businesses and sensible capital structures. We welcome such an investing environment and will continue to prioritize value,

 

 

2             


Performance Summary and Commentary

 

Carillon Chartwell Mid Cap Value Fund (cont’d)           

 

improving fundamentals, and quality when selecting stocks. As always, bottom-up decisions will drive portfolio positioning, with our top-down economic outlook and view of industry prospects having a small influence on sector allocation. As of December 31, 2022, the largest overweights in the Carillon Chartwell Mid Cap Value portfolio relative to the Index were in Consumer Cyclical, Basic Industry, and Consumer Services and the largest underweights relative to the Index were in Financial Services, Healthcare, and REITs.

We thank you for your ongoing support of the Fund and the trust placed in the investment management team. As you review this summary and the table below, please keep in mind that an index is not available for direct investment; therefore, its performance does not reflect the expenses associated with the management of an actual portfolio.

Performance data represented is historical and does not guarantee future results. The investment return and principal value of an investment will fluctuate, and you may have a gain or loss when you sell shares. Current performance may be higher or lower than the performance data quoted. To obtain more current performance data as of the most recent month-end, please visit our website at rjinvestmentmanagement.com.

Carillon Chartwell Small Cap Value Fund

Portfolio Managers  |  David C. Dalrymple, CFA® and T. Ryan Harkins, CFA® are Portfolio Managers of the Carillon Chartwell Small Cap Value Fund (the “Fund”) and are jointly and primarily responsible for the day-to-day management of the Fund. Mr. Dalrymple served as Senior Portfolio Manager for the Fund’s predecessor from its inception on March 16, 2012 to June 2022. Mr. Harkins served as a member of the predecessor fund’s portfolio management team from March 1, 2020 to June 2022. Each of the portfolio managers has served as a portfolio manager of the Fund since July 2022.

Performance discussion  |  The Fund (“CWSIX”) outpaced the Russell 2000 Value Index (Index), on a relative basis, by approximately 447 bps in 2022, returning -9.71% as compared to the Index return of -14.48%. CWSIX’s closing net asset value was $17.75. Sector allocation was a positive contributor but stock selection was the primary driver of outperformance in 7 of 12 sectors. The biggest contributor was the Technology sector, where performance was positively impacted by our emphasis on profitable, durable business models. Government services provider Parsons, the best performer, enjoyed significant backlog growth. In the Healthcare sector, an underweight position relative to the Index was helpful along with a lack of exposure to biotechnology companies. Home health services provider LHC Group also accepted a takeover offer, which contributed positively to performance. In the Financial Services sector, stock selection was good in both banks and insurance. Regional bank CVB Financial benefited from its reputation for strong credit quality.

The biggest detractor from performance was the Energy sector, where an underweight in the Index’s best performing sector was a drag on performance. Also, stock selection was negatively impacted by higher exposure to the oil services and equipment industry, which trailed exploration and production due to dependence on higher activity as compared to higher commodity prices. In the Consumer Services sector, family diner franchisor Denny’s struggled with labor and other cost pressures. In addition, specialty paper manufacturer Glatfelter was negatively impacted by cost inflation.

Outlook & Positioning  |  The market rebounded in Q4 2022 as investors anticipated moderating inflation, less restrictive monetary policy, and a soft landing for the economy. As we head into 2023, we remain hopeful, but inflation has proven to be very sticky in the past, and the Federal Reserve may not ease fiscal policies as much or as quickly as investors currently expect. Regardless, we do not expect another round of speculation in risky assets to materialize in the near term. Investors have been badly burned by “meme” stocks, SPACs, and other speculative investments, and we suspect they will continue to differentiate companies by their fundamental performance and

favor those with durable businesses and sensible capital structures. We welcome such an investing environment and will continue to prioritize value, improving fundamentals, and quality when selecting stocks. As always, bottom-up decisions will drive portfolio positioning, with our top-down economic outlook and view of industry prospects having a small influence on sector allocation. As of December 31, 2022, the Fund’s largest overweight positions relative to the Index were in Capital Spending, Technology, and Business Services and the largest underweights were in REITs, Healthcare, and Utilities.

We thank you for your ongoing support of the Fund and the trust placed in the investment management team. As you review this summary and the table below, please keep in mind that an index is not available for direct investment; therefore, its performance does not reflect the expenses associated with the management of an actual portfolio.

Performance data represented is historical and does not guarantee future results. The investment return and principal value of an investment will fluctuate, and you may have a gain or loss when you sell shares. Current performance may be higher or lower than the performance data quoted. To obtain more current performance data as of the most recent month-end, please visit our website at rjinvestmentmanagement.com.

Carillon Chartwell Short Duration High Yield Fund

Portfolio Managers  |  Andrew S. Toburen, CFA®, John M. Hopkins, CFA®, and Christine F. Williams are jointly and primarily responsible for the day-to-day management of the Carillon Chartwell Short Duration High Yield Fund (the “Fund”). Mr. Toburen, Mr. Hopkins and Ms. Williams have been the portfolio managers for the Fund since July 2022, and served as the portfolio managers of the Fund’s predecessor from its inception in 2014 to June 2022.

Performance discussion  |  The Fund (“CWFIX”) returned -3.17% in 2022, closing out the year with a net asset value of $9.15. CWFIX slightly underperformed, on a relative basis, the ICE BofA U.S. High Yield Corporate Cash Pay BB 1-3 Year Index (“Index”) which returned -3.07%. As of December 31, 2022, insurance (2.5%) and utilities (2.3%) were the portfolio’s best performing industries, while telecommunications (5.3%) and media (8.4%) lagged. Our trading in position for the CWFIX portfolio was modest for the year, with turnover registering approximately 35% for 2022. Notable additions to the portfolio included a company that designs lottery software systems and a large distributor of motor fuel. We also used inflows to add exposure to several existing positions with many of the purchases priced at what we believe were attractive discounts. At the end of Q4, the portfolio’s largest sector weights were in Financials (9.6%), Consumer Discretionary (9.4%) and Real Estate (9.1%). Average credit quality was similar to the Index and did not have a significant effect on relative performance. However, CWFIX had a slightly longer duration than the Index for most of 2022 which hurt relative performance.

The top two allocation contributors for CWFIX resulted from being overweight in basic materials, which contributed 58 bps of relative performance, and being underweight in the banking industry, which contributed 36 bps of relative performance. The top two allocation detractors resulted from being overweight in real estate, reducing 52 bps of relative performance, and overweight in technology & electronics, reducing 32 bps of relative performance.

Outlook & Positioning  |  While we wait for some sort of economic slowdown or outright recession, we believe that the current high yield bond market presents good opportunities for investors. With a yield to maturity near 9% as of December 31, 2022, we believe that the broad high yield market generates meaningful income that exceeds future inflation expectations. Spreads do not yet reflect levels typical of prior recessions, which we believe is a concern, but average prices and yields today are pricing in a meaningful amount of forward risk in our opinion. At the same time, average quality in the high yield market is

 

 

               3  


Performance Summary and Commentary

 

Carillon Chartwell Short Duration High Yield Fund (cont’d)           

 

as high as we have ever seen it. As of December 31, 2022, BB-rated issuers comprised 51% of the overall market, and according to Bank of America average net debt leverage was at an all-time low while average interest coverage was at an all-time high. We expect interest coverage to decline as companies refinance in a higher rate environment, but the starting point is strong. We also expect defaults and distressed exchanges to rise over the coming year as the economy weakens, but we believe that most of this activity will be confined to issuers rated CCC or weak B. Fundamental credit research and active management will be important first lines of defense against credit deterioration. In the current environment, we favor relatively lower-dollar-price, performing (i.e., non-distressed) high yield bonds that could offer attractive total return in addition to good income. The Fund’s quality and maturity ‘guardrails’ (BB-rated and average maturity of less than 3 years) remain fundamental to our investment process, as we believe these structural factors continue to aid in generating a relatively consistent and attractive income stream.

We thank you for your ongoing support of the Fund and the trust placed in the investment management team. As you review this summary and the table below, please keep in mind that an index is not available for direct investment; therefore, its performance does not reflect the expenses associated with the management of an actual portfolio.

Performance data represented is historical and does not guarantee future results. The investment return and principal value of an investment will fluctuate, and you may have a gain or loss when you sell shares. Current performance may be higher or lower than the performance data quoted. To obtain more current performance data as of the most recent month-end, please visit our website at rjinvestmentmanagement.com.

Carillon Chartwell Small Cap Growth Fund

Portfolio Managers  |  Frank L. Sustersic, CFA® and Theresa H. Tran, CFA®, are the Portfolio Managers primarily responsible for the day-to-day management of the Carillon Chartwell Small Cap Growth Fund (the “Fund”). Mr. Sustersic has managed the Fund since July 1, 2022 and served as the Portfolio Manager of the Fund’s predecessor from its inception in 2017 to June 2022. Ms. Tran became a Portfolio Manager of the Fund effective July 31, 2022.

Performance discussion  |  The Fund (“CWSGX”) underperformed, on a relative basis, the Russell 2000 Growth Index (“Index”) during 2022, returning -30.83% compared to the benchmark return of -26.36%. CWSGX’s ending net asset value was $10.80. The Fund’s growth style was again out of favor among investors for the second consecutive year, with the Index underperforming the Russell 2000 Value Index by 11.8% in 2022. With the U.S. Federal Reserve (Fed) raising rates at a record clip, we believe that there are legitimate concerns that economic activity will decline in several sectors, and not just the Real Estate sector. During 2022, each sector within the Russell 2000 Growth suffered negative returns, with the Healthcare, Information Technology and, Consumer Discretionary sectors all suffering losses in excess of 25%. Relative to the benchmark, the Fund’s top performing sector was the Consumer Discretionary sector, where excellent stock selection led to strong relative returns. Conversely, Energy and Materials were the two sectors with the greatest relative underperformance. In hindsight, the portfolio did not have enough exposure to the sectors that would benefit from the surprisingly high levels of commodity inflation that was seen in the first half of 2022.

In 2022, the top overall contributor to performance was WillScot Mobile Mini Holdings, which gained 11% for the year. This company is a combination of the top two largest modular space and storage companies. Since the merger closed in July 2020, the combined company has exceeded all of their synergies and corporate targets, and their positioning allows them to experience strong pricing

power, thus insulating them from the negative impacts of inflation. WillScot Mobile Mini is the largest holding within the portfolio. The next largest contributor was Axonics, which returned 12% in 2022. Axonics is a medical device manufacturer which sells sacral nerve stimulation systems to treat patients suffering from bladder and bowel disorders. The company has gained significant market share after the launch of their latest system that is much smaller and more effective compared to its competitor. Axonics is also now cross-selling a bulking agent that gives the company access to new sales channels within the urologist community. We believe that the acquisition was a fantastic strategic move by the Axonics management team.

The largest detractor to the Fund’s performance was Tandem Diabetes Care, which had a -71% return. Tandem Diabetes has disappointed investors this year as they are losing market share in the US diabetic pump industry to two other larger medical device companies, but we still maintain a position. New patient starts have disappointed investors, and it’s unclear if the upcoming product launch of a new device, the Mobi, will reverse the loss of new patient market share. Another underperformer was Rapid7, which also had a -71% return. Rapid7 is an enterprise cybersecurity software company particularly focused on the segment of Vulnerability Management. Rapid7, like other software companies, is experiencing longer sales cycles and lower visibility due to budget shifts that are occurring within their enterprise customers. While the cybersecurity end-market appears to be more robust than other software end-markets, all cybersecurity stocks have been very weak performers nonetheless, suffering from significant valuation compression. We are maintaining a position in Rapid7.

Outlook & Positioning  |  It is refreshing that, for the first time in three years, COVID-19 is not a factor constraining economic activity. Instead, we believe that focus is completely on the actions of the Fed, and whether the Fed can be successful in controlling inflation without pushing the U.S. economy into a significant recession. Also presenting challenges for investors has been volatile commodity inflation in the first half of 2022, and strong labor inflation throughout the year. Add in the record strength in the US dollar, which peaked at the end of Q3, and supply chain challenges in multiples sectors, and it appears that overall earnings visibility is dramatically lower.

Coming out of recessions and bear markets, we think that small-cap stocks tend to outperform large-cap stocks, and the valuation of small-cap stocks, consistent with the market capitalization of the Russell 2000 Index, is generally very attractive compared to large-cap stocks, consistent with the market-capitalization of the Russell 1000 Index. Most importantly, many of the challenges facing small-cap stocks earlier in 2022, such as surging freight costs and elevated energy costs, are reversing sharply. We think that the margin headwinds facing many small-cap companies last year may be tailwinds as early as the second quarter of 2023. We continue to find compelling investment opportunities, especially in the commercial biotechnology industry, as well as in the broadband/communication service industries.

We remain focused on generating alpha and producing the strongest investment results we can for you over the long run. We thank you for your continuing support of the Fund. As you review this summary and the table below, please keep in mind that an index is not available for direct investment; therefore, its performance does not reflect the expenses associated with the management of an actual portfolio.

Performance data represented is historical and does not guarantee future results. The investment return and principal value of an investment will fluctuate, and you may have a gain or loss when you sell shares. Current performance may be higher or lower than the performance data quoted. To obtain more current performance data as of the most recent month-end, please visit our website at rjinvestmentmanagement.com.

 

 

4             


Performance Summary and Commentary

 

Carillon Chartwell Short Duration Bond Fund           

 

Portfolio Managers  |  Andrew S. Toburen, CFA®; Thomas R. Coughlin, CFA®, CMT; James Fox; John M. Hopkins, CFA®; and Christine F. Williams are Portfolio Managers of the Carillon Chartwell Short Duration Bond Fund (the “Fund”) and are jointly and primarily responsible for the day-to-day management of the Fund. Each of the portfolio managers has served as a member of the Fund’s portfolio management team since its inception in July 2022, and previously served as Portfolio Managers of the Fund’s predecessor from its inception in September 2021 to July 2022.

Performance discussion  |  The Fund (“CWSDX”) returned -3.15% in 2022, closing out the year with a net asset value of $9.50. CWSDX slightly outperformed, on a relative basis, the Bloomberg 1-3 Yr. US Government/Credit Index (“Index”) (-3.69%) by 0.54%. For the calendar year 2022, outperformance relative to the Index was strong enough to result in a top decile peer ranking as measured by the Morningstar, Inc. US Fund Short-Term Bond category. As of December 31, 2022, corporate bonds, more specifically in the Financials (28.4%) and Industrials (26.3%) sectors, were the Fund’s best performing sectors; while the more interest-rate sensitive investment segments, Treasuries (24.6%) and Agencies (7.5%), lagged. This is reflective of the risk premium, or spread as compared to U.S. Treasury bills, tightening during the quarter across the credit spectrum and the bear-flattening move in front-end rates.

The Fund’s duration was extended as rates moved higher to represent a largely neutral stance relative to the Index. We expect to continue this tactical shift and assume a slightly longer duration position as market re-pricing from further interest rate hikes reverberates through risk assets, causing heightened bouts of volatility and overshooting in rates. We believe that this approach will facilitate the portfolio’s ability to capture the embedded value of the interest rate cycle and is an added benefit to our short duration strategy where the risk dynamic presents an opportunity for the Fund to benefit from a higher yielding environment.

The leading contributor to outperformance was the allocation to high yield securities (10.2%). The allocation to corporate securities rated below investment grade (high yield) is concentrated in names that carry BB ratings and this portion of the Fund’s portfolio has historically outperformed its investment grade counterparts and offset interest rate increases. We believe that the enhanced income from this basket mitigates the underlying interest rate risk and is the key differentiator towards generating alpha. The largest detractor to relative performance was the significant underweight to U.S. Treasury bills (24.6%). The Fund’s positioning across the front-end of the Treasury curve helped offset some of the allocation effect.

Outlook & Positioning  |  As we expected, inflation has started to decline from the highs set in the summer of 2022. We continue to expect year-over-year core inflation to trend towards 3% from the current readings. The move lower has caught many by surprise and we think it should be persistent throughout 2023. Longer term, we believe inflation will remain persistently higher than it has over the last 20 years as supply chains in the U.S. continue to reduce their dependence on less expensive labor overseas while also dealing with the labor shortage domestically.

With regard to the U.S. economy, we see continued strength in the labor market in 2023, which may provide a cushion for the U.S. Federal Reserve’s (Fed) tighter monetary policy. With an economy that is built on the consumer, we believe that jobs are what matter the most to Gross Domestic Policy (“GDP”) and as of today, they seem plentiful. However, with inflation and wage growth starting to revert to levels below the Federal Funds rate, it appears that monetary policy has become sufficiently tight. If the Fed continues to raise interest rates over the coming quarters, we believe the economy will start to falter as we head into the second half of 2023, though a recession might not take hold until later in 2023. The Fund’s quality and maturity ‘guardrails’ (solid Investment Grade rating and effective duration of less than three years) remain

fundamental to our investment process, as we believe these structural factors continue to aid in generating a relatively consistent and attractive income stream.

We thank you for your ongoing support of the Fund and the trust placed in the investment management team. As you review this summary and the table below, please keep in mind that an index is not available for direct investment; therefore, its performance does not reflect the expenses associated with the management of an actual portfolio.

Performance data represented is historical and does not guarantee future results. The investment return and principal value of an investment will fluctuate, and you may have a gain or loss when you sell shares. Current performance may be higher or lower than the performance data quoted. To obtain more current performance data as of the most recent month-end, please visit our website at rjinvestmentmanagement.com.

 

 

               5  


Growth of a $10,000 Investment

 

Carillon Chartwell Income Fund from 12/31/12 to 12/31/22 (a)

 

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Carillon Chartwell Mid Cap Value Fund from 12/31/12 to 12/31/22 (a)

 

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Carillon Chartwell Small Cap Value Fund from 12/31/12 to 12/31/22 (a)

 

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All Index returns reflect no deduction for fees, expenses or taxes.

 

6             


Growth of a $10,000 Investment

 

Carillon Chartwell Short Duration High Yield Fund from 7/15/14 to 12/31/22 (a)

 

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Carillon Chartwell Small Cap Growth Fund from 6/16/17 to 12/31/22 (a)

 

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Carillon Chartwell Short Duration Bond Fund from 9/22/21 to 12/31/22 (a)

 

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(a) Each Fund’s values and returns reflect fund expenses and the reinvestment of dividends; however, they do not reflect the deduction of taxes that you would pay on fund distributions or redemption of fund shares. Additional information regarding the performance and the expenses of each Fund, including fee waivers and/or expense reimbursements or recoupments, which affect performance, is included in each Fund’s Prospectus dated July 1, 2022, as supplemented from time to time, and elsewhere in this report. Returns shown are calculated using the net asset values (“NAV’s”) that were used for shareholder transactions as of the respective period ends. These NAV’s, and the returns calculated from them, may differ from the NAV’s and returns shown elsewhere in this report.

Performance data represented is historical and does not guarantee future results. The investment return and principal value of an investment will fluctuate, and you may have a gain or loss when you sell shares. Current performance may be higher or lower than the performance data quoted. To obtain more current performance data as of the most recent month-end, please visit our website at rjinvestmentmanagement.com.

 

 

All Index returns reflect no deduction for fees, expenses or taxes.

 

               7  


Description of Indices

 

The Bloomberg U.S. Aggregate Bond Index is an unmanaged index composed of the Bloomberg U.S. Government/Credit Index and the Bloomberg U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, corporate bond issues and mortgage-backed securities and is intended to be generally representative of the bond market as a whole.

The ICE BoFA High Yield Cash Pay Index is an index of all sectors of the non-investments grade bond market.

The Russell 3000® Value Index measures the performance of the broad value segment of the U.S. equity value universe.

The Russell Midcap® Value Index measures the performance of those Russell Midcap companies with lower price/book ratios and lower forecasted growth values.

The Russell 2000® Value Index measures the performance of the Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

The ICE BofA U.S. High Yield Corporate Cash Pay BB 1-3 Year Index is a subset of the ICE BofA U.S. Cash Payout High Yield Index including all securities with a remaining term to final maturity less than 3 years and rated BB1 through BB3, inclusive.

The Bloomberg Intermediate U.S. Government/Credit Index is a broad-based flagship benchmark that measures the non-securitized component of the U.S. Aggregate Index. It includes investment grade, U.S. dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.

The Russell 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 Index companies with higher price-to-value ratios and higher forecasted growth values.

The Bloomberg 1-3 Year U.S. Government/Credit Index is a broad-based flagship benchmark that measures the performance of U.S. Treasury securities that have a maturity of 1-3 years. It includes investment grade, U.S. dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.

The 25% Russell 3000 Value /55% Bloomberg US Aggregate Bond/20% ICE BofA High Yield Cash Pay Blend is a custom benchmark consisting of 25% Russell 3000 Value, 55% Bloomberg U.S. Aggregate Bond, and 20% ICE BofA U.S. Cash Pay High Yield indices.

These indices do not reflect expenses, fees or sales charges, which would lower performance. These indices are unmanaged, and they are not available for investment.

 

8             


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL INCOME FUND

 

COMMON STOCKS—21.0%         Shares     Value  
Communications—1.2%                  
Entertainment content—0.1%                  

Activision Blizzard, Inc.

      3,922       $300,229  
Internet media & services—0.1%                  

Expedia Group, Inc. (a)

      2,400       210,240  
Telecommunications—1.0%                  

AT&T, Inc.

      29,216       537,867  

Verizon Communications, Inc.

      82,795       3,262,123  
        3,799,990  
Consumer discretionary—1.5%                  
Apparel & textile products—0.2%                  

Columbia Sportswear Company

      4,210       368,712  

NIKE, Inc.—Class B

      2,789       326,341  
        695,053  
Automotive—0.2%                  

General Motors Company

      7,686       258,557  

Harley-Davidson, Inc.

      10,565       439,504  
        698,061  
Home construction—0.1%                  

Masco Corporation

      5,320       248,284  
Leisure facilities & services—0.8%                  

Las Vegas Sands Corporation (a)

      59,000       2,836,130  
Retail-discretionary—0.2%                  

AutoZone, Inc. (a)

      221       545,026  

Home Depot, Inc. (The)

      1,136       358,817  
        903,843  
Consumer staples—0.7%                  
Beverages—0.1%                  

Coca-Cola Company (The)

      7,892       502,010  
Food—0.1%                  

Conagra Brands, Inc.

      4,655       180,148  

Lamb Weston Holdings, Inc.

      4,080       364,589  
        544,737  
Household products—0.1%                  

Procter & Gamble Company (The)

      2,866       434,371  
Retail-consumer staples—0.2%                  

Dollar Tree, Inc. (a)

      2,533       358,268  

Target Corporation

      1,875       279,450  
        637,718  
Tobacco & cannabis—0.2%                  

Philip Morris International, Inc.

      5,426       549,165  
Energy—0.7%                  
Oil & gas producers—0.6%                  

Diamondback Energy, Inc.

      1,563       213,787  

Exxon Mobil Corporation

      5,212       574,884  

Hess Corporation

      1,995       282,931  

Pioneer Natural Resources Company

      4,813       1,099,241  
        2,170,843  
Oil & gas services & equipment—0.1%                  

Baker Hughes, a GE Company

      9,368       276,637  
Financials—2.6%                  
Asset management—0.1%                  

Ares Capital Corporation

      17,263       318,847  

Blackstone, Inc.

      2,431       180,356  
        499,203  

 

 

COMMON STOCKS—21.0%         Shares     Value  
Banking—1.8%                  

Huntington Bancshares, Inc.

      20,731       $ 292,307  

JPMorgan Chase & Company

      22,563       3,025,698  

KeyCorp

      17,900       311,818  

M&T Bank Corporation

      1,058       153,474  

Pinnacle Financial Partners, Inc.

      28,289       2,076,413  

PNC Financial Services Group, Inc. (The)

      3,277       517,569  

Truist Financial Corporation

      7,130       306,804  
        6,684,083  
Institutional financial services—0.2%                  

Morgan Stanley

      5,990       509,270  
Insurance—0.4%                  

Allstate Corporation (The)

      3,775       511,890  

Arthur J. Gallagher & Company

      1,847       348,233  

Chubb Ltd.

      1,439       317,444  

Hanover Insurance Group, Inc. (The)

      2,569       347,149  
        1,524,716  
Specialty finance—0.1%                  

Synchrony Financial

      13,329       437,991  
Health care—2.6%                  
Biotech & pharma—2.2%                  

AbbVie, Inc.

      18,503       2,990,270  

Bristol-Myers Squibb Company

      48,097       3,460,579  

Johnson & Johnson

      4,524       799,164  

Merck & Company, Inc.

      7,184       797,065  
        8,047,078  
Health care facilities & services—0.2%                  

Quest Diagnostics, Inc.

      2,485       388,754  

Tenet Healthcare Corporation (a)

      6,199       302,449  

UnitedHealth Group, Inc.

      467       247,594  
        938,797  
Medical equipment & devices—0.2%                  

Abbott Laboratories

      4,613       506,461  

Danaher Corporation

      734       194,818  
        701,279  
Industrials—2.4%                  
Aerospace & defense—0.1%                  

L3Harris Technologies, Inc.

      1,119       232,987  
Diversified industrials—0.1%                  

Emerson Electric Company

      4,537       435,824  
Electrical equipment—0.1%                  

Littelfuse, Inc.

      1,932       425,426  
Machinery—1.8%                  

Caterpillar, Inc.

      1,042       249,622  

Gates Industrial Corporation plc (a)

      26,453       301,829  

Mueller Water Products, Inc.—Series A

      176,058       1,894,384  

Parker-Hannifin Corporation

      1,487       432,717  

Regal Rexnord Corporation

      3,733       447,885  

Snap-on, Inc.

      15,264       3,487,671  
        6,814,108  
Transportation & logistics—0.2%                  

Saia, Inc. (a)

      1,345       282,020  

United Parcel Service, Inc.—Class B

      1,857       322,821  
        604,841  
Transportation equipment—0.1%                  

PACCAR, Inc.

      2,381       235,648  

 

The accompanying notes are an integral part of the financial statements.           9  


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL INCOME FUND (cont’d)

 

COMMON STOCKS—21.0%         Shares     Value  
Materials—6.6%                  
Chemicals—0.4%                  

Air Products & Chemicals, Inc.

      1,039       $ 320,282  

FMC Corporation

      5,005       624,624  

Univar Solutions, Inc. (a)

      16,818       534,812  
        1,479,718  
Construction materials—0.2%                  

Vulcan Materials Company

      3,098       542,491  
Metals & mining—6.0%                  

Alamos Gold, Inc.—Class A

      735,000       7,430,850  

Centerra Gold, Inc.

      370,000       1,915,654  

Hecla Mining Company

      470,000       2,613,200  

Kinross Gold Corporation

      700,000       2,863,000  

Southern Copper Corporation

      6,417       387,523  

SSR Mining, Inc.

      440,000       6,894,800  
        22,105,027  
Real estate—0.6%                  
REITs—0.6%                  

Crown Castle, Inc.

      4,000       542,560  

Healthcare Realty Trust, Inc.

      14,884       286,815  

Healthpeak Properties, Inc.

      8,855       221,995  

Life Storage, Inc.

      2,956       291,166  

Mid-America Apartment Communities, Inc.

      3,053       479,290  

Weyerhaeuser Company

      9,391       291,121  
        2,112,947  
Technology—1.6%                  
Semiconductors—0.3%                  

Intel Corporation

      9,980       263,772  

Micron Technology, Inc.

      4,571       228,459  

NVIDIA Corporation

      1,360       198,750  

QUALCOMM, Inc.

      2,766       304,094  
        995,075  
Software—0.1%                  

Microsoft Corporation

      1,182       283,467  
Technology hardware—1.1%                  

Apple, Inc.

      1,987       258,171  

Ciena Corporation (a)

      72,212       3,681,368  

Seagate Technology Holdings plc

      5,593       294,247  
        4,233,786  
Technology services—0.1%                  

DXC Technology Company (a)

      14,244       377,466  
Utilities—0.5%                  
Electric utilities—0.5%                  

Ameren Corporation

      4,639       412,500  

American Electric Power Company, Inc.

      5,730       544,063  

CMS Energy Corporation

      3,890       246,354  

NextEra Energy, Inc.

      5,291       442,328  

Public Service Enterprise Group, Inc.

      6,954       426,071  
        2,071,316  
Total common stocks (cost $70,329,932)         77,099,855  
EXCHANGE-TRADED FUNDS—1.5%              

iShares Silver Trust (a) (Cost $4,789,549)

      250,000       5,505,000  

 

 

PREFERRED STOCKS—2.0%         Shares     Value  
Communications—0.0% (b)                  
Entertainment content—0.0% (b)                  

Paramount Global, Series A, 5.75%

      5,800       $ 143,666  
Financials—0.9%                  
Specialty finance—0.9%                  

Annaly Capital Management, Inc., Series F, 8.66% (c)

      136,929       3,338,329  
Real estate—1.1%                  
REITs—1.1%                  

New Residential Investment Corporation, Series C, 6.38% (c)

      223,033       3,836,168  
Total preferred stocks (cost $7,548,964)         7,318,163  
CORPORATE BONDS—26.3%     Par Value     Value  
Communications—1.5%                  

Consolidated Communications Holdings, Inc., 6.50% due 10/1/2028 (d)

      $975,000       757,634  

Liberty Interactive, LLC, 8.50% due 7/15/2029

      1,000,000       490,705  

Warnermedia Holdings, Inc., 5.141% due 3/15/2052 (d)

      4,775,000       3,471,265  

Sugarhouse HSP Gaming, 5.88% due 5/15/2025 (d)

      780,000       728,113  
        5,447,717  
Consumer discretionary—2.9%                  

AAG FH L.P./AAG FH Finco, Inc., 9.75% due 7/15/2024 (d)

      827,000       793,920  

Affinity Gaming, 6.88% due 12/15/2027 (d)

      1,200,000       1,017,407  

AutoNation, Inc., 3.80% due 11/15/2027

      1,272,000       1,156,756  

Ford Motor Credit Company, LLC, 4.54% due 8/1/2026

      2,725,000       2,510,829  

General Motors Financial Company, Inc., 5.65% due 1/17/2029

      1,629,000       1,600,088  

Kohl’s Corporation, 5.55% due 7/17/2045

      2,684,000       1,690,920  

QVC, Inc., 5.95% due 3/15/2043

      1,645,000       806,050  

StoneMor, Inc., 8.50% due 5/15/2029 (d)

      1,520,000       1,216,000  
        10,791,970  
Consumer staples—0.8%                  

JBS USA Lux S.A., 5.13% due 2/1/2028 (d)

      3,080,000       2,917,908  
Energy—4.1%                  

Blue Racer Midstream, LLC/Blue Racer Finance Corporation, 6.63% due 7/15/2026 (d)

      1,463,000       1,416,140  

Earthstone Energy Holdings, LLC, 8.00% due 4/15/2027 (d)

      1,680,000       1,607,172  

Energy Transfer Operating, L.P., 7.13% (H15T5Y + 530.6), due 5/15/2030 (c)

      4,358,000       3,638,930  

EnLink Midstream Partners, L.P., 4.85% due 7/15/2026

      1,275,000       1,198,536  

Genesis Energy, L.P./Genesis Energy Finance Corporation, 5.63% due 6/15/2024

      1,200,000       1,157,993  

Parkland Fuel Corporation, 5.88% due 7/15/2027 (d)

      1,373,000       1,303,663  

Permian Resources Operating, LLC, 7.75% due 2/15/2026 (d)

      1,375,000       1,333,805  

Plains All American Pipeline, L.P., 3.80% due 9/15/2030

      2,345,000       2,043,682  

Summit Midstream Holdings, LLC/Summit Midstream Finance Corporation, 8.50% due 10/15/2026 (d)

      1,570,000       1,495,299  
        15,195,220  
Financials—7.2%                  

Ares Capital Corporation, 4.20% due 6/10/2024

      3,035,000       2,930,989  

Ares Capital Corporation, 3.25% due 7/15/2025

      3,390,000       3,121,877  

Bank of America Corporation, 5.53% (3MO LIBOR + 76), due 9/15/2026 (c)

      1,707,000       1,656,955  

Citizens Financial Group, Inc., 6.00% (3MO LIBOR + 300.3), due 12/31/2099 (c)(e)

      2,750,000       2,530,339  

Lincoln National Corporation, 3.05% due 1/15/2030

      2,495,000       2,071,587  

NMI Holdings, Inc., 7.38% due 6/1/2025 (d)

      990,000       999,900  

 

10         The accompanying notes are an integral part of the financial statements.


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL INCOME FUND (cont’d)

 

CORPORATE BONDS—26.3%     Par Value     Value  
Financials (cont'd)                  

Owl Rock Capital Corporation, 3.40% due 7/15/2026

      $ 3,175,000       $ 2,772,273  

PennyMac Corporation, 5.50% due 3/15/2026

      7,000,000       5,665,625  

PRA Group, Inc., 5.00% due 10/1/2029 (d)

      1,650,000       1,361,250  

Provident Funding Associates, L.P./PFG Finance Corporation, 6.38% due 6/15/2025 (d)

      1,649,000       1,434,630  

Starwood Property Trust, Inc., 3.63% due 7/15/2026 (d)

      1,120,000       980,000  

StoneX Group, Inc., 8.63% due 6/15/2025 (d)

      884,000       892,840  
        26,418,265  
Health care—0.3%                  

Prime Healthcare Services, Inc., 7.25% due 11/1/2025 (d)

      1,065,000       899,930  
Industrials—3.0%                  

American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50% due 4/20/2026 (d)

      2,625,000       2,524,322  

Boeing Company (The), 5.15% due 5/1/2030

      1,600,000       1,561,023  

Brundage-Bone Concrete Pumping Holdings, Inc., 6.00% due 2/1/2026 (d)

      2,135,000       1,946,364  

Delta Air Lines, Inc., 7.38% due 1/15/2026

      193,000       197,196  

Gates Global, LLC/Gates Corporation, 6.25% due 1/15/2026 (d)

      1,500,000       1,447,500  

Harsco Corporation, 5.75% due 7/31/2027 (d)

      980,000       773,775  

JPW Industries Holding Corporation, 9.00% due 10/1/2024 (d)

      1,195,000       1,025,233  

Railworks Holdings, L.P./Railworks Rally, Inc., 8.25% due 11/15/2028 (d)

      1,680,000       1,554,000  
        11,029,413  
Materials—2.6%                  

Compass Minerals International, Inc., 4.88% due 7/15/2024 (d)

      1,410,000       1,355,362  

Fortress Transportation & Infrastructure Investors, LLC, 9.75% due 8/1/2027 (d)

      2,315,000       2,320,788  

GDP Cos, Inc., 10.13% due 4/1/2026 (d)

      1,353,000       1,153,433  

IAMGOLD Corporation, 5.75% due 10/15/2028 (d)

      2,400,000       1,863,457  

JW Aluminum Continuous Cast Company, 10.25% due 6/1/2026 (d)

      1,365,000       1,385,475  

Tacora Resources, Inc., 8.25% due 5/15/2026 (d)

      1,870,000       1,346,400  
        9,424,915  
Real estate—0.9%                  

Greystar Real Estate Partners, LLC, 5.75% due 12/1/2025 (d)

      1,550,000       1,514,741  

Safehold Operating Partnership, L.P., 2.85% due 1/15/2032

      2,490,000       1,889,772  
        3,404,513  
Technology—2.6%                  

Dell International, LLC/EMC Corporation, 6.20% due 7/15/2030

      1,565,000       1,591,015  

Hewlett Packard Enterprise Company, 6.35% due 10/15/2045

      2,759,000       2,751,761  

Likewize Corporation, 9.75% due 10/15/2025 (d)

      1,430,000       1,315,600  

Oracle Corporation, 3.95% due 3/25/2051

      2,895,000       2,062,512  

Oracle Corporation, 6.90% due 11/9/2052

      1,550,000       1,658,228  
        9,379,116  
Utilities—0.4%                  

NSG Holdings, LLC, 7.75% due 12/15/2025 (d)

      699,319       676,591  

Suburban Propane Partners, L.P., 5.88% due 3/1/2027

      900,000       855,181  
        1,531,772  
Total corporate bonds (cost $108,267,821)         96,440,739  

 

 

ASSET-BACKED SECURITIES—1.5%     Par Value     Value  

CoreVest American Finance, Ltd., Series 2019-3, 2.71% due 10/15/2052 (d)

      $ 1,506,980       $ 1,412,101  

Latitude Management Real Estate Investors, Inc., Series 2019-CRE3, 5.44% (1MO LIBOR + 140), due 12/22/2035 (c) (d)

      1,703,224       1,675,827  

NRZ Excess Spread Collateralized Notes, Series 2021-FHT1, 3.10% due 7/25/2026 (d)

      451,847       394,637  

NRZ Excess Spread Collateralized Notes, Series 2021-GNT1, 3.47% due 11/25/2026 (d)

      2,370,457       2,086,908  
Total asset-backed securities (cost $6,032,429)         5,569,473  
MORTGAGE-BACKED SECURITIES—22.2%        
Agency fixed rate—7.3%                  

Federal Home Loan Mortgage Corporation
Pool #G6-1858, 3.50%, due 1/1/2048

      2,341,176       2,171,776  

Federal Home Loan Mortgage Corporation
Pool #ZA-5269, 3.00%, due 2/1/2048

      824,612       733,927  

Federal Home Loan Mortgage Corporation
Pool #ZN-6606, 3.00%, due 6/1/2049

      998,413       886,319  

Federal Home Loan Mortgage Corporation
Pool #SD-0144, 3.00%, due 11/1/2049

      448,078       397,291  

Federal Home Loan Mortgage Corporation
Pool #QA-7416, 3.00%, due 2/1/2050

      3,426,722       3,031,863  

Federal National Mortgage Association
Pool #BN0356, 3.00%, due 12/1/2033

      1,036,203       972,870  

Federal National Mortgage Association
Pool #BP6565, 2.50%, due 8/1/2040

      2,123,572       1,867,910  

Federal National Mortgage Association
Pool #BP6638, 2.50%, due 8/1/2040

      2,063,820       1,815,348  

Federal National Mortgage Association
Pool #CA4128, 3.00%, due 9/1/2049

   

 

1,308,839

 

 

 

1,158,339

 

Federal National Mortgage Association
Pool #FM1526, 3.00%, due 9/1/2049

      1,829,619       1,620,822  

Federal National Mortgage Association
Pool #B03192, 3.00%, due 10/1/2049

      1,905,964       1,686,803  

Federal National Mortgage Association
Pool #BO8653, 3.00%, due 2/1/2050

      2,145,082       1,901,383  

Federal National Mortgage Association
Pool #BT1862, 2.50%, due 7/1/2051

      4,950,518       4,203,798  

Federal National Mortgage Association
Pool #MA4392, 2.50%, due 7/1/2051

      3,291,025       2,727,044  

Federal National Mortgage Association
Pool #FS0195, 2.50%, due 1/1/2052

      2,072,883       1,759,026  
        26,934,519  
Commercial—14.9%                  

Agate Bay Mortgage Loan Trust, Series 2016-2, 3.50%, due 3/25/2046 (d)

      1,044,986       929,428  

BDS Ltd., Series 2019-FL4, 5.01% (1MO LIBOR + 110), due 8/15/2036 (c) (d)

      40,097       40,097  

Flagstar Mortgage Trust, Series 2020-2, 3.00%, due 8/25/2050 (d)

      881,667       733,638  

Flagstar Mortgage Trust, Series 2021-1, 2.50%, due 2/1/2051 (d)

      1,722,044       1,386,919  

Flagstar Mortgage Trust, Series 2021-1, 2.50%, due 2/1/2051 (d)

      2,373,070       1,841,972  

FMC GMSR Issuer Trust, Series 2020-GT1, 4.45%, due 1/25/2026 (d)

      2,265,000       1,978,581  

GS Mortgage Securities Trust, Series 2020-PJ5, 3.00%, due 3/27/2051 (d)

      1,225,049       1,027,415  

 

The accompanying notes are an integral part of the financial statements.           11  


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL INCOME FUND (cont’d)

 

MORTGAGE-BACKED SECURITIES—22.2%     Par Value     Value  
Commercial (cont'd)                  

GS Mortgage Securities Trust, Series 2021-PJ1, 2.50%, due 6/25/2051 (d)

      $ 3,067,050       $ 2,380,822  

GS Mortgage Securities Trust, Series 2021-PJ2, 2.50%, due 7/25/2051 (d)

      2,744,925       2,131,511  

GS Mortgage Securities Trust, Series 2021-PJ3, 2.50%, due 8/25/2051(d)

      4,267,753       3,255,831  

GS Mortgage Securities Trust, Series 2021-PJ4, 2.50%, due 9/25/2051 (d)

      5,765,195       4,412,628  

GS Mortgage Securities Trust, Series 2022-MM1, 2.50%, due 7/25/2052 (d)

      1,784,270       1,531,755  

JPMorgan Mortgage Trust, Series 2020-LTV2, 3.00%, due 11/25/2050 (d)

      214,053       198,436  

JPMorgan Mortgage Trust, Series 2021-4, 2.50%, due 8/25/2051 (d)

      3,841,788       2,940,470  

JPMorgan Mortgage Trust, Series 2021-6, 2.50%, due 10/25/2051 (d)

      3,904,714       2,988,633  

JPMorgan Mortgage Trust, Series 2022-INV3, 3.00%, due 9/25/2052 (d)

      2,313,096       1,930,803  

JPMorgan Wealth Management Trust, Series 2020-ATR1, 3.00%, due 2/25/2050 (d)

      547,401       456,885  

Mello Mortgage Capital Acceptance Trust, Series 2021-MTG3, 2.50%, due 7/1/2051 (d)

      3,778,963       2,886,920  

NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, 3.84%, due 12/25/2025 (d)

      838,968       764,582  

Onslow Bay Financial, LLC, Series 2021-J1, 2.50%, due 5/25/2051 (d)

      4,183,546       3,195,999  

Onslow Bay Financial, LLC, Series 2019-EXP3, 3.50%, due 10/25/2059 (d)

      842,133       777,833  

Provident Funding Mortgage Trust, Series 2019-1, 3.00%, due 12/25/2049 (d)

      1,242,898       1,036,241  

Rate Mortgage Trust, Series 2021-J1, 2.50%, due 7/25/2051 (d)

      4,147,867       3,168,742  

RMF Buyout Issuance Trust, Series 2020-HB1, 1.72%, due 10/25/2050 (d)

      2,288,638       2,083,617  

Rocket Mortgage Trust, Series 2021-1, 2.50%, due 3/25/2051 (d)

      2,140,215       1,643,452  

Rocket Mortgage Trust, Series 2021-2, 2.50%, due 6/25/2051 (d)

      4,789,212       3,665,620  

Rocket Mortgage Trust, Series 2021-4, 2.50%, due 9/25/2051 (d)

      2,554,154       1,954,926  

Rocket Mortgage Trust, Series 2022-2, 2.50%, due 2/25/2052 (d)

      3,041,032       2,625,861  

Sequoia Mortgage Trust, Series 2019-5, 3.50%, due 12/25/2049 (d)

      795,666       684,804  
        54,654,421  
Total mortgage-backed securities (cost $100,700,820)         81,588,940  
U.S. GOVERNMENT & AGENCY OBLIGATIONS—22.9%        
Federal farm credit bank—1.5%                  

Federal Farm Credit Bank, 3.30%, due 3/23/2032

      3,125,000       2,806,598  

Federal Farm Credit Bank, 3.80%, due 4/5/2032

      3,075,000       2,830,431  
        5,637,029  
Federal home loan bank—2.0%                  

Federal Home Loan Bank, 1.15%, due 2/26/2031

      2,660,000       2,178,136  

Federal Home Loan Bank, 1.25%, due 7/7/2031

      6,100,000       5,090,694  
        7,268,830  

 

 

U.S. GOVERNMENT & AGENCY
OBLIGATIONS—22.9%
        Par Value     Value  
Small business administration—0.8%                  

Small Business Administration Participation Certificates, 3.20%, due 3/1/2039

      $ 3,250,254       $ 3,062,977  
Sovereign—0.4%                  

U.S. Treasury Bonds, 3.00%, due 8/15/2052

      1,550,000       1,277,055  
U.S. Treasury bonds—4.0%                  

U.S. Treasury Bonds, 3.75%, due 8/15/2041

      5,880,000       5,576,583  

U.S. Treasury Bonds, 1.88%, due 2/15/2051

      5,335,000       3,390,643  

U.S. Treasury Bonds, 2.88%, due 5/15/2052

      6,985,000       5,596,731  
        14,563,957  
U.S. Treasury inflation-protected notes—1.4%                  

U.S. Treasury Inflation-Protected Notes, 0.88%, due 2/15/2047

      6,343,942       5,195,860  
U.S. Treasury notes—12.8%                  

U.S. Treasury Notes, 1.88%, due 8/31/2024

      5,000,000       4,782,422  

U.S. Treasury Notes, 1.63%, due 9/30/2026

      10,420,000       9,533,486  

U.S. Treasury Notes, 1.13%, due 8/31/2028

      3,750,000       3,201,855  

U.S. Treasury Notes, 1.13%, due 2/15/2031

      16,355,000       13,329,964  

U.S. Treasury Notes, 1.38%, due 11/15/2031

      13,380,000       10,890,066  

U.S. Treasury Notes, 2.88%, due 5/15/2032

      5,855,000       5,395,748  
        47,133,541  
Total U.S. Government & agency obligations (cost $96,206,983)         84,139,249  
MONEY MARKET FUNDS—2.1%     Shares        

Fidelity Institutional Money Market Government Portfolio—Class I, 4.04% (f) (Cost $7,604,448)

      7,604,448       7,604,448  
Investments at value—99.5% (cost $401,480,946)         365,265,867  

Other Assets in Excess of Liabilities—0.5%

        1,721,158  
Net assets—100.0%         $366,987,025  

(a) Non-income producing security.

(b) Percentage rounds to less than 0.1%.

(c) Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread (in basis points) are indicated parenthetically. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities, therefore, do not indicate a reference rate and spread.

(d) 144A—Securities are purchased under Rule 144A of the Securities Act of 1933 or are private placement and, unless registered under the Securities Act of 1933 or exempted from registration, generally may only be sold to qualified institutional buyers.

(e) Security has a perpetual maturity date.

(f) The rate shown is the 7-day effective yield as of December 31, 2022.

H15T5Y—U.S. Treasury Yield curve rate for U.S. Treasury note with a constant maturity of 5 years’

LIBOR—London Interbank Offered Rate

 

12         The accompanying notes are an integral part of the financial statements.


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL INCOME FUND (cont’d)

 

Security type / sector (unaudited)   Percent of net assets  
Common stocks  
Materials     6.6%  
Financials     2.6%  
Health care     2.6%  
Industrials     2.4%  
Technology     1.6%  
Consumer discretionary     1.5%  
Communications     1.2%  
Consumer staples     0.7%  
Energy     0.7%  
Real estate     0.6%  
Utilities     0.5%  
Total common stocks     21.0%  
Exchanged-traded funds     1.5%  
Preferred stocks  
Real estate     1.1%  
Financials     0.9%  
Communications     0.0%
Total preferred stocks     2.0%  
Corporate bonds  
Financials     7.2%  
Energy     4.1%  
Industrials     3.0%  
Consumer discretionary     2.9%  
Materials     2.6%  
Technology     2.6%  
Communications     1.5%  
Real estate     0.9%  
Consumer staples     0.8%  
Utilities     0.4%  
Health care     0.3%  
Total corporate bonds     26.3%  
Asset-backed securities     1.5%  
Mortgage-backed securities     22.2%  
U.S. Government & agency obligations     22.9%  
Money market funds     2.1%  
Investments     99.5%  
Other assets in excess of liabilities     0.5%  
Net assets     100.0%  

* Percentage rounds to less than 0.1%.

 

CARILLON CHARTWELL MID CAP VALUE FUND

 

COMMON STOCKS—97.0%         Shares     Value  
Communications—1.5%                  
Internet media & services—1.5%                  

Expedia Group, Inc. (a)

      7,214       $631,946  
Consumer discretionary—9.3%                  
Apparel & textile products—2.7%                  

Columbia Sportswear Company

      12,582       1,101,932  
Automotive—2.8%                  

Harley-Davidson, Inc.

      27,383       1,139,133  
Retail-discretionary—3.8%                  

AutoZone, Inc. (a)

      636       1,568,490  
Consumer staples—6.6%                  
Food—4.0%                  

Conagra Brands, Inc.

      13,900       537,930  

Lamb Weston Holdings, Inc.

      12,353       1,103,864  
        1,641,794  
Retail-consumer staples—2.6%                  

Dollar Tree, Inc. (a)

      7,417       1,049,061  
Energy—5.1%                  
Oil & gas producers—5.1%                  

Diamondback Energy, Inc.

      4,692       641,772  

Pioneer Natural Resources Company

      6,230       1,422,870  
        2,064,642  
Financials—15.3%                  
Banking—6.2%                  

KeyCorp

      53,470       931,447  

M&T Bank Corporation

      3,225       467,819  

Pinnacle Financial Partners, Inc.

      15,856       1,163,830  
        2,563,096  
Insurance—6.3%                  

Allstate Corporation (The)

      11,266       1,527,670  

Hanover Insurance Group, Inc. (The)

      7,742       1,046,176  
        2,573,846  
Specialty finance—2.8%                  

Synchrony Financial

      34,557       1,135,543  
Health care—5.1%                  
Health care facilities & services—5.1%                  

Quest Diagnostics, Inc.

      7,417       1,160,316  

Tenet Healthcare Corporation (a)

      18,608       907,884  
        2,068,200  
Industrials—17.7%                  
Aerospace & defense—1.7%                  

L3Harris Technologies, Inc.

      3,340       695,422  
Electrical equipment—3.1%                  

Littelfuse, Inc.

      5,781       1,272,976  
Machinery—10.8%                  

Gates Industrial Corporation plc (a)

      79,010       901,504  

Parker-Hannifin Corporation

      4,481       1,303,971  

Regal Rexnord Corporation

      11,154       1,338,257  

Snap-on, Inc.

      3,778       863,235  
        4,406,967  
Transportation & logistics—2.1%                  

Saia, Inc. (a)

      4,019       842,704  
Materials—12.5%                  
Chemicals—8.5%                  

FMC Corporation

      15,040       1,876,992  

Univar Solutions, Inc. (a)

      50,361       1,601,480  
        3,478,472  

 

The accompanying notes are an integral part of the financial statements.           13  


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL MID CAP VALUE FUND (cont’d)

 

COMMON STOCKS—97.0%         Shares     Value  
Construction materials—4.0%                  

Vulcan Materials Company

      9,310       $ 1,630,274  
Real estate—9.4%                  
REITs—9.4%                  

Healthcare Realty Trust, Inc.

      44,663       860,656  

Healthpeak Properties, Inc.

      26,606       667,012  

Life Storage, Inc.

      8,900       876,650  

Mid-America Apartment Communities, Inc.

      9,198       1,443,994  
        3,848,312  
Technology—6.6%                  
Technology hardware—3.8%                  

Ciena Corporation (a)

      30,504       1,555,094  
Technology services—2.8%                  

DXC Technology Company (a)

      42,861       1,135,816  
Utilities—7.9%                  
Electric utilities—7.9%                  

Ameren Corporation

      13,954       1,240,790  

CMS Energy Corporation

      11,611       735,324  

Public Service Enterprise Group, Inc.

      20,767       1,272,394  
        3,248,508  
Total common stocks (cost $35,396,994)         39,652,228  
MONEY MARKET FUNDS—3.1%                  

Fidelity Institutional Money Market Government Portfolio - Class I, 4.04% (b) (Cost $1,261,745)

      1,261,745       1,261,745  
Investments at value—100.1% (cost $36,658,739)         40,913,973  

Liabilities in excess of other assets—(0.1%)

        (36,663
Net assets—100.0%         $40,877,310  

(a) Non-income producing security.

(b) The rate shown is the 7-day effective yield as of December 31, 2022.

 

Security type / sector (unaudited)   Percent of net assets  
Common stocks  
Industrials     17.7%  
Financials     15.3%  
Materials     12.5%  
Real estate     9.4%  
Consumer discretionary     9.3%  
Utilities     7.9%  
Technology     6.6%  
Consumer staples     6.6%  
Health care     5.1%  
Energy     5.1%  
Communications     1.5%  
Total common stocks     97.0%  
Money market funds     3.1%  
Investments     100.1%  
Liabilities in excess of other assets     -0.1%  
Net assets     100.0%  

 

CARILLON CHARTWELL SMALL CAP VALUE FUND

 

COMMON STOCKS—99.0%         Shares     Value  
Consumer discretionary—14.0%                  
Apparel & textile products—1.0%                  

Oxford Industries, Inc.

      16,324       $1,521,070  
Automotive—2.1%                  

Visteon Corporation (a)

      24,316       3,181,262  
Home construction—3.2%                  

Masonite International Corporation (a)

      14,010       1,129,346  

Patrick Industries, Inc.

      24,709       1,497,366  

Tri Pointe Homes, Inc. (a)

      113,563       2,111,136  
        4,737,848  
Leisure facilities & services—5.5%                  

Cheesecake Factory, Inc. (The)

      50,360       1,596,916  

Denny’s Corporation (a)

      178,505       1,644,031  

Jack in the Box, Inc.

      34,736       2,370,037  

Six Flags Entertainment Corporation (a)

      116,284       2,703,603  
        8,314,587  
Retail-discretionary—1.5%                  

Rush Enterprises, Inc.—Class A

      41,844       2,187,604  
Wholesale-discretionary—0.7%                  

G-III Apparel Group Ltd. (a)

      80,771       1,107,371  
Consumer staples—2.5%                  
Food—2.5%                  

Hain Celestial Group, Inc. (The) (a)

      42,133       681,712  

Hostess Brands, Inc. (a)

      134,120       3,009,653  
        3,691,365  
Energy—3.5%                  
Oil & gas producers—1.5%                  

PDC Energy, Inc.

      34,685       2,201,804  
Oil & gas services & equipment—2.0%                  

ChampionX Corporation

      104,141       3,019,047  
Financials—24.6%                  
Banking—18.3%                  

Columbia Banking System, Inc.

      46,301       1,395,049  

CVB Financial Corporation

      65,420       1,684,565  

First Financial Bancorp

      70,858       1,716,889  

FNB Corporation

      161,362       2,105,774  

Independent Bank Group, Inc.

      34,900       2,096,792  

Old National Bancorp

      118,883       2,137,516  

Pacific Premier Bancorp, Inc.

      66,056       2,084,727  

Renasant Corporation

      51,124       1,921,751  

Sandy Spring Bancorp, Inc.

      57,606       2,029,459  

TowneBank

      73,640       2,271,058  

UMB Financial Corporation

      27,377       2,286,527  

Umpqua Holdings Corporation

      77,890       1,390,337  

United Bankshares, Inc.

      33,412       1,352,852  

United Community Banks, Inc.

      88,652       2,996,438  
        27,469,734  
Insurance—5.2%                  

American Equity Investment Life Holding Company

      55,569       2,535,058  

Kemper Corporation

      32,033       1,576,024  

Selective Insurance Group, Inc.

      41,368       3,665,618  
        7,776,700  
Specialty finance—1.1%                  

PRA Group, Inc. (a)

      50,201       1,695,790  
Health care—4.7%                  
Health care facilities & services—2.6%                  

Adapthealth Corporation (a)

      95,544       1,836,355  

Patterson Companies, Inc.

      74,036       2,075,229  
        3,911,584  

 

14         The accompanying notes are an integral part of the financial statements.


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL SMALL CAP VALUE FUND (cont’d)

 

COMMON STOCKS—99.0%         Shares     Value  
Medical equipment & devices—2.1%                  

Integer Holdings Corporation (a)

      45,117       $ 3,088,710  
Industrials—23.1%                  
Aerospace & defense—3.7%                  

AAR Corporation (a)

      68,625       3,081,262  

Moog, Inc.—Class A

      27,752       2,435,516  
        5,516,778  
Commercial support services—4.5%                  

Harsco Corporation (a)

      146,856       923,724  

Korn Ferry

      41,159       2,083,469  

TrueBlue, Inc. (a)

      76,392       1,495,755  

UniFirst Corporation

      11,849       2,286,739  
        6,789,687  
Electrical equipment—1.6%                  

nVent Electric plc

      62,305       2,396,873  
Engineering & construction—4.2%                  

Dycom Industries, Inc. (a)

      34,609       3,239,402  

Parsons Corporation (a)

      68,279       3,157,904  
        6,397,306  
Industrial intermediate products—1.4%                  

EnPro Industries, Inc.

      19,583       2,128,476  
Machinery—6.1%                  

Cactus, Inc.—Class A

      62,769       3,154,770  

Columbus McKinnon Corporation

      75,182       2,441,160  

Enovis Corporation (a)

      27,848       1,490,425  

Mueller Water Products, Inc. -Series A

      188,808       2,031,574  
        9,117,929  
Transportation & logistics—1.6%                  

Hub Group, Inc.—Class A (a)

      29,663       2,357,912  
Materials—4.4%                  
Chemicals—1.3%                  

Minerals Technologies, Inc.

      33,236       2,018,090  
Construction materials—1.8%                  

Eagle Materials, Inc.

      19,849       2,636,940  
Containers & packaging—1.3%                  

TriMas Corporation

      68,669       1,904,878  
Real estate—8.4%                  
Real estate owners & developers—1.4%                  

McGrath RentCorp

      21,161       2,089,437  
REITs—7.0%                  

First Industrial Realty Trust, Inc.

      30,137       1,454,412  

Four Corners Property Trust, Inc.

      53,131       1,377,687  

Kite Realty Group Trust

      120,124       2,528,610  

Pebblebrook Hotel Trust

      87,187       1,167,434  

Ryman Hospitality Properties, Inc.

      22,607       1,848,800  

STAG Industrial, Inc.

      65,963       2,131,265  
        10,508,208  
Technology—9.5%                  
Semiconductors—2.8%                  

CTS Corporation

      66,198       2,609,525  

Diodes, Inc. (a)

      19,966       1,520,211  
        4,129,736  
Software—2.9%                  

CommVault Systems, Inc. (a)

      34,461       2,165,529  

Progress Software Corporation

      43,136       2,176,211  
        4,341,740  
Technology hardware—3.8%                  

Fabrinet (a)

      20,131       2,581,197  

Plexus Corporation (a)

      30,705       3,160,466  
        5,741,663  

 

 

COMMON STOCKS—99.0%         Shares     Value  
Utilities—4.3%                  
Electric utilities—4.3%                  

Black Hills Corporation

      21,049       $ 1,480,587  

NorthWestern Corporation

      37,743       2,239,669  

PNM Resources, Inc.

      56,635       2,763,222  
        6,483,478  
Total common stocks (cost $121,848,256)

 

    148,463,607  
MONEY MARKET FUNDS—1.0%              

Fidelity Institutional Money Market Government Portfolio—Class I, 4.04% (b) (Cost $1,506,270)

      1,506,270       1,506,270  
Investments at value—100.0% (cost $123,354,526)

 

    149,969,877  

Liabilities in excess of other assets—0.0% (c)

 

    (72,324
Net assets—100.0%

 

    $149,897,553  

(a) Non-income producing security.

(b) The rate shown is the 7-day effective yield as of December 31, 2022.

(c) Percentage rounds to greater than (0.1)%.

 

Security type / sector (unaudited)   Percent of net assets  
Common stocks  
Financials     24.6%  
Industrials     23.1%  
Consumer discretionary     14.0%  
Technology     9.5%  
Real estate     8.4%  
Health care     4.7%  
Materials     4.4%  
Utilities     4.3%  
Energy     3.5%  
Consumer staples     2.5%  
Total common stocks     99.0%  
Money market funds     1.0%  
Investments     100.0%  
Liabilities in excess of other assets     0.0%
Net assets     100.0%  

* Percentage rounds to greater than (0.1)%.

 

 
CARILLON CHARTWELL SHORT DURATION HIGH YIELD FUND

 

CORPORATE BONDS—97.6%         Par Value     Value  
Communications—11.1%                  

AMC Networks, Inc., 5.00% due 4/1/2024

      $2,488,000       $2,326,280  

Charter Communications, LLC, 4.91% due 7/23/2025

      5,220,000       5,116,127  

Sirius XM Radio, Inc., Series 144A, 3.13% due 9/1/2026 (a)

      5,870,000       5,212,208  

Sprint Corporation, 7.13% due 6/15/2024

      5,910,000       6,025,481  

TEGNA, Inc., 4.75% due 3/15/2026 (a)

      4,700,000       4,557,381  
        23,237,477  

 

The accompanying notes are an integral part of the financial statements.           15  


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL SHORT DURATION HIGH YIELD FUND (cont’d)

 

CORPORATE BONDS—97.6%         Par Value     Value  
Consumer discretionary—8.8%                  

Ford Motor Credit Company, LLC, 4.06% due 11/1/2024

      $ 6,500,000       $ 6,240,468  

International Game Techology plc, 6.50% due 2/15/2025 (a)

      1,670,000       1,680,170  

Penske Automotive Group, Inc., 3.5% due 9/1/2025

      750,000       696,045  

QVC, Inc., 4.85% due 4/1/2024

      5,100,000       4,717,500  

Travel + Leisure Company, 3.90% due 3/1/2023

      2,825,000       2,802,107  

Travel + Leisure Company, 6.60% due 10/1/2025

      2,306,000       2,265,760  
        18,402,050  
Consumer staples—3.6%                  

Albertsons Companies, Inc., 3.25% due 3/15/2026 (a)

      5,635,000       5,139,429  

Clearwater Paper Corporation, 5.38% due 2/1/2025 (a)

      2,500,000       2,429,106  
        7,568,535  
Energy—8.3%                  

DCP Midstream Operating, L.P., 3.88% due 3/15/2023

      2,800,000       2,784,096  

DCP Midstream Operating, L.P., 5.38% due 7/15/2025

      2,760,000       2,734,332  

New Fortress Energy, Inc., 6.75% due 9/15/2025 (a)

      5,145,000       4,866,141  

Sunoco, L.P., 6.00% due 4/15/2027

      1,905,000       1,875,851  

Western Midstream Operations, L.P., 3.35% due 2/1/2025

      5,445,000       5,154,999  
        17,415,419  
Financials—16.8%                  

Icahn Enterprises, L.P., 4.75% due 9/15/2024

      5,400,000       5,177,256  

Navient Corporation, 5.50% due 1/25/2023

      4,646,000       4,638,055  

NMI Holdings, Inc., 7.38% due 6/1/2025 (a)

      5,100,000       5,151,000  

OneMain Finance Corporation, 5.63% due 3/15/2023

      1,850,000       1,843,349  

OneMain Finance Corporation, 6.13% due 3/15/2024

      3,425,000       3,312,900  

SLM Corporation, 4.20% due 10/29/2025

      2,200,000       2,012,904  

SLM Corporation, 3.13% due 11/2/2026

      3,588,000       3,051,414  

Starwood Property Trust, Inc., 4.75% due 3/15/2025

      1,240,000       1,183,270  

Starwood Property Trust, Inc., 3.63% due 7/15/2026 (a)

      4,362,000       3,816,750  

StoneX Group, Inc., 8.63% due 6/15/2025 (a)

      5,000,000       5,050,000  
        35,236,898  
Health care—3.7%                  

Centene Corporation, 4.25% due 12/15/2027

      5,440,000       5,101,976  

HCA, Inc., 5.38% due 2/1/2025

      2,650,000       2,646,791  
        7,748,767  
Industrials—18.3%                  

ADT Corporation (The), 4.13% due 6/15/2023

      5,180,000       5,128,484  

Arconic Corporation, 6.00% due 5/15/2025 (a)

      5,375,000       5,284,144  

Crown Americas, LLC, 4.75% due 2/1/2026

      5,410,000       5,251,758  

GFL Environmental, Inc., 4.25% due 6/1/2025 (a)

      5,325,000       5,086,422  

Howmet Aerospace, Inc., 5.13% due 10/1/2024

      2,610,000       2,580,873  

Howmet Aerospace, Inc., 6.88% due 5/1/2025

      2,411,000       2,474,096  

TransDigm, Inc., 6.25% due 3/15/2026 (a)

      5,075,000       5,004,914  

WESCO Distribution, Inc., 7.13% due 6/15/2025 (a)

      5,015,000       5,077,748  

XPO Logistics, Inc., 6.25% due 5/1/2025 (a)

      2,507,000       2,530,599  
        38,419,038  
Materials—3.1%                  

Ball Corporation, 4.00% due 11/15/2023

      1,420,000       1,391,769  

Ball Corporation, 5.25% due 7/1/2025

      2,725,000       2,689,431  

Mercer International, Inc., 5.50% due 1/15/2026

      2,410,000       2,282,725  
        6,363,925  
Real estate—11.2%                  

Brookfield Property REIT, Inc., 4.50% due 4/1/2027 (a)

      4,700,000       3,928,332  

GLP Capital, L.P./GLP Financing II, Inc.,
5.38% due 11/1/2023

      3,835,000       3,821,673  

GLP Capital, L.P./GLP Financing II, Inc., 5.25% due 6/1/2025

      945,000       928,949  

Hilton Domestic Operating Company, Inc.,
5.38% due 5/1/2025 (a)

      5,055,000       5,003,467  

 

 

CORPORATE BONDS—97.6%         Par Value     Value  
Real estate (cont'd)                  

iStar, Inc., 4.75% due 10/1/2024

      $ 4,920,000       $ 4,883,043  

SBA Communications Corporation, 3.88% due 2/15/2027

      5,500,000       4,969,324  
        23,534,788  
Technology—10.4%                  

CommScope, Inc.,
6.00% due 3/1/2026 (a)

      1,449,000       1,337,268  

Seagate HDD Cayman, 4.75% due 6/1/2023

      1,480,000       1,471,712  

Seagate HDD Cayman, 4.875% due 3/1/2024

      3,700,000       3,626,737  

Sensata Technologies B.V., 5.63% due 11/1/2024 (a)

      1,785,000       1,767,828  

Sensata Technologies B.V., 5.00% due 10/1/2025 (a)

      3,405,000       3,325,360  

VICI Properties, L.P., 4.25% due 12/1/2026 (a)

      5,465,000       5,098,428  

Western Digital Corporation, 4.75% due 2/15/2026

      5,500,000       5,179,460  
        21,806,793  
Utilities—2.3%                  

AmeriGas Partners, L.P./AmeriGas Financial Corporation, 5.63% due 5/20/2024

      3,575,000       3,470,179  

AmeriGas Partners, L.P./AmeriGas Financial Corporation, 5.88% due 8/20/2026

      1,550,000       1,472,049  
        4,942,228  
Total corporate bonds (cost $214,669,159)         204,675,918  
MONEY MARKET FUNDS—1.1%     Shares        

Fidelity Institutional Money Market Government Portfolio—Class I, 4.04% (b) (Cost $2,359,417)

      2,359,417       2,359,417  
Investments at value—98.7% (cost $217,028,576)         207,035,335  

Other assets in excess of liabilities—1.3%

        2,637,159  
Net assets—100.0%         $209,672,494  

(a) 144A—Securities are purchased under Rule 144A of the Securities Act of 1933 or are private placement and, unless registered under the Securities Act of 1933 or exempted from registration, generally may only be sold to qualified institutional buyers.

(b) The rate shown is the 7-day effective yield as of December 31, 2022.

 

Security type / sector (unaudited)   Percent of net assets  
Corporate bonds  
Industrials     17.1%  
Financials     16.8%  
Real estate     11.2%  
Communications     11.1%  
Technology     10.4%  
Consumer discretionary     8.8%  
Energy     8.3%  
Materials     4.3%  
Health care     3.7%  
Consumer staples     3.6%  
Utilities     2.3%  
Total corporate bonds     97.6%  
Money market funds     1.1%  
Investments     98.7%  
Other assets in excess of liabilities     1.3%  
Net assets     100.0%  

 

16         The accompanying notes are an integral part of the financial statements.


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL SMALL CAP GROWTH FUND

 

COMMON STOCKS—97.4%         Shares     Value  
Communications—0.9%                  
Internet media & services—0.9%                  

Integral Ad Science Holding Corporation (a)

      16,826       $147,900  
Consumer discretionary—15.8%                  
Apparel & textile products—7.4%                  

Capri Holdings Ltd. (a)

      7,040       403,533  

Crocs, Inc. (a)

      2,477       268,581  

Deckers Outdoor Corporation (a)

      1,046       417,521  

Oxford Industries, Inc.

      1,288       120,016  
        1,209,651  
Consumer discretionary—1.5%                  

Modine Manufacturing Company (a)

      4,188       83,174  

Wyndham Hotels & Resorts, Inc.

      2,359       168,220  
        251,394  
Leisure facilities & services—6.9%                  

Bloomin’ Brands, Inc.

      8,119       163,354  

Boyd Gaming Corporation

      9,945       542,301  

Century Casinos, Inc. (a)

      14,421       101,380  

Churchill Downs, Inc.

      738       156,035  

Everi Holdings, Inc. (a)

      11,067       158,812  
        1,121,882  
Consumer staples—1.1%                  
Household products—1.1%                  

e.l.f. Beauty, Inc. (a)

      3,185       176,130  
Energy—6.8%                  
Oil & gas producers—4.6%                  

Civitas Resources, Inc.

      1,687       97,728  

Matador Resources Company

      1,980       113,335  

Northern Oil and Gas, Inc.

      8,311       256,145  

PDC Energy, Inc.

      1,742       110,582  

SM Energy Company

      4,775       166,313  
        744,103  
Oil & gas services & equipment—1.2%                  

ChampionX Corporation

      6,943       201,278  
Oil field services—0.4%                  

TETRA Technologies, Inc. (a)

      18,798       65,041  
Renewable energy—0.6%                  

Green Plains, Inc. (a)

      3,070       93,635  
Financials—4.1%                  
Banking—2.1%                  

Peapack-Gladstone Financial Corporation

      1,729       64,353  

Pinnacle Financial Partners, Inc.

      2,586       189,813  

Wintrust Financial Corporation

      1,087       91,873  
        346,039  
Insurance—1.0%                  

Selective Insurance Group, Inc.

      1,846       163,574  
Specialty finance—1.0%                  

International Money Express, Inc. (a)

      6,802       165,765  
Health care—22.7%                  
Biotech & pharma—9.8%                  

Biohaven Ltd. (a)

      3,332       46,248  

Cytokinetics, Inc. (a)

      4,249       194,689  

Halozyme Therapeutics, Inc. (a)

      2,443       139,007  

Immunovant, Inc. (a)

      3,059       54,297  

Insmed, Inc. (a)

      3,240       64,735  

IVERIC bio, Inc. (a)

      5,713       122,315  

Liquidia Corporation (a)

      4,612       29,378  

 

 

COMMON STOCKS—97.4%         Shares     Value  
Biotech & pharma (cont'd)                  

Ultragenyx Pharmaceutical, Inc. (a)

      1,189       $ 55,086  

United Therapeutics Corporation (a)

      1,323       367,913  

VIking Therapeutics, Inc. (a)

      12,634       118,760  

Viridian Therapeutics, Inc. (a)

      9,027       263,679  

Xenon Pharmaceuticals, Inc. (a)

      3,564       140,529  
        1,596,636  
Health care facilities & services—3.5%                  

Acadia Healthcare Company, Inc. (a)

      2,748       226,216  

Tenet Healthcare Corporation (a)

      7,156       349,141  
        575,357  
Medical equipment & devices—9.4%                  

AtriCure, Inc. (a)

      3,052       135,448  

Axonics, Inc. (a)

      4,975       311,087  

BELLUS Health, Inc. (a)

      5,312       43,665  

Inspire Medical Systems, Inc. (a)

      467       117,628  

Lantheus Holdings, Inc. (a)

      2,546       129,744  

Merit Medical Systems, Inc. (a)

      6,235       440,316  

Natera, Inc. (a)

      5,347       214,789  

Tandem Diabetes Care, Inc. (a)

      3,048       137,007  
        1,529,684  
Industrials—17.2%                  
Commercial support services—2.1%                  

FTI Consulting, Inc. (a)

      919       145,937  

Huron Consulting Group, Inc. (a)

      2,682       194,713  
        340,650  
Engineering & construction—5.3%                  

Dycom Industries, Inc. (a)

      1,148       107,453  

WillScot Mobile Mini Holdings Corporation (a)

      16,747       756,462  
        863,915  
Industrial intermediate products—1.5%                  

Timken Company (The)

      3,329       235,260  
Industrial support services—2.1%                  

Applied Industrial Technologies, Inc.

      1,793       225,972  

SiteOne Landscape Supply, Inc. (a)

      1,048       122,951  
        348,923  
Machinery—6.2%                  

Lincoln Electric Holdings, Inc.

      1,703       246,066  

Oshkosh Corporation

      2,914       256,986  

Terex Corporation

      3,258       139,182  

Valmont Industries, Inc.

      1,110       367,044  
        1,009,278  
Materials—4.3%                  
Chemicals—1.0%                  

Avient Corporation

      4,913       165,863  
Containers & packaging—0.4%                  

Sealed Air Corporation

      1,243       62,001  
Materials—0.7%                  

Cabot Corporation

      1,823       121,849  
Metals & mining—2.2%                  

Livent Corporation (a)

      9,509       188,944  

MP Materials Corporation (a)

      6,878       166,998  
        355,942  
Real estate—2.9%                  
REITs—2.9%                  

Independence Realty Trust, Inc.

      10,185       171,719  

Ryman Hospitality Properties, Inc.

      3,715       303,813  
        475,532  

 

The accompanying notes are an integral part of the financial statements.           17  


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL SMALL CAP GROWTH FUND (cont’d)

 

COMMON STOCKS—97.4%         Shares     Value  
Technology—20.3%                  
Semiconductors—3.9%                  

Allegro MicroSystems, Inc. (a)

      8,116       $ 243,642  

MACOM Technology Solutions Holdings, Inc. (a)

      5,349       336,880  

Synaptics, Inc. (a)

      554       52,719  
        633,241  
Software—10.6%                  

Calix, Inc. (a)

      4,508       308,482  

Grid Dynamics Holdings, Inc. (a)

      8,481       95,157  

Manhattan Associates, Inc. (a)

      5,319       645,727  

Nutanix, Inc.—Class A (a)

      8,263       215,251  

Rapid7, Inc. (a)

      9,549       324,475  

Tenable Holdings, Inc. (a)

      3,460       131,999  
        1,721,091  
Technology hardware—2.4%                  

Aviat Networks, Inc. (a)

      2,138       66,684  

Clearfield, Inc. (a)

      1,811       170,487  

Plexus Corporation (a)

      1,462       150,484  
        387,655  
Technology services—3.4%                  

ExlService Holdings, Inc. (a)

      1,350       228,731  

HealthEquity, Inc. (a)

      2,771       170,804  

ICF International, Inc.

      1,611       159,570  
        559,105  
Utilities—1.3%                  
Electric utilities—1.3%                  

Excelerate Energy, Inc.

      8,480       212,424  
Total common stocks (cost $14,088,362)         15,880,798  
MONEY MARKET FUNDS—2.8%        

Fidelity Institutional Money Market Government Portfolio—Class I, 4.04% (b) (Cost $458,120)

      458,120       458,120  
Investments at value—100.2% (cost $14,546,482)         16,338,918  

Liabilities in excess of other assets—(0.2%)

        (35,795
Net assets—100.0%         $16,303,123  

(a) Non-income producing security.

(b) The rate shown is the 7-day effective yield as of December 31, 2022.

 

Security type / sector (unaudited)   Percent of net assets  
Common stocks  
Health care     22.7%  
Technology     20.3%  
Industrials     17.2%  
Consumer discretionary     15.8%  
Energy     6.8%  
Materials     4.3%  
Financials     4.1%  
Real estate     2.9%  
Utilities     1.3%  
Consumer staples     1.1%  

 

 

Security type / sector (unaudited)   Percent of net assets  
Communications     0.9%  
Total common stocks     97.4%  
Money market funds     2.8%  
Investments     100.2%  
Liabilities in excess of other assets     -0.2%  
Net assets     100.0%  

 

 
CARILLON CHARTWELL SHORT DURATION BOND FUND

 

CORPORATE BONDS—60.2%         Par Value     Value  
Communications—2.4%                  

AT&T, Inc., 0.90% due 3/25/2024

      $45,000       $42,733  

Comcast Corporation, 5.25% due 11/7/2025

      40,000       40,524  

Warnermedia Holdings, Inc., 3.43% due 3/15/2024 (a)

      10,000       9,708  

Warnermedia Holdings, Inc., 3.76% due 3/15/2027 (a)

      110,000       99,058  

Quebecor Media, Inc., 5.75% due 1/15/2023

      15,000       14,964  

Walt Disney Company (The), 1.75% due 1/13/2026

      25,000       22,882  
        229,869  
Consumer discretionary—3.3%                  

Aptiv plc/Aptiv Corporation, 2.40% due 2/18/2025

      15,000       14,145  

AutoNation, Inc., 3.50% due 11/15/2024

      50,000       47,987  

Ford Motor Credit Company, LLC, 4.06% due 11/1/2024

      100,000       96,007  

General Motors Financial Company, Inc., 1.70% due 8/18/2023

      110,000       107,477  

Genuine Parts Company, 1.75% due 2/1/2025

      25,000       23,342  

Toyota Motor Credit Corporation, 0.50% due 8/14/2023

      25,000       24,324  
        313,282  
Consumer staples—1.8%                  

Clearwater Paper Corporation, 5.38% due 2/1/2025 (a)

      65,000       63,157  

CVS Health Corporation, 2.63% due 8/15/2024

      50,000       48,030  

JBS USA Lux S.A., 5.13% due 2/1/2028 (a)

      65,000       61,579  
        172,766  
Energy—3.4%                  

DCP Midstream Operating, L.P., 5.38% due 7/15/2025

      100,000       99,070  

Energy Transfer Partners, L.P., 4.50% due 11/1/2023

      50,000       49,634  

New Fortress Energy, Inc., 6.75% due 9/15/2025 (a)

      82,000       77,556  

Summit Midstream Holdings, LLC/Summit Midstream Finance Corporation, 8.50% due 10/15/2026 (a)

      30,000       28,573  

Western Midstream Operations, L.P., 3.35% due 2/1/2025

      75,000       71,005  
        325,838  
Financials—23.1%                  

Ares Capital Corporation, 4.25% due 3/1/2025

      100,000       94,781  

Bank of America Corporation,
0.98% (SOFR + 91), due 9/25/2025 (b)

      100,000       92,038  

Bank of America Corporation,
5.30% (3MO LIBOR + 77), due 2/5/2026

      85,000       83,727  

Bank of Montreal, 0.95% due 1/22/2027

      25,000       22,072  

Bank of New York Mellon Corporation (The),
5.22% due 11/21/2025

      100,000       100,263  

Canadian Imperial Bank of Commerce, 3.50% due 9/13/2023

      75,000       74,288  

Citigroup, Inc., 3.35% (3MO LIBOR + 89.66), due 4/24/2025 (b)

      115,000       111,513  

Goldman Sachs Group, Inc.,
5.44% (3MO LIBOR + 75), due 2/23/2023 (b)

      50,000       50,025  

Goldman Sachs Group, Inc.,
0.67% (SOFR + 57.2), due 3/8/2024 (b)

      165,000       163,222  

 

18         The accompanying notes are an integral part of the financial statements.


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL SHORT DURATION BOND FUND (cont’d)

 

CORPORATE BONDS—60.2%         Par Value     Value  
Financials (cont'd)                  

Goldman Sachs Group, Inc., 3.50% due 11/16/2026

      $ 50,000       $ 46,869  

Icahn Enterprises, L.P., 4.75% due 9/15/2024

      100,000       95,875  

JPMorgan Chase & Company, 2.60% due 2/24/2026

      75,000       70,512  

JPMorgan Chase & Company,
1.04% (SOFR + 69.5), due 2/4/2027 (b)

      25,000       21,747  

KeyBank National Association, 0.43% due 6/14/2024

      150,000       146,067  

Mitsubishi UFJ Financial Group, Inc., 0.96% due 10/11/2025

      70,000       64,362  

Morgan Stanley, 4.60% due 11/10/2023

      185,000       184,457  

Morgan Stanley, 0.73% (SOFR + 61.6), due 4/5/2024 (b)

      100,000       98,566  

Morgan Stanley, 2.19% (SOFR + 199), due 4/28/2026 (b)

      25,000       23,232  

Navient Corporation, 7.25% due 9/25/2023

      55,000       54,955  

OneMain Finance Corporation, 6.13% due 3/15/2024

      65,000       62,872  

Owl Rock Capital Corporation, 4.00% due 3/30/2025

      80,000       75,021  

Royal Bank of Canada, 0.50% due 10/26/2023

      150,000       144,728  

Starwood Property Trust, Inc., 4.75% due 3/15/2025

      25,000       23,856  

State Street Corporation, 2.20% (SOFR + 73), due 2/7/2028 (b)

      160,000       143,718  

StoneX Group, Inc., 8.63% due 6/15/2025 (a)

      50,000       50,500  

Truist Bank, 1.25% due 3/9/2023

      40,000       39,747  

Wells Fargo & Company,
1.65% (SOFR + 160), due 6/2/2024 (b)

      75,000       73,788  
        2,212,801  
Health care—3.1%                  

AmerisourceBergen Corporation, 0.78% due 3/15/2023

      22,000       21,815  

Anthem, Inc., 2.38% due 1/15/2025

      70,000       66,448  

Thermo Fischer Scientific, Inc., 1.22% due 10/18/2024

      175,000       164,239  

UnitedHealth Group, Inc., 0.55% due 5/15/2024

      50,000       47,219  
        299,721  
Industrials—8.4%                  

Arconic Corporation, 6.00% due 5/15/2025 (a)

      50,000       49,155  

Boeing Company (The), 1.43% due 2/4/2024

      100,000       95,831  

Canadian Pacific Railway Ltd., 1.35% due 12/2/2024

      50,000       46,605  

Caterpillar Financial Services Corporation,
5.12% due 5/15/2023 (b)

      225,000       225,164  

CNH Industrial Capital, LLC, 1.95% due 7/2/2023

      50,000       49,147  

Crown Americas, LLC, 4.75% due 2/1/2026

      25,000       24,269  

Hillenbrand, Inc., 5.75% due 6/15/2025

      60,000       59,700  

John Deere Capital Corporation, 2.70% due 1/6/2023

      58,000       57,992  

Quanta Services, Inc., 0.95% due 10/1/2024

      125,000       115,115  

WESCO Distribution, Inc., 7.13% due 6/15/2025 (a)

      50,000       50,625  

XPO Logistics, Inc., 6.25% due 5/1/2025 (a)

      26,000       26,245  
        799,848  
Materials—1.3%                  

DuPont de Nemours, Inc., 1.70% due 7/15/2025

      50,000       46,180  

Freeport-McMoran Copper & Gold, Inc., 3.88% due 3/15/2023

      15,000       14,959  

Mercer International, Inc., 5.50% due 1/15/2026

      65,000       61,567  
        122,706  
Real estate—2.8%                  

Brookfield Property REIT, Inc., 4.50% due 4/1/2027 (a)

      36,000       30,089  

GLP Capital, L.P./GLP Financing II, Inc., 5.38% due 11/1/2023

      40,000       39,861  

iStar, Inc., 4.75% due 10/1/2024

      35,000       34,737  

Simon Property Group, L.P., 3.50% due 9/1/2025

      50,000       47,887  

Simon Property Group, L.P., 1.38% due 1/15/2027

      130,000       113,460  
        266,034  

 

 

CORPORATE BONDS—60.2%         Par Value     Value  
Technology—4.1%                  

CommScope Finance, LLC, 6.00% due 3/1/2026 (a)

      $ 40,000       $ 36,916  

Hewlett Packard Enterprise Company, 1.75% due 4/1/2026

      115,000       103,291  

Intel Corporation, 3.75% due 8/5/2027

      25,000       24,017  

NVIDIA Corporation, 0.31% due 6/15/2023

      55,000       53,905  

ORACLE, 5.80% due 11/10/2025

      45,000       46,008  

Salesforce.com, Inc., 0.63% due 7/15/2024

      60,000       56,281  

VMware, Inc., 1.00% due 8/15/2024

      75,000       69,787  
        390,205  
Utilities—6.5%                  

American Electric Power, 0.75% due 11/1/2023

      155,000       149,219  

American Electric Power, 4.92% due 11/1/2023

      30,000       29,862  

CenterPoint Energy Resources Corporation,
0.70% due 3/2/2023

      55,000       54,603  

CenterPoint Energy Resources Corporation,
5.28% due 3/2/2023

      44,000       43,978  

Dominion Energy, Inc.,
5.30% (3MO LIBOR + 53), due 9/15/2023 (b)

      78,000       77,846  

Duke Energy Corporation, 5.00% due 12/8/2025

      100,000       99,783  

NSG Holdings, LLC, 7.75% due 12/15/2025 (a)

      64,268       62,179  

OGE Energy Corporation, 0.70% due 5/26/2023

      112,000       110,015  
        627,485  
Total corporate bonds (cost $5,963,828)

 

    5,760,555  
ASSET-BACKED SECURITIES—0.8%              

GS Mortgage Securities Trust, Series 2022-PJ4,
3.00% due 9/25/2052 (a) (Cost $88,462)

      93,544       82,699  
MORTGAGE-BACKED SECURITIES—1.4%              
Agency fixed rate—1.4%        

Federal Home Loan Mortgage Corporation
4.00%, due 5/17/2027

      25,000       24,386  

Federal Home Loan Mortgage Corporation
3.25%, due 5/17/2024

      25,000       24,507  

Federal National Mortgage Association 5.60%, due 11/25/2025

      85,000       84,896  
Total mortgage-backed securities (cost $135,000)

 

    133,789  
U.S. GOVERNMENT & AGENCY OBLIGATIONS—32.1%              
Federal farm credit bank—2.0%        

Federal Farm Credit Bank, 5.48%, due 10/25/2027

      125,000       124,647  

Federal Farm Credit Bank, 4.47%, due 6/22/2028

      25,000       24,458  

Federal Farm Credit Bank, 5.87%, due 10/24/2029

      35,000       35,177  
        184,282  
Federal home loan bank—4.5%        

Federal Home Loan Bank, 1.00%, due 6/14/2024

      55,000       51,922  

Federal Home Loan Bank, 0.65%, due 10/25/2024

      75,000       69,567  

Federal Home Loan Bank, 1.00%, due 11/22/2024

      50,000       46,464  

Federal Home Loan Bank, 1.25%, due 12/20/2024

      30,000       28,046  

Federal Home Loan Bank, 1.25%, due 10/26/2026

      100,000       88,831  

Federal Home Loan Bank, 1.50%, due 11/23/2026

      30,000       26,921  

Federal Home Loan Bank, 1.90%, due 2/17/2027

      25,000       22,595  

Federal Home Loan Bank, 2.75%, due 3/25/2027

      55,000       51,311  

Federal Home Loan Bank, 3.50%, due 4/26/2027

      25,000       23,764  

Federal Home Loan Bank, 4.50%, due 7/26/2027

      25,000       24,419  
        433,840  

 

The accompanying notes are an integral part of the financial statements.           19  


Investment Portfolios

12.31.2022

 

CARILLON CHARTWELL SHORT DURATION BOND FUND (cont’d)

 

U.S. GOVERNMENT & AGENCY
OBLIGATIONS—32.1%
        Par Value     Value  
U.S. Treasury notes—25.6%        

U.S. Treasury Notes, 2.00%, due 2/15/2023

      $ 150,000       $ 149,594  

U.S. Treasury Notes, 0.25%, due 9/30/2023

      55,000       53,172  

U.S. Treasury Notes, 0.75%, due 12/31/2023

      15,000       14,419  

U.S. Treasury Notes, 0.25%, due 6/15/2024

      15,000       14,078  

U.S. Treasury Notes, 0.38%, due 9/15/2024

      185,000       172,419  

U.S. Treasury Notes, 4.25%, due 9/30/2024

      125,000       124,360  

U.S. Treasury Notes, 0.75%, due 11/15/2024

      165,000       154,004  

U.S. Treasury Notes, 1.00%, due 12/15/2024

      185,000       173,148  

U.S. Treasury Notes, 2.13%, due 5/15/2025

      135,000       128,287  

U.S. Treasury Notes, 3.13%, due 8/15/2025

      260,000       252,423  

U.S. Treasury Notes, 0.38%, due 11/30/2025

      150,000       134,168  

U.S. Treasury Notes, 1.50%, due 8/15/2026

      30,000       27,345  

U.S. Treasury Notes, 1.63%, due 9/30/2026

      140,000       128,089  

U.S. Treasury Notes, 1.50%, due 1/31/2027

      515,000       465,612  

U.S. Treasury Notes, 4.13%, due 9/30/2027

      460,000       461,725  
        2,452,843  
Total U.S. Government & agency obligations (cost $3,139,709)

 

    3,070,965  
MONEY MARKET FUNDS—5.8%     Shares        

Fidelity Institutional Money Market Government Portfolio—Class I, 4.04% (c) (Cost $554,976)

      554,976       554,976  
Investments at value—100.3% (cost $9,881,975)

 

    9,602,984  

Liabilities in excess of other assets—(0.3%)

 

    (32,855
Net assets—100.0%

 

    $9,570,129  

(a) 144A -Securities are purchased under Rule 144A of the Securities Act of 1933 or are private placement and, unless registered under the Securities Act of 1933 or exempted from registration, generally may only be sold to qualified institutional buyers.

(b) Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread (in basis points) are indicated parenthetically. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities, therefore, do not indicate a reference rate and spread.

(c) The rate shown is the 7-day effective yield as of December 31, 2022.

LIBOR—London Interbank offered Rate

SOFR—Secured Overnight Financing Rate

 

 

Security type / sector (unaudited)   Percent of net assets  
Corporate bonds  
Financials     23.1%  
Industrials     8.4%  
Utilities     6.5%  
Technology     4.1%  
Health care     3.1%  
Consumer discretionary     3.3%  
Real estate     2.8%  
Communications     2.4%  
Materials     1.3%  
Energy     3.4%  
Consumer staples     1.8%  
Total corporate bonds     60.2%  
Asset-backed securities     0.8%  
Mortgage-backed securities     1.4%  
U.S. Government & agency obligations     32.1%  
Money market funds     5.8%  
Investments     100.3%  
Liabilities in excess of other assets     -0.3%  
Net assets     100.0%  

 

20         The accompanying notes are an integral part of the financial statements.


Statements of Assets and Liabilities

12.31.2022

 

     Carillon Chartwell
Income
Fund
    Carillon Chartwell
Mid Cap Value
Fund
    Carillon Chartwell
Small Cap Value
Fund
    Carillon Chartwell
Short Duration
High Yield
Fund
    Carillon Chartwell
Small Cap
Growth
Fund
    Carillon Chartwell
Short Duration
Bond
Fund
 
Assets            

Investments-unaffiliated, at value (a)

    $365,265,867       $40,913,973       $149,969,877       $207,035,335       $16,338,918       $9,602,984  

Cash

                                  56  

Receivable for fund shares sold

    13,950       1,300       25,537       380,313       450        

Receivable for dividends and interest, net

    2,638,577       30,367       153,031       2,587,472       14,124       64,565  

Receivable for foreign tax reclaims

    63,660                                

Receivable from Advisor

                                  8,772  

Prepaid expenses

    12,016       8,031       9,036       10,776       7,128       11,033  
Total assets     367,994,070       40,953,671       150,157,481       210,013,896       16,360,620       9,687,410  
Liabilities            

Payable for investments purchased

    351,619                               60,305  

Payable for fund shares redeemed

    346,272             55,988       187,630              

Accrued to investment advisory fees, net

    99,705       7,549       89,463       4,890       303        

Accrued administrative fees

    63,546       12,456       29,630       37,691       8,882       7,544  

Accrued trustees compensation

    13,800       13,800       13,800       13,800       13,800       13,800  

Other accrued expenses

    132,103       42,556       71,047       97,391       34,512       35,632  
Total liabilities     1,007,045       76,361       259,928       341,402       57,497       117,281  
Net assets     $366,987,025       $40,877,310       $149,897,553       $209,672,494       $16,303,123       $9,570,129  
Net assets consists of            

Paid-in capital

    $ 407,550,674       $ 36,606,429       $ 125,643,113       $ 221,056,173       $ 16,542,093       $ 9,862,651  

Total distributable earnings (loss)

    (40,563,649     4,270,881       24,254,440       (11,383,679     (238,970     (292,522
Net assets     $366,987,025       $40,877,310       $149,897,553       $209,672,494       $16,303,123       $9,570,129  
NAV, offering, and redemption price per share     $ 12.29       $ 16.50       $ 17.75       $ 9.15       $ 10.80       $ 9.50  
Shares of beneficial interest outstanding     29,849,588       2,477,986       8,446,888       22,913,982       1,509,907       1,007,439  
(a) Identified cost     $ 401,480,946       $ 36,658,739       $ 123,354,526       $ 217,028,576       $ 14,546,482       $ 9,881,975  

 

The accompanying notes are an integral part of the financial statements.           21  


Statements of Operations

1.1.2022 to 12.31.2022

 

     Carillon Chartwell
Income
Fund
    Carillon Chartwell
Mid Cap Value
Fund
    Carillon Chartwell
Small Cap Value
Fund
    Carillon Chartwell
Short Duration
High Yield
Fund
    Carillon Chartwell
Small Cap
Growth
Fund
    Carillon Chartwell
Short Duration
Bond
Fund
 
Investment Income            

Dividend-unaffiliated

    $ 3,074,325       $ 806,202       $ 2,570,800       $46,200       $103,018       $4,474  

Less: foreign taxes withheld

    (68,456                       (20      

Interest

    12,306,238       5,556       28,110       7,158,567       4,610       119,642  
Total investment income     15,312,107       811,758       2,598,910       7,204,767       107,608       124,116  
Expenses            

Investment advisory fees

    1,985,648       276,517       1,395,610       705,195       169,876       15,748  

Transfer agent fees

    337,619       36,364       163,314       91,146       31,177       13,695  

Administrative fees

    412,123       74,664       181,949       218,260       56,638       44,505  

Registration and filing fees

    37,973       31,978       35,731       42,251       31,291       20,773  

Postage and Supplies

    54,996       10,195       32,720       13,516       12,352       8,183  

Custodian and bank service fees

    56,822       9,050       24,281       23,077       9,371       7,535  

Trustees’ fees and expenses

    25,019       24,679       24,784       24,803       24,668       24,654  

Insurance fees

    25,834       2,943       5,740       10,581       2,549       1,325  

Legal fees

    25,591       17,209       19,809       20,720       16,741       16,436  

Audit and tax service fees

    19,161       15,911       15,911       18,160       15,911       18,393  

Pricing services fees

    28,782       690       1,368       8,256       1,503       16,466  

Shareholder reporting expenses

    6,084       5,708       5,780       5,708       5,768       6,064  

Other expenses

    8,713       6,604       6,607       6,732       6,603       7,079  
Total expenses before adjustments     3,024,365       512,512       1,913,604       1,188,405       384,448       200,856  

Fees and expenses waived

    (230,704     (156,075     (195,168     (202,836     (162,848     (175,743
Total expenses after adjustments     2,793,661       356,437       1,718,436       985,569       221,600       25,113  
Net Investment income (loss)     12,518,446       455,321       880,474       6,219,198       (113,992     99,003  
Realized and unrealized gain (loss)            

Net realized gain (loss) on:

           

Investments-unaffiliated

    6,658,259       173,250       (299,613     (942,417     (1,783,959     (15,132

Net realized losses on foreign currency transactions

    (1,950                              
Net realized gain (loss)     6,656,309       173,250       (299,613     (942,417     (1,783,959     (15,132

Net change in unrealized appreciation (depreciation) on investments-unaffiliated and foreign currency translations

    (69,851,516     (5,411,276     (18,245,101     (12,262,690     (6,765,763     (247,915
Net realized and unrealized gain (loss) on investments     (63,195,207     (5,238,026     (18,544,714     (13,205,107     (8,549,722     (263,047
Net increase (decrease) in assets resulting from operations     $(50,676,761     $(4,782,705     $(17,664,240     $(6,985,909     $(8,663,714     $(164,044

 

22         The accompanying notes are an integral part of the financial statements.


Statements of Changes in Net Assets

 

    Carillon Chartwell
Income Fund
    Carillon Chartwell
Mid Cap Value Fund
    Carillon Chartwell
Small Cap Value Fund
 
     1/1/22 to
12/31/22
    1/1/21 to
12/31/21
    1/1/22 to
12/31/22
    1/1/21 to
12/31/21
    1/1/22 to
12/31/22
    1/1/21 to
12/31/21
 

Net Assets, beginning of period

    $520,176,684       $556,849,938       $38,466,954       $28,540,283       $182,868,249       $177,333,926  
Increase (decrease) in net assets from operations            

Net investment income (loss) and foreign currency transactions

    12,518,446       12,900,355       455,321       229,478       880,474       925,522  

Net realized gain (loss) on investments

    6,656,309       15,389,586       173,250       1,326,556       (299,613     20,542,553  

Net change in unrealized appreciation (depreciation) on unaffiliated investments

    (69,851,516     9,800,076       (5,411,276     6,496,125       (18,245,101     21,138,138  
Net increase (decrease) in net assets resulting from operations     (50,676,761     38,090,017       (4,782,705     8,052,159       (17,664,240     42,606,213  

Distributions to shareholders from earnings

    (14,292,087     (13,869,991     (455,723     (230,069     (1,794,548     (17,883,886
Fund share transactions            

Proceeds from shares sold

    16,739,649       48,745,042       15,004,186       8,127,832       32,673,349       58,182,681  

Issued as reinvestment of distributions

    13,769,014       13,296,681       455,723       230,005       1,535,603       14,906,386  

Proceeds from redemption fees collected

          8                         1,382  

Cost of shares redeemed

    (118,729,474     (122,935,011     (7,811,125     (6,253,256     (47,720,860     (92,278,453
Total increase (decrease) from fund share transactions     (88,220,811     (60,893,280     7,648,784       2,104,581       (13,511,908     (19,188,004
Increase (decrease) in net assets     (153,189,659     (36,673,254     2,410,356       9,926,671       (32,970,696     5,534,323  

Net Assets, end of period

    $366,987,025       $520,176,684       $40,877,310       $38,466,954       $149,897,553       $182,868,249  
Shares issued and redeemed            

Shares sold

    1,277,983       3,484,616       857,317       483,270       1,776,773       2,861,036  

Issued as reinvestment of distributions

    1,075,484       951,621       27,576       12,202       88,000       771,189  

Shares redeemed

    (9,261,303     (8,843,113     (444,074     (371,696     (2,607,990     (4,431,550
Shares issued and redeemed     (6,907,836     (4,406,876     440,819       123,776       (743,217     (799,325

 

The accompanying notes are an integral part of the financial statements.           23  


Statements of Changes in Net Assets

 

    Carillon Chartwell Short
Duration High Yield Fund
    Carillon Chartwell Small
Cap Growth Fund
    Carillon Chartwell Short
Duration Bond Fund
 
     1/1/22 to
12/31/22
    1/1/21 to
12/31/21
    1/1/22 to
12/31/22
    1/1/21 to
12/31/21
    1/1/22 to
12/31/22
    9/22/21 to
12/31/21 (a)
 

Net Assets, beginning of period

    $216,879,499       $163,703,413       $28,329,652       $27,435,645       $5,948,026       $—  
Increase (decrease) in net assets from operations            

Net investment income (loss)

    6,219,198       5,229,291       (113,992     (264,973     99,003       6,865  

Net realized gain (loss) on investments

    (942,417     991,177       (1,783,959     4,455,760       (15,132     2,237  

Net change in unrealized appreciation (depreciation) on unaffiliated investments

    (12,262,690     (1,816,378     (6,765,763     209,882       (247,915     (31,076
Net increase (decrease) in net assets resulting from operations     (6,985,909     4,404,090       (8,663,714     4,400,669       (164,044     (21,974

Distributions to shareholders from earnings

    (6,245,837     (5,242,419     (792,440     (5,275,367     (98,778     (7,726
Fund share transactions            

Proceeds from shares sold

    52,219,936       68,978,150       2,443,220       3,358,720       8,563,868       5,970,000  

Issued as reinvestment of distributions

    6,191,390       5,174,743       792,440       5,255,275       98,777       7,726  

Proceeds from redemption fees collected

                                   

Cost of shares redeemed

    (52,386,585     (20,138,478     (5,806,035     (6,845,290     (4,777,720      
Total increase (decrease) from fund share transactions     6,024,741       54,014,415       (2,570,375     1,768,705       3,884,925       5,977,726  
Increase (decrease) in net assets     (7,207,005     53,176,086       (12,026,529     894,007       3,622,103       5,948,026  

Net Assets, end of period

    $209,672,494       $216,879,499       $16,303,123       $28,329,652       $9,570,129       $5,948,026  
Shares issued and redeemed            

Shares sold

    5,671,899       7,052,800       190,000       170,918       905,741       597,213  

Issued as reinvestment of distributions

    669,528       529,407       73,374       340,968       10,351       777  

Shares redeemed

    (5,666,098     (2,056,927     (485,168     (367,240     (506,643      
Shares issued and redeemed     675,329       5,525,280       (221,794     144,646       409,449       597,990  

(a) Reflects the Fund’s commencement date of 9/22/21.

 

24         The accompanying notes are an integral part of the financial statements.


Financial Highlights

 

Per Share Data for a Share Outstanding Throughout Each Year/period

 

Fiscal period

          From investment operations     Dividends & distributions                

Ratios to average net assets (%)

                   
  Beginning
net asset
value
    Income
(loss)
    Realized &
unrealized
gains (losses)
    Total     From
investment
income
    From
realized
gains
    Total     Proceeds
from
redemption
fees
collected
    Ending
net
asset
value
    With
expenses
waived/
recovered (a)
    Without
expenses
waived/
recovered (a)
    Net
income
(loss) (a)
    Portfolio
turnover
rate (%) (b)
    Total
return
(%) (b)(c)
    Net assets
at end of
year/period
(thousands)
 
Beginning   Ending  
Carillon Chartwell Income Fund                                                                                                
01/01/22     12/31/22       $14.15       $0.38       $(1.80     $(1.42     $(0.39     $(0.05     $(0.44           $12.29       0.64       0.69       2.87       40       (10.14     $366,987  
01/01/21     12/31/21       13.53       0.34       0.65       0.99       (0.37           (0.37     0.00     14.15       0.64       0.68       2.41       56       7.35       520,177  
11/01/20     12/31/20     12.72       0.07       0.81       0.88       (0.07           (0.07     0.00     13.53       0.64       0.73       2.93       7       6.93       556,850  

11/01/19

    10/31/20       13.26       0.40       (0.52     (0.12     (0.42           (0.42     0.00     12.72       0.64       0.67       3.08       63       (0.83     568,025  

11/01/18

    10/31/19       13.18       0.41       0.50       0.91       (0.44     (0.39     (0.83     0.00     13.26       0.64       0.66       2.95       137       7.22       1,030,248  

11/01/17

    10/31/18       13.80       0.31       (0.19     0.12       (0.30     (0.44     (0.74     0.00     13.18       0.64       0.68       2.29       75       0.88       1,490,295  
Carillon Chartwell Mid Cap Value Fund                                                                                                
01/01/22     12/31/22       18.88       0.19       (2.38     (2.19     (0.18     (0.01     (0.19           16.50       0.90       1.29       1.15       27       (11.63     40,877  
01/01/21     12/31/21       14.92       0.11       3.96       4.07       (0.11           (0.11           18.88       0.90       1.29       0.68       15       27.30       38,467  
11/01/20     12/31/20     13.12       0.03       1.94       1.97       (0.17           (0.17           14.92       0.90       1.56       1.25       3       15.00       28,540  
11/01/19     10/31/20       15.54       0.19       (2.28     (2.09     (0.18     (0.15     (0.33           13.12       0.90       1.47       1.40       35       (13.81     24,752  
11/01/18     10/31/19       15.07       0.17       1.34       1.51       (0.11     (0.93     (1.04           15.54       1.02  +      1.44       1.09  +      36       11.47       25,704  
11/01/17     10/31/18       18.55       0.11       0.03       0.14       (0.14     (3.48     (3.62           15.07       1.05  ~      1.57       0.77  ~      65       (0.12     25,322  
Carillon Chartwell Small Cap Value Fund                                                                                                
01/01/22     12/31/22       19.90       0.10       (2.04     (1.94           (0.21     (0.21           17.75       1.05       1.17       0.54       24       (9.71     149,898  
01/01/21     12/31/21       17.75       0.10       4.16       4.26       (0.10     (2.01     (2.11     0.00     19.90       1.05       1.15       0.45       20       24.42       182,868  
11/01/20     12/31/20     14.75       0.04       3.09       3.13       (0.13           (0.13           17.75       1.05       1.21       1.32       2       21.23       177,334  
11/01/19     10/31/20       18.67       0.13       (3.37     (3.24     (0.14     (0.54     (0.68     0.00     14.75       1.05       1.18       0.81       30       (18.16     148,069  
11/01/18     10/31/19       18.79       0.13       1.04       1.17       (0.07     (1.22     (1.29     0.00     18.67       1.05       1.07       0.69       30       7.54       172,753  
11/01/17     10/31/18       20.07       0.06       (0.45     (0.39     (0.05     (0.84     (0.89     0.00     18.79       1.05       1.08       0.28       19       (2.18     228,779  
Carillon Chartwell Short Duration High Yield Fund                                                                                                
01/01/22     12/31/22       9.75       0.29       (0.60     (0.31     (0.29           (0.29           9.15       0.49       0.59       3.09       35       (3.17     209,672  
01/01/21     12/31/21       9.79       0.27       (0.04     0.23       (0.27           (0.27           9.75       0.49       0.58       2.78       54       2.40       216,879  
11/01/20     12/31/20     9.59       0.05       0.20       0.25       (0.05           (0.05           9.79       0.49       0.66       3.13       9       2.63       163,703  
11/01/19     10/31/20       9.68       0.33       (0.08     0.25       (0.34           (0.34     0.00     9.59       0.49       0.61       3.55       63       2.62       161,474  
11/01/18     10/31/19       9.48       0.35       0.20       0.55       (0.35           (0.35     0.00     9.68       0.49       0.67       3.62       41       5.89       91,914  
11/01/17     10/31/18       9.72       0.29       (0.24     0.05       (0.29           (0.29           9.48       0.49       0.80       3.15       26       0.55       75,536  
Carillon Chartwell Small Cap Growth Fund                                                                                                
01/01/22     12/31/22       16.36       (0.08     (4.96     (5.04           (0.52     (0.52           10.80       1.05       1.82       (0.54     80       (30.83     16,303  
01/01/21     12/31/21       17.29       (0.15     2.78       2.63       (0.01     (3.55     (3.56           16.36       1.05       1.47       (0.88     61       16.47       28,330  
11/01/20     12/31/20     15.22       (0.01     3.24       3.23             (1.16     (1.16           17.29       1.05       1.76       (0.58     24       21.20       27,436  
11/01/19     10/31/20       11.78       (0.09     3.53       3.44             (0.00 )*      (0.00 )*      0.00     15.22       1.05       1.73       (0.56     104       29.25       22,808  
11/01/18     10/31/19       11.55       (0.04     0.32       0.28             (0.05     (0.05     0.00     11.78       1.05       1.64       (0.39     104       2.46       20,637  
11/01/17     10/31/18       10.69       (0.04     0.90       0.86       0.00           0.00           11.55       1.05       2.15       (0.45     97       8.07       17,821  
Carillon Chartwell Short Duration Bond Fund                                                                                                
01/01/22     12/31/22       9.95       0.13       (0.45     (0.32     (0.13     (0.00 )*      (0.13           9.50       0.39       3.12       1.54       69       (3.15     9,570  
09/22/21#     12/31/21       10.00       0.01       (0.05     (0.04     (0.01     (0.00 )*      (0.01           9.95       0.39       3.51       0.46       6       (0.37     5,948  

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Total return is a measure of the change in value of an investment in the Fund over the period covered, which assumes any dividends or capital gains distributions are reinvested in shares of the Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower had the Advisor not reduced its fees or reimbursed expenses.

^ Fund changed fiscal year to December 31.

* Amount rounds to less than $0.01 per share.

+ Effective September 1, 2019, the Advisor contractually agreed to reduce its fees and/or reimburse other operating expenses of the Fund to ensure that total annual operating expenses do not exceed 0.90% of the average daily net assets of the Fund. Prior to September 1, 2019, the annual operating expense limitation was 1.05%

~ Effective November 6, 2017, the Advisor contractually agreed to reduce its fees and/or reimburse other operating expenses of the Fund to ensure that total annual operating expenses do not exceed 1.05% of the average daily net assets of the Fund. Prior to November 6, 2017, the annual operating expense limitation was 1.15%.

# Commencement of operations.

 

The accompanying notes are an integral part of the financial statements.           25  


Notes to Financial Statements

12.31.2022

 

Note 1  |  Organization   |  Carillon Series Trust (the “Trust” or the Carillon Family of Funds”) is a Delaware statutory trust, and is registered under the Investment Act of 1940, as amended, as an open-end diversified management investment company. The Trust offers shares in separate series (each a “fund” and collectively the “Funds”), each of which is advised by Carillon Tower Advisers, Inc. (“Carillon Tower”,“Manager”, or “Adviser”). On September 30, 2022, Carillon Tower also began doing business as Raymond James Investment Management. This did not involve any change in Carillon Tower’s structure, ownership, or control. The Carillon Chartwell Income Fund, Carillon Chartwell Mid Cap Value Fund, Carillon Chartwell Small Cap Value Fund, Carillon Chartwell Short Duration High Yield Fund, Carillon Chartwell Small Cap Growth Fund and Carillon Chartwell Short Duration Bond Fund (each a “fund” and collectively the “Funds”) are each a separate series of the Trust.

 

   

Carillon Chartwell Income Fund (“Income Fund”)—primarily seeks current income and, secondarily, seeks to preserve capital.

   

Carillon Chartwell Mid Cap Value Fund (“Mid Cap Value”)—seeks long-term capital appreciation.

   

Carillon Chartwell Small Cap Value Fund (“Small Cap Value”)—seeks long-term capital appreciation.

   

Carillon Chartwell Short Duration High Yield Fund (“Short Duration High Yield”)—seeks income and long-term capital appreciation.

   

Carillon Chartwell Small Cap Growth Fund (“Small Cap Growth”)—seeks long-term capital appreciation.

   

Carillon Chartwell Short Duration Bond Fund (“Short Duration Bond”)—seeks to maximize current income by investing in high quality short maturity fixed income securities while also preserving capital.

Note 2  |  Significant Accounting Policies  |  The following is a summary of significant accounting policies of the Funds. The policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. GAAP.

Valuation of securities  |  The price of each fund’s share is based on the NAV per share. Each fund normally determines the NAV of its shares each business day as of the scheduled close of regular trading on the New York Stock Exchange (NYSE) and the Nasdaq (typically 4:00 p.m. ET). A fund will not treat an intraday unscheduled disruption in trading on either the NYSE or Nasdaq as a closure of that particular market and will price its shares as of the normally scheduled close of the NYSE and Nasdaq if the disruption directly affects only one of those markets. If the NYSE or other securities exchange modifies the published closing price of securities traded on that exchange after the NAV is calculated, the Funds are not required to recalculate their NAV.

Generally, portfolio securities for which market quotations are readily available are valued at market value; however, a market quotation price may be adjusted to reflect events that occur between the close of those markets and the time of the fund’s determination of the NAV.

A market quotation may be considered unreliable or unavailable for various reasons, such as:

 

   

The quotation may be stale;

   

The security is not actively traded;

   

Trading on the security halted before the close of the trading market;

   

The security is newly issued;

   

Issuer-specific or vendor specific events occurred after the security halted trading; or

   

Due to the passage of time between the close of the market on which the security trades and the close of the NYSE and the Nasdaq.

Issuer-specific events that may cause the last market quotation to be unreliable include:

 

   

A merger or insolvency;

   

Events which affect a geographical area or an industry segment, such as political events or natural disasters; or

   

Market events, such as a significant movement in the U.S. markets.

For most securities, both the latest transaction prices and adjustments are furnished by independent pricing services. All other securities and assets for which market quotations are unavailable or unreliable are valued at their fair market value determined in good faith. On August 19, 2022, the Board approved, effective September 1, 2022, the Adviser as the Funds’ valuation designee to be responsible for carrying out pricing and valuation duties in accordance with the Adviser’s Valuation Procedures (the “Procedures”) pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended. The Adviser performs these duties through a Valuation Committee, comprised of employees of Carillon Tower and/or its wholly-owned affiliates (“Valuation Committee”).

There can be no assurance, however, that a fair value price used on any given day will more accurately reflect the market value of a security than a market price of such security on that day, as fair valuation determinations may involve subjective judgments made by the Valuation Committee. Fair value pricing may deter shareholders from trading a fund’s shares on a frequent basis in an attempt to take advantage of arbitrage opportunities resulting from potentially stale prices of portfolio holdings. However, it cannot eliminate the possibility of frequent trading. Specific types of securities are valued as follows:

 

   

Domestic exchange-traded equity securities  |  Market quotations are generally available and reliable for domestic exchange-traded equity securities. If the prices provided by the independent pricing service and independent quoted prices are unavailable or unreliable, the Valuation Committee will fair value the security using the Procedures.

 

   

Foreign equity securities  |  If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE and the Nasdaq, closing market quotations may become unreliable. Consequently, fair valuation of portfolio securities may occur on a daily basis. The Valuation Committee, using the Procedures, may fair value a security if certain events occur between the time the trading of a particular security ends in a foreign market and a fund’s NAV calculation. The Valuation Committee, using the Procedures, may also fair value a particular security if the events are significant and make the closing price unavailable or unreliable. If an issuer-specific event has occurred that Carillon Tower determines, in its judgment, is likely to have affected the closing price of a foreign security, it will price the security at fair value. Carillon Tower also utilizes a screening process from a pricing vendor to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current market value as of the close of the NYSE.

 

26             


Notes to Financial Statements

12.31.2022

 

  Securities and other assets quoted in foreign currencies are valued in U.S. dollars based on exchange rates provided by an independent pricing service. The pricing vendor, pricing methodology or degree of certainty may change from time to time. Fund securities primarily traded on foreign markets may trade on days that are not business days of the Funds. Because the NAV of a fund’s shares is determined only on business days of the fund, the value of the portfolio securities of a fund that invests in foreign securities may change on days when shareholders would not be able to purchase or redeem shares of the fund.

 

   

Fixed income securities  |  Government bonds, corporate bonds, asset-backed bonds, municipal bonds, medium-term notes, short-term securities (investments that have a maturity date of 60 days or less), and convertible securities, including high yield or junk bonds, normally are valued on the basis of evaluated prices provided by independent pricing services. Evaluated prices provided by the independent pricing services may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors and appropriate methodologies that have been considered by the Board such as institution-size trading in similar groups of securities, developments related to special securities, dividend rate, maturity and other market data. If the evaluated prices provided by the independent pricing service and independent quoted prices are unavailable or unreliable, the Valuation Committee will fair value the security using the Procedures.

 

   

Investment companies and exchange-traded funds (ETFs)  |  Investments in other open-end investment companies are valued at their reported NAV. The prospectuses for these companies explain the circumstances under which these companies will use fair value pricing and the effect of the fair value pricing. In addition, investments in closed-end funds and ETFs are valued on the basis of market quotations, if available and reliable. If the prices provided by independent pricing services and independent quoted prices are unavailable or unreliable, the Valuation Committee will fair value the security using the Procedures.

Fair value measurements  |  Each 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. A 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.

The following is a summary of the inputs used to value each fund’s investments as of December 31, 2022:

 

    Level 1     Level 2     Level 3     Total  
Income Fund        
Common Stocks     $77,099,855       $—       $—       $77,099,855  
Exchange-Traded Funds     5,505,000                   5,505,000  
Preferred Stocks     7,318,163                   7,318,163  
Corporate Bonds           96,440,739             96,440,739  
Asset-Backed Securities           5,569,473             5,569,473  
Mortgage-Backed Securities           81,588,940             81,588,940  
U.S. Government & Agency Obligations           84,139,249             84,139,249  
Money Market Funds     7,604,448                   7,604,448  
Total Investments     $97,527,466       $267,738,401       $—       $365,265,867