|
Carillon Reams Core Plus Bond Fund
|
||||||||
|
Schedule of Investments
|
||||||||
|
March 31, 2026 (Unaudited)
|
||||||||
|
U.S. TREASURY SECURITIES - 32.4%
|
Par
|
Value
|
||||||
|
U.S. Treasury Bonds
|
||||||||
|
2.38%, 02/15/2042
|
$
|
16,705,000
|
$
|
12,173,116
|
||||
|
4.63%, 11/15/2045
|
126,531,000
|
122,043,104
|
||||||
|
4.25%, 08/15/2054
|
113,316,000
|
101,488,643
|
||||||
|
4.75%, 08/15/2055
|
39,285,000
|
38,284,460
|
||||||
|
4.75%, 02/15/2056
|
93,115,000
|
90,816,223
|
||||||
|
U.S. Treasury Inflation Indexed Bonds, 2.38%, 02/15/2055
|
15,182,948
|
14,108,720
|
||||||
|
U.S. Treasury Notes
|
||||||||
|
3.88%, 08/31/2032
|
118,615,000
|
117,127,679
|
||||||
|
3.88%, 08/15/2034
|
56,082,000
|
54,655,852
|
||||||
|
4.25%, 08/15/2035
|
140,784,000
|
140,256,060
|
||||||
|
TOTAL U.S. TREASURY SECURITIES (Cost $709,429,030)
|
690,953,857
|
|||||||
|
CORPORATE BONDS - 21.7%
|
Par
|
Value
|
||||||
|
Airlines - 1.3%
|
||||||||
|
Air Canada, Pass Through Trust, Series 2020-2, Class A, 5.25%, 04/01/2029 (a)
|
1,598,418
|
1,619,098
|
||||||
|
Alaska Airlines, Pass Through Trust, Series 2020-1, Class A, 4.80%, 08/15/2027 (a)
|
7,184,189
|
7,185,148
|
||||||
|
American Airlines, Pass Through Trust
|
||||||||
|
Series 2017-2, Class AA, 3.35%, 10/15/2029
|
1,562,439
|
1,510,188
|
||||||
|
Series 2019-1, Class AA, 3.15%, 02/15/2032
|
2,003,040
|
1,865,203
|
||||||
|
British Airways, Pass Through Trust
|
||||||||
|
Series 2019-1, Class AA, 3.30%, 12/15/2032 (a)
|
1,193,000
|
1,128,318
|
||||||
|
Series 2021-1, Class A, 2.90%, 03/15/2035 (a)
|
582,680
|
534,414
|
||||||
|
Delta Air Lines, Pass Through Trust, Series 2020-1, Class AA, 2.00%, 06/10/2028
|
7,171,060
|
6,934,442
|
||||||
|
United Airlines, Pass Through Trust
|
||||||||
|
Series 2015-1, Class AA, 3.45%, 12/01/2027
|
1,908,483
|
1,870,498
|
||||||
|
Series 2016-2, Class AA, 2.88%, 10/07/2028
|
1,222,494
|
1,179,225
|
||||||
|
Series 2018-1, Class AA, 3.50%, 09/01/2031
|
3,287,678
|
3,193,818
|
||||||
|
Series 2019-1, Class AA, 4.15%, 08/25/2031
|
1,008,702
|
986,649
|
||||||
|
28,007,001
|
||||||||
|
Auto Manufacturers - 2.1%
|
||||||||
|
American Honda Finance Corp., 5.20%, 03/05/2035
|
5,310,000
|
5,209,207
|
||||||
|
Ford Motor Credit Co. LLC, 5.42%, 04/09/2031
|
6,235,000
|
6,122,958
|
||||||
|
General Motors Financial Co., Inc., 6.00%, 01/09/2028
|
16,995,000
|
17,375,286
|
||||||
|
Toyota Motor Credit Corp., 4.80%, 05/15/2030
|
4,495,000
|
4,544,615
|
||||||
|
Volkswagen Group of America Finance LLC
|
||||||||
|
5.30%, 03/22/2027 (a)
|
8,180,000
|
8,247,647
|
||||||
|
3.75%, 05/13/2030 (a)
|
4,055,000
|
3,868,180
|
||||||
|
45,367,893
|
||||||||
|
Banks - 6.2%
|
||||||||
|
Bank of America Corp.
|
||||||||
|
4.98% to 01/24/2028 then SOFR + 0.83%, 01/24/2029
|
9,825,000
|
9,901,546
|
||||||
|
5.51% to 01/24/2035 then SOFR + 1.31%, 01/24/2036
|
14,728,000
|
15,019,329
|
||||||
|
Citigroup, Inc.
|
||||||||
|
4.54% to 09/19/2029 then SOFR + 1.34%, 09/19/2030
|
5,330,000
|
5,311,507
|
||||||
|
4.91% to 05/24/2032 then SOFR + 2.09%, 05/24/2033
|
9,025,000
|
8,984,142
|
||||||
|
5.45% to 06/11/2034 then SOFR + 1.45%, 06/11/2035
|
2,730,000
|
2,767,964
|
||||||
|
5.33% to 03/27/2035 then SOFR + 1.47%, 03/27/2036
|
12,005,000
|
12,041,571
|
||||||
|
HSBC Holdings PLC, 4.95%, 03/31/2030
|
6,135,000
|
6,206,747
|
||||||
|
JPMorgan Chase & Co.
|
||||||||
|
4.51% to 10/22/2027 then SOFR + 0.86%, 10/22/2028
|
3,355,000
|
3,354,289
|
||||||
|
4.91% to 07/25/2032 then SOFR + 2.08%, 07/25/2033
|
9,350,000
|
9,356,452
|
||||||
|
5.50% to 01/24/2035 then SOFR + 1.32%, 01/24/2036
|
14,730,000
|
15,076,724
|
||||||
|
Royal Bank of Canada, 4.65% to 10/18/2029 then SOFR + 1.08%, 10/18/2030
|
8,400,000
|
8,419,672
|
||||||
|
The PNC Financial Services Group, Inc., 6.04% to 10/28/2032 then SOFR + 2.14%, 10/28/2033
|
4,645,000
|
4,912,654
|
||||||
|
US Bancorp, 5.38% to 01/23/2029 then SOFR + 1.56%, 01/23/2030
|
9,805,000
|
10,041,317
|
||||||
|
Wells Fargo & Co.
|
||||||||
|
4.48% to 04/04/2030 then 3 mo. Term SOFR + 4.03%, 04/04/2031
|
11,440,000
|
11,341,165
|
||||||
|
5.21% to 12/03/2034 then SOFR + 1.38%, 12/03/2035
|
9,880,000
|
9,836,304
|
||||||
|
132,571,383
|
||||||||
|
Capital Markets - 2.2%
|
||||||||
|
Morgan Stanley, 5.59% to 01/18/2035 then SOFR + 1.42%, 01/18/2036
|
14,730,000
|
15,017,600
|
||||||
|
State Street Corp., 5.15% to 02/28/2035 then SOFR + 1.22%, 02/28/2036
|
5,365,000
|
5,376,990
|
||||||
|
The Bank of New York Mellon Corp., 4.97% to 04/26/2033 then SOFR + 1.61%, 04/26/2034
|
4,940,000
|
4,952,631
|
||||||
|
The Goldman Sachs Group, Inc., 5.54% to 01/28/2035 then SOFR + 1.38%, 01/28/2036
|
14,730,000
|
14,972,837
|
||||||
|
UBS Group AG
|
||||||||
|
3.13% to 08/13/2029 then 3 mo. LIBOR USD + 1.47%, 08/13/2030 (a)(b)
|
1,210,000
|
1,150,867
|
||||||
|
5.96% (1 yr. CMT Rate + 2.20%), 01/12/2034 (a)
|
4,655,000
|
4,856,644
|
||||||
|
46,327,569
|
||||||||
|
Consumer Finance - 0.3%
|
||||||||
|
American Express Co., 5.04% to 07/26/2027 then SOFR + 0.93%, 07/26/2028
|
6,420,000
|
6,475,258
|
||||||
|
Containers & Packaging - 0.2%
|
||||||||
|
Sonoco Products Co., 3.13%, 05/01/2030
|
5,500,000
|
5,170,131
|
||||||
|
Diversified Telecommunication Services - 0.3%
|
||||||||
|
Verizon Communications, Inc., 5.25%, 04/02/2035
|
6,125,000
|
6,132,553
|
||||||
|
Electric - 4.5%
|
||||||||
|
Appalachian Power Co., 2.70%, 04/01/2031
|
8,115,000
|
7,380,252
|
||||||
|
DTE Electric Co., 5.20%, 04/01/2033
|
7,735,000
|
7,918,915
|
||||||
|
Duke Energy Florida LLC
|
||||||||
|
5.88%, 11/15/2033
|
2,400,000
|
2,548,057
|
||||||
|
5.65%, 04/01/2040
|
6,046,000
|
6,145,267
|
||||||
|
Duke Energy Indiana LLC, 5.25%, 03/01/2034
|
4,530,000
|
4,639,141
|
||||||
|
Duke Energy Progress LLC, 5.25%, 03/15/2033
|
8,400,000
|
8,646,883
|
||||||
|
Entergy Arkansas LLC
|
||||||||
|
5.30%, 09/15/2033
|
6,130,000
|
6,285,416
|
||||||
|
5.45%, 06/01/2034
|
5,455,000
|
5,611,750
|
||||||
|
3.35%, 06/15/2052
|
5,930,000
|
3,932,531
|
||||||
|
Entergy Louisiana LLC, 5.35%, 03/15/2034
|
5,700,000
|
5,859,730
|
||||||
|
Indianapolis Power & Light Co., 5.65%, 12/01/2032 (a)
|
6,805,000
|
7,033,297
|
||||||
|
MidAmerican Energy Co., 5.35%, 01/15/2034
|
3,940,000
|
4,044,958
|
||||||
|
Monongahela Power Co., 5.85%, 02/15/2034 (a)
|
5,520,000
|
5,795,936
|
||||||
|
Public Service Co. of New Hampshire, 5.35%, 10/01/2033
|
9,755,000
|
10,053,844
|
||||||
|
San Diego Gas & Electric Co., 5.40%, 04/15/2035
|
6,605,000
|
6,716,944
|
||||||
|
Wisconsin Public Service Corp., 2.85%, 12/01/2051
|
3,980,000
|
2,428,784
|
||||||
|
95,041,705
|
||||||||
|
Electric Utilities - 1.8%
|
||||||||
|
IPALCO Enterprises, Inc., 4.25%, 05/01/2030
|
8,270,000
|
7,962,241
|
||||||
|
Union Electric Co., 5.20%, 04/01/2034
|
6,565,000
|
6,669,216
|
||||||
|
Virginia Electric and Power Co., 5.15%, 03/15/2035
|
6,965,000
|
6,951,133
|
||||||
|
Wisconsin Power and Light Co.
|
||||||||
|
1.95%, 09/16/2031
|
4,850,000
|
4,207,433
|
||||||
|
3.95%, 09/01/2032
|
7,150,000
|
6,812,987
|
||||||
|
4.95%, 04/01/2033
|
5,725,000
|
5,744,760
|
||||||
|
38,347,770
|
||||||||
|
Ground Transportation - 0.3%
|
||||||||
|
Union Pacific Corp., 5.10%, 02/20/2035
|
5,390,000
|
5,485,672
|
||||||
|
Hotels, Restaurants & Leisure - 0.3%
|
||||||||
|
McDonald's Corp., 4.95%, 03/03/2035
|
5,375,000
|
5,346,868
|
||||||
|
Insurance - 0.4%
|
||||||||
|
MetLife, Inc., 5.38%, 07/15/2033
|
9,195,000
|
9,485,695
|
||||||
|
Multi-Utilities - 0.2%
|
||||||||
|
Dominion Energy, Inc., 3.38%, 04/01/2030
|
4,840,000
|
4,621,181
|
||||||
|
Oil & Gas - 0.5%
|
||||||||
|
BP Capital Markets America, Inc., 5.23%, 11/17/2034
|
11,120,000
|
11,348,437
|
||||||
|
Oil, Gas & Consumable Fuels - 0.4%
|
||||||||
|
TransCanada PipeLines Ltd., 4.10%, 04/15/2030
|
8,130,000
|
7,974,918
|
||||||
|
Tobacco - 0.3%
|
||||||||
|
Altria Group, Inc., 2.45%, 02/04/2032
|
6,175,000
|
5,418,504
|
||||||
|
Transportation - 0.4%
|
||||||||
|
Canadian Pacific Railway Co., 5.20%, 03/30/2035
|
8,715,000
|
8,872,729
|
||||||
|
TOTAL CORPORATE BONDS (Cost $462,853,196)
|
461,995,267
|
|||||||
|
ASSET-BACKED SECURITIES - 19.9%
|
Par
|
Value
|
||||||
|
AMSR Trust
|
||||||||
|
Series 2021-SFR3, Class A, 1.48%, 10/17/2038 (a)
|
3,635,000
|
3,575,800
|
||||||
|
Series 2021-SFR4, Class A, 2.12%, 12/17/2038 (a)
|
2,381,443
|
2,342,936
|
||||||
|
Series 2022-SFR3, Class A, 4.00%, 10/17/2039 (a)
|
2,385,000
|
2,361,054
|
||||||
|
Series 2023-SFR1, Class A, 4.00%, 04/17/2040 (a)
|
3,155,000
|
3,109,494
|
||||||
|
Series 2023-SFR2, Class A, 3.95%, 06/17/2040 (a)
|
945,000
|
929,496
|
||||||
|
Series 2024-SFR1, Class A, 4.29%, 07/17/2041 (a)(c)
|
2,080,000
|
2,044,162
|
||||||
|
Series 2024-SFR2, Class A, 4.15%, 11/17/2041 (a)
|
1,620,000
|
1,581,258
|
||||||
|
Series 2025-SFR1, Class A, 3.66%, 06/17/2042 (a)
|
3,730,000
|
3,551,722
|
||||||
|
Series 2025-SFR2, Class A, 4.28%, 11/17/2042 (a)
|
2,380,000
|
2,327,393
|
||||||
|
Series 2026-SFR1, Class A, 3.78%, 04/17/2031
|
3,625,000
|
3,403,699
|
||||||
|
Avis Budget Rental Car Funding AESOP LLC
|
||||||||
|
Series 2021-1A, Class A, 1.38%, 08/20/2027 (a)
|
13,900,000
|
13,812,993
|
||||||
|
Series 2023-4A, Class A, 5.49%, 06/20/2029 (a)
|
2,705,000
|
2,755,784
|
||||||
|
Series 2024-1A, Class A, 5.36%, 06/20/2030 (a)
|
1,960,000
|
2,003,058
|
||||||
|
Series 2024-3A, Class A, 5.23%, 12/20/2030 (a)
|
2,135,000
|
2,170,349
|
||||||
|
Series 2025-1A, Class A, 4.80%, 08/20/2029 (a)
|
5,545,000
|
5,583,416
|
||||||
|
Series 2025-2A, Class A, 5.12%, 08/20/2031 (a)
|
12,180,000
|
12,345,281
|
||||||
|
Series 2025-4A, Class A, 4.40%, 02/20/2032 (a)
|
19,365,000
|
19,095,265
|
||||||
|
Series 2026-1A, Class A, 4.28%, 08/20/2030 (a)
|
6,625,000
|
6,567,670
|
||||||
|
Series 2026-2A, Class A, 4.60%, 08/20/2032 (a)
|
6,920,000
|
6,832,564
|
||||||
|
BMW Vehicle Owner Trust
|
||||||||
|
Series 2023-A, Class A3, 5.47%, 02/25/2028
|
864,308
|
868,699
|
||||||
|
Series 2025-A, Class A2B, 3.96% (30 day avg SOFR US + 0.30%), 10/25/2027
|
4,181,397
|
4,181,390
|
||||||
|
Bridge Trust, Series 2025-SFR1, Class A, 4.05%, 09/17/2042 (a)
|
9,130,886
|
8,714,876
|
||||||
|
Capital One Prime Auto Receivables Trust
|
||||||||
|
Series 2024-1, Class A2A, 4.61%, 10/15/2027
|
386,473
|
386,620
|
||||||
|
Series 2024-1, Class A2B, 3.99% (30 day avg SOFR US + 0.32%), 10/15/2027
|
352,148
|
352,144
|
||||||
|
CarMax Auto Owner Trust, Series 2025-3, Class A2A, 4.42%, 08/15/2028
|
5,195,468
|
5,202,030
|
||||||
|
FirstKey Homes Trust
|
||||||||
|
Series 2021-SFR1, Class A, 1.54%, 08/17/2038 (a)
|
9,187,229
|
9,086,041
|
||||||
|
Series 2021-SFR2, Class A, 1.38%, 09/17/2038 (a)
|
1,136,355
|
1,120,226
|
||||||
|
Series 2021-SFR3, Class A, 2.14%, 12/17/2038 (a)
|
723,058
|
711,427
|
||||||
|
Series 2022-SFR3, Class A, 4.25%, 07/17/2038 (a)
|
1,271,134
|
1,267,833
|
||||||
|
Ford Credit Auto Owner Trust
|
||||||||
|
Series 2024-C, Class A2B, 4.07% (30 day avg SOFR US + 0.40%), 08/15/2027
|
844,927
|
845,072
|
||||||
|
Series 2024-D, Class A2A, 4.59%, 10/15/2027
|
790,683
|
791,472
|
||||||
|
Series 2024-D, Class A2B, 3.99% (30 day avg SOFR US + 0.32%), 10/15/2027
|
913,294
|
913,325
|
||||||
|
FRTKL, Series 2021-SFR1, Class A, 1.57%, 09/17/2038 (a)
|
2,005,000
|
1,973,814
|
||||||
|
GM Financial Consumer Automobile Receivables Trust
|
||||||||
|
Series 2025-1, Class A2B, 4.00% (30 day avg SOFR US + 0.33%), 01/18/2028
|
3,410,741
|
3,410,840
|
||||||
|
Series 2025-2, Class A2A, 4.40%, 02/16/2028
|
1,472,178
|
1,473,835
|
||||||
|
Series 2025-3, Class A2A, 4.32%, 06/16/2028
|
3,213,827
|
3,219,564
|
||||||
|
Hertz Vehicle Financing III LLC
|
||||||||
|
Series 2025-1A, Class A, 4.91%, 09/25/2029 (a)
|
11,545,000
|
11,630,736
|
||||||
|
Series 2025-2A, Class A, 5.13%, 09/25/2031 (a)
|
9,615,000
|
9,688,219
|
||||||
|
Series 2025-3A, Class A, 5.06%, 12/26/2029 (a)
|
13,205,000
|
13,343,296
|
||||||
|
Series 2025-4A, Class A, 5.41%, 12/25/2031 (a)
|
8,700,000
|
8,873,455
|
||||||
|
Series 2025-5A, Class A, 4.62%, 05/25/2030 (a)
|
4,380,000
|
4,366,824
|
||||||
|
Hertz Vehicle Financing III LP, Series 2021-2A, Class A, 1.68%, 12/27/2027 (a)
|
15,255,000
|
15,041,659
|
||||||
|
Home Partners of America Trust
|
||||||||
|
Series 2021-2, Class A, 1.90%, 12/17/2026 (a)
|
3,070,690
|
3,013,151
|
||||||
|
Series 2021-3, Class A, 2.20%, 01/17/2041 (a)
|
2,334,518
|
2,192,199
|
||||||
|
Honda Auto Receivables Owner Trust
|
||||||||
|
Series 2024-1, Class A3, 5.21%, 08/15/2028
|
2,096,036
|
2,110,058
|
||||||
|
Series 2025-2, Class A2A, 4.30%, 01/18/2028
|
2,880,928
|
2,883,052
|
||||||
|
Series 2025-3, Class A2B, 4.02% (30 day avg SOFR US + 0.35%), 03/21/2028
|
8,229,145
|
8,229,224
|
||||||
|
Hyundai Auto Receivables Trust
|
||||||||
|
Series 2024-B, Class A2A, 5.15%, 06/15/2027
|
90,178
|
90,209
|
||||||
|
Series 2024-B, Class A2B, 4.04% (30 day avg SOFR US + 0.37%), 06/15/2027
|
78,649
|
78,651
|
||||||
|
Series 2025-A, Class A2A, 4.33%, 12/15/2027
|
3,847,765
|
3,850,146
|
||||||
|
Series 2025-A, Class A2B, 4.01% (30 day avg SOFR US + 0.34%), 12/15/2027
|
4,674,148
|
4,674,871
|
||||||
|
Series 2025-C, Class A2A, 3.97%, 07/17/2028
|
20,995,000
|
20,982,747
|
||||||
|
Invitation Homes Trust, Series 2024-SFR1, Class A, 4.00%, 09/17/2041 (a)
|
5,446,343
|
5,305,687
|
||||||
|
Mercedes-Benz Auto Receivables Trust, Series 2025-1, Class A2B, 3.99% (30 day avg SOFR US + 0.32%), 02/15/2028
|
3,834,720
|
3,834,782
|
||||||
|
Nissan Auto Receivables Owner Trust
|
||||||||
|
Series 2024-B, Class A2B, 4.05% (30 day avg SOFR US + 0.38%), 06/15/2027
|
1,005,225
|
1,005,276
|
||||||
|
Series 2025-A, Class A2A, 4.50%, 02/15/2028
|
12,371,661
|
12,395,548
|
||||||
|
Progress Residential Trust
|
||||||||
|
Series 2021-SFR3, Class A, 1.64%, 05/17/2026 (a)
|
4,764,980
|
4,743,280
|
||||||
|
Series 2021-SFR5, Class A, 1.43%, 07/17/2038 (a)
|
2,547,280
|
2,524,704
|
||||||
|
Series 2021-SFR7, Class A, 1.69%, 08/17/2040 (a)
|
2,474,781
|
2,316,056
|
||||||
|
Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (a)
|
7,507,043
|
7,393,936
|
||||||
|
Series 2021-SFR9, Class A, 2.01%, 11/17/2040 (a)
|
1,517,873
|
1,424,082
|
||||||
|
Series 2022-SFR2, Class A, 2.95%, 04/17/2027 (a)
|
8,959,052
|
8,808,804
|
||||||
|
Series 2022-SFR4, Class A, 4.44%, 05/17/2041 (a)
|
962,773
|
951,228
|
||||||
|
Series 2024-SFR4, Class A, 3.10%, 07/17/2041 (a)
|
12,831,087
|
12,171,001
|
||||||
|
Series 2024-SFR5, Class A, 3.00%, 08/09/2029 (a)
|
1,196,657
|
1,129,838
|
||||||
|
Series 2025-SFR1, Class A, 3.40%, 02/17/2042 (a)
|
3,129,080
|
2,978,338
|
||||||
|
Series 2025-SFR3, Class A, 3.39%, 07/17/2042 (a)
|
4,135,000
|
3,909,554
|
||||||
|
Series 2025-SFR4, Class A, 4.30%, 08/17/2042 (a)
|
5,840,000
|
5,699,959
|
||||||
|
Series 2025-SFR5, Class A, 3.85%, 10/17/2042 (a)
|
8,740,966
|
8,362,864
|
||||||
|
Series 2025-SFR6, Class A, 4.00%, 12/17/2042 (a)
|
12,645,000
|
12,202,946
|
||||||
|
Series 2026-SFR1, Class A, 3.85%, 02/17/2043 (a)
|
4,385,000
|
4,179,642
|
||||||
|
STAR Trust
|
||||||||
|
Series 2022-SFR3, Class A, 5.32% (1 mo. Term SOFR + 1.65%), 05/17/2039 (a)
|
9,561,257
|
9,537,354
|
||||||
|
Series 2025-SFR5, Class A, 5.12% (1 mo. Term SOFR + 1.45%), 02/17/2042 (a)
|
4,264,372
|
4,264,086
|
||||||
|
Series 2026-SFR7, Class A, 5.08% (1 mo. Term SOFR + 1.40%), 05/17/2043 (a)
|
6,175,000
|
6,177,729
|
||||||
|
Toyota Auto Receivables Owner Trust
|
||||||||
|
Series 2025-B, Class A2A, 4.46%, 03/15/2028
|
2,438,415
|
2,440,861
|
||||||
|
Series 2025-C, Class A2A, 4.29%, 06/15/2028
|
8,705,179
|
8,711,032
|
||||||
|
Series 2025-C, Class A2B, 3.97% (30 day avg SOFR US + 0.30%), 06/15/2028
|
9,035,051
|
9,029,840
|
||||||
|
Tricon American Homes Trust, Series 2020-SFR1, Class A, 1.50%, 07/17/2038 (a)
|
2,159,967
|
2,140,151
|
||||||
|
Tricon Residential Trust
|
||||||||
|
Series 2021-SFR1, Class A, 1.94%, 07/17/2038 (a)
|
3,529,410
|
3,500,096
|
||||||
|
Series 2023-SFR1, Class A, 5.10%, 07/17/2040 (a)
|
2,205,833
|
2,196,133
|
||||||
|
Series 2025-SFR1, Class A, 4.77% (1 mo. Term SOFR + 1.10%), 03/17/2042 (a)
|
7,366,044
|
7,352,233
|
||||||
|
Series 2025-SFR2, Class A, 5.20%, 08/17/2044 (a)
|
5,747,683
|
5,727,328
|
||||||
|
USB Auto Owner Trust, Series 2025-1A, Class A2, 4.51%, 06/15/2028 (a)
|
2,176,062
|
2,178,826
|
||||||
|
World Omni Auto Receivables Trust
|
||||||||
|
Series 2025-B, Class A2A, 4.38%, 08/15/2028
|
2,455,016
|
2,457,883
|
||||||
|
Series 2025-C, Class A2A, 4.19%, 10/16/2028
|
6,085,973
|
6,087,733
|
||||||
|
TOTAL ASSET-BACKED SECURITIES (Cost $423,941,597)
|
425,099,909
|
|||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES - 14.8%
|
Par
|
Value
|
||||||
|
Angel Oak Mortgage Trust
|
||||||||
|
Series 2025-11, Class A1, 4.98%, 10/25/2070 (a)(d)
|
1,483,719
|
1,477,285
|
||||||
|
Series 2025-12, Class A1, 5.04%, 12/25/2070 (a)(d)
|
1,968,593
|
1,962,167
|
||||||
|
Series 2025-13, Class A1, 4.93%, 10/25/2070 (a)(c)
|
2,686,224
|
2,671,578
|
||||||
|
Series 2026-1, Class A1, 4.75%, 02/25/2071 (a)(d)
|
4,138,397
|
4,100,474
|
||||||
|
Barclays Mortgage Loan Trust
|
||||||||
|
Series 2026-NQM1, Class A1, 4.84%, 12/25/2065 (a)(c)
|
5,421,146
|
5,362,813
|
||||||
|
Series 2026-NQM2, Class A1, 4.70%, 12/25/2065 (a)(d)
|
2,270,407
|
2,239,985
|
||||||
|
BBCMS Mortgage Trust, Series 2025-5C37, Class A3, 5.02%, 09/15/2058
|
4,430,000
|
4,482,092
|
||||||
|
Benchmark Mortgage Trust
|
||||||||
|
Series 2018-B5, Class A2, 4.08%, 07/15/2051
|
1,115,631
|
1,111,750
|
||||||
|
Series 2021-B23, Class A2, 1.62%, 02/15/2054
|
4,366,434
|
4,025,693
|
||||||
|
Series 2021-B24, Class A2, 1.95%, 03/15/2054
|
1,254,032
|
1,168,153
|
||||||
|
Series 2022-B33, Class A2, 3.32%, 03/15/2055
|
8,420,000
|
8,272,027
|
||||||
|
Series 2025-V17, Class A3, 5.07%, 09/15/2058
|
4,435,000
|
4,491,116
|
||||||
|
Series 2025-V18, Class A3, 5.18%, 10/15/2058
|
3,720,000
|
3,788,036
|
||||||
|
BMO Mortgage Trust, Series 2025-5C12, Class A3, 5.18%, 10/15/2058
|
2,425,000
|
2,462,023
|
||||||
|
BRAVO Residential Funding Trust, Series 2026-NQM2, Class A1, 4.62%, 11/25/2065 (a)(d)
|
1,989,634
|
1,966,913
|
||||||
|
Chase Home Lending Mortgage Trust, Series 2026-1, Class A11, 4.76% (30 day avg SOFR US + 1.10%), 11/25/2056 (a)
|
8,959,015
|
8,868,014
|
||||||
|
Citigroup Mortgage Loan Trust, Inc.
|
||||||||
|
Series 2021-INV1, Class A3A, 2.50%, 05/25/2051 (a)(d)
|
8,317,559
|
6,919,494
|
||||||
|
Series 2021-J3, Class A3A, 2.50%, 09/25/2051 (a)(d)
|
3,981,076
|
3,311,814
|
||||||
|
COLT Mortgage Loan Trust, Series 2025-12, Class A1, 4.98%, 01/26/2071 (a)(d)
|
4,683,742
|
4,659,163
|
||||||
|
Deephaven Residential Mortgage Trust, Series 2026-INV1, Class A1, 4.80%, 12/25/2070 (a)(d)
|
5,035,565
|
4,994,796
|
||||||
|
Flagstar Mortgage Trust
|
||||||||
|
Series 2021-12, Class A2, 2.50%, 11/25/2051 (a)(d)
|
8,819,855
|
7,337,361
|
||||||
|
Series 2021-3INV, Class A18, 5.00%, 06/25/2051 (a)(d)
|
1,969,544
|
1,929,690
|
||||||
|
Series 2021-3INV, Class A2, 2.50%, 06/25/2051 (a)(d)
|
7,504,997
|
6,243,137
|
||||||
|
Series 2021-6INV, Class A4, 2.50%, 08/25/2051 (a)(d)
|
1,965,821
|
1,634,165
|
||||||
|
Series 2021-7, Class A1, 2.50%, 08/25/2051 (a)(d)
|
10,913,811
|
9,124,917
|
||||||
|
GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ2, Class A4, 2.50%, 06/25/2052 (a)(d)
|
1,805,769
|
1,494,261
|
||||||
|
GS Mortgage-Backed Securities Trust
|
||||||||
|
Series 2020-INV1, Class A14, 2.90%, 10/25/2050 (a)(d)
|
2,409,644
|
2,083,983
|
||||||
|
Series 2021-INV1, Class A2, 2.50%, 12/25/2051 (a)(d)
|
1,399,985
|
1,164,667
|
||||||
|
Series 2021-MM1, Class A2, 2.50%, 04/25/2052 (a)(d)
|
8,073,448
|
6,700,905
|
||||||
|
Series 2021-PJ2, Class A2, 2.50%, 07/25/2051 (a)(d)
|
2,368,983
|
1,972,152
|
||||||
|
Series 2022-LTV2, Class A21, 4.00%, 12/25/2052 (a)(d)
|
5,696,141
|
5,460,496
|
||||||
|
Series 2022-PJ5, Class A4, 2.50%, 10/25/2052 (a)(d)
|
2,357,866
|
1,963,016
|
||||||
|
Series 2022-PJ6, Class A4, 3.00%, 01/25/2053 (a)(d)
|
2,621,975
|
2,281,648
|
||||||
|
JP Morgan Mortgage Trust
|
||||||||
|
Series 2017-2, Class A7, 3.50%, 05/25/2047 (a)(d)
|
2,030,699
|
1,846,140
|
||||||
|
Series 2020-9, Class A4, 2.50%, 05/25/2051 (a)(d)
|
2,949,196
|
2,747,885
|
||||||
|
Series 2021-1, Class A3, 2.50%, 06/25/2051 (a)(d)
|
4,643,473
|
3,860,086
|
||||||
|
Series 2021-10, Class A3A, 2.00%, 12/25/2051 (a)(d)
|
10,706,605
|
8,535,477
|
||||||
|
Series 2021-12, Class A3, 2.50%, 02/25/2052 (a)(d)
|
775,434
|
643,604
|
||||||
|
Series 2021-13, Class A3A, 2.00%, 04/25/2052 (a)(d)
|
3,650,934
|
2,910,766
|
||||||
|
Series 2021-14, Class A12, 5.00%, 05/25/2052 (a)(d)
|
3,075,683
|
2,966,806
|
||||||
|
Series 2021-14, Class A3A, 2.00%, 05/25/2052 (a)(d)
|
2,799,981
|
2,225,330
|
||||||
|
Series 2021-15, Class A2, 3.00%, 06/25/2052 (a)(d)
|
8,389,148
|
7,270,052
|
||||||
|
Series 2021-15, Class A3, 2.50%, 06/25/2052 (a)(d)
|
4,321,571
|
3,586,856
|
||||||
|
Series 2021-3, Class A3, 2.50%, 07/25/2051 (a)(d)
|
6,207,109
|
5,159,901
|
||||||
|
Series 2021-4, Class A3, 2.50%, 08/25/2051 (a)(d)
|
3,046,091
|
2,543,605
|
||||||
|
Series 2021-7, Class A3, 2.50%, 11/25/2051 (a)(d)
|
1,851,280
|
1,540,105
|
||||||
|
Series 2021-8, Class A3, 2.50%, 12/25/2051 (a)(d)
|
9,608,425
|
7,999,389
|
||||||
|
Series 2021-INV4, Class A2A, 2.50%, 01/25/2052 (a)(d)
|
2,869,907
|
2,385,722
|
||||||
|
Series 2021-INV8, Class A2, 3.00%, 05/25/2052 (a)(d)
|
6,596,939
|
5,729,455
|
||||||
|
Series 2022-4, Class A2A, 3.00%, 10/25/2052 (a)(d)
|
1,822,062
|
1,576,725
|
||||||
|
Series 2022-6, Class A3, 3.00%, 11/25/2052 (a)(d)
|
913,844
|
790,751
|
||||||
|
Series 2022-7, Class 1A2, 3.00%, 12/25/2052 (a)(d)
|
2,661,350
|
2,313,983
|
||||||
|
Series 2024-3, Class A3, 3.00%, 05/25/2054 (a)(d)
|
6,656,524
|
5,789,359
|
||||||
|
Series 2024-7, Class A3, 3.00%, 04/25/2053 (a)(d)
|
4,549,199
|
3,925,285
|
||||||
|
Series 2025-12MPR, Class A1D, 5.06%, 06/25/2056 (a)(c)
|
8,684,690
|
8,599,715
|
||||||
|
Series 2025-5MPR, Class A1D, 5.50%, 11/25/2055 (a)(c)
|
6,847,207
|
6,837,032
|
||||||
|
Series 2025-7MPR, Class A1D, 5.32%, 02/25/2056 (a)(c)
|
5,553,579
|
5,536,097
|
||||||
|
Series 2025-NQM5, Class A1, 4.88%, 05/25/2066 (a)(d)
|
1,396,487
|
1,385,590
|
||||||
|
Series 2026-NQM1, Class A1, 4.75%, 06/25/2066 (a)(d)
|
3,527,146
|
3,489,571
|
||||||
|
Mello Mortgage Capital Acceptance
|
||||||||
|
Series 2021-MTG1, Class A1, 2.50%, 04/25/2051 (a)(d)
|
4,419,980
|
3,668,755
|
||||||
|
Series 2022-INV1, Class A2, 3.00%, 03/25/2052 (a)(d)
|
3,141,705
|
2,727,635
|
||||||
|
Morgan Stanley Residential Mortgage Loan Trust
|
||||||||
|
Series 2021-4, Class A3, 2.50%, 07/25/2051 (a)(d)
|
2,595,001
|
2,157,206
|
||||||
|
Series 2023-1, Class A1, 4.00%, 02/25/2053 (a)(d)
|
611,508
|
566,950
|
||||||
|
OBX Trust
|
||||||||
|
Series 2021-INV2, Class A3, 2.50%, 10/25/2051 (a)(d)
|
2,223,671
|
1,845,632
|
||||||
|
Series 2022-INV4, Class A1, 3.50%, 06/25/2052 (a)(d)
|
1,634,510
|
1,471,250
|
||||||
|
Series 2022-J1, Class A2, 2.50%, 02/25/2052 (a)(d)
|
3,275,378
|
2,724,833
|
||||||
|
Series 2023-INV1, Class A1, 3.00%, 01/25/2052 (a)(d)
|
5,645,971
|
4,903,537
|
||||||
|
Series 2023-J1, Class A1, 4.50%, 01/25/2053 (a)(d)
|
2,625,378
|
2,491,957
|
||||||
|
Series 2026-INV1, Class AF, 5.01% (30 day avg SOFR US + 1.35%), 02/25/2056 (a)
|
5,407,602
|
5,406,799
|
||||||
|
Series 2026-NQM3, Class A1, 4.65%, 01/25/2066 (a)(d)
|
5,071,271
|
5,021,471
|
||||||
|
PMT Loan Trust, Series 2026-J2, Class A24, 5.01% (30 day avg SOFR US + 1.35%), 03/25/2057 (a)
|
6,363,780
|
6,342,628
|
||||||
|
PRMI Securitization Trust, Series 2021-1, Class A3, 2.50%, 04/25/2051 (a)(d)
|
3,743,359
|
3,362,185
|
||||||
|
PRPM Trust, Series 2025-NQM6, Class A1, 4.99%, 12/25/2070 (a)(d)
|
2,149,550
|
2,135,326
|
||||||
|
RIDE Trust, Series 2025-SHRE, Class A, 5.08%, 02/14/2047 (a)(d)
|
2,125,000
|
2,154,260
|
||||||
|
Sequoia Mortgage Trust
|
||||||||
|
Series 2021-4, Class A1, 2.50%, 06/25/2051 (a)(d)
|
5,259,597
|
4,375,532
|
||||||
|
Series 2021-9, Class A1, 2.50%, 01/25/2052 (a)(d)
|
4,653,071
|
3,870,722
|
||||||
|
Series 2025-S2, Class A1, 4.00%, 11/25/2055 (a)(d)
|
4,012,072
|
3,719,728
|
||||||
|
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 07/15/2041 (a)
|
8,160,000
|
7,257,157
|
||||||
|
UWM Mortgage Trust, Series 2021-INV4, Class A10, 5.00%, 12/25/2051 (a)(d)
|
2,028,083
|
1,986,959
|
||||||
|
Verus Securitization Trust
|
||||||||
|
Series 2025-12, Class A1, 4.96%, 12/25/2070 (a)(d)
|
5,032,690
|
5,010,946
|
||||||
|
Series 2026-2, Class A1, 4.59%, 02/25/2071 (a)(d)
|
10,458,904
|
10,356,005
|
||||||
|
Wells Fargo Commercial Mortgage Trust, Series 2025-5C6, Class A3, 5.19%, 10/15/2058
|
1,630,000
|
1,655,835
|
||||||
|
Wells Fargo Mortgage Backed Securities Trust, Series 2021-1, Class A1, 2.50%, 12/25/2050 (a)(d)
|
924,280
|
768,921
|
||||||
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $317,041,569)
|
315,903,300
|
|||||||
|
AGENCY MORTGAGE-BACKED SECURITIES - 14.6%
|
Par
|
Value
|
||||||
|
Fannie Mae Pool
|
||||||||
|
5.00%, 04/15/2056 (e)
|
60,585,000
|
59,744,483
|
||||||
|
5.50%, 05/15/2056 (e)
|
233,320,000
|
234,075,658
|
||||||
|
Series BM7908, 2.00%, 02/01/2052
|
11,804,847
|
9,279,600
|
||||||
|
Series BO6601, 2.00%, 03/01/2051
|
6,461,786
|
5,079,577
|
||||||
|
Series BO6629, 2.00%, 04/01/2051
|
711,250
|
559,117
|
||||||
|
Federal Home Loan Mortgage Corp., Pool SE9118, 2.00%, 02/01/2052
|
4,611,997
|
3,625,352
|
||||||
|
TOTAL AGENCY MORTGAGE-BACKED SECURITIES (Cost $313,330,955)
|
312,363,787
|
|||||||
|
FOREIGN GOVERNMENT DEBT OBLIGATIONS - 3.9%
|
Par
|
Value
|
||||||
|
Brazil Letras do Tesouro Nacional
|
||||||||
|
14.18%, 04/01/2026 (f)
|
BRL |
136,500
|
26,337,776
|
|||||
|
13.74%, 07/01/2026 (f)
|
BRL |
94,000
|
17,573,934
|
|||||
|
Secretaria Tesouro Nacional, 10.00%, 01/01/2031
|
BRL |
216,843,000
|
37,617,218
|
|||||
|
TOTAL FOREIGN GOVERNMENT DEBT OBLIGATIONS (Cost $75,617,485)
|
81,528,928
|
|||||||
|
MEDIUM-TERM NOTES - 1.6%
|
Par
|
Value
|
||||||
|
BNP Paribas Issuance BV
|
||||||||
|
04/20/2026 (a)(h)
|
1,897,000
|
1,684,536
|
||||||
|
05/13/2026 (a)(i)
|
1,194,000
|
1,265,640
|
||||||
|
05/26/2026 (a)(j)
|
1,115,000
|
1,095,710
|
||||||
|
BofA Finance LLC, 04/29/2026 (k)
|
1,144,000
|
1,169,740
|
||||||
|
Citigroup Global Markets Holdings, Inc.
|
||||||||
|
04/01/2026 (l)
|
1,070,000
|
1,344,605
|
||||||
|
04/09/2026 (m)
|
GBP |
801,000
|
1,304,827
|
|||||
|
04/13/2026 (o)
|
1,119,000
|
1,318,965
|
||||||
|
04/13/2026 (n)
|
1,024,000
|
775,250
|
||||||
|
04/20/2026 (o)
|
2,059,000
|
2,313,492
|
||||||
|
04/29/2026 (p)
|
GBP |
804,000
|
1,217,844
|
|||||
|
05/13/2026 (q)
|
GBP |
900,000
|
1,392,265
|
|||||
|
05/15/2026 (r)
|
555,000
|
557,991
|
||||||
|
06/11/2026 (r)
|
487,000
|
458,072
|
||||||
|
06/25/2026 (a)(s)
|
334,000
|
778,207
|
||||||
|
06/30/2026 (t)
|
4,014,000
|
3,726,196
|
||||||
|
06/30/2026 (u)
|
EUR |
1,238,000
|
1,682,682
|
|||||
|
07/02/2026 (r)
|
1,103,000
|
1,103,000
|
||||||
|
Morgan Stanley Finance LLC
|
||||||||
|
04/01/2026 (a)(v)
|
GBP |
834,000
|
1,355,681
|
|||||
|
04/20/2026 (a)(w)
|
333,000
|
414,169
|
||||||
|
05/20/2026 (a)(w)
|
992,000
|
1,164,360
|
||||||
|
05/20/2026 (a)(x)
|
1,061,000
|
738,721
|
||||||
|
07/02/2026 (a)(y)
|
EUR |
1,033,000
|
1,193,999
|
|||||
|
Nomura International Funding Pte Ltd.
|
||||||||
|
04/08/2026 (a)(z)
|
1,109,000
|
1,360,244
|
||||||
|
06/03/2026 (a)(1)
|
1,055,000
|
1,245,934
|
||||||
|
06/03/2026 (a)(2)
|
970,000
|
794,973
|
||||||
|
06/08/2026 (a)(1)
|
1,143,000
|
1,316,279
|
||||||
|
06/08/2026 (a)(2)
|
1,020,000
|
899,783
|
||||||
|
06/22/2026 (a)(3)
|
1,137,000
|
1,107,734
|
||||||
|
TOTAL MEDIUM-TERM NOTES (Cost $33,102,926)
|
34,780,899
|
|||||||
|
SHORT-TERM INVESTMENTS - 3.4%
|
Par
|
Value
|
||||||
|
U.S. Treasury Bills - 3.4%
|
||||||||
|
3.62%, 06/23/2026 (g)
|
72,730,000
|
72,130,451
|
||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $72,129,724)
|
72,130,451
|
|||||||
|
TOTAL INVESTMENTS - 112.3% (Cost $2,407,446,482)
|
2,394,756,398
|
|||||||
|
Liabilities in Excess of Other Assets - (12.3)%
|
(261,643,801
|
)
|
||||||
|
TOTAL NET ASSETS - 100.0%
|
$
|
2,133,112,597
|
||||||
|
Par amount is in USD unless otherwise indicated.
|
||||||||
|
Percentages are stated as a percent of net assets.
|
||||||||
|
CMT - Constant Maturity Treasury
|
|
LIBOR - London Interbank Offered Rate
|
|
LLC - Limited Liability Company
|
|
LP - Limited Partnership
|
|
PLC - Public Limited Company
|
|
SOFR - Secured Overnight Financing Rate
|
|
BRL - Brazilian Real
|
|
EUR - Euro
|
|
GBP - British Pound
|
|
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and
Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund
Services.
|
|
(a)
|
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified
institutional investors.
|
|
(b)
|
Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
|
|
(c)
|
Step coupon bond. The rate disclosed is as of March 31, 2026.
|
|
(d)
|
Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral
increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of March 31, 2026.
|
|
(e)
|
To-be-announced security.
|
|
(f)
|
Zero Coupon instrument. The rate shown is the annualized effective yield as of March 31, 2026.
|
|
(g)
|
The rate shown is the annualized yield as of March 31, 2026.
|
|
(h)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the USDJPY Fixing Rate from its initial underlying value to its final underlying value.
|
|
(i)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the Synthetic USD CMS 5Y5Y Rate from its initial underlying value to its final underlying value.
|
|
(j)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the USDBRL Fixing Rate from its initial underlying value to its final underlying value.
|
|
(k)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the Synthetic 5Y5Y SOFR Swap Rate from its initial underlying value to its final underlying value.
|
|
(l)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the Synthetic 10Y10Y SOFR CMS Rate from its initial underlying value to its final underlying value.
|
|
(m)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the SONIA CMS7 Rate from its initial underlying value to its final underlying value.
|
|
(n)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the U.S. Dollar/Japanese Yen Exchange Rate from its initial underlying value to its final underlying value.
|
|
(o)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the U.S. Dollar/Swiss Franc Exchange Rate from its initial underlying value to its final underlying value.
|
|
(p)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the SONIA CMS30 Rate from its initial underlying value to its final underlying value.
|
|
(q)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the SONIA CMS2 Rate from its initial underlying value to its final underlying value.
|
|
(r)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the synthetic 5Y5Y SOFR CMS rate from its initial underlying value to its final underlying value.
|
|
(s)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the S&P 500® Index from its initial underlying value to its final underlying value.
|
|
(t)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the SOFR CMS5 Rate from its initial underlying value to its final underlying value.
|
|
(u)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the EUR CMS5 Rate from its initial underlying value to its final underlying value.
|
|
(v)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the GBP-SONIA ICE Swap Rate from its initial underlying value to its final underlying value.
|
|
(w)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of each of the 10-year USD SOFR ICE Swap Rate and the 2-year USD SOFR ICE Swap Rate (each, an “underlying”) from its initial underlying value to its final underlying value.
|
|
(x)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of each of the 30-year USD SOFR ICE Swap Rate and the 5-year USD SOFR ICE Swap Rate (each, an “underlying”) from its initial underlying value to its final underlying value.
|
|
(y)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the EUR-EURIBOR ICE Swap Rate from its initial underlying value to its final underlying value.
|
|
(z)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of each of the 20Y USD SWAP Reference Rate and the 10Y USD SWAP Reference Rate (each, an “underlying”) from its initial underlying value to its final underlying value.
|
|
(1)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the USDCHF Spot Rate from its initial underlying value to its final underlying value.
|
|
(2)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of the USDJPY Spot Rate from its initial underlying value to its final underlying value.
|
|
(3)
|
This security does not pay interest and does not guarantee full repayment of principal at maturity. Instead, the security offers a payment at maturity that may be greater than or less than the
stated principal amount, depending on the performance of each of the 10Y USD Swap Reference Rate and the 5Y USD Swap Reference Rate (each, an “underlying”) from its initial underlying value to its final underlying value.
|
|
Carillon Reams Core Plus Bond Fund
|
|||||||||||||||
|
Schedule of Forward Currency Contracts
|
|||||||||||||||
|
March 31, 2026 (Unaudited)
|
|||||||||||||||
|
Counterparty
|
Settlement Date
|
Currency Purchased
|
Currency Sold
|
Unrealized
Appreciation
(Depreciation)
|
|||||||||||
|
Barclays Capital, Inc.
|
04/29/2026
|
USD
|
1,107,645
|
GBP
|
804,000
|
$
|
43,511
|
||||||||
|
Goldman Sachs
|
04/01/2026
|
BRL
|
87,362,734
|
USD
|
16,687,245
|
175,613
|
|||||||||
|
J.P. Morgan Securities, Inc.
|
04/01/2026
|
BRL
|
177,221,596
|
USD
|
33,784,365
|
423,157
|
|||||||||
|
J.P. Morgan Securities, Inc.
|
06/02/2026
|
USD
|
23,744,071
|
BRL
|
124,466,422
|
47,037
|
|||||||||
|
J.P. Morgan Securities, Inc.
|
05/26/2026
|
USD
|
42,313,498
|
CHF
|
32,472,860
|
1,447,073
|
|||||||||
|
J.P. Morgan Securities, Inc.
|
04/01/2026
|
USD
|
1,123,577
|
GBP
|
834,000
|
19,704
|
|||||||||
|
J.P. Morgan Securities, Inc.
|
04/09/2026
|
USD
|
1,082,366
|
GBP
|
801,000
|
22,185
|
|||||||||
|
J.P. Morgan Securities, Inc.
|
05/13/2026
|
USD
|
1,228,068
|
GBP
|
900,000
|
36,923
|
|||||||||
|
Barclays Capital, Inc.
|
05/29/2026
|
CAD
|
25,656,852
|
USD
|
18,831,878
|
(340,149
|
)
|
||||||||
|
Goldman Sachs
|
04/01/2026
|
USD
|
15,917,306
|
BRL
|
87,362,734
|
(945,552
|
)
|
||||||||
|
Goldman Sachs
|
05/05/2026
|
USD
|
3,894,777
|
BRL
|
20,610,379
|
(56,177
|
)
|
||||||||
|
Goldman Sachs
|
05/26/2026
|
USD
|
11,419,000
|
BRL
|
60,526,786
|
(124,262
|
)
|
||||||||
|
Goldman Sachs
|
07/01/2026
|
USD
|
15,631,124
|
BRL
|
88,180,285
|
(1,040,522
|
)
|
||||||||
|
J.P. Morgan Securities, Inc.
|
04/01/2026
|
USD
|
33,378,828
|
BRL
|
177,221,596
|
(828,694
|
)
|
||||||||
|
J.P. Morgan Securities, Inc.
|
06/30/2026
|
USD
|
1,429,982
|
EUR
|
1,238,000
|
(6,900
|
)
|
||||||||
|
J.P. Morgan Securities, Inc.
|
07/02/2026
|
USD
|
1,198,964
|
EUR
|
1,033,000
|
(73
|
)
|
||||||||
|
Net Unrealized Appreciation (Depreciation)
|
$
|
(1,127,126
|
)
|
||||||||||||
|
BRL - Brazilian Real
|
|||||||||||||||
|
CAD - Canadian Dollar
|
|||||||||||||||
|
CHF - Swiss Franc
|
|||||||||||||||
|
EUR - Euro
|
|||||||||||||||
|
GBP - British Pound
|
|||||||||||||||
|
USD - United States Dollar
|
|||||||||||||||
|
Carillon Reams Core Plus Bond Fund
|
||||||||||||||||||||||||
|
Schedule of Credit Default Swap Contracts
|
||||||||||||||||||||||||
|
Sell Protection
|
||||||||||||||||||||||||
|
March 31, 2026 (Unaudited)
|
||||||||||||||||||||||||
|
Reference Obligation *
|
Financing Rate
Received (Paid)
|
Payment
Frequency
|
Rating of
Reference Entity |
Maturity
Date
|
Notional
Amount (b)
|
Value (c)
|
Premiums Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
||||||||||||||||
|
Sell Protection (a):
|
||||||||||||||||||||||||
|
CDX North American Investment Grade Index
Series 46
|
1.00%
|
Quarterly
|
Baa2/BBB
|
06/20/2031
|
$
|
100,250,000
|
$
|
1,761,648
|
$
|
1,683,265
|
$
|
78,383
|
||||||||||||
|
CDX North American High Yield Index
Series 46
|
5.00%
|
Quarterly
|
B2/B
|
|
06/20/2031
|
144,645,000
|
7,022,817
|
6,113,345
|
909,472
|
|||||||||||||||
|
0.000
|
%
|
$
|
8,784,465
|
$
|
7,796,610
|
$
|
987,855
|
|||||||||||||||||
|
* Intercontinental Exchange is the central clearing party.
|
||||||||||||||||||||||||
|
(a) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the
notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap
less the recovery value of the referenced obligation of underlying securities comprising the referenced index.
|
||||||||||||||||||||||||
|
(b) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular
swap agreement.
|
||||||||||||||||||||||||
|
(c) The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected
liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a
deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
||||||||||||||||||||||||
|
There is $1,650,090 of variation margin related to swap contracts due from the broker to the Fund as of the date of this report.
|
||||||||||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Assets:
|
|||||||||||||||
|
Investments:
|
|||||||||||||||
|
U.S. Treasury Securities
|
$
|
–
|
$
|
690,953,857
|
$
|
–
|
$
|
690,953,857
|
|||||||
|
Corporate Bonds
|
–
|
461,995,267
|
–
|
461,995,267
|
|||||||||||
|
Asset-Backed Securities
|
–
|
425,099,909
|
–
|
425,099,909
|
|||||||||||
|
Commercial Mortgage-Backed Securities
|
–
|
315,903,300
|
–
|
315,903,300
|
|||||||||||
|
Agency Mortgage-Backed Securities
|
–
|
312,363,787
|
–
|
312,363,787
|
|||||||||||
|
Foreign Government Debt Obligations
|
–
|
81,528,928
|
–
|
81,528,928
|
|||||||||||
|
Medium-Term Notes
|
–
|
34,780,899
|
–
|
34,780,899
|
|||||||||||
|
U.S. Treasury Bills
|
–
|
72,130,451
|
–
|
72,130,451
|
|||||||||||
|
Total Investments
|
$
|
–
|
$
|
2,394,756,398
|
$
|
–
|
$
|
2,394,756,398
|
|||||||
|
Other Financial Instruments:
|
||||||||||||||||
|
Credit Default Swaps
|
$
|
–
|
$
|
8,784,465
|
$
|
–
|
$
|
8,784,465
|
||||||||
|
Forward Currency Contracts *
|
–
|
2,215,203
|
–
|
2,215,203
|
||||||||||||
|
Total Other Financial Instruments
|
$
|
–
|
$
|
10,999,668
|
$
|
–
|
$
|
10,999,668
|
||||||||
|
Liabilities:
|
||||||||||||||||
|
Other Financial Instruments:
|
||||||||||||||||
|
Forward Currency Contracts *
|
$
|
–
|
$
|
(3,342,329
|
)
|
$
|
–
|
$
|
(3,342,329
|
)
|
||||||
|
Total Other Financial Instruments
|
$
|
–
|
$
|
(3,342,329
|
)
|
$
|
–
|
$
|
(3,342,329
|
)
|
||||||
|
* The fair value of the Fund's investment represents the unrealized appreciation (depreciation) as of March 31, 2026.
|
|
|
Refer to the Schedule of Investments for further disaggregation of investment categories.
|