# EDGAR Filing Document

**Accession Number:** 0000897111
**File Stem:** 0001145549-23-019045
**Filing Date:** 2023-3
**Character Count:** 144439
**Document Hash:** 36ad2489cb7be7d58d64050d4207bcca
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-019045.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001145549-23-019045

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** CARILLON SERIES TRUST
- **CENTRAL INDEX KEY:** 0000897111
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07470
- **FILM NUMBER:** 23769086

**BUSINESS ADDRESS:**
- **STREET 1:** 880 CARILLON PARKWAY
- **CITY:** ST PETERSBURG
- **STATE:** FL
- **ZIP:** 33716
- **BUSINESS PHONE:** 727-567-8143

**MAIL ADDRESS:**
- **STREET 1:** 880 CARILLON PARKWAY
- **CITY:** ST. PETERSBURG
- **STATE:** FL
- **ZIP:** 33716

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** EAGLE SERIES TRUST
- **DATE OF NAME CHANGE:** 20081110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HERITAGE SERIES TRUST
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### Carillon Reams Core Plus Bond Fund (Series ID: S000058960)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000193364 | Class A      | SCPDX           |
| C000193365 | Class C      | SCPEX           |
| C000193366 | Class I      | SCPZX           |
| C000193367 | Class R-3    | SCPUX           |
| C000193368 | Class R-5    | SCPVX           |
| C000193369 | Class R-6    | SCPWX           |
| C000193370 | Class Y      | SCPYX           |

## Nport-Ex

---

| | | |
|:---|:---|:---|
| **Investment Portfolio** | **Investment Portfolio** |  |
| (UNAUDITED) \| 01.31.2023 | (UNAUDITED) \| 01.31.2023 |  |
| **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** |  |
| **CORPORATE BONDS - 27.4%** | **Principal Amount** | **Value** |
| **Aerospace & defense - 0.8%** | **Aerospace & defense - 0.8%** |  |
| Raytheon Technologies Corp., 2.38%, 03/15/32 | $4070000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3422328 |
| The Boeing Co., |  |  |
| &nbsp;&nbsp;&nbsp; 2.80%, 03/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 935000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 863628 |
| &nbsp;&nbsp;&nbsp; 3.60%, 05/01/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2847137 |
| &nbsp;&nbsp;&nbsp; 5.04%, 05/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2142000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2163073 |
| **Agriculture - 0.7%** | **Agriculture - 0.7%** |  |
| BAT Capital Corp., |  |  |
| &nbsp;&nbsp;&nbsp; 3.56%, 08/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2080000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1940934 |
| &nbsp;&nbsp;&nbsp; 4.91%, 04/02/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6465000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6123703 |
| **Airlines - 2.2%** | **Airlines - 2.2%** |  |
| Air Canada, Pass Through Trust, Series 2020-2, Class A, 144A, 5.25%, 10/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1875227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1796701 |
| Alaska Airlines, Pass Through Trust, Series 2020-1, Class A, 144A, 4.80%, 02/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8490417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8259777 |
| British Airways, Pass Through Trust, Series 2020-1, Class A, 144A, 4.25%, 05/15/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2275050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2095859 |
| Delta Air Lines, Pass Through Trust, Series 2020-1, Class AA, 2.00%, 12/10/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8781569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7689877 |
| JetBlue, Pass Through Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 2.75%, 11/15/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4822944 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4045920 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class A, 4.00%, 05/15/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1786054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1624792 |
| United Airlines, Pass Through Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-1, Class AA, 3.45%, 06/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500566 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453723 |
| &nbsp;&nbsp;&nbsp; Series 2016-2, Class AA, 2.88%, 04/07/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 312668 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279551 |
| &nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.50%, 09/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 760567 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 675868 |
| **Auto manufacturers - 3.2%** | **Auto manufacturers - 3.2%** |  |
| Ford Motor Credit Co. LLC, |  |  |
| &nbsp;&nbsp;&nbsp; 3.38%, 11/13/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3530000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3287312 |
| &nbsp;&nbsp;&nbsp; 5.58%, 03/18/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 985000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 977860 |
| &nbsp;&nbsp;&nbsp; 6.95%, 03/06/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3270000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3343836 |
| &nbsp;&nbsp;&nbsp; 7.35%, 11/04/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4385000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4598769 |
| General Motors Financial Co, Inc., |  |  |
| &nbsp;&nbsp;&nbsp; 1.25%, 01/08/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9130000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8185822 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/09/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11055000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11377351 |
| &nbsp;&nbsp;&nbsp; 6.05%, 10/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2555000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2603016 |
| Volkswagen Group of America Finance LLC, 144A, 3.75%, 05/13/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3760000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3427331 |
| **Automobiles - 0.2%** | **Automobiles - 0.2%** |  |
| Ford Motor Co., 3.25%, 02/12/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3240000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2571481 |
| **Banks - 9.2%** | **Banks - 9.2%** |  |
| Bank of America Corp., |  |  |
| &nbsp;&nbsp;&nbsp; (Fixed until 10/20/31, then SOFR + 1.21%), 2.57%, 10/20/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7823000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6468424 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/19/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97299 |
| &nbsp;&nbsp;&nbsp; (Fixed until 04/23/26, then 3 Month LIBOR USD + 1.06%), 3.56%, 04/23/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6702681 |
| &nbsp;&nbsp;&nbsp; (Fixed until 04/27/32, then SOFR + 1.83%), 4.57%, 04/27/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5060000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4889324 |
| &nbsp;&nbsp;&nbsp; (Fixed until 07/22/32, then SOFR + 2.16%), 5.02%, 07/22/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5195000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5191863 |
| Citigroup, Inc., |  |  |
| &nbsp;&nbsp;&nbsp; (Fixed until 01/25/32, then SOFR + 1.35%), 3.06%, 01/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6440000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5516717 |
| &nbsp;&nbsp;&nbsp; (Fixed until 03/17/32, then SOFR + 1.94%), 3.79%, 03/17/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5060000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4584002 |
| &nbsp;&nbsp;&nbsp; (Fixed until 03/31/30, then SOFR + 3.91%), 4.41%, 03/31/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3890000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3731272 |
| &nbsp;&nbsp;&nbsp; (Fixed until 05/24/32, then SOFR + 2.09%), 4.91%, 05/24/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5095296 |
| HSBC Holdings PLC, 4.95%, 03/31/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5075000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5090884 |
| JPMorgan Chase & Co., |  |  |
| &nbsp;&nbsp;&nbsp; (Fixed until 01/25/32, then SOFR + 1.26%), 2.96%, 01/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6435000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5516197 |
| &nbsp;&nbsp;&nbsp; (Fixed until 03/24/30, then SOFR + 3.79%), 4.49%, 03/24/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5375000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5247209 |
| &nbsp;&nbsp;&nbsp; (Fixed until 04/26/32, then SOFR + 1.80%), 4.59%, 04/26/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5060000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4911911 |
| &nbsp;&nbsp;&nbsp; (Fixed until 07/25/32, then SOFR + 2.08%), 4.91%, 07/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3387547 |
| The PNC Financial Services Group, Inc., |  |  |
| &nbsp;&nbsp;&nbsp; (Fixed until 12/02/27, then SOFR + 1.62%), 5.35%, 12/02/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5970740 |
| &nbsp;&nbsp;&nbsp; (Fixed until 10/28/32, then SOFR Index + 2.14%), 6.04%, 10/28/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3010000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3253166 |
| Truist Financial Corp. (Fixed until 10/28/32, then SOFR + 2.30%), 6.12%, 10/28/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5040000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5492239 |
| US Bancorp, |  |  |
| &nbsp;&nbsp;&nbsp; (Fixed until 02/01/28, then SOFR + 1.23%), 4.65%, 02/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4720000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4715990 |
| &nbsp;&nbsp;&nbsp; (Fixed until 02/01/33, then SOFR + 1.60%), 4.84%, 02/01/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6515000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6476420 |
| Wells Fargo & Co., |  |  |
| &nbsp;&nbsp;&nbsp; (Fixed until 03/02/32, then SOFR + 1.50%), 3.35%, 03/02/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5715000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5039496 |
| &nbsp;&nbsp;&nbsp; (Fixed until 04/04/30, then SOFR + 4.03%), 4.48%, 04/04/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9780000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9520954 |
| &nbsp;&nbsp;&nbsp; (Fixed until 07/25/32, then SOFR + 2.10%), 4.90%, 07/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3386818 |
| **Capital markets - 3.2%** | **Capital markets - 3.2%** |  |
| Morgan Stanley, |  |  |
| &nbsp;&nbsp;&nbsp; (Fixed until 01/21/32, then SOFR + 1.29%), 2.94%, 01/21/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6435000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5495628 |
| &nbsp;&nbsp;&nbsp; (Fixed until 04/01/30, then SOFR + 3.12%), 3.62%, 04/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5740000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5279767 |
| &nbsp;&nbsp;&nbsp; (Fixed until 10/18/32, then SOFR + 2.56%), 6.34%, 10/18/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5185000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5699835 |
| The Goldman Sachs Group, Inc. (Fixed until 02/24/32, then SOFR + 1.41%), 3.10%, 02/24/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6435000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5514549 |
| UBS Group AG, |  |  |
| &nbsp;&nbsp;&nbsp; (Fixed until 01/30/26, then 1 Year CMT Rate + 1.08%), 144A, 1.36%, 01/30/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4805000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4303019 |
| &nbsp;&nbsp;&nbsp; (Fixed until 08/13/29, then 3 Month LIBOR USD + 1.47%), 144A, 3.13%, 08/13/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1190000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1048500 |
| &nbsp;&nbsp;&nbsp; (Fixed until 01/12/33, then 1 Year CMT Rate + 2.20%), 144A, 5.96%, 01/12/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10395000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10949486 |
| **Containers & packaging - 0.3%** | **Containers & packaging - 0.3%** |  |
| Sonoco Products Co., 3.13%, 05/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4070000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3625233 |
| **Cosmetics/personal care - 0.4%** | **Cosmetics/personal care - 0.4%** |  |
| GSK Consumer Healthcare Capital US LLC, 3.63%, 03/24/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5895000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5396635 |
| **Diversified telecommunication services - 0.2%** | **Diversified telecommunication services - 0.2%** |  |
| AT&T, Inc., 2.55%, 12/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3637000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2940778 |
| **Electric - 2.9%** | **Electric - 2.9%** |  |
| Appalachian Power Co., 2.70%, 04/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6695000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5709773 |
| Consolidated Edison Co. of New York, Inc., 3.35%, 04/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431631 |
| Duke Energy Florida LLC, 5.65%, 04/01/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5456000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5801923 |
| Duke Energy Progress LLC, 3.70%, 09/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2315000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2240852 |
| Entergy Arkansas LLC, 3.35%, 06/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3302238 |
| Entergy Louisiana LLC, 2.35%, 06/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5035000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4183690 |
| Florida Power & Light Co., 2.88%, 12/04/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6180000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4493723 |
| Indianapolis Power & Light Co., 144A, 5.65%, 12/01/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5848547 |
| Wisconsin Public Service Corp., 2.85%, 12/01/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3455000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2396533 |
| **Electric utilities - 1.4%** | **Electric utilities - 1.4%** |  |
| IPALCO Enterprises, Inc., 4.25%, 05/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5645000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5219962 |
| Virginia Electric and Power Co., 2.30%, 11/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2902254 |
| Wisconsin Power and Light Co., |  |  |
| &nbsp;&nbsp;&nbsp; 1.95%, 09/16/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3995000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3242889 |
| &nbsp;&nbsp;&nbsp; 3.95%, 09/01/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5862637 |
| **Food & staples retailing - 0.3%** | **Food & staples retailing - 0.3%** |  |
| Sysco Corp., 2.45%, 12/14/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4490000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3766708 |
| **Media - 0.3%** | **Media - 0.3%** |  |
| Charter Communications Operating LLC, 4.91%, 07/23/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3030000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3014426 |
| **Multi-utilities - 0.2%** | **Multi-utilities - 0.2%** |  |
| Dominion Energy, Inc., 3.38%, 04/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2135000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1945563 |
| **Oil, gas & consumable fuels - 0.4%** | **Oil, gas & consumable fuels - 0.4%** |  |
| TransCanada PipeLines Ltd., 4.10%, 04/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5595000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5332243 |
| **Road & rail - 0.5%** | **Road & rail - 0.5%** |  |
| Norfolk Southern Corp., 3.00%, 03/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5185000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4619973 |
| Union Pacific Corp., 2.80%, 02/14/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1380000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1221964 |
| **Specialty retail - 0.3%** | **Specialty retail - 0.3%** |  |
| Lowe's Cos, Inc., 2.63%, 04/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3985000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3425143 |
| **Tobacco - 0.7%** | **Tobacco - 0.7%** |  |
| Altria Group, Inc., 2.45%, 02/04/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5435000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4246531 |
| Reynolds American, Inc., 4.45%, 06/12/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4485000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4403242 |
| **Transportation - 0.0%** | **Transportation - 0.0%** |  |
| Burlington Northern and Santa Fe Railway Co., Pass Through Trust, Series 2005-4, 4.97%, 04/01/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37473 |
| **Total corporate bonds (cost $353,169,593)** | **Total corporate bonds (cost $353,169,593)** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;328845446** |
| **MORTGAGE AND ASSET-BACKED SECURITIES - 40.7%** | **MORTGAGE AND ASSET-BACKED SECURITIES - 40.7%** |  |
| **Asset-backed securities - 8.3%** | **Asset-backed securities - 8.3%** |  |
| Ally Auto Receivables Trust, Series 2022-3, Class A2, 5.29%, 08/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5885000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5893864 |
| Avis Budget Rental Car Funding AESOP LLC, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 144A, 3.83%, 08/20/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11589312 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 144A, 5.25%, 04/20/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8405000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8488281 |
| BMW Vehicle Lease Trust, Series 2022-1, Class A2, 0.67%, 05/28/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1180464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1173210 |
| BMW Vehicle Owner Trust, Series 2022-A, Class A2A, 2.52%, 12/26/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5386656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5329515 |
| Capital One Prime Auto Receivables Trust, Series 2022-1, Class A3, 3.17%, 04/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5505000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5356690 |
| GM Financial Consumer Automobile Receivables Trust, Series 2020-3, Class A3, 0.45%, 04/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5974538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5862651 |
| Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 144A, 1.21%, 12/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12931381 |
| Hertz Vehicle Financing III LLC, Series 2022-1A, Class A, 144A, 1.99%, 06/25/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5785000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5380526 |
| Honda Auto Receivables Owner Trust, Series 2022-2, Class A3, 3.73%, 07/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3580000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3519795 |
| Mercedes-Benz Auto Receivables Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A2, 5.26%, 10/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10670000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10689019 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class A2, 5.09%, 01/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6515000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6517789 |
| RFMSII Trust, Series 2006-HSA1, Class A4, SB, 5.49%, 02/25/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 166272 |
| Toyota Auto Receivables Owner Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-D, Class A2A, 5.27%, 01/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5640000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5650667 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A2, 5.05%, 01/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5755000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5753361 |
| World Omni Auto Receivables Trust, Series 2020-C, Class A3, 0.48%, 11/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5500342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5346855 |
| **Commercial mortgage-backed securities - 7.9%** | **Commercial mortgage-backed securities - 7.9%** |  |
| BANK, Series 2020-BNK30, Class A2, 1.36%, 12/17/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2016000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1824502 |
| Benchmark Mortgage Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-B5, Class A2, 4.08%, 07/17/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2430000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2406140 |
| &nbsp;&nbsp;&nbsp; Series 2020-B21, Class A2, 1.74%, 12/17/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1565000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1438329 |
| &nbsp;&nbsp;&nbsp; Series 2021-B23, Class A2, 1.62%, 02/15/54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4555000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4144031 |
| &nbsp;&nbsp;&nbsp; Series 2021-B24, Class A2, 1.95%, 03/17/54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4028000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3678372 |
| &nbsp;&nbsp;&nbsp; Series 2022-B33, Class A2, 3.32%, 03/17/55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8420000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7827517 |
| CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5525000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5327732 |
| Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class A3, 2.94%, 04/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3261101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3110913 |
| COMM Mortgage Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-CCRE9, Class ASB, 3.83%, 07/12/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226215 |
| &nbsp;&nbsp;&nbsp; Series 2015-LC19, Class A4, 3.18%, 02/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1855000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1785325 |
| DBJPM Mortgage Trust, Series 2020-C9, Class A2, 1.90%, 08/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8763956 |
| Deephaven Residential Mortgage Trust, Series 2021-3, Class A1, 144A, VR, 1.19%, 08/25/66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1653662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1425648 |
| GS Mortgage Securities Trust, Series 2013-GCJ14, Class AAB, 3.82%, 08/10/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119792 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119448 |
| JP Morgan Chase Commercial Mortgage Securities Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-LC11, Class A5, 2.96%, 04/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4998041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4973996 |
| &nbsp;&nbsp;&nbsp; Series 2014-C20, Class ASB, 3.46%, 07/17/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 819201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 804149 |
| JP Morgan Mortgage Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-2, Class A7, 144A, VR, 3.50%, 05/25/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2748887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2475768 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class A3, 144A, VR, 2.50%, 07/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3774963 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3151358 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class A4, 144A, VR, 2.50%, 07/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2885602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2567398 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A2, 144A, VR, 3.00%, 07/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6437031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5598459 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class A2A, 144A, VR, 3.00%, 10/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2168649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1886133 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class A3, 144A, VR, 3.00%, 10/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1807208 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1571777 |
| &nbsp;&nbsp;&nbsp; Series 2022-6, Class A3, 144A, VR, 3.00%, 05/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1113153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 968139 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class A3A, 144A, VR, 5.00%, 06/25/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4010000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3946717 |
| Mello Mortgage Capital Acceptance Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-MTG1, Class A1, 144A, VR, 2.50%, 04/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3011654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2514144 |
| &nbsp;&nbsp;&nbsp; Series 2021-MTG3, Class A3, 144A, VR, 2.50%, 07/01/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3893084 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3235367 |
| Rate Mortgage Trust, Series 2021-J4, Class A1, 144A, VR, 2.50%, 11/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3251624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2714472 |
| UBS Commercial Mortgage Trust, Series 2017-C2, Class A3, 3.23%, 08/17/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2612020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2437579 |
| Wells Fargo Commercial Mortgage Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-C36, Class A3, 2.81%, 11/18/59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7157924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6672353 |
| &nbsp;&nbsp;&nbsp; Series 2020-C56, Class A2, 2.50%, 06/17/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4895000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4629409 |
| Wells Fargo Mortgage Backed Securities Trust, Series 2021-2, Class A3, 144A, VR, 2.50%, 06/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3195302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2838952 |
| **Federal agency mortgage-backed obligations - 24.5%** | **Federal agency mortgage-backed obligations - 24.5%** |  |
| Fannie Mae Pool, |  |  |
| &nbsp;&nbsp;&nbsp; TBA, 2.00%, 02/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81660000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68632678 |
| &nbsp;&nbsp;&nbsp; TBA, 2.00%, 03/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19455000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16363479 |
| &nbsp;&nbsp;&nbsp; TBA, 2.50%, 02/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48860000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42776824 |
| &nbsp;&nbsp;&nbsp; TBA, 2.50%, 03/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9940000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8708661 |
| &nbsp;&nbsp;&nbsp; TBA, 3.00%, 02/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33980000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30863397 |
| &nbsp;&nbsp;&nbsp; TBA, 3.50%, 02/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30148742 |
| &nbsp;&nbsp;&nbsp; TBA, 4.00%, 03/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54265000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52401760 |
| &nbsp;&nbsp;&nbsp; TBA, 4.50%, 03/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25960149 |
| &nbsp;&nbsp;&nbsp; TBA, 5.00%, 03/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6335000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6354797 |
| &nbsp;&nbsp;&nbsp; TBA, 5.50%, 03/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4420000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4487681 |
| Fannie Mae-Aces, Series 2016-M7, Class AV2, 2.16%, 10/25/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1207212 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1188250 |
| Ginnie Mae I Pool, |  |  |
| &nbsp;&nbsp;&nbsp; Series 0091, Class AD, 2.73%, 06/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5440252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5353787 |
| &nbsp;&nbsp;&nbsp; Series 2583, Class AB, 2.14%, 08/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195279 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194861 |
| **Total mortgage and asset-backed securities (cost $491,468,648)** | **Total mortgage and asset-backed securities (cost $491,468,648)** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;488148552** |
| **FOREIGN GOVERNMENT BONDS - 0.8%** | **FOREIGN GOVERNMENT BONDS - 0.8%** |  |
| Mexico Government International Bond, 3.50%, 02/12/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8195000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6886762 |
| Petroleos Mexicanos, 7.69%, 01/23/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2915000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2176343 |
| **Total foreign government bonds (cost $10,952,171)** | **Total foreign government bonds (cost $10,952,171)** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9063105** |
| **U.S. TREASURIES - 49.2%** | **U.S. TREASURIES - 49.2%** |  |
| U.S. Treasury Bonds, |  |  |
| &nbsp;&nbsp;&nbsp; 1.75%, 08/15/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38735175 |
| &nbsp;&nbsp;&nbsp; 2.25%, 02/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25785581 |
| &nbsp;&nbsp;&nbsp; 2.38%, 02/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24351000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19699579 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42505000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37610284 |
| U.S. Treasury Notes, |  |  |
| &nbsp;&nbsp;&nbsp; 0.13%, 12/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38958096 |
| &nbsp;&nbsp;&nbsp; 1.75%, 01/31/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55677937 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;165730000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163710166 |
| &nbsp;&nbsp;&nbsp; 2.75%, 08/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74190000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69808153 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/30/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;138533000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;138992972 |
| **Total U.S. Treasuries (cost $597,564,905)** | **Total U.S. Treasuries (cost $597,564,905)** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;588977943** |
| **MEDIUM-TERM NOTES - 0.1%** | **MEDIUM-TERM NOTES - 0.1%** |  |
| BNP Paribas S.A., |  |  |
| &nbsp;&nbsp;&nbsp; 144A, 05/03/23+ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80577 |
| &nbsp;&nbsp;&nbsp; 144A, 05/03/23+ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86137 |
| &nbsp;&nbsp;&nbsp; 144A, 05/03/23+ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96039 |
| Citigroup Global Markets Holdings, Inc., |  |  |
| &nbsp;&nbsp;&nbsp; 144A, 02/24/23\* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21419 |
| &nbsp;&nbsp;&nbsp; 144A, 03/24/23\* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36842 |
| &nbsp;&nbsp;&nbsp; 144A, 03/24/23\* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38359 |
| &nbsp;&nbsp;&nbsp; 144A, 03/24/23+ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 198668 |
| &nbsp;&nbsp;&nbsp; 144A, 03/24/23\* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35324 |
| &nbsp;&nbsp;&nbsp; 144A, 04/26/23+ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 381000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245029 |
| **Total medium-term notes (cost $1,706,000)** | **Total medium-term notes (cost $1,706,000)** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 838394** |
| **Total investment portfolio (cost $1,454,861,317) - 118.2%** | **Total investment portfolio (cost $1,454,861,317) - 118.2%** | **&nbsp;&nbsp;&nbsp;&nbsp; 1415873440** |
| Liabilities in excess of other assets - (18.2)% | Liabilities in excess of other assets - (18.2)% | &nbsp;&nbsp;&nbsp;&nbsp; (217824968) |
| **Total net assets - 100.0%** | **Total net assets - 100.0%** | $**&nbsp;&nbsp;&nbsp;&nbsp;1198048472** |

---

---

| |
|:---|
| *144A - Securities are purchased under Rule 144A of the Securities Act of 1933 or are private placements and, unless registered under the Securities Act of 1933 or exempted from registration, generally may only be sold to qualified institutional buyers.* |
| *+ 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 prinicpal amount, depending on the performance of the S&P 500 Index ("SPX") from its initial underlying value to its final underlying value.* |
| *\* 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 the S&P 500 Index ("SPX") and SPDR Gold Trust ("GLD") (each, an "underlying") from its initial underlying value to its final underlying value.* |
| *TBA - To-be-announced security. Securities are being used in dollar roll transactions.* |
| *SB - Step bond. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown is the rate in effect as of the date of this report.* |
| *VR - Variable rate security. Interest rate adjusts periodically based on changes in current interest rates. Rate shown is the rate in effect as of the date of this report.* |
| **Fair value measurements \|** The Fund utilizes a three-level hierarchy of inputs to establish a classification of fair value measurements. The three levels are defined as: |
| Level 1—Valuations based on unadjusted quoted prices for identical securities in active markets; |
| Level 2—Valuations based on inputs other than quoted prices that are observable, either directly or indirectly, including inputs in markets that are not considered active; and |
| Level 3—Valuations based on inputs that are unobservable and significant to the fair value measurement, and may include the Valuation Committee's own assumptions on determining fair value of investments. |
| Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments and is affected by various factors such as the type of investment and the volume and/or level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Valuation Committee, along with any other relevant factors in the calculation of an investment's fair value. The Fund uses prices and inputs that are current as of the valuation date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy. Investments falling into the Level 3 category may be classified as such due to a lack of market transparency and corroboration to support the quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Valuation Committee. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable entity data. |
| All investments are categorized as Level 2 as of the date of this report. |
| For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual report. |
| The Global Industry Classification Standard (GICS<sup>®</sup>) was developed by and/or is the exclusive property of Morgan Stanley Capital International, Inc. ("MSCI") and Standard & Poor's Financial Services LLC ("S&P"). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC. |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** | | | |
| **FUTURES CONTRACTS** |  | | | | |
| (UNAUDITED) \| 01.31.2023 |  |  |  |  |  |
| **FUTURES CONTRACTS - LONG** | **FUTURES CONTRACTS - LONG** | **FUTURES CONTRACTS - LONG** |  |  |  |
|  |  |  |  |  | **Unrealized** |
|  | **Expiration**  | **Number of** | **Notional Value** | **Notional Value** | **Appreciation** |
| **Description** | **Date** | **Contracts** | **at Trade Date** | **at January 31, 2023** | (Depreciation) |
| 5-Year U.S. Treasury Note | 03/31/23 | 1129 | $122173596 | $123334430 | $1160834 |
| **FUTURES CONTRACTS - SHORT** | **FUTURES CONTRACTS - SHORT** |  |  |  |  |
|  |  |  |  |  | **Unrealized** |
|  | **Expiration**  | **Number of** | **Notional Value** | **Notional Value** | **Appreciation** |
| **Description** | **Date** | **Contracts** | **at Trade Date** | **at January 31, 2022** | (Depreciation) |
| Long Bond U.S. Treasury Note | 03/22/23 | (334) | $(42559339) | $(43378250) | $(818911) |
| **Total futures contracts** |  |  |  |  | $**341923** |
| There is $206,384 of variation margin due from the broker to the Fund as of the date of this report. Futures contracts are categorized as Level 1 as of the date of this report. | There is $206,384 of variation margin due from the broker to the Fund as of the date of this report. Futures contracts are categorized as Level 1 as of the date of this report. | There is $206,384 of variation margin due from the broker to the Fund as of the date of this report. Futures contracts are categorized as Level 1 as of the date of this report. | There is $206,384 of variation margin due from the broker to the Fund as of the date of this report. Futures contracts are categorized as Level 1 as of the date of this report. | There is $206,384 of variation margin due from the broker to the Fund as of the date of this report. Futures contracts are categorized as Level 1 as of the date of this report. | There is $206,384 of variation margin due from the broker to the Fund as of the date of this report. Futures contracts are categorized as Level 1 as of the date of this report. |

---

------

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** |  |  |  |  |  |  |  |
| **SWAP CONTRACTS - CREDIT DEFAULT SWAPS** | **SWAP CONTRACTS - CREDIT DEFAULT SWAPS** | **SWAP CONTRACTS - CREDIT DEFAULT SWAPS** | **SWAP CONTRACTS - CREDIT DEFAULT SWAPS** | **SWAP CONTRACTS - CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |
| (UNAUDITED) \| 01.31.2022 | (UNAUDITED) \| 01.31.2022 |  |  |  |  |  |  |  |  |  |
|  |  | **Rating of** |  |  |  |  |  |  | **Premiums** | **Unrealized** |
|  | **Reference** | **Reference Entity** | **Buy/Sell(a)** | **Pay/Receive** | **Fixed** | **Expiration** | **Notional** |  | **Paid** | **Appreciation** |
| **Central Clearing Party** | **Entity** | **(Moody's/S&P)** | **Protection** | **Fixed Rate** | **&nbsp;&nbsp;&nbsp;&nbsp;Rate** | **Date** | **Value(b)** | **Value (c)** | (Received) | (Depreciation) |
| Intercontinental Exchange | CDX North American High Yield<br> Index Series 39 | B2/B | Sell | Receive | 5%/Quarterly | 12/20/27 | $115050000 | $3612775 | $(343327) | $3956102 |
| **Total swap contracts** | **Total swap contracts** |  |  |  |  |  | **$115050000** | **$3612775** | **$(343327)** | **$3956102** |
| There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. | There is $726,116 of variation margin due from the broker to the Fund as of the date of this report. Credit Default Swap Contracts are categorized as Level 2 as of the date of this report. |
| (a) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation of underlying securities comprising the referenced index. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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. | (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 | (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 | (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 | (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 | (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 | (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 | (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 | (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 | (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 | (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 | (c) The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** | **CARILLON REAMS CORE PLUS BOND FUND** |  |  |  |
| **FORWARD CONTRACTS** | **FORWARD CONTRACTS** |  |  |  |  |  |
| (UNAUDITED) \| 01.31.2023 | (UNAUDITED) \| 01.31.2023 |  |  |  |  |  |
| **Currency to be Received** | **Currency to be Received** | **Currency to be Delivered** | **Currency to be Delivered** | **Settlement Date** | **Counterparty** | **Unrealized** <br> **Appreciation** <br> (Depreciation) |
| Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15182000 | U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10241567 | 02/28/23 | J.P. Morgan | $485898 |
| Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58688630 | U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11000000 | 03/02/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 503514 |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15024570 | U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11029514 | 03/20/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 266395 |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10389000 | U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11199405 | 03/15/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125328 |
| Indian Real | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;444325883 | U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5429036 | 04/18/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (33911) |
| Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 2957770730 | U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22120000 | 03/08/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710236 |
| Norway Krone | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109502800 | U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11000000 | 02/21/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (19556) |
| Sweden Krona | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59440878 | U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5724000 | 04/17/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (16605) |
| U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10540959 | Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15182000 | 02/28/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (186506) |
| U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11477194 | Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58688630 | 03/02/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (26321) |
| U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22939794 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 2957770730 | 03/08/22 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109558 |
| U.S. Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11295523 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15024570 | 03/20/23 | J.P. Morgan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(386) |
| **Total forward contracts** | **Total forward contracts** |  |  |  |  | **$1917644&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;** <br>|
| Forward Contracts are categorized as Level 2 as of the date of this report. | Forward Contracts are categorized as Level 2 as of the date of this report. | Forward Contracts are categorized as Level 2 as of the date of this report. | Forward Contracts are categorized as Level 2 as of the date of this report. | Forward Contracts are categorized as Level 2 as of the date of this report. | Forward Contracts are categorized as Level 2 as of the date of this report. |  |

---

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Carillon Series Trust

- **b. Investment Company Act file number:** 811-07470

- **c. CIK number of Registrant:** 0000897111

- **d. LEI of Registrant:** 549300RNYMX90LFTNW23

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 880 Carillon Parkway

  - **City:** St. Petersburg

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33716

  - **Telephone number:** 7275671000

**Item A.2. Information about the Series.**

- **a. Name of Series:** Carillon Reams Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000058960

- **c. LEI of Series:** 549300N9BW5L4SFJTG17

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $1686250555.01

**Total Liabilities:** $490863889.11

**Net Assets:** $1195386665.90

**Delayed Delivery Securities:** $488607391.63

**Cash Not Reported:** $47038406.60

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 7228.780000000000 | **1-Year:** 43684.760000000000 | **5-Year:** 112301.320000000000 | **10-Year:** 255655.800000000000 | **30-Year:** 339587.630000000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 10.480000000000 | **1-Year:** 1173.830000000000 | **5-Year:** 2910.040000000000 | **10-Year:** 8321.040000000000 | **30-Year:** 2570.670000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000193364 | 4.60%                | -0.62%               | 3.87%                |
| Class ID C000193365 | 4.53%                | -0.68%               | 3.79%                |
| Class ID C000193366 | 4.65%                | -0.59%               | 3.89%                |
| Class ID C000193367 | 4.58%                | -0.63%               | 3.84%                |
| Class ID C000193368 | 4.64%                | -0.60%               | 3.89%                |
| Class ID C000193369 | 4.65%                | -0.59%               | 3.89%                |
| Class ID C000193370 | 4.59%                | -0.62%               | 3.87%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5928851.49             | $45343264.96                               |
| Month 2  | $5278602.89              | $-16117416.90                              |
| Month 3  | $21261.29                | $35782691.33                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg Total Return Value Unhedged USD

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                           | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ally Auto Receivables Trust    | Ally Auto Receivables Trust 2022-3                                              | CUSIP: 02008DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5885000 | PA      | $5893863.99   | 0.49%             | 2025-06-16      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC               | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   5435000 | PA      | $4246531.48   | 0.36%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP               | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $1940934.24   | 0.16%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NO SF 05-4 TR        | Burlington Northern and Santa Fe Railway Co 2005-4 Pass Through Trust           | CUSIP: 05567YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     37593 | PA      | $37473.60     | 0.00%             | 2023-04-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Lease Trust        | BMW Vehicle Lease Trust 2022-1                                                  | CUSIP: 05601XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1180464 | PA      | $1173209.48   | 0.10%             | 2024-05-28      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  33980000 | PA      | $30863396.88  | 2.58%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                                  | CUSIP: 05602Y3S3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | SN               | CORP              | FR        |    123000 | PA      | $86136.90     | 0.01%             | 2023-05-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7823000 | PA      | $6468423.53   | 0.54%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5060000 | PA      | $4889324.48   | 0.41%             | 2033-04-27      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                                  | CUSIP: 05602Y3T1<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | SN               | CORP              | FR        |    123000 | PA      | $96038.40     | 0.01%             | 2023-05-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97299.48     | 0.01%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5195000 | PA      | $5191863.36   | 0.43%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK30                                                                 | CUSIP: 06541UBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2016000 | PA      | $1824501.97   | 0.15%             | 2053-12-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53170000 | PA      | $38735175.52  | 3.24%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2018-B5 Mortgage Trust                                                | CUSIP: 08160BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2430000 | PA      | $2406140.32   | 0.20%             | 2051-07-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B23 Mortgage Trust                                               | CUSIP: 08162RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4555000 | PA      | $4144031.50   | 0.35%             | 2054-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B24 Mortgage Trust                                               | CUSIP: 08163CAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4028000 | PA      | $3678372.02   | 0.31%             | 2054-03-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B21 Mortgage Trust                                               | CUSIP: 08163LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1565000 | PA      | $1438328.59   | 0.12%             | 2053-12-17      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8420000 | PA      | $7827516.60   | 0.65%             | 2055-03-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    935000 | PA      | $863628.28    | 0.07%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                                   | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3320000 | PA      | $2847137.08   | 0.24%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO                      | Boeing Co/The                                                                   | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2142000 | PA      | $2163072.74   | 0.18%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 20-1 A PTT         | British Airways 2020-1 Class A Pass Through Trust                               | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2275050 | PA      | $2095858.99   | 0.18%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INDIANAPOLIS PWR & LIGHT       | Indianapolis Power & Light Co                                                   | CUSIP: 455434BV1<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5848546.94   | 0.49%             | 2032-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3637000 | PA      | $2940777.86   | 0.25%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2A PTT         | Air Canada 2020-2 Class A Pass Through Trust                                    | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1875227 | PA      | $1796700.70   | 0.15%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR        | Alaska Airlines 2020-1 Class A Pass Through Trust                               | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8490417 | PA      | $8259777.22   | 0.69%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  81660000 | PA      | $68632678.13  | 5.74%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020638<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19455000 | PA      | $16363478.91  | 1.37%             | 2053-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9940000 | PA      | $8708660.93   | 0.73%             | 2053-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  32150000 | PA      | $30148741.91  | 2.52%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042632<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  26295000 | PA      | $25960149.48  | 2.17%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   6335000 | PA      | $6354796.81   | 0.53%             | 2053-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052631<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4420000 | PA      | $4487681.21   | 0.38%             | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP               | BAT Capital Corp                                                                | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   6465000 | PA      | $6123702.44   | 0.51%             | 2030-04-02      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6702680.60   | 0.56%             | 2027-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040636<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  54265000 | PA      | $52401760.22  | 4.38%             | 2053-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  12150000 | PA      | $11589311.52  | 0.97%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RGC2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   8405000 | PA      | $8488280.94   | 0.71%             | 2029-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP       | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3030000 | PA      | $3014426.35   | 0.25%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States                             | CUSIP: 17330X805<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |       433 | NS      | $198668.19    | 0.02%             | 2023-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2015-LC19 Mortgage Trust                                                   | CUSIP: 200474BC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1855000 | PA      | $1785324.72   | 0.15%             | 2048-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9445000 | PA      | $8763956.00   | 0.73%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2021-3                                     | CUSIP: 24381VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1653662 | PA      | $1425647.55   | 0.12%             | 2066-08-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA        | Delta Air Lines 2020-1 Class AA Pass Through Trust                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8781569 | PA      | $7689877.05   | 0.64%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC            | Dominion Energy Inc                                                             | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   2135000 | PA      | $1945562.77   | 0.16%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40550000 | PA      | $38958095.80  | 3.26%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61800000 | PA      | $55677937.50  | 4.66%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74190000 | PA      | $69808153.13  | 5.84%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 138533000 | PA      | $138992972.51 | 11.63%            | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2021-2 Trust                             | CUSIP: 949798AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3195302 | PA      | $2838951.94   | 0.24%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                                                 | CUSIP: 46592KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2885602 | PA      | $2567397.78   | 0.21%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2023-1                                               | CUSIP: 465978AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4010000 | PA      | $3946717.39   | 0.33%             | 2053-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4998041 | PA      | $4973996.01   | 0.42%             | 2046-04-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5375000 | PA      | $5247208.89   | 0.44%             | 2031-03-24      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6435000 | PA      | $5516196.54   | 0.46%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5060000 | PA      | $4911910.60   | 0.41%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3387547.43   | 0.28%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP           | JetBlue 2020-1 Class A Pass Through Trust                                       | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1786054 | PA      | $1624791.91   | 0.14%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                 | Lowe's Cos Inc                                                                  | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   3985000 | PA      | $3425142.81   | 0.29%             | 2031-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance 2021-MTG1                                     | CUSIP: 585495AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3011654 | PA      | $2514143.79   | 0.21%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance 2021-MTG3                                     | CUSIP: 58549RAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3893084 | PA      | $3235366.69   | 0.27%             | 2051-07-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES | Mercedes-Benz Auto Receivables Trust 2022-1                                     | CUSIP: 58768PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10670000 | PA      | $10689019.28  | 0.89%             | 2025-10-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                                    | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  10395000 | PA      | $10949485.52  | 0.92%             | 2034-01-12      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT       | United Airlines 2018-1 Class AA Pass Through Trust                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    760567 | PA      | $675868.18    | 0.06%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C56                                  | CUSIP: 95002RAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4895000 | PA      | $4629409.05   | 0.39%             | 2053-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                                                    | CUSIP: 976826BP1<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   3995000 | PA      | $3242888.80   | 0.27%             | 2031-09-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                                                    | CUSIP: 976826BQ9<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   6150000 | PA      | $5862637.31   | 0.49%             | 2032-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr | World Omni Auto Receivables Trust 2020-C                                        | CUSIP: 98163CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500342 | PA      | $5346855.06   | 0.45%             | 2025-11-17      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20230228                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $485897.52    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20230228                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-186505.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20230302                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $503514.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20230302                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-26320.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230308                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $710235.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5185000 | PA      | $5699835.50   | 0.48%             | 2033-10-18      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP          | Norfolk Southern Corp                                                           | CUSIP: 655844CM8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   5185000 | PA      | $4619973.02   | 0.39%             | 2032-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP             | Raytheon Technologies Corp                                                      | CUSIP: 75513ECN9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   4070000 | PA      | $3422327.55   | 0.29%             | 2032-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO             | Sonoco Products Co                                                              | CUSIP: 835495AL6<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |   4070000 | PA      | $3625232.84   | 0.30%             | 2030-05-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48860000 | PA      | $42776823.97  | 3.58%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus | CFCRE Commercial Mortgage Trust 2016-C3                                         | CUSIP: 12531WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5525000 | PA      | $5327732.09   | 0.45%             | 2048-01-10      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2022-1                                 | CUSIP: 14043QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5505000 | PA      | $5356690.35   | 0.45%             | 2027-04-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States                             | CUSIP: 17330U249<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |        91 | NS      | $21419.58     | 0.00%             | 2023-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States                             | CUSIP: 17330X169<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |       144 | NS      | $36841.68     | 0.00%             | 2023-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States                             | CUSIP: 17330X763<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |       144 | NS      | $38359.30     | 0.00%             | 2023-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                 | CUSIP: 3136ASC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207212 | PA      | $1188249.76   | 0.10%             | 2023-10-25      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC        | Duke Energy Florida LLC                                                         | CUSIP: 341099CN7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   4291000 | PA      | $4563059.66   | 0.38%             | 2040-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY             | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   3240000 | PA      | $2571481.37   | 0.22%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3530000 | PA      | $3287312.50   | 0.27%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   4385000 | PA      | $4598768.75   | 0.38%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3270000 | PA      | $3343836.60   | 0.28%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                        | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    985000 | PA      | $977859.85    | 0.08%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 36178M2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195279 | PA      | $194860.61    | 0.02%             | 2023-08-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 36180BC41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5440252 | PA      | $5353787.15   | 0.45%             | 2032-06-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2013-GCJ14                                         | CUSIP: 36198FAF9<br>LEI: 549300ITVQSU1IHX4H03 | Long             | ABS-MBS          | CORP              | US        |    119792 | PA      | $119448.47    | 0.01%             | 2046-08-10      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                                                 | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   9130000 | PA      | $8185822.05   | 0.68%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                                                 | CUSIP: 37045XDZ6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2555000 | PA      | $2603015.78   | 0.22%             | 2025-10-10      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC              | HSBC Holdings PLC                                                               | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5075000 | PA      | $5090883.74   | 0.43%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-2                                                 | CUSIP: 46648HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2748887 | PA      | $2475768.40   | 0.21%             | 2047-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES | Mercedes-Benz Auto Receivables Trust 2023-1                                     | CUSIP: 58770AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6515000 | PA      | $6517789.07   | 0.55%             | 2026-01-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20230320                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $266394.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE9 Mortgage Trust                                                  | CUSIP: 12625UBA0<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |    226656 | PA      | $226214.59    | 0.02%             | 2045-07-10      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3890000 | PA      | $3731272.52   | 0.31%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5060000 | PA      | $4584001.75   | 0.38%             | 2033-03-17      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2015-GC29                                   | CUSIP: 17323VAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3261101 | PA      | $3110912.93   | 0.26%             | 2048-04-10      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6440000 | PA      | $5516716.84   | 0.46%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC       | Duke Energy Progress LLC                                                        | CUSIP: 26442UAG9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   2315000 | PA      | $2240851.55   | 0.19%             | 2028-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC          | Entergy Louisiana LLC                                                           | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   5035000 | PA      | $4183689.60   | 0.35%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                                            | CUSIP: 29366MAC2<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   4350000 | PA      | $3302238.21   | 0.28%             | 2052-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2020-3                       | CUSIP: 362590AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5974538 | PA      | $5862651.29   | 0.49%             | 2025-04-16      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                                                 | CUSIP: 37045XEB8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  11055000 | PA      | $11377351.09  | 0.95%             | 2028-01-09      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   6435000 | PA      | $5514549.12   | 0.46%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing LLC                                                     | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |  13900000 | PA      | $12931381.28  | 1.08%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MAJ8<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   5785000 | PA      | $5380526.11   | 0.45%             | 2026-06-25      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-4                                               | CUSIP: 46655GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2168649 | PA      | $1886132.60   | 0.16%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-4                                               | CUSIP: 46655GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1807208 | PA      | $1571777.16   | 0.13%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                                               | CUSIP: 46655KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1113153 | PA      | $968139.17    | 0.08%             | 2052-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA        | JetBlue 2019-1 Class AA Pass Through Trust                                      | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4822944 | PA      | $4045920.15   | 0.34%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT       | United Airlines 2015-1 Class AA Pass Through Trust                              | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500566 | PA      | $453722.43    | 0.04%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES          | Mexico Government International Bond                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   8195000 | PA      | $6886762.49   | 0.58%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                                      | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   4720000 | PA      | $4715989.65   | 0.39%             | 2029-02-01      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                                      | CUSIP: 91159HJL5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   6515000 | PA      | $6476420.06   | 0.54%             | 2034-02-01      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1129 | NC      | $1160834.41   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | JPY/USD FWD 20230308                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $109558.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-1                                               | CUSIP: 46654WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6437031 | PA      | $5598459.58   | 0.47%             | 2052-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C2                                           | CUSIP: 90276CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2612020 | PA      | $2437578.74   | 0.20%             | 2050-08-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE       | Wisconsin Public Service Corp                                                   | CUSIP: 976843BN1<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |   3455000 | PA      | $2396533.42   | 0.20%             | 2051-12-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5160000 | PA      | $5095295.97   | 0.43%             | 2033-05-24      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States                             | CUSIP: 17330X342<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |       381 | NS      | $245028.72    | 0.02%             | 2023-04-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States                             | CUSIP: 17330X862<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |       144 | NS      | $35323.92     | 0.00%             | 2023-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC        | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    465000 | PA      | $431631.03    | 0.04%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE        | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   5895000 | PA      | $5396634.64   | 0.45%             | 2032-03-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20                   | CUSIP: 46642CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819201 | PA      | $804148.86    | 0.07%             | 2047-07-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5740000 | PA      | $5279766.57   | 0.44%             | 2031-04-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6435000 | PA      | $5495628.03   | 0.46%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES         | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   3010000 | PA      | $3253165.89   | 0.27%             | 2033-10-28      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES         | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BK0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   5800000 | PA      | $5970740.23   | 0.50%             | 2028-12-02      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS            | Petroleos Mexicanos                                                             | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2915000 | PA      | $2176342.50   | 0.18%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust            | Rate Mortgage Trust 2021-J4                                                     | CUSIP: 75410JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3251624 | PA      | $2714471.61   | 0.23%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage S | RFMSII Series 2006-HSA1 Trust                                                   | CUSIP: 76110VTF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169144 | PA      | $166272.08    | 0.01%             | 2036-02-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC          | Reynolds American Inc                                                           | CUSIP: 761713BG0<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   4485000 | PA      | $4403241.54   | 0.37%             | 2025-06-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION              | Sysco Corp                                                                      | CUSIP: 871829BQ9<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   4490000 | PA      | $3766708.37   | 0.32%             | 2031-12-14      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2023-A Owner Trust                                      | CUSIP: 891940AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5755000 | PA      | $5753360.63   | 0.48%             | 2026-01-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2022-D Owner Trust                                      | CUSIP: 89239HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5640000 | PA      | $5650666.93   | 0.47%             | 2026-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES          | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   5595000 | PA      | $5332242.74   | 0.45%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP          | Truist Financial Corp                                                           | CUSIP: 89788MAK8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   5040000 | PA      | $5492239.25   | 0.46%             | 2033-10-28      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                                    | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1190000 | PA      | $1048500.42   | 0.09%             | 2030-08-13      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                                    | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4805000 | PA      | $4303018.91   | 0.36%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20230418                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-33910.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | NOK/USD FWD 20230221                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-19555.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO           | Appalachian Power Co                                                            | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   6695000 | PA      | $5709772.97   | 0.48%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2022-A                                                  | CUSIP: 05602RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5386656 | PA      | $5329515.28   | 0.45%             | 2024-12-26      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                                  | CUSIP: 05602Y3R5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | SN               | CORP              | FR        |    123000 | PA      | $80577.30     | 0.01%             | 2023-05-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO       | Florida Power & Light Co                                                        | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   6180000 | PA      | $4493722.48   | 0.38%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2022-2 Owner Trust                                       | CUSIP: 43815PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3580000 | PA      | $3519794.78   | 0.29%             | 2026-07-20      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC         | IPALCO Enterprises Inc                                                          | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   5645000 | PA      | $5219962.15   | 0.44%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                                                 | CUSIP: 46592KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3774963 | PA      | $3151358.07   | 0.26%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP             | Union Pacific Corp                                                              | CUSIP: 907818FX1<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1221963.92   | 0.10%             | 2032-02-14      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT       | United Airlines 2016-2 Class AA Pass Through Trust                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    312668 | PA      | $279551.38    | 0.02%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34320000 | PA      | $25785581.08  | 2.16%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25516000 | PA      | $20642045.44  | 1.73%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42505000 | PA      | $37610283.59  | 3.15%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912828VS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 165730000 | PA      | $163710165.63 | 13.70%            | 2023-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO       | Virginia Electric and Power Co                                                  | CUSIP: 927804GE8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   3450000 | PA      | $2902253.57   | 0.24%             | 2031-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668BF8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   3760000 | PA      | $3427330.95   | 0.29%             | 2030-05-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-C36                                  | CUSIP: 95000MBN0<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |   7157924 | PA      | $6672353.32   | 0.56%             | 2059-11-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   9780000 | PA      | $9520954.11   | 0.80%             | 2031-04-04      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5715000 | PA      | $5039496.37   | 0.42%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3386817.76   | 0.28%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20230315                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $125327.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | SEK/USD FWD 20230417                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-16605.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CDX.NA.HY.39 12/20/2027 (SELL PROTECTION)                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $3612775.00   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -334 | NC      | $-818911.22   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-28

**Name of Applicant:** Carillon Series Trust

**Signature:** /s/ Carolyn Gill

**Name of Signer:** Carolyn Gill

**Title:** Principal Financial Officer